Mid-session IV Report September 21, 2022

Mid-session IV Report September 21, 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: BIIB GETY SNAP NFLX TWTR IBM

Popular stocks with increasing volume: CHPT F NKLA FUBO BYND SNAP C AMC NFLX AAL CCL LYV

Option IV into FOMC policy meeting

SPDR S&P 500 ETF Trust (SPY) September weekly call option implied volatility is at 42, October is at 26; compared to its 52-week range of 12 to 56.

PowerShares QQQ Trust (QQQ) September weekly call option implied volatility is at 54, October is at 33; compared to its 52-week range of 16 to 40.

iShares Russell 2000 ETF (IWM) September weekly call option implied volatility is at 53, October is at 31; compared to its 52-week range of 18 to 31.

ARK Innovation ETF (ARKK) 30-day option implied volatility is at 64; compared to its 52-week range of 28 to 91.

Bank option IV into FOMC policy statement

Bank of America (BAC) 30-day option implied volatility is at 38; compared to its 52-week range of 22 to 48 into FOMC policy statement. Call put ratio 1 call to 4.2 puts.

Citigroup (C) 30-day option implied volatility is at 37; compared to its 52-week range of 22 to 49. Call put ratio 1 call to 2.9 puts.

Goldman Sachs (GS) 30-day option implied volatility is at 34; compared to its 52-week range of 22 to 42. Call put ratio 2.3 calls to 1 put.

JPMorgan (JPM) 30-day option implied volatility is at 35; compared to its 52-week range of 19 to 44.

Morgan Stanley (MS) 30-day option implied volatility is at 35; compared to its 52-week range of 23 to 47 into FOMC policy statement. Call put ratio 1 call to 2.9 puts.

Wells Fargo (WFC) 30-day option implied volatility is at 39; compared to its 52-week range of 26 to 58.

Financial Select Sector SPDR ETF (XLF) 30-day option implied volatility is at 28; compared to its 52-week range of 16 to 58 into FOMC policy statement. Call put ratio 3.7 calls to 1 put.

Lockheed Martin (LMT) 30-day option implied volatility is at 27; compared to its 52-week range of 17 to 39 amid Putin’s new threats of escalation in Ukraine. Call put ratio 3.5 calls to 1 put as shares rally 2.4%.

Option IV into quarter results

Lennar (LEN) September weekly call option implied volatility is at 108, October is at 50; compared to its 52-week range of 26 to 57 into the expected release of quarter results today after the bell. Call put ratio 1 call to 18 puts with focus on October 120 calls.

KB Home (KBH) October call option implied volatility is at 55, November is at 50; compared to its 52-week range of 29 to 94 into the expected release of quarter results today after the bell.

Trip.com (TCOM) October call option implied volatility is at 63, November is at 59; compared to its 52-week range of 40 to 120 into the expected release of quarter results today after the bell.

Costco (COST) September weekly call option implied volatility is at 67, October is at 34; compared to its 52-week range of 15 to 51 into the expected release of quarter results after the bell on September 22.

Carnival (CCL) September weekly call option implied volatility is at 115, October is at 86; compared to its 52-week range of 41 to 101 into the expected release of quarter results before the bell on September

Accenture (ACN) September weekly call option implied volatility is at 74, October is at 34; compared to its 52-week range of 16 to 45 into the expected release of quarter results before the bell on September 22.

Darden (DRI) September weekly call option implied volatility is at 40, October is at 37; compared to its 52-week range of 25 to 79 into the expected release of quarter results before the bell on September 22. Call put ratio 1 call to 2.9 puts.

Movers

Qualcomm (QCOM) September weekly call option implied volatility is at 73, October is at 44; compared to its 52-week range of 23 to 58. Call put ratio 4.9 calls to 1 put into a company hosted investor meeting on September 22.

Biogen (BIIB) September weekly call option implied volatility is at 91, October is at 102; compared to its 52-week range of 29 to 97 into topline phase 3 data for Alzheimer’s drug lecanemab.

Options with decreasing option implied volatility: VERU BLUE NCR QYLD
Increasing unusual option volume: SMCI AVCT ORMP DFEN COTY LEN HAS GIS
Increasing unusual call option volume: SMCI COTY DFEN ORMP GIS FREY
Increasing unusual put option volume: LEN DDD
Active options: AAPL TSLA CHPT F NKLA AMD AMZN NIO NVDA META BABA FUBO BYND MSFT SNAP C AMC NFLX AAL CCL