Mid-session IV Report October 10, 2022

Mid-session IV Report October 10, 2022

The following report is a snapshot of noteworthy changes in stock and option volumes, as well as changes in option implied volatilities. By this often over looked information.

Option IV increases: EVTL VERU MSOS FAZE TCDA RIVN WEAT

Popular stocks with increasing volume: TWTR PYPL RIVN NIO INTC TLRY AMC GME CCL

Option IV into quarter results

Financial Select Sector SPDR ETF (XLF) 30-day option implied volatility is at 33; compared to its 52-week range of 16 to 58 into bank quarter results. Call put ratio 1 call to 1 put.

SPDR S&P 500 ETF Trust (SPY) 30-day option implied volatility is at 30; compared to its 52-week range of 12 to 55.

PowerShares QQQ Trust (QQQ) 30-day option implied volatility is at 37; compared to its 52-week range of 16 to 40 as shares down 1.1%.

Option IV for interest rate products as rates move higher

Proshares Trust Ultrashort Lehman 20+ Year Treasury (TBT) 30-day option implied volatility is at 52; compared to its 52-week range of 28 to 54 as shares rally 3.5%.

iShares 20+ Year Treasury Bond ETF (TLT) 30-day option implied volatility is at 26; compared to its 52-week range of 14 to 28. Call put ratio 1 call to 1 put.

SPDR Bloomberg Barclays High Yield Bond ETF (JNK) 30-day option implied volatility is at 20; compared to its 52-week range of 5 to 21. Call put ratio 5.6 calls to 1 put.

iShares iBoxx $ High Yield Corporate Bond ETF (HYG) 30-day option implied volatility is at 20; compared to its 52-week range of 5 to 23. Call put ratio 1 call to 9.2 puts.

Ishares Iboxx $ Investment Grade Corporate Bond Etf (LQD) 30-day option implied volatility is at 17; compared to its 52-week range of 6 to 18 as shares sell off 1%.

Twitter (TWTR) October weekly call option implied volatility is at 35, October is at 51; compared to its 52-week range of 21 to 87. Call put ratio 1 call to 1.3 puts as shares rally 2%.

IV movers

Tesla (TSLA) October weekly call option implied volatility is at 77, October is at 82; compared to its 52-week range of 36 to 84 into the expected release of quarter results on October 19. Call put ratio 1.6 calls to 1 put.

Delta Air Lines (DAL) October weekly call option implied volatility is at 79, October is at 65; compared to its 52-week range of 32 to 71 into the expected release of quarter results before the bell on October 11. Call put ratio 1 call to 1 put.

BlackRock (BLK) October weekly call option implied volatility is at 63, October is at 49; compared to its 52-week range of 20 to 43 into the expected release of quarter results before the bell on October 11. Call put ratio 1 call to 2.2 puts.

PepsiCo (PEP) October weekly call option implied volatility is at 38, October is at 31; compared to its 52-week range of 13 to 29 into the expected release of quarter results before the bell on October 12. Call put ratio 1 call to 1.6 puts.

Five9 (FIVN) 30-day option implied volatility is at 70; compared to its 52-week range of 43 to 121 as shares sell off 18% after CEO departs. Call put ratio 2.9 calls to 1 put.

Options with decreasing option implied volatility: TWTR
Increasing unusual option volume: PFSI HIMS XLP FIVN GPRE CS
Increasing unusual call option volume: HIMS GPRE APDN DFEN DRIP CS LAZR
Increasing unusual put option volume: PFSI LAZR XLP CS LEVI TCDA HTGC LOGI
Active options: TSLA AMD AAPL NVDA AMZN F TWTR MSFT PYPL RIVN META NFLX NIO INTC TLRY AMC GOOGL LCID GME CCL