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VIX spikes above 19 as rout in US stocks continues

Oct 10, 2018

Options Market Commentary

Equities started the day softer before accelerating into a meaningful selloff with the S&P -1.54%, the Russell -1.5%, and the Nasdaq -2.37%. Bonds are also lower and TLT is -.40% and the 10-year yield sitting at 3.22%. Gold is unchanged though the Miners ETF, GDX is slightly stronger +.33% reversing yesterday’s gains. Energy is taking a hit with WTI crude -2% and Energy ETFs down as well, XOP -2.87% and XLE -2%. Volatilities are mixed after being down earlier with the VIX +14% to 18.20, RVX +11% to 21.62, and VXN +12% to 24.27.

 

ETF 30D Volatility Changes

SPY:        +3%

IWM:      +4%

QQQ:      +3%

 

Directional Options Strategies

Bullish Option Strategies

BOX 3,000 Nov 19 calls trade (ref. 19.12)

GE 50,000 Dec 15 call options trade (ref. 13.45)

BABA Buyer 4,000 Nov 145 – 165 call options spreads (ref. 140.68)

INTC Buyer 10,000 Nov 47 – 50 call options spreads (ref. 45.28)

LKQ Buyer 3,000 Nov 27.5 call options (Earnings 10/25, ref. 28.32)

Bearish Option Strategies

FCX Buyer 2,000 Jan 12 – 10 1x2 put options spreads (ref. 12.87)

CVE Buyer 3,300 Dec 9 put options (ref. 9.55)

CCK Seller 26,000 Jan 49 – 55 call options spreads (likely closing, ref. 48.35)

PFE Buyer 7,500 Dec 44 call options to Sell 7,500 Jan 46 call options (rolls write, ref. 45.58)

MO Seller 19,000 Oct 64.5 call options (ref. 63.66)

ABX Buyer 8,580 Jan 9 put options (ref. 11.15)

V Seller 7,600 Nov 150 call options (ref. 138.41)

UNP Seller 3,000 Oct 12th 152.5 – 157.5 call options spreads (likely closing, ref. 156.76)

JNK Buyer 33,000 Nov 35 put options (ref. 35.35)

 

Macro Options Strategies

Bullish Option Strategies

TLT Buyer 5,000 Dec 118 call options (ref. 113.44)

FXI 22,000 Jan 50 call options trade (ref. 40.01)

EEM Buyer 23,200 Jan 43 call options (ref. 40.14)

EWZ Seller 7,600 Dec 34 put options to Buy 7,600 Dec 44 call options (ref. 38.56)

QQQ Buyer 7,500 Nov 180 – 187 call options spreads (ref. 175.25)

 

Bearish Option Strategies

XLI Buyer 5,086 Nov 2nd 76.5 put options (ref. 76.96)

QQQ Buyer 12,044 Nov 9th 174.5 – 171 put options spreads to Sell 18,066 Nov 9th 165 – 160 put options spreads (ref. 176.14)

QQQ Buyer 21,035 Nov 2nd 170 put options (ref. 176.55)

SPY 15,500 Nov 2nd 257.5 – 267.5 – 277.5 put options flies trade (ref. 283.06)

 

Finance Trades Options Strategies

TSLA 1,000 Nov 270 RC trade (ref. 253.56)

HYG 10,000 Nov 95 RC trade (ref. 84.93)

AABA 3,800 Nov 65 RC trade (ref. 59.16)

MU 10,000 Dec 42 RC trade (ref. 41.87)

 

Upcoming Earnings

 

On Mobile/Tablet scroll to the right.

