Volatility Indices Mixed As Equities Drift
Oct 02, 2018
Options Market Commentary
Equities are mixed today as Large Caps led by Technology are in the black but Small Caps continue to selloff. Currently, the S&P is +.13%, the Nasdaq is +.42%, and the Russell is down -.44% on weakness in Biotech (XBI -1.4%) and Retail (XRT -1.6%). Bonds are rallying today with TLT +.66% and the 10-year yield down to 3.054%. Gold and Silver are strong with GLD +1.3% and SLV +2.13%. The Miners’ ETF GDX is +2.4% on a move in precious metals. Energy is taking a breather after recent gains with WTI Crude unchanged, and Energy ETF’s mixed (XLE +.27% and XOP -.32%). Emerging markets are mixed-to-lower with EEM -.8% as China FXI is -1.9%. Brazil is a standout to the upside +6% as Jair Bolsonaro extends his lead for the Presidency and on positive comments from Black Rock. Volatilities are mixed with the VIX -2.6% to 11.69, RVX +3.7% to 16.45, and VXN -1.4% to 16.84.
ETF 30D Volatility Changes
SPY: -1%
IWM: +3%
QQQ: -2%
Directional Options Strategies
Bullish Option Strategies
WMT Seller 10,000 Oct 97.5 call options to Buy 10,000 Oct 95.5 call options (rolls down, ref. 95.35)
MYL 10,000 Jan 40 call options trade (ref. 36.73)
WFC 11,100 Oct 52.5 call options trade (ref. 52.12)
RCL Buyer 2,500 Mar 140 – 160 call options spreads (ref. 128.72)
PBR Buyer 50,000 Jan 14 – 16 call options spreads tied to stock (ref. 12.94)
IGT Buyer 8,000 Apr 23 call options (ref. 19.25)
INTC Buyer 22,362 Jan20 60 call options (ref. 48.42)
Bearish Option Strategies
KBH 3,674 Oct 23 put options trade (ref. 24.04)
HLT Seller 15,000 Jan 82.5 – 90 call options spreads (likely closing, ref. 78.48)
C Buyer 5,000 Oct 68 put options (Earnings 10/12, ref. 71.83)
Macro Options Strategies
Bullish Option Strategies
FXI Buyer 7,500 Oct 43 – 45 call options spreads (ref. 42.07)
X Seller 2,900 Jan 28 put options to Buy 2,900 Jan 31 call options (ref. 29.20)
X Buyer 4,954 Jan 30 call options (ref. 29.10)
GLD Buyer 3,500 Nov 118 – 121 call option spreads (ref. 114.01)
GLD Buyer 10,000 Jan 115 call options (ref. 114.11)
XLF Seller 24,722 Oct 28.5 call options to Buy Nov 28 call options and sell Nov 26 put options .18 debit (ref 27.55)
