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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