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VIX testing recent lows on Equity rally

Oct 03, 2018

Options Market Commentary

Equities have been in the green all morning. Currently, the S&P is +.47%, the Russell is +1.04%, and the Nasdaq is +.55%. The Russell is outperforming on strength in energy and biotech after recent underperformance. Energy stocks are rallying despite an increase in crude inventories. WTI crude is +.32% with Brent +.6%. XOP is +2.15% with XLE +.7%. Bonds are getting hit hard after today’s strong ADP report with TLT -1.25% and the 10-year yield rallying to 3.13%. Gold is mildly lower -.3%, although Silver is higher by +.13%. Volatilities are lower with the VIX -5% to 11.43. RVX is -6% and VXN -2%.

 

ETF 30D Volatility Changes

SPY:       -3%

IWM:     -4%

QQQ:     -2%

 

Directional Options Strategies

Bullish Option Strategies

GM Buyer 10,000 Jan20 45 – 55 call options spreads (34.61)

INTC Seller 15,000 Oct 48 call options to Buy 30,000 Jan20 60 call options (likely rolls out and up, ref. 49.26)

ITUB 20,800 Nov 13 and 14 call options trade (ref. 12.37)

HLT Buyer 5,000 Jan 80 – 85 call options spreads (ref. 77.47)

ROKU Seller 12,500 Oct 40 call options to Buy 12,500 Jan 60 call options (rolls out and up, ref. 71.62)

JD Seller 5,000 Mar 22-30 risk reversal .15 credit (ref 25.02)

TSM Seller 2,950 Jan 41-48 risk reversal (43.60)

 

Bearish Option Strategies

ENDP Buyer 5,000 Jan 12.5 put options (ref. 17.78)

GE 6,000 Jan20 10 put options trade (ref. 12.38)

STZ Seller 11,052 Oct 212.5 – Jan 215 call options spread to buy 6,900 Oct 195 put options

 

Macro Options Strategies

Bullish Option Strategies

KRE Buyer 27,000 Dec 62 – 65 call options spreads (rolls down, ref. 59.13)

KRE Seller 43,000 Nov 59 – 57 put options spreads (ref. 59.56)

 

Bearish Option Strategies

QQQ Buyer 31,500 Jan 150 put options (ref. 186.68)

XLF Seller 25,000 Nov 26 put options to Buy 15,000 Nov 28 call options (ref. 27.87)

EWZ Buyer 10,000 Jan20 30 put options (ref. 37.55)

XRT Buyer 7,000 Dec 48 – 45 put options spreads (ref. 49.00)

SPY Buyer 7,500 Nov 9th 277.5 – 267.5 – 257.5 put options flies (ref. 292.72)

XLU Buyer 5,000 Dec 50-47 1x2 put options spread (ref 52.75)

 

 

Finance Trades Options Strategies

EEM 14,000 Nov 43 RC trade (ref. 42.44)

 

 

Upcoming Earnings

 

 

