Mid-session IV Report October 8, 2024

Mid-session IV Report October 8, 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:

Popular stocks with increasing volume: PDD AMD BABA NIO PLTR HOOD JD OXY FUTU PEP RBLX MSTR

Active options: NVDA SMCI TSLA PDD AMD BABA AAPL NIO TIGR PLTR AMZN HOOD MSFT JD OXY FUTU PEP RBLX MSTR META

China option IV and volume as share price pulls back

Pinduoduo (PDD) 30-day option implied volatility is at 55; compared to its 52-week range of 30 to 77. Call put ratio 1.7 calls to 1 put with focus on November 142.50 puts as share price down 5.4%.

JD.com (JD) 30-day option implied volatility is at 64; compared to its 52-week range of 34 to 76. Call put ratio 3.7 calls to 1 put with a focus on October 11 weekly 50 calls as share price down 6.2%.

Alibaba (BABA) 30-day option implied volatility is at 50; compared to its 52-week range of 27 to 62. Call put ratio 2 calls to 1 put with a focus on October 11 weekly 125 calls.

Db X-trackers Harvest Csi 300 China A – Shares Fund (ASHR) 30-day option implied volatility is at 60; compared to its 52-week range of 14 to 84. Call put ratio 2.3 calls to 1 put with a focus on December options.

KraneShares CSI China Internet ETF (KWEB) 30-day option implied volatility is at 55; compared to its 52-week range of 25 to 65. Call put ratio 1 call to 1 put with a focus on October 11 weekly 34 puts as share price down 9.5%.

iShares China Large-Cap (FXI) 30-day option implied volatility is at 49; compared to its 52-week range of 20 to 62. Call put ratio 2.4 calls to 1 put on 600K contracts as share price down 9%.

Option implied volatility into quarter results

Delta Air Lines (DAL) October 11 weekly call option implied volatility is at 80, October is at 53; compared to its 52-week range of 28 to 47 into the expected release of quarter results before the bell on October 10. Call put ratio 1.7 calls to 1 put with focus on October 11 weekly options.

Domino’s Pizza (DPZ) October 11 weekly call option implied volatility is at 102, October is at 64; compared to its 52-week range of 19 to 43 into the expected release of quarter results before the bell on October 10. Call put ratio 2.8 calls to 1 put.

Tilray (TLRY) October 11 weekly call option implied volatility is at 170, October is at 130; compared to its 52-week range of into the expected release of quarter results before the bell on October 10. Call put ratio 9.5 calls to 1 put with focus on October 11 weekly calls.

J P Morgan (JPM) October 11 weekly call option implied volatility is at 49, October is at 35; compared to its 52-week range of 15 to 32 into the expected release of quarter results before the bell on October 11.

Options with decreasing option implied volatility: NKE LW K
Increasing unusual option volume: TIGR YANG ASHR FYBR LIT EH GEVO DQ GDS
Increasing unusual call option volume: YANG ASHR TIGR FYBR DQ GDS GEVO YINN MTCH
Increasing unusual put option volume: EH ASHR YANG YINN SIL FUTU RIO GUSH RBLX AZUL MCHI