Bearish Option Strategies
XRT Seller 7,000 Nov 53 call options spreads to Buy 7,000 Nov 50 – 48 put options spreads (ref. 50.15)
FXI Seller 23,500 Nov 46 call options to Buy 23,500 Nov 40 put options (ref. 41.94)
XLF Buyer 36,600 Mar 29th 26 put options (ref. 27.57)
EMB Buyer 10,000 Dec 106 – 102 put options spreads (ref. 107.43)
Finance Trades Options Strategies
FTV 12,000 Oct 100 RC trade (ref. 84.02)
AMRN 10,000 Nov 2nd 16 RC trade (ref. 15.60)
Upcoming Earnings
|
Underlying
|
Earnings Date
|
Imp Move
|
Historical Move
|
Cheap vs Expensive
|
Quantamize Rating
|
Average Daily Vega
|
|
LEN
|
10/3/2018
|
6.2
|
4.1
|
49.9%
|
C
|
37219
|
|
SNX
|
10/3/2018
|
9.5
|
8.5
|
12.4%
|
C
|
4032
|
|
USAT
|
10/3/2018
|
21.4
|
7.3
|
193.0%
|
B
|
2530
|
|
AYI
|
10/3/2018
|
9.4
|
9.5
|
-1.7%
|
C
|
8766
|
|
STZ
|
10/4/2018
|
4.0
|
4.5
|
-9.9%
|
C
|
516123
|
|
COST
|
10/4/2018
|
2.6
|
2.6
|
-0.7%
|
B
|
195668
|
|
FAST
|
10/10/2018
|
5.3
|
5.4
|
-1.2%
|
A
|
7429
|
|
WBA
|
10/11/2018
|
3.6
|
4.0
|
-9.7%
|
B
|
94592
|
|
DAL
|
10/11/2018
|
3.9
|
2.1
|
81.1%
|
C
|
113553
|
|
C
|
10/12/2018
|
2.6
|
1.5
|
71.8%
|
C
|
564874
|
|
JPM
|
10/12/2018
|
2.2
|
1.3
|
65.1%
|
C
|
752218
|
|
WFC
|
10/12/2018
|
2.9
|
1.9
|
58.0%
|
C
|
368631
|
|
PNC
|
10/12/2018
|
2.6
|
1.0
|
160.7%
|
B
|
29857
|
|
CE
|
10/15/2018
|
5.2
|
2.9
|
80.4%
|
A
|
5392
|
|
BAC
|
10/15/2018
|
2.8
|
1.4
|
103.8%
|
C
|
801026
|
|
SCHW
|
10/15/2018
|
3.5
|
1.7
|
106.4%
|
C
|
30960
|
|
OMC
|
10/16/2018
|
5.2
|
3.9
|
34.5%
|
C
|
11488
|
|
NFLX
|
10/16/2018
|
8.4
|
8.0
|
4.7%
|
C
|
3348588
|
|
DPZ
|
10/16/2018
|
5.2
|
4.7
|
10.1%
|
B
|
33424
|
|
BLK
|
10/16/2018
|
3.0
|
1.7
|
73.0%
|
A
|
58788
|
|
CMA
|
10/16/2018
|
3.1
|
2.3
|
31.5%
|
B
|
10845
|
|
GS
|
10/16/2018
|
2.8
|
1.9
|
48.3%
|
C
|
615657
|
|
IBKR
|
10/16/2018
|
4.6
|
2.4
|
89.8%
|
D
|
4865
|
|
MS
|
10/16/2018
|
3.4
|
1.7
|
95.5%
|
D
|
167585
|
|
PGR
|
10/16/2018
|
2.6
|
1.9
|
37.1%
|
A
|
5593
|
|
JNJ
|
10/16/2018
|
2.3
|
2.7
|
-13.3%
|
B
|
316971
|
|
UNH
|
10/16/2018
|
2.6
|
2.6
|
0.5%
|
A
|
243300
|
|
GWW
|
10/16/2018
|
7.3
|
8.8
|
-17.6%
|
C
|
54254
|
|
JBHT
|
10/16/2018
|
4.4
|
2.5
|
72.6%
|
B
|
5160
|
|
CSX
|
10/16/2018
|
4.5
|
4.6
|
-1.8%
|
A
|
71446
|
|
IBM
|
10/16/2018
|
4.1
