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VIX Trades above 18 on Interest Rate Concerns

Oct 08, 2018

Options Market Commentary

Equities continue to trade in the red on interest rate concerns. Currently, the S&P is -.63%, the Russell is -.82%, and the Nasdaq is -1.45% with FAANG names especially weak.  Outside of tech, Energy and Health Care are also weak. TLT is little changed as bonds are closed for the holiday. In Energy WTI crude is -.6% but off earlier lows. Energy ETF’s are down with XOP -1% and XLE -.6%. Nat gas is strong today with UNG +3.6%.  Volatilities are higher across the board with the VIX +18% to 17.52, RVX +7% to 20.93, and VXN +11% to 23.90.

 

ETF 30D Volatility Changes

SPY:       +6%

IWM:     +4%

QQQ:     +8%

 

Directional Options Strategies

Bullish Option Strategies

AABA Buyer 5,000 Nov 67.5 – 70 call options spreads (ref. 62.84)

MS Buyer 10,000 Nov 47 – 49 call options spreads (ref. 46.61)

PBR Buyer 10,000 Nov 16 – 18 call options spreads (ref. 15.44)

JD Buyer 9,600 Mar 28 call options (ref. 23.95)

TPX Buyer 4,000 Mar 57.5 – 70 call options spreads (ref. 51.67)

AR Buyer 35,300 Jan20 30 call options tied to stock (ref. 19.17)

XRX Buyer 18,000 Jan 29 – 35 call options spreads (ref. 26.24)

 

Bearish Option Strategies

CPB Seller 5,000 Feb 40 call options (ref. 37.79)

EA Buyer 2,800 Oct 26th 115 put options (ref. 113.21)

GME 7,900 Nov 13 and 14 put options trade (ref. 14.85)

GPOR Seller 41,500 Dec 17.5 call options (ref. 11.44)

SNAP Buyer 6,200 Dec 8 put options (ref. 7.34)

 

Macro Options Strategies

Bullish Option Strategies

VXX Buyer 28,000 Nov 2nd 23.5 put options (likely closing, ref. 30.01)

VXX Buyer 28,000 Nov 2nd 24 put options (likely closing, ref. 30.39)

 

Bearish Option Strategies

SPY Buyer 11,000 Oct 12th 283 – 280 put options spreads (ref. 287.17)

GLD Buyer 5,000 Jan 112 put options (ref. 112.35)

EWZ Buyer 25,000 Nov 31st 31 put options (ref. 39.09)

EFA Seller 30,000 Nov 67 put options to Buy 33,00 Nov 66 puts (rolls down, 65.87)

KBE Buyer 10,000 Jan20 36 put options (ref. 46.95)

USO Seller 20,000 Jan 19 call options to Buy 20,000 Jan 13 put options (ref. 15.62)

 

 

Finance Trades Options Strategies

HYG 12,500 Nov 95 RC trade (ref. 85.13)

 

 

 

Upcoming Earnings

 

 

