VIX Sells off ahead of Fed Announcement
Sep 26, 2018
Options Market Commentary
Equities are mixed today ahead of today’s Fed rate decision with the S&P +.22%, the Russell -.33%, and the Nasdaq +.55%. Emerging markets are generally positive with EEM +.56% on strength in China and Brazil. Energy is pulling back from its recent rally with WTI crude -.6% and energy ETFs lower as well with XOP -1% and XLE -.37%. Bonds are modestly higher. Gold is lower with GLD -.6% and GDX -1.4%. Volatilities are mixed with the VIX -3% to 12.06, RVX +.7% to 14.59, and VXN -1% to 16.90.
ETF 30D Volatility Changes
SPY: -2%
IWM: +1%
QQQ: -3%
Directional Options Strategies
Bullish Option Strategies
EA Buyer 14,530 Mar 145 call options (ref. 117.97)
CAG Buyer 3,74 Dec 37 call options (ref. 36.29)
NOK 5,300 Oct 26th 5.5 and Nov 6 call options trade (ref. 5.54)
IP Buyer 8,200 Sep 28th51.5 call options (ref. 51.16)
NXPI Seller 5,000 Oct 95 call options to Buy 5,000 Feb 95 call options (ref. 85.53)
DVN Seller 10,000 Oct 41 call options to Buy 10,000 Jan 44 call options (rolls out and up, ref. 40.87)
AA Buyer 9,900 Oct 41 – 46 call option spreads (ref. 40.09)
Bearish Option Strategies
FCX 6,300 Sep 28th 14.5 and 14 put options trade (ref. 14.24)
SQ Buyer 3,000 Jan20 85 put options (ref. 95.54)
MU Buyer 5,016 Apr 40 put options (ref. 44.23)
JD Buyer 15,500 Mar 24 put options (ref. 25.71)
Macro Options Strategies
Bullish Option Strategies
XLE Seller 6,900 Nov 72 – 67 put option spreads (ref. 76.42)
EWZ Buyer 20,000 Nov 37 call options to Sell 25,000 Nov 39 call options (ref. 33.48)
GDX Buyer 14,400 Sep 28th 19 calls (ref. 18.69)
Bearish Option Strategies
QQQ Seller 34,700 Oct 12 172.5 put options to Buy 36,000 Nov 2nd 170 put options (rolls out and down, ref. 184.67)
USO Buyer 5,000 Jan 10 put options (ref. 15.21)
EWZ Seller 14,000 Dec 38 – 42 call option spreads (ref. 33.50)
VIX Seller 50,000 Oct 50 call options to Buy 25,000 Nov 47.5 call options (rolls out and down, ref. 14.95)
Finance Trades Options Strategies
FTV 64,000 Oct 100 RC trade (ref. 86.44)
