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VIX stays bid after morning selloff

Oct 09, 2018

Options Market Commentary

Equities have been extremely choppy in this morning’s trading. Currently,  the S&P is +.12%, the Russell unchanged, and the Nasdaq is +.55% on strength in most FAANG names except GOOG. XLB, the Materials’ ETF is a laggard today, -2.4% on weakness in shares of Dow Dupont, DWDP which is -2.14%. Bonds are having a rare green day given recent weakness with TLT +.73% and the 10-year yield receding to 3.22%. Gold is slightly lower, though the Miners, GDX is -1.33% reversing yesterday’s gains. Energy is higher with WTI crude +.8% and Energy ETFs up as well, XOP +1.8% and XLE +.95%. Volatilities are mixed after being down earlier with the VIX +.5% to 15.78, RVX -2.2% to 19.16, and VXN -3.6% to 21.39.

 

ETF 30D Volatility Changes

SPY:       -2%

IWM:     -2%

QQQ:     -3%

 

Directional Options Strategies

Bullish Option Strategies

EBAY Buyer 4,000 Oct 12th 33.5 calls (ref. 33.63)

ARNC Buyer 7,500 Nov 23 – 27 call spreads (ref. 23.07)

TPX Seller 3,690 Oct 52.5 calls (closing) to Buy 3,690 Jan 55 – 70 call spreads (ref. 51.12)

COG Seller 7,500 Nov 24 calls to Buy 12,000 Dec 26 calls (rolls out and up, Earnings 10/26, ref. 25.01)

KMX Buyer 7,546 Nov 72.5 calls (ref. 70.77)

LL Buyers 2,600 Oct 15 calls (ref 14.21)

WMT Buyer 6,000 Oct 97.5- Nov 100 call spread (96.88)

 

Bearish Option Strategies

D Seller 20,000 Nov 75 calls (ref. 73.52)

SRE Seller 10,400 Nov 120 calls (ref. 116.01)

FL Seller 3,000 Oct 42.5 – 47.5 call spreads (likely closing, ref. 49.16)

COL Buyer 3,000 Nov 135-120-105 put fly (ref 135.38)

 

Macro Options Strategies

Bullish Option Strategies

TLT Seller 10,000 Nov 111 puts to Buy 10,000 Nov 115 calls (ref. 113.12)

TLT Buyer 11,500 Nov 118 calls (ref. 113.57)

EWZ Seller 32,500 Jan 31 puts to Buy 32,500 Jan 47 calls (ref. 39.12)

EEM Seller 10,000 Nov 36 puts (ref. 40.65)

XRT Seller 40,000 Dec 47 puts tied to stock (ref. 48.65)

SPY Buyer 12,570 Nov 301 calls (ref. 288.27)

HYG Buyer 10,000 Oct 82-85 put spread to sell Nov 81-84 to roll out (ref 85.22)

EFA Buyer 48,118 Oct 26th 67 calls (ref 65.97)

 

Bearish Option Strategies

HYG Buyer 5,000 Dec 85 – 80 puts spreads (ref. 85.14)

VXX Buyer 31,210 Dec 35 – 45 call spreads (ref. 28.55)

 

 

Finance Trades Options Strategies

CSX 7,500 Oct 75 RC trade (ref. 75.18)

 

 

 

Upcoming Earnings

 