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

Average Daily Vega

FAST

10/10/2018

6.7

5.4

23.6%

A

12363

WBA

10/11/2018

3.7

4.0

-5.9%

B

68027

DAL

10/11/2018

3.1

2.1

44.4%

C

118855

C

10/12/2018

2.5

1.5

66.1%

C

437025

JPM

10/12/2018

2.1

1.3

58.4%

C

631881

WFC

10/12/2018

2.5

1.9

35.2%

C

346939

PNC

10/12/2018

2.3

1.0

130.4%

B

30762

BAC

10/15/2018

2.6

1.4

87.0%

C

738687

SCHW

10/15/2018

3.2

1.7

87.9%

C

23919

OMC

10/16/2018

4.7

3.9

20.0%

C

10117

NFLX

10/16/2018

9.2

8.0

15.7%

C

3437189

DPZ

10/16/2018

5.7

4.6

23.8%

B

22997

BLK

10/16/2018

3.2

1.7

87.3%

A

76735

CMA

10/16/2018

2.8

2.3

18.3%

B

9894

GS

10/16/2018

2.9

1.9

50.4%

C

529411

IBKR

10/16/2018

4.3

2.4

77.0%

D

3584

MS

10/16/2018

3.3

1.7

93.2%

D

170932

PGR

10/16/2018

3.0

1.9

59.7%

A

10883

JNJ

10/16/2018

2.4

2.7

-10.2%

B

278155

UNH

10/16/2018

2.8

2.6

5.2%

A

206849

UAL

10/16/2018

5.1

6.5

-21.8%

C

104581

GWW

10/16/2018

7.8

8.8

-11.6%

C

36810

JBHT

10/16/2018

4.1

2.5

62.1%

B

4245

CSX

10/16/2018

4.5

4.6

-2.7%

A

71374

PLD

10/16/2018

5.2

2.3

130.8%

D

2920

IBM

10/16/2018

4.2

4.7

-11.1%

C

376756

LRCX

10/16/2018

5.2

4.1

26.0%

C

150228

CREE

10/16/2018

8.5

7.2

17.7%

D

28097

AA

10/17/2018

5.4

6.0

-9.7%

C

64982

STLD

10/17/2018

3.9

2.9

34.8%

A

5444

WGO

10/17/2018

8.9

7.2

24.2%

D

6224

CCK

10/17/2018

3.9

2.2

78.6%

D

10170

EBAY

10/17/2018

6.7

7.1

-5.7%

D

71916

KMI

10/17/2018

2.6

2.6

2.3%

C

28788

NTRS

10/17/2018

3.6

3.2

11.8%

B

11631

MTB

10/17/2018

2.6

2.4

6.3%

A

6955

USB

10/17/2018

2.3

1.2

89.2%

B

67122

ABT

10/17/2018

2.6

2.1

21.4%

B

125512

URI

10/17/2018

5.4

4.7

16.3%

B

41899

CCI

10/17/2018

2.2

1.8

23.8%

C

28540

CE

10/18/2018

3.6

2.9

24.4%

A

5684

PPG

10/18/2018

2.9

2.2

32.4%

C

6619

NUE

10/18/2018

2.5

2.2

13.7%

B

19463

SKX

10/18/2018

12.4

17.6

-29.5%

D

8204

GPC

10/18/2018

3.5

3.7

-6.3%

A

7245

PM

10/18/2018

3.2

4.1

-21.5%

C

127123

BK

10/18/2018

3.3

3.6

-10.3%

C

33694

BX

10/18/2018

2.4

1.4

70.2%

D

84618

BBT

10/18/2018

2.4

2.5

-0.8%

B

19115

KEY

10/18/2018

2.9

2.7

8.0%

B

4543

ETFC

10/18/2018

6.3

2.4

157.8%

C

36057

ADS

10/18/2018

4.4

4.1

6.7%

B

7895

AXP

10/18/2018

3.4

3.5

-3.4%

C

96109

PYPL

10/18/2018

5.1

4.7

7.8%

D

302476

TRV

10/18/2018

2.8

2.9

-6.7%

B

15414

DHR

10/18/2018

2.8

3.0

-6.9%

A

13127

ISRG

10/18/2018

5.3

4.2

25.9%

C

203778

TXT

10/18/2018

4.2

3.2

32.5%

B

10605

DOV

10/18/2018

4.0

2.9

40.4%

D

9872

SNA

10/18/2018

5.2

5.7

-7.9%

A

6377

ATHN

10/18/2018

6.5

10.0

-35.2%

B

43739

VICR

10/18/2018

14.7

13.2

11.3%

F

4552

CLF

10/19/2018

7.5

9.3

-19.7%

C

36095

VFC

10/19/2018

4.6

4.5

1.2%

C

20530

PG

10/19/2018

2.4

2.5

-3.0%

C

105482

SLB

10/19/2018

3.0

1.5

104.8%

D

128870

STT

10/19/2018

3.5

4.1

-14.9%

D

15568

STI

10/19/2018

2.2

1.5

42.5%

B

11925

CFG

10/19/2018

3.9

1.9

106.1%

B

1627

SYF

10/19/2018

4.1

3.5

18.1%

D

18523

MAN

10/19/2018

5.4

5.4

0.1%

C

4674

HON

10/19/2018

2.7

1.9

37.6%

C

144812

 

Volatility Standouts

 

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

TSRO

74.29%

F

3.36%

81.03

7970

EAF

69.35%

B

5.00%

98.00

1582

JKHY

65.81%

A

1.52%

86.56

1125

UNIT

64.22%

C

0.77%

83.00

10362

UTX

62.17%

C

-3.06%

75.89

75127

UNM

61.46%

B

0.98%

94.86

12852

VRSN

60.00%

A

-0.25%

92.49

16372

DVA

58.30%

D

0.39%

98.81

43282

COL

58.12%

A

-1.11%

99.60

28201

CTXS

56.65%

C

-0.50%

58.50

27360

ETFC

56.33%

C

-2.25%

95.65

36057

HEAR

51.78%

D

-1.15%

35.11

4414

WH

51.35%

D

-7.20%

95.18

3553

MHK

50.39%

C

1.13%

99.60

26523

JEC

49.75%

C

-0.12%

33.20

5295

CDK

49.18%

A

2.70%

60.47

1697

NDLS

48.53%

C

-3.10%

73.12

346

CZR

46.76%

D

-0.88%

83.79

30448

XRAY

46.43%

C

-0.47%

99.21

3793

TJX

45.94%

A

-0.70%

41.11

35676

CAKE

44.56%

C

0.34%

83.40

7733

TWOU

44.50%

F

6.02%

94.47

2223

BIG

43.66%

F

-1.01%

41.11

6069

PH

43.52%

B

-1.78%

83.00

21353

 

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

CA

-71.85%

B

3.36%

1.19

456

IDTI

-65.22%

C

5.00%

4.74

1540

AKRX

-57.66%

F

1.52%

79.84

12266

EVHC

-44.94%

B

0.77%

12.65

1735

CASA

-37.15%

D

-3.06%

32.00

1316

BBY

-34.69%

C

0.98%

68.77

128881

TTD

-33.27%

D

-0.25%

98.81

90462

OCLR

-32.83%

C

0.39%

13.83

321

DY

-31.63%

F

-1.11%

53.75

1316

SNAP

-28.37%

F

-0.50%

91.30

111010

IPGP

-27.95%

C

-2.25%

99.21

10802

USG

-27.13%

C

-1.15%

16.60

332

P

-25.99%

F

-7.20%

0.00

22433

ATHN

-25.71%

B

1.13%

18.58

43739

DXC

-25.50%

A

-0.12%

65.48

6880

INFN

-24.33%

C

2.70%

94.47

2832

ANF

-22.84%

D

-3.10%

89.72

4653

EXAS

-22.84%

F

-0.88%

64.03

28000

FOSL

-21.98%

F

-0.47%

81.42

3400

HDP

-20.61%

F

-0.70%

53.36

2257

BTU

-20.54%

C

0.34%

88.93

4161

VKTX

-20.54%

F

6.02%

22.63

13136

S

-20.10%

D

-1.01%

12.25

4645

EEFT

-19.87%

A

-1.78%

89.72

3182