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Index Option Volatility Declining with Rally in Stocks

Sep 27, 2018

Options Market Commentary

Stocks are rallying a day after the Fed meeting and rate hike. The dollar is climbing to two-week highs, led by technology. Currently, the S&P is +.64%, the Russell is +.25%, and the Nasdaq is +1.06%. Utilities are strong as well, with XLU +1.3% even as bonds are down on the day (TLT -.25%). Gold is in the red -.9% and approaching year lows. Miners are faring slightly better -.4%. Energy is rallying  as the US will not release oil from SPR to offset Iran sanctions. WTI Crude is +.8% with Brent +.7%. Energy ETF’s are +.9% and XLE +.37%. Volatilities are down across the board with VIX -7% to 11.99, RVX -3% to 14.70, and VXN -4.4% to 16.63.

 

ETF 30D Volatility Changes

SPY:       -5%

IWM:     -3%

QQQ:     -5%

 

Directional Options Strategies

Bullish Option Strategies

JPM Seller 5,000 Oct 109 put options (ref. 114.57)

BBY Seller 9,000 Nov 17.5 put options to Buy 18,000 Jan 12.5 put options (ref. 14.57)

ATVI Buyer 5,000 Jan 67.5 call options (ref. 83.14)

EA Buyer 7,365 Mar 145 call options (ref. 118.24)

RCL Buyer 5,000 Mar 140 – 160 call options spreads (ref. 127.29)

HLT Buyer 12,500 Jan 82.5 – 90 call options spreads (ref. 81.51)

NWSA Seller 100,000 Nov 13 put options (ref. 12.97)

 

Bearish Option Strategies

ALLY Buyer 5,00 Dec 27 put options (ref. 26.68)

BHGE Buyer 23,200 Jan 31 – 27 put options spreads (ref. 33.95)

VOD Buyer 12,000 Jan 21 put options (ref. 22.39)

 

Macro Options Strategies

Bullish Option Strategies

EEM Buyer 10,000 Oct 5th 43.5 – 44 call options stupids (ref. 43.15)

XLU Seller 10,000 Oct 51 put options to Buy 10,000 Oct 52.5 call options (ref. 51.70)

SPY Buyer 20,000 Dec 31st 320 – 330 1x2 call options spreads (ref. 291.10)

SMH Buyer 7,500 Dec 107 call options to Sell 11,500 Dec 111 call options (ref. 106.19)

 

Bearish Option Strategies

EEM Buyer 9,000 Nov 41 – 39 put options spreads (ref. 43.15)

EEM Buyer 19,000 Dec 42 – 38 1x2 put options spreads (ref. 43.34)

XLU Seller 7,500 Nov 54 call options to Buy 7,500 Nov 49 put options (ref. 51.81)

 

 

Finance Trades Options Strategies

EFA 7,500 Oct 68 RC trade (ref. 68.78)

 

 

 

Upcoming Earnings

 

 

