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Volatility Pops as Rates Hit Multi Year Highs

Oct 04, 2018

Options Market Commentary

Equities are getting hit today on rate concerns as bonds move to multi-year lows. Currently the S&P is -.88%, the Russell is -1.2%, and the Nasdaq is -1.9%.  Bond yields are now at levels not seen in years with the 10-year now at 3.19%. Energy is getting hit as well with WTI Crude -2% and Energy ETFs, XOP -1.7% and  XLE -.66%. Gold is unchanged with Gold miners -.7%. Volatilities are moving aggressively higher with the VIX +29% to 14.98, RVX +18% to 18.79, and VXN +18% to 20.72. 

 

ETF 30D Volatility Changes

SPY:       +18%

IWM:     +17%

QQQ:     +16%

 

Directional Options Strategies

Bullish Option Strategies

DAL Seller 4,000 Dec 52.5 – 48 put options spreads (ref. 54.04)

ZNGA Buyer 19,260 Nov 4.5 call options (ref. 4.06)

LOW Buyer 9,700 Oct 26th 115 call options (ref. 111.06)

 

Bearish Option Strategies

GE Buyer 35,783 Nov 11 – 9 put options spreads (ref. 12.54)

PGR Buyer 5,200 Nov 67.5 put options (ref. 70.80)

KMI Buyer 9,666 Jan 18 put options (ref. 18.25)

 

Macro Options Strategies

Bullish Option Strategies

EWZ Buyer 10,000 Mar 40 – 44 call options spreads (ref. 36.15)

TLT Buyer 22,903 Nov 118 call options (ref. 114.00)

XAU Seller 17,000 Oct 70 call options to Buy 14,000 Dec 70 call options (rolls out, ref. 66.68)

XLF Buyer 7,500 Jan 30 call options (ref. 28.00)

 

Bearish Option Strategies

TBT Buyer 6,400 Nov 40 put options (ref. 40.16)

XLV Buyer 8,000 Nov 94 – 88 put options spreads (ref. 95.06)

HYG Buyer 25,000 Nov 82 put options (ref. 85.79)

IWM Buyer 12,500 Nov 163 put options to Sell 18,750 Nov 155 puts (ref. 164.98)

SMH Buyer 20,000 Nov 100 – 97 put options spreads (ref. 105.11)

EEM Seller 73,700 Dec 46 – 47.5 call options spreads (likely closing, ref. 41.24)

EMB Seller 21,278 Jan 113 call options to Buy 21,278 Jan 102 put options (ref. 105.99)

 

 

Finance Trades Options Strategies

HYG 20,000 Nov 95 RC trade (ref. 85.70)

 

 

 

Upcoming Earnings

 

 