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

Average Daily Vega

SNX

10/3/2018

9.6

8.5

13.0%

C

4194

STZ

10/4/2018

4.2

4.5

-6.4%

C

398808

COST

10/4/2018

2.6

2.6

-2.9%

B

203914

USAT

10/8/2018

23.3

7.3

219.1%

B

2389

FAST

10/10/2018

5.6

5.4

4.5%

A

5138

WBA

10/11/2018

3.5

4.0

-11.7%

B

91821

DAL

10/11/2018

3.4

2.1

61.0%

C

124708

C

10/12/2018

2.5

1.5

69.1%

C

597233

JPM

10/12/2018

2.1

1.3

60.4%

C

757862

WFC

10/12/2018

2.8

1.9

52.7%

C

364112

PNC

10/12/2018

2.4

1.0

147.4%

B

34513

CE

10/15/2018

5.1

2.9

78.3%

A

5477

BAC

10/15/2018

2.7

1.4

94.8%

C

851178

SCHW

10/15/2018

3.5

1.7

105.6%

C

31515

OMC

10/16/2018

5.0

3.9

27.9%

C

10736

NFLX

10/16/2018

8.9

8.0

11.4%

C

3332949

DPZ

10/16/2018

5.2

4.7

10.9%

B

30920

BLK

10/16/2018

2.9

1.7

67.4%

A

65458

CMA

10/16/2018

3.2

2.3

35.0%

B

11603

GS

10/16/2018

2.9

1.9

50.6%

C

636970

IBKR

10/16/2018

4.7

2.4

91.2%

D

4324

MS

10/16/2018

3.2

1.7

86.4%

D

186217

PGR

10/16/2018

2.7

1.9

45.9%

A

4813

JNJ

10/16/2018

2.2

2.7

-16.1%

B

326750

UNH

10/16/2018

2.6

2.6

0.6%

A

215320

GWW

10/16/2018

7.2

8.8

-18.0%

C

48945

JBHT

10/16/2018

4.6

2.5

81.6%

B

5754

CSX

10/16/2018

4.5

4.6

-3.1%

A

68617

PLD

10/16/2018

5.7

2.3

151.1%

D

3032

IBM

10/16/2018

4.1

4.7

-13.5%

C

429960

LRCX

10/16/2018

4.8

4.1

18.0%

C

124146

CREE

10/16/2018

8.6

7.2

19.7%

D

28065

MLNX

10/16/2018

7.9

3.3

137.9%

C

3658

AA

10/17/2018

6.0

6.0

-0.5%

C

37417

STLD

10/17/2018

6.1

2.9

113.4%

A

5314

WGO

10/17/2018

9.7

7.2

35.8%

D

3051

CCK

10/17/2018

3.9

2.2

75.6%

D

82669

EBAY

10/17/2018

6.5

7.1

-8.7%

D

70126

KMI

10/17/2018

2.7

2.6

7.7%

C

27467

NTRS

10/17/2018

3.6

3.2

12.1%

B

5777

MTB

10/17/2018

2.7

2.4

11.7%

A

7071

USB

10/17/2018

2.5

1.2

106.2%

B

66172

MTG

10/17/2018

7.0

4.2

67.4%

C

4481

ABT

10/17/2018

2.4

2.1

15.0%

B

114921

UAL

10/17/2018

5.6

6.5

-13.3%

C

93078

URI

10/17/2018

5.8

4.7

24.2%

B

44940

CCI

10/17/2018

2.8

1.8

60.9%

C

32712

SLG

10/17/2018

2.4

1.7

43.2%

D

2451

PPG

10/18/2018

2.9

2.2

31.4%

C

6515

WDFC

10/18/2018

4.9

3.8

29.3%

B

2486

NUE

10/18/2018

2.7

2.2

23.2%

B

26426

SKX

10/18/2018

11.9

17.6

-32.6%

D

6318

GPC

10/18/2018

3.3

3.7

-10.5%

A

5886

PM

10/18/2018

2.8

4.1

-31.5%

C

134479

BK

10/18/2018

3.2

3.6

-11.8%

C

31168

BX

10/18/2018

2.0

1.4

38.8%

D

107602

BBT

10/18/2018

2.5

2.5

0.9%

B

24327

KEY

10/18/2018

2.9

2.7

9.4%

B

5124

ETFC

10/18/2018

6.6

2.4

172.0%

C

58182

ADS

10/18/2018

4.5

4.1

8.3%

B

6186

AXP

10/18/2018

3.2

3.5

-9.2%

C

98998

TRV

10/18/2018

2.8

2.9

-5.6%

B

18724

DHR

10/18/2018

2.9

3.0

-5.3%

A

14998

ISRG

10/18/2018

4.6

4.2

8.8%

C

163679

TXT

10/18/2018

4.2

3.2

30.9%

B

10130

DOV

10/18/2018

4.1

2.9

42.7%

D

8890

SNA

10/18/2018

5.7

5.7

0.9%

A

7596

ATHN

10/18/2018

7.0

10.0

-29.6%

B

47553

 

Volatility Standouts

 

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

AXTA

74.57%

D

0.00%

48.22

83075

CDK

72.23%

A

-2.90%

54.55

3700

DVA

71.91%

D

2.20%

97.63

49637

COL

71.44%

A

-2.39%

99.60

25316

DGX

70.96%

A

0.45%

18.97

6789

APOG

69.85%

C

-2.81%

3.95

573

JKHY

69.78%

A

1.06%

79.84

830

KDP

69.47%

F

0.42%

94.47

804

VRSN

69.08%

A

-0.14%

84.19

20192

UTX

68.84%

C

0.76%

71.54

109253

LLY

68.52%

C

-1.78%

86.17

75540

BIG

67.62%

F

-0.46%

18.97

4547

SERV

67.47%

B

-0.39%

90.08

5705

VST

66.77%

C

-0.09%

51.58

15580

TJX

65.87%

A

0.00%

16.21

52611

HEAR

65.65%

D

-3.04%

34.07

8553

UNM

65.31%

B

-1.75%

94.47

20925

HQY

64.89%

C

0.00%

8.70

5437

PAYX

64.65%

B

0.33%

17.00

30614

LBRDK

64.41%

B

-0.94%

5.53

40

SAGE

64.34%

F

2.57%

40.71

11593

FHN

64.31%

C

-1.59%

61.66

1087

AIZ

64.11%

C

-1.21%

62.85

8430

CCL

61.90%

C

-1.21%

10.28

47951

 

 

 

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

CA

-74.78%

B

0.00%

1.98

407

AKRX

-53.77%

F

-2.90%

52.96

12286

EVHC

-52.26%

B

2.20%

15.02

16096

IDTI

-51.21%

C

-2.39%

1.98

2310

OCLR

-37.79%

C

0.45%

11.86

113

CASA

-33.28%

D

-2.81%

28.87

414

BBY

-31.71%

C

1.06%

32.02

104432

INFN

-30.67%

C

0.42%

95.65

1743

TTD

-29.46%

D

-0.14%

99.60

87489

DXC

-26.24%

A

0.76%

53.17

8077

ATHN

-25.79%

B

-1.78%

17.39

47553

SNAP

-25.69%

F

-0.46%

89.72

125231

DY

-25.69%

F

-0.39%

39.53

1137

FOSL

-23.66%

F

-0.09%

73.52

3983

USG

-21.74%

C

0.00%

18.58

406

ANF

-21.22%

D

-3.04%

47.04

5184

THS

-21.19%

D

-1.75%

56.52

6665

MIC

-19.76%

C

0.00%

42.69

4781

P

-19.68%

F

0.33%

0.79

22740

SKX

-19.55%

D

-0.94%

85.38

6318

AAOI

-16.77%

F

2.57%

45.85

15522

CTL

-16.12%

C

-1.59%

34.78

43762

TSLA

-15.67%

D

-1.21%

92.49

4073462

COHR

-14.26%

D

-1.21%

52.57

11166