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Volatility Bid Up Small as Stocks Remain Directionless Going into Month-end

Sep 28, 2018

Options Market Commentary

Stocks are little changed going into the weekend, rallying off lows from earlier this morning. Currently, the S&P is +.07%, the Russell is +.38%, and the Nasdaq is +.05%. Energy is rallying again with WTI crude +1.7% and Brent +2%. Energy ETFs are in the green as well with XOP +1.2% and XLE +.7%. Bonds are unchanged. Precious metals are seeing a bid with Gold +.75% and Silver +2.9%. The Miners’ ETF, GDX is +1.25%. Emerging markets are generally weak with EEM -.6% and Brazil -1% a notable laggard. Volatilities are fairly stable with the VIX +1% to 12.54, RVX -1.7% and VXN +.7% to 16.86.

 

ETF 30D Volatility Changes

SPY:       -1%

IWM:     -1%

QQQ:     unchanged

 

Directional Options Strategies

Bullish Option Strategies

GE Buyer 29,900 Mar 14 call options (ref. 11.50)

GE Seller 100,000 Nov 9th 11.5 put options (11.47)

V Seller 3,500 Jan 140 put options (ref. 150.08)

VST Buyer 10,200 Oct 25 call options (ref. 24.70)

HIMX Buyer 10,000 Mar 8 call options (ref. 5.83)

ATVI Buyer 3,000 Nov 87.5 – 95 call options spreads (ref. 83.39)

NBEV 7,600 Oct 5 and 6 call options trade (ref. 5.11)

CPB Buyer 9,800 Feb 40 call options (ref. 36.18)

 

Bearish Option Strategies

QCOM Seller 12,005 Oct 12th 75 call options (closing) to Buy 3,640 Oct 12th 72.5 (rolls down and reduces, ref. 71.72)

CRM Buyer 2,925 Jan 15 put options (ref. 159.63)

ESPR 1,300 Oct 30 and Nov 40 put options trade (ref. 44.49)

PBR Seller 40,500 Oct 13 call options and sells another 18,000 call options at four other strikes tied to stock (ref. 12.45)

 

Macro Options Strategies

Bullish Option Strategies

EWZ Buyer 9,622 Nov 36 – 39 call options spreads (ref. 34.04)

XLF Buyer 9,000 Jan 30 call options (ref. 27.72)

GLD Seller 5,500 Mar 108 put options (ref. 112.72)

DXJ Buyer 10,000 Oct 58 call options (ref. 58.08)

 

Bearish Option Strategies

VXX Buyer 16,570 Nov 36 – 50 call options spreads (ref. 27.04)

XRT 10,000 Oct 50 put options trade (ref. 51.39)

 

 

Finance Trades Options Strategies

SIRI 60,000 Jan 8 RC trade (ref. 6.36)

HYG 8,500 Oct 95 RC trade (ref. 86.41)

 

 

 

Upcoming Earnings

 

 

