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Options Volatility Muted in Listless Stock Trading Ahead of US Fed decision tomorrow

Sep 25, 2018

Options Market Commentary

Stocks are in the green led by Energy with oil prices rallying to new year highs again. Currently, the S&P is +.1%, the Russell is +.34%, and the Nasdaq is +.11%. WTI crude is now unchanged but was up for most of the morning. Brent is still in the green, +.58%. Energy ETF’s continue to move higher with XOP +.9% and XLE +.7%. Health Care, +.24%, and Consumer Discretionary, +.4% are also market leaders with Utilities, -1.2% the most notable laggard as bonds move lower. TLT is -.2% with the 10-year yield rising to 3.1%. Volatilities are mixed-to-lower with the VIX -.7% to 12.11, RVX -2.7% to 14.56 and VXN +.9% to 17.41.

 

ETF 30D Volatility Changes

SPY:        -1%

IWM:      -2%

QQQ:      unch

 

Directional Options Strategies

Bullish Option Strategies

MS Buyer 5,600 Nov 50 call options (ref. 48.60)

ABX Buyer 5,000 Jan 13 call options (ref. 11.52)

GE Seller 50,000 Dec 16 call options  to Buy 50,000 Jun 12  call options (rolls out and down four strikes, ref. 11.53)

GE Seller 7,000 Jan 10 puts to Buy 7,000 Jan 13 call options (ref. 11.45)

ARNC Buyer 5,000 Nov 23 call options (ref. 22.13)

 

Bearish Option Strategies

FB 11,500 Sep 28th 160 put options trade (ref. 161.59)

FCAU Buyer 5,000 Oct 17 put options (ref. 18.16)

WFC Seller 10,000 Jan 57.5 – 65 call option spreads (rolls write down, ref. 54.55)

GE Seller 27,500 Mar 17 call options (ref. 11.61)

INTC Seller 5,000 Jan 57.5 call options to Buy 5,000 Jan 45 put options (ref. 45.98)

EA Buyer 8,000 Nov 100 put options (ref. 115.80)

EBAY 6,000 Apr 30 put options  (ref. 33.22)

 

Macro Options Strategies

Bullish Option Strategies

XME Buyer 5,000 Dec 38 call options (ref. 35.04)

EFA Buyer 60,000 Oct 5th 69.5 call options (ref. 68.83)

XLU Buyer 7,500 Oct 52.5 – 54 1x2 call options spreads (ref. 52.12)

 

Bearish Option Strategies

XOP Buyer 7,000 Jan 35 put options (ref. 43.75)

HYG Buyer 5,000 Dec 84 – 81 put options spreads (ref. 86.13)

SPY Buyer 20,000 Nov 260 put options (ref. 291.12)

QQQ Buyer 10,000 Dec 181 put options (ref. 184.06)

 

 

Finance Trades Options Strategies

SLV 11,000 Nov 14 RC trade (ref. 13.64)

EWZ 10,000 Oct 33 RC trade (ref. 32.58)

 

 

 

Upcoming Earnings

 

