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VIX trading on highs as Equities continue to slide

Oct 11, 2018

Options Market Commentary

Equities continue their slide after yesterday’s selloff.  Tech and Small Cap tried to rally in the 1st hour of trading but failed to hold their gains.  The major averages are all showing losses midday with the S&P -.20%, the Russell -.50%, and the Nasdaq -.30%. Bonds are in the green day today with TLT +.1.00% and the 10-year yield receding to 3.165%. Gold is showing strength, up 2.25% and the Miners ETF, GDX is +4.75%. Energy is off recent highs with WTI crude down -2.5% and Energy ETFs struggling as well – XOP -1.3% and XLE -2.1%. Volatilities are taking a breather with the VIX 0.4% to 22.53, RVX -3.0% to 22.95, and VXN

-3.3% to 26.63.

 

ETF 30D Volatility Changes

SPY:        +4%

IWM:      -3%

QQQ:      -2%

 

Directional Options Strategies

Bullish Option Strategies

PYPL Buyer 5,000 Jan 75 call options (ref. 76.55)

PBR Buyer 95,000 Nov 16 – 18 call options spreads (ref. 15.38)

AAL Buyer 10,000 Feb 36 – 46 call options spreads (ref. 31.89)

DAN Buyer 4,000 Mar 18 call options (ref. 17.40)

BX 8,500 Jan 35 and Jan20 40 call options trade (ref. 35.49)

HON Seller 2,700 Dec 155 – 150 put options spreads (ref. 157.62)

ALLY Buyer 10,000 Jan20 25 call options (ref. 26.25)

Bearish Option Strategies

KR 3,500 Dec 28 put options trade (ref. 27.65)

AEO Seller 3,000 Nov 23 put options to Buy 4,000 Nov 22 put options (rolls down, ref. 21.51)

SWN Buyer 10,000 Dec 4 put options (ref. 5.45)

CCJ 6,200 Nov 11 put options trade (ref. 11.51)

DF Buyer 15,600 Jan21 3 put options trade (ref. 7.24)

SNAP 10,000 Jan20 5 put options trade (ref. 6.65)

CHK Buyer 20,000 Jan 5.5 call options (closing) to Sell 19,000 Apr 6 call options (rolls write, ref. 4.43)

 

Macro Options Strategies

Bullish Option Strategies

XLF Seller 10,000 Nov 26 put options to Buy 10,000 Nov 28 call options (ref. 27.20)

SPY Buyer 30,000 Jan 310 call options (ref. 277.22)

EEM 25,000 Dec 42 – 45 call options spreads (ref. 39.49)

 

Bearish Option Strategies

VIX 25,000 Oct – Nov 37.5 call options spreads trade (ref. 18.02)

SPY Buyer 14,358 Oct 12th 240 put options (ref. 277.21)

SPY Buyer 18,500 Nov 265 – 255 put options spreads (ref. 278.22)

GLD Buyer 27,000 Nov 110 put options (ref. 114.25)

SPY Buyer 40,000 Oct 31st 2200 put options (ref. 2780.74)

GDX Buyer 20,000 Nov 19 put options (ref. 19.12)

HYG Seller 25,000 Nov 83 put options to Buy 25,000 Dec 84 put options (rolls out and up, ref. 84.84)

VNQ 22,500 Mar 74 put options trade (ref. 77.35)

 

Upcoming Earnings

 

On Mobile/Tablet scroll to the right.