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
WBA 10/11/2018 3.8 4.0 -3.7% B            74,411
DAL 10/11/2018 3.7 2.1 72.3% C          118,011
C 10/12/2018 2.7 1.5 80.8% C          454,214
JPM 10/12/2018 2.2 1.3 66.4% C          645,835
WFC 10/12/2018 2.9 1.9 55.7% C          324,601
PNC 10/12/2018 2.2 1.0 122.3% B            26,244
BAC 10/15/2018 2.8 1.4 100.7% C          719,634
SCHW 10/15/2018 3.4 1.7 98.8% C            24,691
JBHT 10/15/2018 3.8 2.5 51.0% B              4,833
OMC 10/16/2018 4.4 3.9 13.9% C              8,036
NFLX 10/16/2018 10.0 8.0 25.1% C       3,570,620
DPZ 10/16/2018 6.1 4.6 33.8% B            19,564
BLK 10/16/2018 3.2 1.7 84.6% A            88,797
CMA 10/16/2018 2.9 2.3 21.6% B              9,084
GS 10/16/2018 3.3 1.9 73.0% C          531,906
IBKR 10/16/2018 4.4 2.4 79.2% D              3,445
MS 10/16/2018 3.6 1.7 108.6% D          183,786
PGR 10/16/2018 3.3 1.9 72.8% A            12,531
JNJ 10/16/2018 2.7 2.7 -0.4% B          277,885
UNH 10/16/2018 3.2 2.6 20.3% A          204,871
UAL 10/16/2018 5.7 6.5 -12.5% C          122,813
GWW 10/16/2018 9.2 8.8 3.8% C            38,250
CSX 10/16/2018 5.7 4.6 22.9% A            82,860
PLD 10/16/2018 5.6 2.3 144.9% D              2,878
IBM 10/16/2018 4.7 4.7 0.3% C          359,871
LRCX 10/16/2018 6.3 4.1 53.5% C          157,135
CREE 10/16/2018 9.0 7.2 25.0% D            28,392
AA 10/17/2018 5.2 6.0 -13.7% C            71,969
STLD 10/17/2018 4.1 2.9 42.7% A              6,159
WGO 10/17/2018 9.6 7.2 33.9% D              5,620
CCK 10/17/2018 4.2 2.2 91.3% D            13,107
EBAY 10/17/2018 7.6 7.1 6.9% D            87,710
KMI 10/17/2018 2.9 2.6 14.5% C            26,094
NTRS 10/17/2018 3.5 3.2 10.0% B            11,537
MTB 10/17/2018 2.5 2.4 0.7% A              5,580
USB 10/17/2018 2.3 1.2 83.3% B            60,231
ABT 10/17/2018 3.1 2.1 45.1% B            91,718
URI 10/17/2018 6.8 4.7 46.4% B            45,852
CCI 10/17/2018 2.4 1.8 38.6% C            32,033
SLG 10/17/2018 3.0 1.7 79.2% D              2,696
CE 10/18/2018 4.2 2.9 47.3% A              4,500
PPG 10/18/2018 1.4 2.2 -35.9% C              9,551
NUE 10/18/2018 2.9 2.2 31.9% B            19,751
SKX 10/18/2018 13.1 17.6 -25.6% D              8,784
GPC 10/18/2018 3.6 3.7 -4.1% A              6,859
PM 10/18/2018 3.7 4.1 -8.5% C          119,235
BK 10/18/2018 3.5 3.6 -3.2% C            32,292
BX 10/18/2018 3.2 1.4 120.9% D            75,929
BBT 10/18/2018 2.5 2.5 -0.1% B            18,439
KEY 10/18/2018 3.1 2.7 14.0% B              3,924
SBNY 10/18/2018 4.9 2.7 84.0% C              2,784
ETFC 10/18/2018 6.0 2.4 146.4% C            35,273
ADS 10/18/2018 4.7 4.1 12.7% B              7,965
AXP 10/18/2018 3.6 3.5 5.1% C            90,260
PYPL 10/18/2018 5.7 4.7 20.8% D          348,463
TRV 10/18/2018 3.0 2.9 1.6% B            14,167
DHR 10/18/2018 2.9 3.0 -4.9% A            14,744
ISRG 10/18/2018 5.6 4.2 33.3% C          219,630
TXT 10/18/2018 4.8 3.2 50.5% B            11,181
EEFT 10/18/2018 2.9 5.3 -45.5% A              3,887
DOV 10/18/2018 4.1 2.9 42.4% D              9,486
SNA 10/18/2018 5.5 5.7 -3.6% A              7,118
ATHN 10/18/2018 6.5 10.0 -34.5% B            40,514
VICR 10/18/2018 15.7 13.2 19.0% F              4,725
CLF 10/19/2018 8.2 9.3 -12.3% C            36,253
VFC 10/19/2018 6.0 4.5 32.1% C            20,449
PG 10/19/2018 2.6 2.5 4.8% C            99,120
SLB 10/19/2018 3.3 1.5 122.8% D          119,751
STT 10/19/2018 3.8 4.1 -6.3% D            10,109
STI 10/19/2018 2.3 1.5 51.2% B            13,290
SYF 10/19/2018 4.6 3.5 31.2% D            16,177
MAN 10/19/2018 5.5 5.4 2.6% C              4,516
HON 10/19/2018 3.1 1.9 58.1% C          150,370
KSU 10/19/2018 3.4 2.3 50.9% A            19,285