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

Average Daily Vega

COST

10/4/2018

2.7

2.6

0.9%

B

225650

FAST

10/10/2018

5.6

5.4

4.3%

A

5294

WBA

10/11/2018

3.7

4.0

-7.8%

B

76068

DAL

10/11/2018

2.9

2.1

35.4%

C

113934

C

10/12/2018

2.7

1.5

80.0%

C

541734

JPM

10/12/2018

2.0

1.3

51.2%

C

687009

WFC

10/12/2018

2.7

1.9

47.9%

C

345047

PNC

10/12/2018

2.3

1.0

131.6%

B

35039

CE

10/15/2018

4.8

2.9

67.3%

A

6129

BAC

10/15/2018

2.4

1.4

75.2%

C

782048

SCHW

10/15/2018

2.8

1.7

66.5%

C

28779

OMC

10/16/2018

4.4

3.9

13.1%

C

11031

NFLX

10/16/2018

8.9

8.0

11.6%

C

3071352

DPZ

10/16/2018

5.3

4.7

11.1%

B

30291

BLK

10/16/2018

3.0

1.7

74.9%

A

71407

CMA

10/16/2018

2.8

2.3

21.5%

B

10648

GS

10/16/2018

2.8

1.9

45.5%

C

546559

IBKR

10/16/2018

4.2

2.4

73.3%

D

4172

MS

10/16/2018

3.3

1.7

91.7%

D

184587

PGR

10/16/2018

2.8

1.9

47.9%

A

4674

JNJ

10/16/2018

2.3

2.7

-13.8%

B

339428

UNH

10/16/2018

2.6

2.6

-0.8%

A

214596

UAL

10/16/2018

4.9

6.5

-24.3%

C

94097

GWW

10/16/2018

7.4

8.8

-16.6%

C

48552

JBHT

10/16/2018

3.9

2.5

53.8%

B

5820

CSX

10/16/2018

4.4

4.6

-3.8%

A

73002

PLD

10/16/2018

6.0

2.3

165.0%

D

2985

IBM

10/16/2018

4.1

4.7

-12.5%

C

423185

LRCX

10/16/2018

4.9

4.1

20.6%

C

124176

CREE

10/16/2018

8.2

7.2

14.4%

D

28499

AA

10/17/2018

4.6

6.0

-23.1%

C

57047

STLD

10/17/2018

5.2

2.9

82.2%

A

5355

WGO

10/17/2018

7.9

7.2

9.7%

D

5919

CCK

10/17/2018

3.6

2.2

64.5%

D

83660

EBAY

10/17/2018

6.6

7.1

-6.9%

D

72375

KMI

10/17/2018

2.5

2.6

-0.7%

C

28070

NTRS

10/17/2018

3.3

3.2

1.3%

B

5848

MTB

10/17/2018

2.5

2.4

2.2%

A

7105

USB

10/17/2018

2.4

1.2

91.5%

B

64927

MTG

10/17/2018

5.2

4.2

22.9%

C

4412

ABT

10/17/2018

2.2

2.1

6.3%

B

124979

URI

10/17/2018

4.3

4.7

-8.0%

B

41019

CCI

10/17/2018

1.9

1.8

10.3%

C

28664

PPG

10/18/2018

2.3

2.2

6.0%

C

6631

NUE

10/18/2018

2.2

2.2

0.8%

B

26141

SKX

10/18/2018

12.2

17.6

-30.8%

D

6693

GPC

10/18/2018

3.4

3.7

-9.0%

A

7580

PM

10/18/2018

2.6

4.1

-36.6%

C

139192

BK

10/18/2018

3.2

3.6

-10.6%

C

27237

BX

10/18/2018

2.1

1.4

46.0%

D

107660

BBT

10/18/2018

2.3

2.5

-5.1%

B

20773

KEY

10/18/2018

3.0

2.7

11.5%

B

4933

ETFC

10/18/2018

6.0

2.4

146.0%

C

39370

ADS

10/18/2018

4.1

4.1

-2.1%

B

7676

AXP

10/18/2018

3.3

3.5

-6.0%

C

99121

PYPL

10/18/2018

5.2

4.7

11.7%

D

263288

TRV

10/18/2018

2.7

2.9

-6.8%

B

15839

DHR

10/18/2018

2.8

3.0

-6.2%

A

15282

ISRG

10/18/2018

5.0

4.2

18.1%

C

169974

TXT

10/18/2018

4.1

3.2

27.7%

B

9914

DOV

10/18/2018

3.9

2.9

37.2%

D

8735

SNA

10/18/2018

5.0

5.7

-11.0%

A

8682

ATHN

10/18/2018

5.7

10.0

-42.7%

B

42518

VICR

10/18/2018

13.4

13.2

1.9%

F

5043

CLF

10/19/2018

6.9

9.3

-25.5%

C

39792

PG

10/19/2018

2.3

2.5

-6.0%

C

138963

SLB

10/19/2018

3.1

1.5

110.1%

D

137664

STT

10/19/2018

3.4

4.1

-16.4%

D

16171

STI

10/19/2018

2.0

1.5

31.5%

B

14451

SYF

10/19/2018

4.0

3.5

16.2%

D

19164

MAN

10/19/2018

5.3

5.4

-1.5%

C

5995

HON

10/19/2018

2.4

1.9

24.0%

C

140468

KSU

10/19/2018

2.7

2.3

17.2%

A

20405

 

Volatility Standouts

 

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

UNIT

71.58%

C

0.00%

78.66

10968

TIVO

67.30%

C

6.34%

92.09

1453

BC

65.40%

B

4.09%

33.20

609

TSRO

65.23%

F

10.32%

79.05

8239

VRSN

60.74%

A

1.75%

84.19

20603

CTXS

59.17%

C

0.92%

39.53

17656

UNM

56.74%

B

-1.02%

93.68

18308

JKHY

55.81%

A

1.65%

80.63

815

VER

55.29%

C

4.01%

56.13

317

COL

55.22%

A

1.31%

93.68

26955

CDK

52.63%

A

3.46%

55.34

2809

DVA

52.41%

D

0.89%

97.63

48532

HEAR

50.85%

D

3.37%

33.70

6652

UTX

50.06%

C

-0.49%

68.77

106201

AXTA

49.05%

D

10.50%

32.02

74195

DISH

45.28%

C

-0.75%

51.78

33449

JEC

45.20%

C

5.26%

8.30

3984

SGMS

43.65%

D

0.22%

95.26

16126

TJX

42.74%

A

2.76%

26.09

51802

MHK

42.31%

C

3.97%

99.60

26138

DGX

41.98%

A

4.18%

25.30

6940

VST

41.70%

C

6.34%

32.58

16411

PH

41.68%

B

2.76%

75.10

24199

CAKE

40.70%

C

3.61%

75.49

9763

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

CA

-68.33%

B

0.00%

0.40

374

AKRX

-61.04%

F

6.34%

42.29

12498

EVHC

-54.79%

B

4.09%

30.43

15636

IDTI

-42.01%

C

10.32%

4.35

2285

CASA

-35.63%

D

1.75%

26.53

401

BBY

-34.09%

C

0.92%

31.62

106911

TTD

-34.02%

D

-1.02%

99.21

91195

DY

-33.63%

F

1.65%

40.71

1410

INFN

-31.42%

C

4.01%

93.68

2711

SNAP

-28.32%

F

1.31%

80.63

128854

ATHN

-28.23%

B

3.46%

32.81

42518

USG

-28.22%

C

0.89%

7.91

382

EEFT

-27.75%

A

3.37%

86.17

3099

OCLR

-27.62%

C

-0.49%

38.34

102

DXC

-27.31%

A

10.50%

47.22

6747

HDP

-27.27%

F

-0.75%

86.96

1627

FOSL

-25.02%

F

5.26%

69.57

3715

ANF

-24.41%

D

0.22%

45.06

4801

P

-23.94%

F

2.76%

0.40

22842

MIC

-23.32%

C

3.97%

44.66

4822

THS

-23.30%

D

4.18%

62.85

6679

EXAS

-23.02%

F

6.34%

40.71

23799

VKTX

-22.06%

F

2.76%

20.21

17169

CTL

-21.10%

C

3.61%

34.39

45505