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
C 10/12/2018 3.1 1.5 107.8% C 452,943
JPM 10/12/2018 2.7 1.3 101.5% C 633,407
WFC 10/12/2018 3.2 1.9 70.1% C 311,601
PNC 10/12/2018 2.3 1.0 133.6% B 26,314
BAC 10/15/2018 3.4 1.4 146.4% C 738,998
SCHW 10/15/2018 3.9 1.7 128.5% C 25,395
JBHT 10/15/2018 4.1 2.5 62.8% B 5,654
OMC 10/16/2018 3.9 3.9 0.3% C 7,101
NFLX 10/16/2018 10.3 8.0 29.4% C 3,368,621
DPZ 10/16/2018 6.5 4.6 43.4% B 23,286
BLK 10/16/2018 2.9 1.7 68.6% A 145,495
CMA 10/16/2018 3.5 2.3 49.1% B 10,770
GS 10/16/2018 4.0 1.9 111.7% C 518,253
IBKR 10/16/2018 4.3 2.4 77.0% D 3,133
MS 10/16/2018 4.0 1.7 130.5% D 195,924
PGR 10/16/2018 3.2 1.9 71.0% A 14,333
JNJ 10/16/2018 3.0 2.7 12.6% B 285,593
UNH 10/16/2018 3.6 2.6 37.0% A 225,677
UAL 10/16/2018 6.0 6.5 -7.1% C 142,315
GWW 10/16/2018 9.3 8.8 5.8% C 42,469
CSX 10/16/2018 5.5 4.6 19.8% A 95,527
PLD 10/16/2018 3.7 2.3 64.3% D 3,505
IBM 10/16/2018 5.0 4.7 6.2% C 316,688
LRCX 10/16/2018 6.5 4.1 57.8% C 167,253
CREE 10/16/2018 9.4 7.2 30.2% D 24,514
AA 10/17/2018 5.5 6.0 -8.6% C 63,799
STLD 10/17/2018 4.1 2.9 44.2% A 6,693
WGO 10/17/2018 9.3 7.2 29.5% D 5,733
CCK 10/17/2018 4.9 2.2 124.8% D 56,435
KMI 10/17/2018 3.3 2.6 28.8% C 25,962
NTRS 10/17/2018 4.0 3.2 23.0% B 12,010
MTB 10/17/2018 2.8 2.4 13.7% A 5,497
USB 10/17/2018 2.9 1.2 138.1% B 64,162
ABT 10/17/2018 3.6 2.1 71.4% B 88,154
URI 10/17/2018 6.7 4.7 43.4% B 52,111
CCI 10/17/2018 2.6 1.8 47.3% C 36,892
SLG 10/17/2018 3.4 1.7 101.0% D 2,936
CE 10/18/2018 4.6 2.9 60.8% A 6,501
PPG 10/18/2018 2.4 2.2 6.6% C 10,947
NUE 10/18/2018 3.5 2.2 61.5% B 24,593
SKX 10/18/2018 13.5 17.6 -23.3% D 9,489
GPC 10/18/2018 3.9 3.7 5.5% A 6,733
PM 10/18/2018 4.3 4.1 5.1% C 122,961
BK 10/18/2018 4.3 3.6 19.1% C 33,000
BX 10/18/2018 2.6 1.4 81.3% D 80,033
BBT 10/18/2018 2.9 2.5 19.1% B 16,051
KEY 10/18/2018 3.3 2.7 21.8% B 4,059
SBNY 10/18/2018 5.3 2.7 96.5% C 3,017
ETFC 10/18/2018 5.7 2.4 134.7% C 31,764
ADS 10/18/2018 5.0 4.1 21.5% B 8,028
AXP 10/18/2018 4.1 3.5 18.1% C 90,783
PYPL 10/18/2018 6.3 4.7 34.2% D 366,960
TRV 10/18/2018 3.5 2.9 18.5% B 15,826
DHR 10/18/2018 3.5 3.0 16.8% A 15,309
ISRG 10/18/2018 6.0 4.2 43.0% C 225,400
TXT 10/18/2018 5.1 3.2 58.4% B 11,489
EEFT 10/18/2018 3.2 5.3 -38.4% A 3,951
DOV 10/18/2018 4.5 2.9 56.9% D 10,016
SNA 10/18/2018 5.5 5.7 -2.7% A 7,538
ATHN 10/18/2018 5.6 10.0 -44.0% B 32,547
VICR 10/18/2018 16.9 13.2 27.8% F 4,593
CLF 10/19/2018 8.7 9.3 -6.6% C 35,577
VFC 10/19/2018 5.1 4.5 12.2% C 21,519
PG 10/19/2018 2.9 2.5 18.0% C 98,037
SLB 10/19/2018 3.9 1.5 164.6% D 113,544
STT 10/19/2018 4.1 4.1 0.6% D 9,150
STI 10/19/2018 3.0 1.5 97.0% B 12,389
SYF 10/19/2018 4.9 3.5 41.6% D 11,293
MAN 10/19/2018 6.1 5.4 12.5% C 4,612
HON 10/19/2018 3.6 1.9 83.8% C 112,912

 

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
ACHC 73.52% C 8.43% 100.00           5,348
NDLS 70.83% C 0.00% 79.45              327
UNM 69.10% B -0.38% 96.84         10,669
EAF 68.96% B -4.39% 98.06           2,901
CTXS 68.42% C 6.50% 87.75         26,613
AIZ 63.38% C 3.78% 77.87           3,250
BLMN 62.21% F 2.83% 98.81              867
PRSP 62.02% F -18.05% 44.19              423
WH 59.69% D 10.77% 81.40           3,671
HEAR 58.73% D 4.12% 43.30           3,975
KDP 57.31% F 13.73% 99.21           1,409
USB 57.02% B 0.71% 88.93         64,162
SNV 56.53% C 21.46% 87.35           2,663
TIVO 56.23% C -1.63% 96.05           1,632
IMMU 56.11% D 15.66% 56.92           7,464
DVA 55.54% D 0.30% 98.02         31,795
BHF 54.17% D -0.62% 94.07           3,784
MYL 53.26% C 0.47% 98.02         49,043
VRSN 52.67% A -1.42% 99.60         18,036
DISH 52.19% C 1.08% 96.05         28,684
GDEN 52.09% C 0.00% 81.82           1,179
STAY 51.79% B 4.31% 76.28              196
EPC 51.78% C 4.78% 86.56           2,000
TTWO 51.55% D 1.76% 99.60       102,598

 

 

On Mobile/Tablet scroll to the right.

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
SONC -69.19% C 0.00% 0.40 565
XOXO -66.87% C 0.00% 4.35 68
AKRX -61.57% F 0.00% 44.66 7,941
IMPV -53.92% C 0.00% 0.00 3,796
OCLR -35.60% C -3.88% 30.04 350
TTD -32.69% D -1.71% 100.00 73,268
CASA -31.36% D 3.16% 60.19 1,467
ATHN -29.80% B -8.95% 41.50 32,547
BBY -29.44% C -4.03% 80.24 125,088
DY -24.99% F 2.52% 93.28 1,586
PTCT -23.06% F 0.00% 69.96 4,667
P -22.98% F 8.08% 1.58 4,162
HDP -22.50% F -5.04% 88.93 2,077
SNAP -21.94% F -4.01% 99.60 122,710
IPGP -21.38% C 0.33% 99.60 13,345
EBIX -21.09% B -6.05% 99.60 23,601
ANF -20.02% D 0.70% 85.38 4,283
VKTX -19.36% F -0.90% 26.42 12,178
EEFT -18.47% A -0.30% 92.49 3,951
FOSL -17.42% F -16.33% 89.72 3,134
DXC -17.39% A 3.98% 77.78 8,447
PPG -17.22% C 1.18% 98.02 10,947
AAOI -16.31% F -0.08% 71.54 14,150
SKX -15.66% D -1.46% 97.63 9,489