I can find a 33rd Battalion Infantry, but not Cavalry.
On the card for gathering information on Captain William Henderson French’s co. Virginia Volunteers, there is a note on the bottom that says : This company subsequently became (1rst) Caompany D, 8th Reg.Virginia Cavalry. It was divided Sept 6, 1862. both parts served for a while in the 33rd Battalion Va Cavalry and they finally became companies A and D, 17th Regiment Virginia Cavalry.