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

Average Daily Vega

MTN

9/28/2018

3.7

3.6

2.8%

C

13918

USAT

9/28/2018

15.2

7.3

108.4%

C

2609

SFIX

10/1/2018

12.5

16.1

-22.1%

F

51376

PEP

10/2/2018

1.9

1.3

38.9%

B

82642

PAYX

10/2/2018

3.5

2.3

52.5%

B

13576

LEN

10/3/2018

5.6

4.1

37.4%

D

29429

SNX

10/3/2018

7.9

8.5

-6.6%

B

4323

AYI

10/3/2018

8.7

9.5

-8.5%

C

6780

STZ

10/4/2018

4.2

4.5

-6.7%

B

499847

COST

10/4/2018

2.8

2.7

4.7%

C

252798

FAST

10/10/2018

4.8

5.4

-11.9%

B

7440

WBA

10/11/2018

3.2

4.0

-19.7%

B

69171

BLK

10/11/2018

2.1

1.7

24.0%

B

51288

DAL

10/11/2018

2.6

2.1

19.7%

D

114299

C

10/12/2018

1.9

1.5

29.4%

C

497372

JPM

10/12/2018

1.5

1.3

12.3%

C

676120

WFC

10/12/2018

2.2

1.9

17.6%

C

446471

PNC

10/12/2018

2.1

1.0

109.5%

C

26416

CE

10/15/2018

4.4

2.9

51.8%

A

4965

BAC

10/15/2018

2.2

1.4

63.0%

C

744135

SCHW

10/15/2018

3.0

1.7

75.4%

C

26177

OMC

10/16/2018

4.6

3.9

18.7%

C

17352

NFLX

10/16/2018

7.3

8.0

-8.9%

C

3292404

DPZ

10/16/2018

4.9

4.7

3.9%

B

34969

CMA

10/16/2018

2.5

2.3

7.8%

C

11776

GS

10/16/2018

2.3

1.9

17.7%

C

584104

IBKR

10/16/2018

4.7

2.4

93.8%

D

5436

MS

10/16/2018

3.0

1.7

72.5%

D

153206

PGR

10/16/2018

2.2

1.9

19.4%

B

5674

JNJ

10/16/2018

1.8

2.7

-31.6%

B

309962

UNH

10/16/2018

2.5

2.6

-4.6%

A

213980

GWW

10/16/2018

7.2

8.8

-18.7%

B

51215

JBHT

10/16/2018

4.0

2.5

58.6%

B

5187

CSX

10/16/2018

3.8

4.6

-17.1%

A

67562

PLD

10/16/2018

5.2

2.3

129.2%

C

2514

IBM

10/16/2018

3.9

4.7

-17.2%

C

433371

LRCX

10/16/2018

4.0

4.1

-2.1%

C

135370

CREE

10/16/2018

7.3

7.2

2.0%

D

11489

AA

10/17/2018

4.4

6.0

-26.7%

C

33030

STLD

10/17/2018

5.1

2.9

78.2%

A

4389

EBAY

10/17/2018

6.3

7.1

-10.6%

D

61639

KMI

10/17/2018

2.8

2.6

11.6%

C

27669

NTRS

10/17/2018

4.0

3.2

23.7%

C

5217

MTB

10/17/2018

2.9

2.4

18.5%

B

8391

USB

10/17/2018

2.1

1.2

73.4%

C

49168

MTG

10/17/2018

5.6

4.2

34.2%

C

3962

ABT

10/17/2018

1.0

2.1

-51.4%

B

100753

UAL

10/17/2018

4.7

6.5

-27.1%

C

144496

URI

10/17/2018

4.0

4.7

-13.5%

A

55165

CCI

10/17/2018

2.3

1.8

27.5%

B

12685

PPG

10/18/2018

2.7

2.2

21.6%

D

4252

NUE

10/18/2018

2.2

2.2

0.2%

A

28447

SKX

10/18/2018

11.2

17.6

-36.0%

D

7163

GPC

10/18/2018

3.0

3.7

-19.3%

B

4056

PM

10/18/2018

2.5

4.1

-38.4%

C

125536

BK

10/18/2018

3.0

3.6

-17.5%

D

25605

BX

10/18/2018

1.1

1.4

-23.7%

D

93531

BBT

10/18/2018

2.1

2.5

-14.7%

B

17189

KEY

10/18/2018

1.4

2.7

-47.5%

C

5847

WBS

10/18/2018

4.0

2.8

40.7%

C

5995

ETFC

10/18/2018

5.9

2.4

142.2%

C

70253

ADS

10/18/2018

4.3

4.1

4.2%

A

9487

AXP

10/18/2018

3.0

3.5

-14.8%

B

83616

TRV

10/18/2018

2.4

2.9

-19.6%

C

27339

DHR

10/18/2018

3.1

3.0

4.1%

B

18388

ISRG

10/18/2018

3.8

4.2

-10.2%

C

172910

TXT

10/18/2018

3.8

3.2

20.3%

A

4951

DOV

10/18/2018

3.6

2.9

26.4%

D

12580

SNA

10/18/2018

5.5

5.7

-3.5%

A

7875

ATHN

10/18/2018

2.9

10.0

-70.5%

B

45472

PFPT

10/18/2018

5.7

5.4

5.6%

C

8512

 

Volatility Standouts

 

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

UNIT

73.55%

C

0.00%

91.70

10598

TIVO

57.71%

C

-0.60%

68.77

1145

TSRO

57.45%

D

-0.18%

92.89

9302

AXTA

56.08%

C

-1.22%

47.04

84938

GBT

52.63%

F

-0.67%

36.76

9788

SRPT

49.72%

D

-0.81%

96.05

61007

PF

49.59%

B

2.53%

21.34

1625

DGX

48.80%

A

-0.51%

28.85

4599

FTV

43.44%

B

-2.45%

99.60

458931

MHK

42.82%

C

-0.28%

99.60

11241

GPRO

42.46%

D

-1.44%

95.65

15894

CPB

42.28%

C

-0.91%

61.66

9712

PX

42.19%

B

-1.66%

99.60

53794

CDK

41.80%

A

6.16%

59.29

7301

LLY

41.15%

B

3.42%

90.51

63671

VRSN

40.43%

B

0.66%

83.00

12140

NWSA

40.13%

D

-0.77%

79.05

3438

CTXS

39.31%

C

0.91%

32.02

20188

SEAS

38.92%

D

-3.21%

59.68

27626

DXCM

38.88%

D

-0.84%

93.68

13885

COL

38.72%

A

-1.05%

98.81

28772

CAKE

38.65%

C

-3.06%

81.03

10233

JKHY

37.56%

A

3.61%

81.42

1982

MKC

35.56%

B

2.12%

90.12

12913

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

IDTI

-56.57%

C

0.00%

2.37

9662

CA

-56.17%

A

-0.60%

5.56

764

VKTX

-42.69%

F

-0.18%

18.03

21714

USG

-39.66%

C

-1.22%

5.53

980

DY

-38.72%

F

-0.67%

19.76

1407

ATHN

-35.40%

B

-0.81%

83.40

45472

SNAP

-33.74%

D

2.53%

58.89

130098

BBY

-33.59%

C

-0.51%

12.65

74816

TTD

-32.41%

D

-2.45%

99.60

61194

CASA

-30.18%

C

-0.28%

27.96

508

DXC

-26.59%

B

-1.44%

52.38

9226

ESRX

-25.94%

A

-0.91%

1.58

44188

S

-25.46%

C

-1.66%

6.72

5450

FOSL

-24.70%

D

6.16%

72.33

4483

ANF

-23.57%

D

3.42%

55.34

7368

EXAS

-23.22%

F

0.66%

47.43

21914

SKX

-23.22%

D

-0.77%

80.63

7163

CTL

-22.01%

B

0.91%

34.78

42713

P

-21.19%

F

-3.21%

0.00

29135

INFN

-21.01%

F

-0.84%

92.89

973

NVRO

-20.46%

F

-1.05%

91.30

1843

MMC

-20.06%

C

-3.06%

49.01

4337

PI

-19.33%

D

3.61%

71.54

3105

THS

-19.13%

D

2.12%

67.19

2586