Mid-session IV Report December 26, 2023

Mid-session IV Report December 26, 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: HUT MARA RKLB NFLX INTC CMCSA COF IBM T AXP

Popular stocks with increasing volume: BABA NOVA INTC COIN FDX C NIO AMC

Option IV into JBLU SAVE DOJ ruling

Spirit Airlines’ (SAVE) December weekly call option implied volatility is at 114, December is at 233; compared to its 52-week range of 24 to 201 amid SAVE and JetBlue (JBLU) trial versus the DOJ. Call put ratio 1 call to 1.6 puts.

JetBlue (JBLU) December weekly call option implied volatility is at 74, January is at 86; compared to its 52-week range of 35 to 94 amid JBLU and Spirit Airlines’ (SAVE) trial versus the DOJ.

Endeavor Group Holdings Inc. (EDR) 30-day option implied volatility is at 34; compared to its 52-week range of 24 to 79.

Interest rate option IV into end of year

Proshares Trust Ultrashort Lehman 20+ Year Treasury (TBT) 30-day option implied volatility is at 33; compared to its 52-week range of 24 to 54. Call put ratio 3.4 calls to 1 put.

iShares 20+ Year Treasury Bond ETF (TLT) 30-day option implied volatility is at 16; compared to its 52-week range of 13 to 26.

SPDR Bloomberg Barclays High Yield Bond ETF (JNK) 30-day option implied volatility is at 6; compared to its 52-week range of 5 to 15. Call put ratio 1 call to 101 puts with focus on January 80 and 90 puts.

iShares iBoxx $ High Yield Corporate Bond ETF (HYG) 30-day option implied volatility is at 7; compared to its 52-week range of 6 to 15. Call put ratio 1 call to 5.5 puts with focus on March 70 puts.

Ishares Iboxx $ Investment Grade Corporate Bond Etf (LQD) 30-day option implied volatility is at 9; compared to its 52-week range of 7 to 16.

Options with decreasing option implied volatility: GIS CAN FDX NKE KMX MANU KVUE MULN
Increasing unusual option volume: ALT CAN NTES BLNK KRTX BJ BOWL CIFR INSW RKLB BTBT GRCL AZN SSYS NNDM
Increasing unusual call option volume: BJ CAN ALT NTES GES CIFR RKLB FDX IOT IREN HIVE
Increasing unusual put option volume: NTES AYX TELL CYTK CLOV IEF
Active options: XOM T AAPL TSLA AMZN GOOGL BABA NOVA INTC AMD COIN FDX C GOOG NVDA NIO AMC