EWZ 9,300 Nov 33 RC trade (ref. 33.54)
DB 4,000 Nov 13 RC trade (ref. 12.03)
Upcoming Earnings
|
Underlying
|
Earnings Date
|
Imp Move
|
Historical Move
|
Cheap vs Expensive
|
Quantamize Rating
|
Average Daily Vega
|
|
BBBY
|
9/26/2018
|
10.0
|
9.7
|
3.4%
|
D
|
25864
|
|
CCL
|
9/27/2018
|
3.8
|
2.9
|
32.5%
|
B
|
45397
|
|
CAG
|
9/27/2018
|
3.2
|
2.8
|
14.9%
|
C
|
10715
|
|
MKC
|
9/27/2018
|
4.5
|
4.0
|
13.5%
|
B
|
8814
|
|
MTN
|
9/28/2018
|
3.5
|
3.6
|
-3.2%
|
C
|
13456
|
|
USAT
|
9/28/2018
|
14.2
|
7.3
|
94.9%
|
C
|
3810
|
|
SFIX
|
10/1/2018
|
12.1
|
16.1
|
-24.4%
|
F
|
52096
|
|
PEP
|
10/2/2018
|
1.8
|
1.3
|
36.9%
|
B
|
82646
|
|
PAYX
|
10/2/2018
|
3.6
|
2.3
|
57.5%
|
B
|
21762
|
|
LEN
|
10/3/2018
|
5.8
|
4.1
|
40.5%
|
D
|
21714
|
|
AYI
|
10/3/2018
|
8.6
|
9.5
|
-9.9%
|
C
|
8960
|
|
STZ
|
10/4/2018
|
4.3
|
4.5
|
-3.0%
|
B
|
502087
|
|
COST
|
10/4/2018
|
2.9
|
2.7
|
9.3%
|
C
|
249515
|
|
FAST
|
10/10/2018
|
4.7
|
5.4
|
-12.1%
|
B
|
7291
|
|
WBA
|
10/11/2018
|
3.3
|
4.0
|
-17.2%
|
B
|
72189
|
|
BLK
|
10/11/2018
|
2.0
|
1.7
|
15.3%
|
B
|
49426
|
|
DAL
|
10/11/2018
|
2.4
|
2.1
|
13.3%
|
D
|
115861
|
|
C
|
10/12/2018
|
1.8
|
1.5
|
17.6%
|
C
|
485191
|
|
JPM
|
10/12/2018
|
1.2
|
1.3
|
-12.0%
|
C
|
638764
|
|
WFC
|
10/12/2018
|
1.9
|
1.9
|
2.5%
|
C
|
456784
|
|
PNC
|
10/12/2018
|
2.1
|
1.0
|
114.5%
|
C
|
27710
|
|
CE
|
10/15/2018
|
4.5
|
2.9
|
55.8%
|
A
|
5102
|
|
BAC
|
10/15/2018
|
1.9
|
1.4
|
40.9%
|
C
|
775782
|
|
SCHW
|
10/15/2018
|
2.9
|
1.7
|
72.1%
|
C
|
25751
|
|
OMC
|
10/16/2018
|
4.5
|
3.9
|
16.6%
|
C
|
17020
|
|
NFLX
|
10/16/2018
|
7.3
|
8.0
|
-8.1%
|
C
|
3302697
|
|
DPZ
|
10/16/2018
|
4.9
|
4.7
|
4.4%
|
B
|
34665
|
|
CMA
|
10/16/2018
|
2.0
|
2.3
|
-16.0%
|
C
|
12653
|
|
GS
|
10/16/2018
|
1.9
|
1.9
|
-0.7%
|
C
|
572622
|
|
IBKR
|
10/16/2018
|
4.5
|
2.4
|
85.7%
|
D
|
5843
|
|
MS
|
10/16/2018
|
2.7
|
1.7
|
54.4%
|
D
|
146725
|
|
PGR
|
10/16/2018
|
2.3
|
1.9
|
20.5%
|
B
|
6791
|
|
JNJ
|
10/16/2018
|
1.8
|
2.7
|
-32.4%
|
B
|
314779
|
|
UNH
|
10/16/2018
|
2.5
|
2.6
|
-5.8%
|
A
|
220617
|
|
GWW
|
