Mid-session IV Report September 20, 2023

Mid-session IV Report September 20, 2023

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.

Options with increasing option implied volatility: T ISRG NFLX AZUL

Popular stocks with increasing volume: NIO INTC PINS NKLA SNAP AMC KVUE PLTR XOM DIS
Option IV into Fed Chairman Jerome Powell’s news conference.

Bank of America (BAC) 30-day option implied volatility is at 25; compared to its 52-week range of 20 to 51 into Fed Chairman Jerome Powell’s news conference.

Citigroup (C) 30-day option implied volatility is at 25; compared to its 52-week range of 21 to 51 into Fed Chairman Jerome Powell’s news conference.

Wells Fargo (WFC) 30-day option implied volatility is at 26; compared to its 52-week range of 22 to 51 into Fed Chairman Jerome Powell’s news conference.

Goldman Sachs (GS) 30-day option implied volatility is at 23; compared to its 52-week range of 19 to 44 into Fed Chairman Jerome Powell’s news conference.

Morgan Stanley (MS) 30-day option implied volatility is at 23; compared to its 52-week range of 18 to 47 into Fed Chairman Jerome Powell’s news conference.

U.S. Bancorp (USB) 30-day option implied volatility is at 32; compared to its 52-week range of 20 to 86 into Fed Chairman Jerome Powell’s news conference.

PNC Financial Services (PNC) 30-day option implied volatility is at 29; compared to its 52-week range of 22 to 55 into Fed Chairman Jerome Powell’s news conference.

JPMorgan (JPM) 30-day option implied volatility is at 21; compared to its 52-week range of 16 to 44 into Fed Chairman Jerome Powell’s news conference. Call put ratio 3.7 calls to 1 put.

SPDR S&P Regional Banking ETF (KRE) 30-day option implied volatility is at 27; compared to its 52-week range of 21 to 81 into Fed Chairman Jerome Powell’s news conference. Call put ratio 4.3 calls to 1 put with focus on September weekly 43.50 calls.

Option IV into quarter results

FedEx (FDX) September weekly call option implied volatility is at 83, October is at 31; compared to its 52-week range of 21 to 46 into the expected release of quarter results today after the bell.

KB Home (KBH) September weekly call option implied volatility is at 100, October is at 45; compared to its 52-week range of 27 to 92 into the expected release of quarter results today after the bell. Call put ratio 1 call to 4.8 puts.

Darden (DRI) October call option implied volatility is at 26, November is at 22; compared to its 52-week range of 16 to 73 into the expected release of quarter results before the bell on September 21. Call put ratio 1 call to 4.7 puts.

Options with decreasing option implied volatility: AMC ADBE ARCC SGEN STLA EL STWD MPLX
Increasing unusual option volume: NGL SPRY SEEL AKRO RVPH GT FYBR AZUL
Increasing unusual call option volume: SPRY GT FYBR AZUL COTY
Increasing unusual put option volume: DBI ACB PACB APP NANOS
Active options: TSLA AMZN AAPL NVDA AMD NIO INTC META PINS NKLA SNAP AMC KVUE MSFT PLTR ENPH GOOGL XOM DIS RIOT