|
4.7
|
-14.1%
|
C
|
428399
|
|
LRCX
|
10/16/2018
|
4.8
|
4.1
|
18.4%
|
C
|
121292
|
|
CREE
|
10/16/2018
|
8.4
|
7.2
|
16.2%
|
D
|
24462
|
|
MLNX
|
10/16/2018
|
8.1
|
3.3
|
144.0%
|
C
|
3105
|
|
AA
|
10/17/2018
|
5.4
|
6.0
|
-10.7%
|
C
|
33261
|
|
STLD
|
10/17/2018
|
6.3
|
2.9
|
119.0%
|
A
|
5059
|
|
CCK
|
10/17/2018
|
3.7
|
2.2
|
69.2%
|
D
|
109009
|
|
EBAY
|
10/17/2018
|
6.6
|
7.1
|
-6.5%
|
D
|
66665
|
|
KMI
|
10/17/2018
|
2.9
|
2.6
|
15.4%
|
C
|
29714
|
|
NTRS
|
10/17/2018
|
3.8
|
3.2
|
18.9%
|
B
|
5653
|
|
MTB
|
10/17/2018
|
2.8
|
2.4
|
13.8%
|
A
|
7499
|
|
USB
|
10/17/2018
|
2.6
|
1.2
|
112.8%
|
B
|
67911
|
|
MTG
|
10/17/2018
|
6.1
|
4.2
|
46.3%
|
C
|
4511
|
|
ABT
|
10/17/2018
|
2.3
|
2.1
|
11.1%
|
B
|
114145
|
|
UAL
|
10/17/2018
|
5.7
|
6.5
|
-11.3%
|
C
|
85889
|
|
URI
|
10/17/2018
|
5.2
|
4.7
|
10.5%
|
B
|
45708
|
|
CCI
|
10/17/2018
|
3.1
|
1.8
|
73.5%
|
C
|
32677
|
|
SLG
|
10/17/2018
|
2.4
|
1.7
|
44.2%
|
D
|
2577
|
|
PPG
|
10/18/2018
|
2.6
|
2.2
|
17.8%
|
C
|
4965
|
|
WDFC
|
10/18/2018
|
4.8
|
3.8
|
26.5%
|
B
|
2700
|
|
NUE
|
10/18/2018
|
2.8
|
2.2
|
29.0%
|
B
|
30820
|
|
SKX
|
10/18/2018
|
11.7
|
17.6
|
-33.4%
|
D
|
6435
|
|
GPC
|
10/18/2018
|
3.4
|
3.7
|
-9.7%
|
A
|
6493
|
|
PM
|
10/18/2018
|
3.2
|
4.1
|
-20.4%
|
C
|
129176
|
|
BK
|
10/18/2018
|
3.3
|
3.6
|
-10.1%
|
C
|
30449
|
|
BX
|
10/18/2018
|
2.1
|
1.4
|
44.4%
|
D
|
102534
|
|
BBT
|
10/18/2018
|
2.5
|
2.5
|
0.5%
|
B
|
20247
|
|
KEY
|
10/18/2018
|
3.0
|
2.7
|
12.5%
|
B
|
5295
|
|
ETFC
|
10/18/2018
|
6.3
|
2.4
|
159.3%
|
C
|
56796
|
|
ADS
|
10/18/2018
|
4.6
|
4.1
|
10.6%
|
B
|
6141
|
|
AXP
|
10/18/2018
|
3.2
|
3.5
|
-6.7%
|
C
|
97537
|
|
TRV
|
10/18/2018
|
2.9
|
2.9
|
-1.0%
|
B
|
18903
|
|
DHR
|
10/18/2018
|
2.9
|
3.0
|
-2.8%
|
A
|
13630
|
|
ISRG
|
10/18/2018
|
4.5
|
4.2
|
6.3%
|
C
|
146612
|
|
TXT
|
10/18/2018
|
4.1
|
3.2
|
28.3%
|
B
|
10483
|
|
DOV
|
10/18/2018
|
4.0
|
2.9
|
37.9%
|
D
|
3943
|
|
SNA
|
10/18/2018
|
6.0
|
5.7
|
6.1%
|
A
|
8163
|
|
ATHN
|
10/18/2018
|
6.9
|
10.0
|
-30.8%
|
B
|
57150
|
Volatility Standouts
|
Underlying
|
2M Volatility vs Forecast
|
Q Rating
|
2M IV Change
|
IV 2M Percentile
|
Average Daily Vega
|
|
DGX
|
72.76%
|
A
|
0.00%
|
15.48
|
6556
|
|
TJX
|
72.72%
|
A
|
-0.66%
|
10.32
