Mid-session IV Report November 1, 2024

Mid-session IV Report November 1, 2024

The following report is a snapshot of noteworthy changes in stock and option volumes, as well as changes in option implied volatilities. By monitoring this market data, traders can create strategies that capitalize on this often over looked information

Options with increasing option implied volatility: SAVA SMCI ACB BTDR IEP ACI ANF EQX JWN VOD K ASPI CDXC VIR PBR

Popular stocks with increasing volume: INTC SMCI MSTR SOFI TSM COIN PLTR BA CVNA

Active options: NVDA AMZN AAPL TSLA INTC SMCI AMD META MSFT DJT GOOGL MSTR SOFI TSM COIN PLTR MARA GOOG BA CVNA

Interest rate – bond option IV into elections and FOMC policy meeting

Proshares Trust Ultrashort Lehman 20+ Year Treasury (TBT) 30-day option implied volatility is at 41; compared to its 52-week range of 21 to 44. Call put ratio 3 calls to 1 put with focus on November 30 calls.

iShares 20+ Year Treasury Bond ETF (TLT) 30-day option implied volatility is at 20; compared to its 52-week range of 11 to 24. Call put ratio 2.3 calls to 1 put.

Option IV into quarter results

Marriott (MAR) November 11 weekly call option implied volatility is at 44, November is at 40; compared to its 52-week range of 18 to 34 into the expected release of quarter results before the bell on November 4. Call put ratio 1 call to 4.8 puts with a focus on December 240 puts.

Constellation Energy (CEG) November 11 weekly call option implied volatility is at 87, November is at 72; compared to its 52-week range of 20 to 75 into the expected release of quarter results before the bell on November 4.

NXP Semiconductors (NXPI) November 11 weekly call option implied volatility is at 67, November is at 55; compared to its 52-week range of 25 to 49 into the expected release of quarter results after the bell on November 4. Call put ratio 1 call to 4.1 puts with focus on January 210 puts.

Palantir (PLTR) November 11 weekly call option implied volatility is at 120, November is at 95; compared to its 52-week range of 36 to 87 into the expected release of quarter results after the bell on November 4.

Zoetis (ZTS) November call option implied volatility is at 47, December is at 33; compared to its 52-week range of 19 to 73; into the expected release of quarter results after the bell on November 4. Call put ratio 8.7 calls to 1 put with focus on November 185 and 200 calls into quarter results.

Vertex (VRTX) November 11 weekly call option implied volatility is at 49, November is at 43; compared to its 52-week range of 17 to 35 into the expected release of quarter results after the bell on November 4.

Ferrari N.V (RACE) November call option implied volatility is at 40, December is at 31; compared to its 52-week range of 17 to 37 into the expected release of quarter results before the bell on November 5.

Options with decreasing option implied volatility: IBRX SNAP CFLT ROKU PTON RBLX CVNA TEAM BHC NXT
Increasing unusual option volume: TER GSAT EGO NGD EWW MDGL ROOT TEAM XLC
Increasing unusual call option volume: GSAT TEAM NGD ZTS COTY XLC EGO TIGR ARDX HALO SG
Increasing unusual put option volume: TER EWW HES IOT EH HRL OKLO EQNR XLC TEAM VSX RDDT