10/16/2018
|
7.1
|
8.8
|
-19.7%
|
B
|
52567
|
|
JBHT
|
10/16/2018
|
3.5
|
2.5
|
37.8%
|
B
|
5363
|
|
CSX
|
10/16/2018
|
3.9
|
4.6
|
-16.1%
|
A
|
59641
|
|
PLD
|
10/16/2018
|
5.0
|
2.3
|
119.0%
|
C
|
2730
|
|
IBM
|
10/16/2018
|
4.0
|
4.7
|
-15.5%
|
C
|
392368
|
|
LRCX
|
10/16/2018
|
3.7
|
4.1
|
-10.2%
|
C
|
151080
|
|
CREE
|
10/16/2018
|
7.7
|
7.2
|
7.0%
|
D
|
6613
|
|
AA
|
10/17/2018
|
4.5
|
6.0
|
-25.9%
|
C
|
25758
|
|
STLD
|
10/17/2018
|
4.9
|
2.9
|
71.5%
|
A
|
5072
|
|
CCK
|
10/17/2018
|
0.5
|
2.2
|
-78.4%
|
D
|
119662
|
|
EBAY
|
10/17/2018
|
5.9
|
7.1
|
-16.4%
|
D
|
49925
|
|
KMI
|
10/17/2018
|
2.8
|
2.6
|
8.1%
|
C
|
28249
|
|
NTRS
|
10/17/2018
|
3.7
|
3.2
|
16.2%
|
C
|
4776
|
|
MTB
|
10/17/2018
|
1.7
|
2.4
|
-30.2%
|
B
|
9218
|
|
USB
|
10/17/2018
|
2.1
|
1.2
|
69.3%
|
C
|
47287
|
|
MTG
|
10/17/2018
|
4.7
|
4.2
|
13.2%
|
C
|
3943
|
|
ABT
|
10/17/2018
|
0.6
|
2.1
|
-71.9%
|
B
|
89254
|
|
UAL
|
10/17/2018
|
4.8
|
6.5
|
-25.4%
|
C
|
142764
|
|
URI
|
10/17/2018
|
4.0
|
4.7
|
-15.5%
|
A
|
72911
|
|
CCI
|
10/17/2018
|
2.6
|
1.8
|
44.8%
|
B
|
15351
|
|
PPG
|
10/18/2018
|
2.8
|
2.2
|
27.7%
|
D
|
4202
|
|
NUE
|
10/18/2018
|
2.6
|
2.2
|
19.5%
|
A
|
27657
|
|
SKX
|
10/18/2018
|
10.8
|
17.6
|
-38.7%
|
D
|
10755
|
|
GPC
|
10/18/2018
|
3.1
|
3.7
|
-16.3%
|
B
|
4247
|
|
PM
|
10/18/2018
|
3.9
|
4.1
|
-4.1%
|
C
|
141811
|
|
BK
|
10/18/2018
|
2.9
|
3.6
|
-20.8%
|
D
|
22308
|
|
BX
|
10/18/2018
|
1.2
|
1.4
|
-18.3%
|
D
|
91464
|
|
BBT
|
10/18/2018
|
1.6
|
2.5
|
-34.7%
|
B
|
16125
|
|
KEY
|
10/18/2018
|
0.3
|
2.7
|
-87.5%
|
C
|
6032
|
|
WBS
|
10/18/2018
|
4.2
|
2.8
|
48.9%
|
C
|
5982
|
|
ETFC
|
10/18/2018
|
6.5
|
2.4
|
166.1%
|
C
|
72318
|
Volatility Standouts
|
Underlying
|
2M Volatility vs Forecast
|
Q Rating
|
2M IV Change
|
IV 2M Percentile
|
Average Daily Vega
|
|
ISBC
|
71.36%
|
C
|
-0.53%
|
97.63
|
738
|
|
BMS
|
64.76%
|
B
|
1.42%
|
95.65
|
60
|
|
TSRO
|
64.64%
|
D
|
-1.99%
|
92.49
|
9076
|
|
AGNC
|
51.88%
|
C
|
-1.22%
|
71.54
|
6027
|
|
STWD
|
50.50%
|
C
|
-2.77%
|
47.83
|
841
|
|
GBT
|
48.66%
|
F
|
0.38%
|
37.55
|
