Mid-session IV Report October 17, 2022

Mid-session IV Report October 17, 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: GS NFLX TSLA ACI TGT LMACA CTIC

Popular stocks with increasing volume: RBLX F TWTR AMC SNAP NKLA GOOG

Option IV amid broad stock market rally

SPDR S&P 500 ETF Trust (SPY) 30-day option implied volatility is at 29; compared to its 52-week range of 12 to 55 as shares rally 2%.

PowerShares QQQ Trust (QQQ) 30-day option implied volatility is at 36; compared to its 52-week range of 16 to 40 as shares rally 2.8%.

ARK Innovation ETF (ARKK) 30-day option implied volatility is at 69; compared to its 52-week range of 28 to 91 as shares rally 6%.

Financial Select Sector SPDR ETF (XLF) 30-day option implied volatility is at 33; compared to its 52-week range of 16 to 58 after bank quarter results. Call put ratio 1 call to 1.5 puts as shares rally 2%.

Option IV into quarter results

Johnson & Johnson (JNJ) October call option implied volatility is at 23, November is at 24; compared to its 52-week range of 15 to 24 into the expected release of quarter results before the bell on October 18.

Lockheed Martin (LMT) October call option implied volatility is at 50, November is at 34; compared to its 52-week range of 17 to 39 to the expected release of quarter results before the bell on October 18.

Netflix (NFLX) October call option implied volatility is at 138, November is at 76; compared to its 52-week range of 25 to 86 into the expected release of quarter results after the bell on October 18.

Intuitive Surgical (ISRG) October call option implied volatility is at 84, November is at 51; compared to its 52-week range of 24 to 52 into the expected release of quarter results after the bell on October 18.

State Street (STT) October call option implied volatility is at 81, November is at 47; compared to its 52-week range of 25 to 88 into the expected release of quarter results before the bell on October 18. Call put ratio 7.5 calls to 1 put with focus on October calls.

Goldman Sachs (GS) October call option implied volatility is at 58, November is at 41; compared to its 52-week range of 22 to 44 into the expected release of quarter results before the bell on October 18.

J.B. Hunt Transport (JBHT) October call option implied volatility is at 74, November is at 43; compared to its 52-week range of 23 to 78 into the expected release of quarter results after the bell on October 18. Call put ratio 24 calls to 1 put.

United Airlines (UAL) October call option implied volatility is at 89, November is at 66; compared to its 52-week range of 37 to 87 into the expected release of quarter results after the bell on October 18.

Hasbro (HAS) October call option implied volatility is at 77, November is at 46; compared to its 52-week range of 23 to 84 into the expected release of quarter results before the bell on October 18.

Albertsons (ACI) October call option implied volatility is at 45, November is at 27; compared to its 52-week range of 22 to 94 into the expected release of quarter results before the bell on October 18.

Tesla (TSLA) October call option implied volatility is at 100, November is at 72; compared to its 52-week range of 36 to 84 into the expected release of quarter results after the bell on October 19.

Alcoa (AA) October call option implied volatility is at 117, November is at 83; compared to its 52-week range of 49 to 82 into the expected release of quarter results after the bell on October 19.

IV movers

Continental Resources (CLR) 30-day option implied volatility is at 7; compared to its 52-week range of 35 to 73 after acquired by Hamm family for $74.28 per share.

Archaea Energy (LFG) 30-day option implied volatility is at 32; compared to its 52-week range of 46 to 117 after acquired by BP (BP) for $26 per share.

Options with decreasing option implied volatility: BAC EVTL VIX CLR ACI WBA RLMD CLR LFG
Increasing unusual option volume: LFG IGT TXRH TCDA RBLX
Increasing unusual call option volume: LFG IGT ALLY UBS TCDA FEZ CLNE
Increasing unusual put option volume: TCDA CANO CTRA SPYG YANG CC ACI LQD
Active options: TSLA AAPL AMZN BAC NVDA AMD MSFT RBLX META GOOGL NIO NFLX F TWTR AMC SNAP BABA NKLA MARA GOOG