 

Volatility Standouts

 

On Mobile/Tablet scroll to the right.

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
TSRO 72.40% F 0.00% 80.63           7,758
ACHC 69.80% C 0.00% 99.60           4,334
VRSN 69.16% A 0.00% 98.02         17,376
UNIT 67.43% C 0.00% 79.45           8,598
CTXS 67.24% C 0.00% 77.47         25,306
ETFC 67.10% C 0.00% 98.81         35,273
UNM 66.52% B 0.00% 92.09         11,034
HEAR 57.70% D 0.00% 35.42           3,857
JEC 57.19% C 0.00% 34.78           5,815
TJX 55.15% A 0.00% 45.85         33,950
DVA 54.82% D 0.00% 98.02         34,754
LOW 54.43% D 0.00% 82.61       168,018
FAST 54.19% A 0.00% 98.02         27,513
CZR 53.48% D 0.00% 94.47         24,818
HCA 53.18% B 0.00% 56.92         13,701
TWOU 52.84% F 0.00% 96.84           2,049
UTX 52.44% C 0.00% 85.77         99,301
CDK 50.83% A 0.00% 77.87           2,681
PH 49.92% B 0.00% 84.58         21,807
DISH 48.57% C 0.00% 69.17         28,399
PANW 48.13% D 0.00% 73.91       101,904
CTAS 47.37% A 0.00% 46.64         20,933
JKHY 47.35% A 0.00% 93.68           2,009
MYL 46.89% C 0.00% 94.47         46,816

 

On Mobile/Tablet scroll to the right.

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
XOXO -68.02% C 0.00% 0.40              318
SONC -66.43% C 0.00% 2.37              838
AKRX -60.17% F 0.00% 45.45           8,680
EVHC -53.92% B 0.00% 13.04           1,342
CASA -36.50% D 0.00% 35.29           1,212
IDTI -34.94% C 0.00% 3.16           1,109
USG -34.82% C 0.00% 13.83              134
OCLR -33.38% C 0.00% 23.32              348
CA -32.72% B 0.00% 1.98              515
TTD -31.74% D 0.00% 99.60         80,462
BBY -29.99% C 0.00% 62.06       125,561
DY -26.72% F 0.00% 65.22           1,169
P -26.47% F 0.00% 0.40         11,402
ATHN -26.06% B 0.00% 27.27         40,514
INFN -25.84% C 0.00% 94.47           2,821
IPGP -24.23% C 0.00% 97.63         14,109
ANF -23.22% D 0.00% 81.82           3,950
PPG -22.93% C 0.00% 96.05           9,551
EBIX -22.34% B 0.00% 99.21         23,954
SNAP -20.28% F 0.00% 98.81       117,803
DXC -20.25% A 0.00% 69.44           7,622
PTCT -19.57% F 0.00% 74.31           4,613
EEFT -19.47% A 0.00% 89.33           3,887
FOSL -19.40% F 0.00% 75.10           3,175