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
FAST 10/10/2018 7.4 5.4 36.60% A 17094
WBA 10/11/2018 4 4 0.30% B 72613
DAL 10/11/2018 3.3 2.1 52.20% C 115842
C 10/12/2018 2.6 1.5 74.10% C 417132
JPM 10/12/2018 2.1 1.3 55.20% C 625338
WFC 10/12/2018 2.7 1.9 44.50% C 325855
PNC 10/12/2018 2.3 1 130.90% B 25760
BAC 10/15/2018 2.7 1.4 93.50% C 728412
SCHW 10/15/2018 3.2 1.7 87.10% C 24039
OMC 10/16/2018 4 3.9 3.80% C 11705
NFLX 10/16/2018 9 8 12.60% C 3440304
DPZ 10/16/2018 5.7 4.6 24.20% B 22053
BLK 10/16/2018 3.3 1.7 93.00% A 82822
CMA 10/16/2018 2.8 2.3 18.90% B 9682
GS 10/16/2018 3 1.9 57.00% C 524344
IBKR 10/16/2018 4.3 2.4 74.60% D 3366
MS 10/16/2018 3.5 1.7 102.40% D 186863
PGR 10/16/2018 3 1.9 60.10% A 10375
JNJ 10/16/2018 2.5 2.7 -6.50% B 284151
UNH 10/16/2018 2.9 2.6 9.50% A 203942
UAL 10/16/2018 5.1 6.5 -20.50% C 103915
GWW 10/16/2018 8.2 8.8 -6.80% C 39194
JBHT 10/16/2018 4.3 2.5 69.20% B 4399
CSX 10/16/2018 4.2 4.6 -9.10% A 72878
PLD 10/16/2018 5.4 2.3 138.50% D 2930
IBM 10/16/2018 4.2 4.7 -11.40% C 377525
LRCX 10/16/2018 6 4.1 47.00% C 148775
CREE 10/16/2018 9 7.2 24.80% D 28237
AA 10/17/2018 4.5 6 -25.30% C 72166
STLD 10/17/2018 3.7 2.9 30.60% A 6178
WGO 10/17/2018 9 7.2 25.40% D 6011
CCK 10/17/2018 4.1 2.2 88.50% D 13164
EBAY 10/17/2018 6.9 7.1 -2.30% D 73979
KMI 10/17/2018 2.3 2.6 -9.00% C 22628
NTRS 10/17/2018 3.5 3.2 7.60% B 11469
MTB 10/17/2018 2.5 2.4 0.50% A 5628
USB 10/17/2018 2.3 1.2 83.80% B 67291
ABT 10/17/2018 2.8 2.1 31.70% B 98578
URI 10/17/2018 5.9 4.7 25.50% B 47042
CCI 10/17/2018 2.3 1.8 32.10% C 31795
CE 10/18/2018 3.8 2.9 33.70% A 3976
PPG 10/18/2018 1.5 2.2 -32.30% C 6142
NUE 10/18/2018 2.5 2.2 14.80% B 19685
SKX 10/18/2018 12.4 17.6 -29.50% D 7961
GPC 10/18/2018 3.5 3.7 -6.30% A 7097
PM 10/18/2018 3.2 4.1 -21.20% C 117694
BK 10/18/2018 3.4 3.6 -6.50% C 32557
BX 10/18/2018 2.4 1.4 68.20% D 78783
BBT 10/18/2018 2.4 2.5 -1.70% B 19066
KEY 10/18/2018 3 2.7 11.50% B 4260
ETFC 10/18/2018 6.4 2.4 164.60% C 35865
ADS 10/18/2018 4.6 4.1 11.20% B 7947
AXP 10/18/2018 3.4 3.5 -1.10% C 90299
PYPL 10/18/2018 5.2 4.7 11.30% D 337855
TRV 10/18/2018 2.8 2.9 -5.40% B 14541
DHR 10/18/2018 2.8 3 -7.60% A 14522
ISRG 10/18/2018 5.5 4.2 31.00% C 223642
TXT 10/18/2018 4.2 3.2 32.60% B 12109
EEFT 10/18/2018 2.8 5.3 -46.40% A 3745
DOV 10/18/2018 4.1 2.9 43.60% D 9690
SNA 10/18/2018 5.2 5.7 -8.20% A 5931
ATHN 10/18/2018 5.9 10 -40.60% B 41620
VICR 10/18/2018 14.7 13.2 11.20% F 4698
CLF 10/19/2018 7.7 9.3 -17.50% C 40569
VFC 10/19/2018 4.3 4.5 -4.10% C 20128
PG 10/19/2018 2.5 2.5 1.80% C 99695
SLB 10/19/2018 3.2 1.5 114.40% D 126081
STT 10/19/2018 3.6 4.1 -11.40% D 9437
STI 10/19/2018 2.2 1.5 41.80% B 12398
SYF 10/19/2018 4.3 3.5 23.10% D 16553
MAN 10/19/2018 5.4 5.4 1.10% C 4425
HON 10/19/2018 2.8 1.9 42.40% C 141434
KSU 10/19/2018 3.1 2.3 34.50% A 19778

 

Volatility Standouts

 

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
TSRO 72.57% F 1.60% 76.19 7767
UNIT 72.00% C 0.30% 80.95 9540
CTXS 62.58% C 2.01% 65.48 28171
UTX 61.12% C 4.36% 78.17 75756
VRSN 60.37% A -0.24% 94.44 16837
ETFC 60.20% C 0.41% 98.81 35865
UNM 59.59% B 3.06% 92.86 11880
ACHC 57.83% C -0.07% 100 3867
CZR 57.68% D -1.46% 93.25 31368
PRTY 55.91% C 1.61% 49.21 3796
KDP 55.07% F 3.47% 98.02 950
NDLS 53.19% C 1.53% 38.1 335
HEAR 52.68% D -10.98% 41.05 4052
COL 52.61% A 2.47% 98.81 64394
MHK 49.92% C -1.81% 99.6 25666
CDK 49.35% A 1.30% 66.27 1513
DNKN 48.56% B 1.53% 48.81 7535
JEC 48.42% C 0.60% 30.16 5397
TJX 48.25% A 0.05% 40.08 34732
CTAS 47.93% A 2.17% 46.83 25411
IMMU 47.24% D 0.90% 41.27 7298
WH 46.92% D 2.37% 73.81 3539
PH 46.88% B 2.99% 82.54 21561
PANW 46.81% D -1.54% 68.25 102725

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
XOXO -72.20% C 1.60% 0.79 928
SONC -68.51% C 0.30% 3.17 3685
USG -64.80% C 2.01% 7.54 162
AKRX -57.26% F 4.36% 82.14 11651
CA -53.47% B -0.24% 0.8 491
IDTI -51.29% C 0.41% 6.35 1518
EVHC -50.22% B 3.06% 14.68 1732
CASA -35.68% D -0.07% 26.73 1257
OCLR -34.23% C -1.46% 26.59 330
DY -32.61% F 1.61% 52.78 1256
TTD -32.34% D 3.47% 98.81 92076
BBY -32.09% C 1.53% 60.32 117585
ATHN -28.17% B -10.98% 14.29 41620
IPGP -26.79% C 2.47% 95.24 14243
P -26.67% F -1.81% 0 13350
INFN -26.13% C 1.30% 95.24 2803
SNAP -24.58% F 1.53% 93.65 111637
ARNC -23.50% D 0.60% 94.84 13973
FOSL -23.35% F 0.05% 76.19 3343
DXC -23.17% A 2.17% 68.53 7576
EXAS -22.82% F 0.90% 65.87 27578
ANF -22.68% D 2.37% 94.84 3892
EBIX -21.42% B 2.99% 99.6 21061
BTU -20.64% C -1.54% 78.57 4155