9506
|
|
SRPT
|
46.77%
|
D
|
0.08%
|
96.05
|
62381
|
|
DGX
|
45.85%
|
A
|
-0.87%
|
19.76
|
5142
|
|
DVA
|
45.50%
|
D
|
-0.06%
|
100.00
|
73119
|
|
COL
|
44.52%
|
A
|
-0.70%
|
92.49
|
29139
|
|
MLNX
|
43.95%
|
C
|
0.73%
|
75.89
|
1995
|
|
TIVO
|
43.46%
|
C
|
-0.74%
|
87.75
|
1507
|
|
LLY
|
41.66%
|
B
|
-6.28%
|
91.30
|
59294
|
|
VRSN
|
41.34%
|
B
|
-1.95%
|
84.19
|
11187
|
|
CDK
|
41.06%
|
A
|
0.17%
|
60.08
|
7272
|
|
PX
|
40.10%
|
B
|
-0.15%
|
100.00
|
64677
|
|
CARS
|
39.57%
|
F
|
0.12%
|
83.40
|
13894
|
|
SCG
|
38.88%
|
C
|
0.93%
|
10.28
|
1114
|
|
JKHY
|
38.77%
|
A
|
0.98%
|
76.68
|
1956
|
|
CAKE
|
38.39%
|
C
|
-0.75%
|
81.82
|
10357
|
|
FTV
|
37.90%
|
B
|
-0.08%
|
100.00
|
455672
|
|
CTXS
|
37.49%
|
C
|
1.03%
|
27.67
|
22262
|
|
MHK
|
36.90%
|
C
|
-7.16%
|
97.23
|
10837
|
|
ONCE
|
36.54%
|
D
|
-1.01%
|
51.19
|
3940
|
|
Underlying
|
2M Volatility vs Forecast
|
Q Rating
|
2M IV Change
|
IV 2M Percentile
|
Average Daily Vega
|
|
CA
|
-63.70%
|
A
|
-0.53%
|
8.73
|
1290
|
|
ZOES
|
-46.58%
|
F
|
1.42%
|
0.79
|
82
|
|
IDTI
|
-46.51%
|
C
|
-1.99%
|
1.19
|
10069
|
|
VKTX
|
-44.83%
|
F
|
-1.22%
|
20.88
|
20436
|
|
USG
|
-42.72%
|
C
|
-2.77%
|
16.60
|
1468
|
|
DY
|
-38.85%
|
F
|
0.38%
|
17.79
|
1604
|
|
SNAP
|
-33.79%
|
D
|
0.08%
|
54.94
|
152840
|
|
TTD
|
-31.79%
|
D
|
-0.87%
|
100.00
|
55714
|
|
BBY
|
-31.47%
|
C
|
-0.06%
|
14.23
|
72518
|
|
CASA
|
-30.22%
|
C
|
-0.70%
|
21.74
|
524
|
|
DXC
|
-28.09%
|
B
|
0.73%
|
51.19
|
10052
|
|
SKX
|
-25.34%
|
D
|
-0.74%
|
81.03
|
10755
|
|
P
|
-25.05%
|
F
|
-6.28%
|
3.16
|
26290
|
|
ESRX
|
-24.81%
|
A
|
-1.95%
|
5.14
|
56025
|
|
FOSL
|
-24.48%
|
D
|
0.17%
|
68.77
|
5011
|
|
EXAS
|
-24.01%
|
F
|
-0.15%
|
26.48
|
18493
|
|
MO
|
-23.85%
|
A
|
0.12%
|
45.06
|
208159
|
|
S
|
-23.65%
|
C
|
0.93%
|
10.28
|
5875
|
|
INFN
|
-22.05%
|
F
|
0.98%
|
92.49
|
1276
|
|
ALNY
|
-21.59%
|
F
|
-0.75%
|
51.38
|
16881
|
|
MMC
|
-21.24%
|
C
|
-0.08%
|
46.25
|
3491
|
|
ANF
|
-20.87%
|
D
|
1.03%
|
41.50
|
7474
|
|
RRGB
|
-20.17%
|
D
|
-7.16%
|
74.31
|
1241
|
|
IEP
|
-20.06%
|
B
|
-1.01%
|
85.77
|
3864
|