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

Average Daily Vega

SFIX

10/1/2018

13.6

16.1

-15.4%

F

48394

USAT

10/1/2018

18.8

7.3

158.5%

C

2542

PEP

10/2/2018

2.0

1.3

49.0%

B

81670

PAYX

10/2/2018

3.7

2.3

61.6%

B

13636

LEN

10/3/2018

6.0

4.1

46.5%

D

33444

SNX

10/3/2018

7.8

8.5

-7.5%

B

3627

AYI

10/3/2018

9.1

9.5

-5.0%

C

6365

STZ

10/4/2018

4.4

4.5

-1.3%

B

511689

COST

10/4/2018

3.1

2.6

15.5%

C

246959

FAST

10/10/2018

5.3

5.4

-1.5%

B

7398

WBA

10/11/2018

3.7

4.0

-6.5%

B

73118

BLK

10/11/2018

3.0

1.7

77.4%

B

51859

DAL

10/11/2018

3.5

2.1

64.8%

D

112034

C

10/12/2018

2.9

1.5

94.3%

C

503212

JPM

10/12/2018

2.4

1.3

81.6%

C

676408

WFC

10/12/2018

2.9

1.9

54.0%

C

371488

PNC

10/12/2018

2.8

1.0

178.9%

C

29362

CE

10/15/2018

5.2

2.9

80.8%

A

4473

BAC

10/15/2018

3.2

1.4

130.2%

C

720555

SCHW

10/15/2018

4.0

1.7

133.6%

C

24999

OMC

10/16/2018

5.2

3.9

34.5%

C

17454

NFLX

10/16/2018

8.0

8.0

0.1%

C

3136163

DPZ

10/16/2018

5.5

4.7

16.8%

B

35021

CMA

10/16/2018

3.3

2.3

41.9%

C

10856

GS

10/16/2018

3.0

1.9

59.3%

C

564612

IBKR

10/16/2018

6.0

2.4

146.9%

D

5435

MS

10/16/2018

3.8

1.7

121.5%

D

147381

PGR

10/16/2018

2.7

1.9

44.4%

B

5715

JNJ

10/16/2018

2.4

2.7

-10.1%

B

317471

UNH

10/16/2018

2.9

2.6

12.1%

A

257409

GWW

10/16/2018

7.5

8.8

-15.0%

B

54615

JBHT

10/16/2018

4.7

2.5

85.5%

B

5155

CSX

10/16/2018

4.4

4.6

-3.9%

A

66750

PLD

10/16/2018

5.7

2.3

151.2%

C

2172

IBM

10/16/2018

4.3

4.7

-9.5%

C

408762

LRCX

10/16/2018

5.0

4.1

21.6%

C

121429

CREE

10/16/2018

8.3

7.2

15.2%

D

14735

MLNX

10/16/2018

8.5

3.3

155.6%

C

2656

AA

10/17/2018

5.8

6.0

-4.3%

C

32767

STLD

10/17/2018

6.3

2.9

121.1%

A

5049

CCK

10/17/2018

2.4

2.2

9.2%

D

114700

EBAY

10/17/2018

6.9

7.1

-2.5%

D

64824

KMI

10/17/2018

4.8

2.6

87.6%

C

28429

NTRS

10/17/2018

3.8

3.2

18.8%

C

4989

MTB

10/17/2018

4.2

2.4

72.4%

B

7855

USB

10/17/2018

2.7

1.2

121.4%

C

55916

MTG

10/17/2018

6.8

4.2

62.0%

C

3999

ABT

10/17/2018

2.4

2.1

13.1%

B

107600

UAL

10/17/2018

5.6

6.5

-12.9%

C

112950

URI

10/17/2018

5.6

4.7

20.0%

A

47723

CCI

10/17/2018

3.5

1.8

98.7%

B

23044

PPG

10/18/2018

3.5

2.2

56.9%

D

4171

NUE

10/18/2018

3.6

2.2

62.6%

A

27791

SKX

10/18/2018

11.7

17.6

-33.7%

D

6578

GPC

10/18/2018

3.2

3.7

-13.5%

B

4326

PM

10/18/2018

3.2

4.1

-21.8%

C

136277

BK

10/18/2018

3.6

3.6

-0.8%

D

26625

BX

10/18/2018

2.5

1.4

74.1%

D

111216

BBT

10/18/2018

2.7

2.5

10.1%

B

18019

KEY

10/18/2018

3.1

2.7

17.0%

C

5189

WBS

10/18/2018

3.6

2.8

27.5%

C

1282

ETFC

10/18/2018

7.0

2.4

187.6%

C

65300

ADS

10/18/2018

4.9

4.1

18.4%

A

8361

AXP

10/18/2018

3.5

3.5

0.6%

B

85749

TRV

10/18/2018

3.0

2.9

2.7%

C

23417

DHR

10/18/2018

3.9

3.0

30.3%

B

15530

ISRG

10/18/2018

4.4

4.2

3.8%

C

165748

TXT

10/18/2018

4.2

3.2

32.4%

A

5071

DOV

10/18/2018

4.6

2.9

59.2%

D

3833

SNA

10/18/2018

5.9

5.7

3.6%

A

7670

ATHN

10/18/2018

2.9

10.0

-71.2%

B

54177

PFPT

10/18/2018

7.3

5.4

35.4%

C

8627

 

Volatility Standouts

 

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

LBRDK

71.29%

B

0.00%

18.58

25

SRPT

71.10%

D

1.30%

94.47

53408

PX

69.12%

B

0.17%

100.00

42659

TJX

68.73%

B

0.21%

9.49

60185

ONCE

65.75%

D

0.11%

76.98

2661

VRSN

65.66%

B

-1.35%

79.84

11804

SGEN

64.95%

F

3.54%

30.83

5945

LLY

64.34%

B

0.43%

88.54

68579

STAY

63.89%

B

-0.50%

45.85

917

PCG

63.21%

B

-0.45%

50.20

61058

IMMU

63.19%

D

-1.00%

49.80

6532

CTXS

62.96%

C

2.18%

32.41

19181

RH

62.36%

B

-0.88%

11.86

36602

FHN

61.95%

C

-5.06%

78.26

1069

UTX

60.90%

C

-3.47%

77.08

127267

AMC

60.64%

B

2.17%

27.67

9121

MHK

60.24%

C

0.04%

98.02

12953

COL

59.62%

A

-3.45%

99.21

27057

BTU

59.53%

D

-0.17%

50.20

900

JBL

59.26%

B

-0.92%

1.58

18259

AOBC

59.04%

D

3.95%

1.98

2819

CAKE

58.98%

C

-0.04%

75.49

9493

CDK

58.34%

A

-1.23%

59.29

6422

JKHY

57.92%

A

1.05%

79.05

1238

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

IDTI

-74.26%

C

0.00%

2.77

5108

CA

-59.27%

A

1.30%

1.59

584

ATHN

-43.45%

B

0.17%

0.00

54177

ZOES

-43.36%

F

0.21%

0.79

64

VKTX

-35.20%

F

0.11%

22.28

21968

USG

-33.49%

C

-1.35%

3.95

830

TTD

-31.81%

D

3.54%

99.21

66921

CASA

-29.96%

C

0.43%

26.60

467

BBY

-29.24%

C

-0.50%

15.42

74617

OCLR

-28.55%

C

-0.45%

36.76

245

SNAP

-27.61%

D

-1.00%

62.06

129290

DY

-26.07%

F

2.18%

23.32

1150

DXC

-24.00%

B

-0.88%

52.38

9450

FOSL

-20.35%

D

-5.06%

60.47

4438

SKX

-20.05%

D

-3.47%

82.21

6578

INFN

-19.33%

F

2.17%

92.89

891

THS

-18.48%

D

0.04%

69.17

2220

ANF

-17.18%

D

-3.45%

43.08

7388

S

-16.32%

C

-0.17%

8.70

5487

EXAS

-14.82%

F

-0.92%

61.66

26269

EVHC

-14.59%

B

3.95%

17.39

19247

MIC

-14.14%

C

-0.04%

52.57

5473

ARNC

-14.10%

F

-1.23%

97.23

15179

P

-13.91%

F

1.05%

0.00

23507