|
58397
|
|
VRSN
|
71.47%
|
A
|
1.34%
|
79.76
|
19661
|
|
NDLS
|
69.76%
|
C
|
1.96%
|
34.13
|
235
|
|
TGT
|
69.01%
|
B
|
1.58%
|
0.40
|
111014
|
|
PCG
|
66.86%
|
C
|
-0.21%
|
44.05
|
56284
|
|
LLY
|
66.43%
|
C
|
-5.06%
|
85.71
|
78425
|
|
JKHY
|
65.53%
|
A
|
0.04%
|
90.87
|
862
|
|
COL
|
65.14%
|
A
|
0.82%
|
92.06
|
17423
|
|
UTX
|
64.67%
|
C
|
1.79%
|
73.02
|
120534
|
|
PAYX
|
64.24%
|
B
|
1.26%
|
62.70
|
18757
|
|
VST
|
63.84%
|
C
|
1.69%
|
38.64
|
10153
|
|
HEAR
|
62.21%
|
D
|
1.93%
|
38.89
|
9168
|
|
BIG
|
61.35%
|
F
|
0.88%
|
13.49
|
3326
|
|
CDK
|
61.32%
|
A
|
3.99%
|
59.92
|
5732
|
|
KDP
|
59.24%
|
F
|
-3.06%
|
92.46
|
736
|
|
RH
|
58.48%
|
C
|
1.21%
|
17.46
|
32775
|
|
HQY
|
58.43%
|
C
|
-3.24%
|
8.33
|
5431
|
|
DISH
|
58.40%
|
C
|
-0.04%
|
48.41
|
26579
|
|
CCL
|
57.73%
|
C
|
1.53%
|
5.16
|
53516
|
|
MHK
|
57.25%
|
C
|
1.94%
|
100.00
|
17398
|
|
SHOO
|
57.22%
|
C
|
0.45%
|
82.54
|
1008
|
|
PSTG
|
56.94%
|
F
|
4.91%
|
26.98
|
6634
|
|
PH
|
56.85%
|
B
|
-1.12%
|
70.24
|
50748
|
|
Underlying
|
2M Volatility vs Forecast
|
Q Rating
|
2M IV Change
|
IV 2M Percentile
|
Average Daily Vega
|
|
IDTI
|
-70.57%
|
C
|
0.00%
|
0.79
|
4338
|
|
CA
|
-48.23%
|
B
|
-0.66%
|
15.54
|
539
|
|
AKRX
|
-47.09%
|
F
|
1.34%
|
63.49
|
12936
|
|
EVHC
|
-46.51%
|
B
|
1.96%
|
17.46
|
16068
|
|
VKTX
|
-35.69%
|
F
|
1.58%
|
20.43
|
27581
|
|
CASA
|
-31.80%
|
D
|
-0.21%
|
29.17
|
434
|
|
TTD
|
-30.25%
|
D
|
-5.06%
|
99.21
|
75186
|
|
BBY
|
-29.95%
|
C
|
0.04%
|
20.63
|
97889
|
|
INFN
|
-29.78%
|
C
|
0.82%
|
94.84
|
1412
|
|
OCLR
|
-29.13%
|
C
|
1.79%
|
8.73
|
246
|
|
USG
|
-26.17%
|
C
|
1.26%
|
9.92
|
486
|
|
SNAP
|
-25.81%
|
F
|
1.69%
|
77.78
|
116308
|
|
DXC
|
-25.71%
|
A
|
1.93%
|
49.80
|
8835
|
|
DY
|
-25.57%
|
F
|
0.88%
|
39.29
|
1106
|
|
ATHN
|
-24.36%
|
B
|
3.99%
|
23.02
|
57150
|
|
THS
|
-22.86%
|
D
|
-3.06%
|
61.90
|
2287
|
|
FOSL
|
-22.30%
|
F
|
1.21%
|
69.05
|
4008
|
|
SKX
|
-20.87%
|
D
|
-3.24%
|
81.35
|
6435
|
|
P
|
-20.16%
|
F
|
-0.04%
|
0.40
|
23054
|
|
AAOI
|
-18.91%
|
F
|
1.53%
|
55.16
|
16155
|
|
ANF
|
-18.89%
|
D
|
1.94%
|
43.25
|
5435
|
|
MIC
|
-17.78%
|
C
|
0.45%
|
44.44
|
5225
|
|
CTL
|
-16.78%
|
C
|
4.91%
|
34.52
|
42913
|
|
MMC
|
-16.14%
|
C
|
-1.12%
|
48.41
|
3575
|