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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