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

Average Daily Vega

KBH

9/25/2018

7.6

5.7

33.9%

C

11025

NKE

9/25/2018

5.3

4.9

9.0%

D

260686

CTAS

9/25/2018

5.2

4.3

19.8%

B

8135

KMX

9/26/2018

5.3

5.7

-7.7%

C

20576

BBBY

9/26/2018

10.0

9.7

3.6%

D

24570

CCL

9/27/2018

3.4

2.9

20.9%

B

43775

CAG

9/27/2018

3.7

2.8

32.5%

C

10732

MKC

9/27/2018

4.5

4.0

12.1%

B

10961

MTN

9/28/2018

4.6

3.6

27.1%

C

11650

USAT

9/28/2018

13.6

7.3

86.2%

C

4376

SFIX

10/1/2018

13.8

16.1

-14.0%

F

51881

PEP

10/2/2018

2.1

1.3

60.8%

B

79792

PAYX

10/2/2018

3.5

2.3

52.0%

B

16881

LEN

10/3/2018

6.2

4.1

50.1%

D

21886

AYI

10/3/2018

9.1

9.5

-5.0%

C

10527

STZ

10/4/2018

4.2

4.5

-6.6%

B

499453

COST

10/4/2018

3.1

2.7

16.9%

C

256480

FAST

10/10/2018

5.5

5.4

1.2%

B

8038

WBA

10/11/2018

3.7

4.0

-7.4%

B

73927

BLK

10/11/2018

2.9

1.7

66.9%

B

48612

DAL

10/11/2018

3.6

2.1

68.7%

D

106284

C

10/12/2018

2.6

1.5

72.1%

C

521153

JPM

10/12/2018

2.0

1.3

46.9%

C

613714

WFC

10/12/2018

2.5

1.9

36.2%

C

442134

PNC

10/12/2018

2.7

1.0

174.4%

C

27677

CE

10/15/2018

5.1

2.9

78.3%

A

5235

BAC

10/15/2018

2.8

1.4

99.6%

C

763844

SCHW

10/15/2018

4.0

1.7

131.4%

C

25828

OMC

10/16/2018

5.3

3.9

34.9%

C

13975

NFLX

10/16/2018

8.2

8.0

3.2%

C

3289670

DPZ

10/16/2018

5.2

4.7

10.9%

B

32336

CMA

10/16/2018

3.0

2.3

26.1%

C

12019

GS

10/16/2018

2.8

1.9

48.3%

C

605667

IBKR

10/16/2018

5.9

2.4

140.6%

D

7245

MS

10/16/2018

3.7

1.7

115.4%

D

133213

PGR

10/16/2018

2.9

1.9

56.2%

B

9225

JNJ

10/16/2018

2.3

2.7

-13.7%

B

312718

UNH

10/16/2018

3.1

2.6

19.2%

A

224100

GWW

10/16/2018

7.5

8.8

-14.7%

B

53685

JBHT

10/16/2018

4.6

2.5

82.3%

B

5835

CSX

10/16/2018

4.5

4.6

-2.4%

A

68855

IBM

10/16/2018

4.2

4.7

-11.5%

C

370434

LRCX

10/16/2018

5.1

4.1

24.1%

C

153262

CREE

10/16/2018

8.3

7.2

14.9%

D

8085

AA

10/17/2018

5.8

6.0

-3.9%

C

23770

STLD

10/17/2018

6.5

2.9

128.5%

A

7735

CCK

10/17/2018

3.4

2.2

53.2%

D

120673

EBAY

10/17/2018

6.8

7.1

-4.3%

D

37343

KMI

10/17/2018

3.9

2.6

53.1%

C

31071

NTRS

10/17/2018

4.9

3.2

51.8%

C

4265

MTB

10/17/2018

3.2

2.4

30.7%

B

13278

USB

10/17/2018

2.5

1.2

102.0%

C

40909

MTG

10/17/2018

7.8

4.2

86.4%

C

3976

ABT

10/17/2018

2.3

2.1

9.7%

B

79350

UAL

10/17/2018

5.7

6.5

-12.1%

C

155821

URI

10/17/2018

4.7

4.7

0.8%

A

83519

CCI

10/17/2018

3.5

1.8

96.9%

B

15336

 

 

Volatility Standouts

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

DGX

72.34%

A

-2.59%

29.37

5491

SRPT

68.14%

D

0.11%

97.22

51682

JEC

67.28%

C

-2.04%

1.19

2796

TJX

66.61%

B

1.94%

13.49

56902

MLNX

64.32%

C

-0.40%

77.38

2082

CARS

64.01%

F

-1.59%

83.73

15039

JBL

63.39%

B

-2.55%

21.43

5837

VRSN

63.30%

B

-0.15%

85.32

11608

AMC

63.14%

B

0.98%

15.87

8512

CTXS

62.74%

C

-1.07%

28.57

14907

LLY

62.44%

B

-7.35%

89.68

58298

PF

60.44%

B

-2.83%

15.87

1669

DXCM

60.18%

D

0.00%

98.41

13022

CDK

59.78%

A

0.00%

66.27

7224

AGNC

59.34%

C

0.71%

32.94

5853

STAY

57.94%

B

1.04%

39.29

1014

SEND

57.73%

F

0.96%

59.49

967

CPB

56.85%

C

-1.81%

41.67

12837

ONCE

56.42%

D

0.65%

54.18

1003

UTX

56.30%

C

1.30%

76.98

137440

XRX

56.15%

D

-2.26%

84.92

31122

SEAS

55.75%

D

0.90%

55.56

33913

DSW

55.71%

B

-2.44%

1.98

2036

JKHY

55.61%

A

-1.52%

79.37

2174

 

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

CA

-55.56%

A

-2.59%

3.98

1504

EVHC

-52.20%

B

0.11%

10.71

19075

ZOES

-50.79%

F

-2.04%

0.79

87

IDTI

-49.71%

C

1.94%

0.79

21934

VKTX

-36.91%

F

-0.40%

13.26

19406

USG

-35.45%

C

-1.59%

17.86

2392

DY

-31.72%

F

-2.55%

11.90

1521

SNAP

-30.93%

D

-0.15%

54.76

166808

TTD

-29.30%

D

0.98%

92.86

43638

CASA

-25.93%

C

-1.07%

29.67

470

BBY

-25.68%

C

-7.35%

13.49

67886

DXC

-24.61%

B

-2.83%

52.59

9839

SKX

-22.97%

D

0.00%

82.94

10693

FOSL

-21.71%

D

0.00%

63.89

2890

EXAS

-19.73%

F

0.71%

49.60

21681

RRGB

-17.94%

D

1.04%

73.02

1217

ZBRA

-17.85%

C

0.96%

71.83

7956

MO

-17.29%

A

-1.81%

36.51

206744

ANF

-16.56%

D

0.65%

32.94

8303

NVRO

-15.72%

F

1.30%

90.87

1854

INFN

-15.30%

F

-2.26%

94.05

1192

MMC

-14.93%

C

0.90%

44.84

3575

ARNC

-13.74%

F

-2.44%

89.68

12751

THS

-13.23%

D

-1.52%

61.90

2587