Mid-session IV Report February 2, 2024

Mid-session IV Report February 2, 2024

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: WSM ZION ZM DELL IOVA NTAP BXMT HBAN FR DPZ X TJX ARCC SPLK NYCB AYX CNK

Popular stocks with increasing volume: SOFI SMCI SHOP ON XOM SNOW PLTR CVX

Movement

Apple (AAPL) February weekly call option implied volatility is at 51, February is at 22; compared to its 52-week range of 16 to 34 as share price down 2%. Call put ratio 1.2 calls to 1 put.

Amazon (AMZN) February weekly call option implied volatility is at 70, February is at 27; compared to its 52-week range of 23 to 54. Call put ratio 2 calls to 1 put as share price up 7%.

Meta (META) February weekly call option implied volatility is at 105, February is at 40; compared to its 52-week range of 24 to 60. Call put ratio 1.6 calls to 1 put as share price up 19%.

NVIDIA (NVDA) 30-day option implied volatility is at 46; compared to its 52-week range of 32 to 68 as share price up 3.4%.

SPDR S&P 500 ETF Trust (SPY) 30-day option implied volatility is at 11; compared to its 52-week range of 10 to 24.

PowerShares QQQ Trust (QQQ) 30-day option implied volatility is at 16; compared to its 52-week range of 14 to 29.

SPDR S&P Regional Banking ETF (KRE) 30-day option implied volatility is at 34; compared to its 52-week range of 21 to 81. Call put ratio 1 call to 1.9 puts.

ARK Innovation ETF (ARKK) 30-day option implied volatility is at 38; compared to its 52-week range of 33 to 61.

Option IV into release quarter results

McDonald’s (MCD) February weekly call option implied volatility is at 28, February is at 23; compared to its 52-week range of 11 to 23 into quarter results before the bell on February 5. Call put ratio 3.3 calls to 1 put with focus on March 325 calls.

Caterpillar (CAT) February weekly call option implied volatility is at 46, February is at 38; compared to its 52-week range of 21 to 38 into the expected release of quarter results before the bell on February 5.

Estee Lauder (EL) February weekly call option implied volatility is at 84, February is at 65; compared to its 52-week range of 23 to 78 into the expected release of quarter results before the bell on February 5.

Simon Property (SPG) February call option implied volatility is at 34, March is at 26; compared to its 52-week range of 18 to 72 into the expected release of quarter results after the bell on February 5.

Tyson Foods (TSN) February weekly call option implied volatility is at 59, February is at 44; compared to its 52-week range of 18 to 68 into the expected release of quarter results before the bell on February 5. Call put ratio 10 calls to 1 put with focus on February weekly (9) 58 and 59 calls.

ON Semiconductor (ON) February weekly call option implied volatility is at 86, February is at 68; compared to its 52-week range of 33 to 54 into expected release of quarter results before the bell on February 5. Call put ratio 1 call to 4.6 calls with a focus on spreads.

Palantir Technology (PLTR) February weekly call option implied volatility is at 120, February is at 93; compared to its 52-week range of 48 to 93 into the expected release of quarter results after the bell on February 5. Call put ratio 3.3 calls to 1 put.

Eli Lilly (LLY) February weekly call option implied volatility is at 51, February is at 40; compared to its 52-week range of 20 to 39 into the expected release of quarter results before the bell on February 6.

Options with decreasing option implied volatility: SAVE IRBT SOFI WOLF GOOS ALGN TEAM MTCH JBLU AMD CLX SBUX AMZN EA WHR UPS QCOM NVO ADP
Increasing unusual option volume: GOTU EGY SYY NYCB IVR CNK BALL MSOX GEN BZH
Increasing unusual call option volume: SYY GOTU IVR NYCB MSOX CLX TEAM EDU AMKR
Increasing unusual put option volume: BALL GOTU SKX NYCB APD NOVA VRT FND PSNY TEAM VLY RKLB XLV HOG
Active options: AAPL AMZN META TSLA NVDA AMD GOOGL MSFT GOOG SOFI SMCI SHOP MARA CCJ ON XOM SNOW PLTR CVX