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VIX breaks above 25 as S&P500 halts 2-day skid

Oct 12, 2018

Options Market Commentary

Equities opened with strong positive momentum before giving back roughly half their early-morning gains. Indexes are mixed with the S&P +.75%, the Russell -.12%, and the Nasdaq +1.55%. Bonds are slightly softer with TLT -.08% and the 10-year yield up to 3.144%. Gold is taking a breather, down .40% and the Miners ETF slightly worse with GDX -1%. Energy down a bit with WTI crude -.25% and Energy ETFs are mixed – XOP +.3% and XLE -.3%. Volatilities reflect the market’s uncertainty with the VIX -4% to 23.87, RVX +4% to 24.52, and VXN -6% to 25.91.

 

ETF 30D Volatility Changes

SPY:       -5%

IWM:     -4%

QQQ:     -5%

 

Directional Options Strategies

Bullish Option Strategies

ETP Buyer 3,500 Jan 22 call options (ref. 21.84)

PENN Buyer 10,000 Apr 32 – 38 call options spreads (ref. 29.13)

KEY Buyer 8,500 Nov 2nd 20.5 call options (ref. 18.95)

MRVL Seller 25,000 Nov 17 puts tied to stock (ref. 18.09)

STZ Seller 2,000 Jan 215 puts (ref. 224.20)

MRK Buyer 10,657 Jan 70 – 72.5 call options spreads (ref. 69.25)

 

Bearish Option Strategies

JD Buyer 5,100 Dec 22 put options (ref. 23.92)

AG Seller 6,800 Nov 23rd 6.5 call options (ref. 5.95)

GME Seller 5,800 Oct 15 put options (closing) to Buy 14,500 Oct 14 put options (rolls down, ref. 14.99)

FOXA Seller 3,000 Apr 48 call options to Buy 3,000 Apr 40 put options (ref. 45.05)

 

Macro Options Strategies

Bullish Option Strategies

FXI Buyer 15,000 Dec 48 call options (ref. 39.91)

SPY 30,000 Oct 26th 287.5 – 300 call options spreads trade (276.83)

SPY Buyer 132,000 Nov 2nd 289 – 290 call options spreads (ref. 276.26)

 

Bearish Option Strategies

SPY 7,750 Oct 26th 275 – 265 – 255 put options flies trade (ref. 276.50)

XLF Buyer 7,350 Dec 26 put options (ref. 26.64)

HYG Buyer 7,000 Mar 79 put options (ref. 85.10)

EEM Seller 101,000 Dec 44 put options to Buy 101,000 Dec 40 put options (rolls down, ref. 40.19)

XOP Seller 20,000 Nov 42- 38 put options spreads to Buy 40,000 Nov 40 -36 put options spreads (ref. 41.28)

 

 

Finance Trades Options Strategies

USO 15,000 Jan 15 RC trade (ref. 15.04)

 

 

Upcoming Earnings

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
BAC 10/15/2018 3.7 1.4 169.2% C             824,180
SCHW 10/15/2018 4.4 1.7 158.6% C               33,121
JBHT 10/15/2018 4.3 2.5 70.2% B                 6,550
OMC 10/16/2018 4.1 3.9 4.3% C                 6,523
NFLX 10/16/2018 9.5 8.0 18.9% C          3,382,107
DPZ 10/16/2018 6.3 4.6 38.5% B               23,924
BLK 10/16/2018 3.3 1.7 91.6% A             170,454
CMA 10/16/2018 3.8 2.3 60.3% B               11,015
GS 10/16/2018 4.0 1.9 109.3% C             546,142
IBKR 10/16/2018 4.2 2.4 74.2% D                 3,746
MS 10/16/2018 3.8 1.7 117.7% D             219,154
PGR 10/16/2018 3.3 1.9 76.3% A               21,891
JNJ 10/16/2018 3.1 2.7 13.1% B             291,428
UNH 10/16/2018 3.4 2.6 29.6% A             211,154
UAL 10/16/2018 5.9 6.5 -8.7% C             147,965
GWW 10/16/2018 9.8 8.8 10.7% C               38,498
CSX 10/16/2018 5.0 4.7 6.9% A             100,826
PLD 10/16/2018 6.7 2.3 195.9% D                 3,397
IBM 10/16/2018 5.0 4.7 5.9% C             330,812
LRCX 10/16/2018 6.0 4.1 45.6% C             168,549
CREE 10/16/2018 9.7 7.2 35.1% D               20,869
AA 10/17/2018 5.6 6.0 -7.5% C               65,155
STLD 10/17/2018 4.2 2.9 47.8% A                 5,597
WGO 10/17/2018 9.7 7.2 34.5% D                 5,787
CCK 10/17/2018 4.3 2.2 97.6% D               56,535
KMI 10/17/2018 3.4 2.6 34.0% C               28,219
NTRS 10/17/2018 4.1 3.2 28.6% B               12,242
MTB 10/17/2018 3.3 2.4 33.3% A                 5,483
USB 10/17/2018 3.3 1.2 164.8% B               69,563
ABT 10/17/2018 3.5 2.1 66.3% B               82,415
URI 10/17/2018 6.7 4.7 43.4% B               56,985
CCI 10/17/2018 2.8 1.8 57.1% C               35,209
SLG 10/17/2018 3.4 1.7 102.6% D                 2,253
CE 10/18/2018 5.2 2.9 80.4% A                 6,913
PPG 10/18/2018 1.9 2.2 -16.1% C               11,006
NUE 10/18/2018 3.7 2.2 67.4% B               25,838
SKX 10/18/2018 13.6 17.6 -22.4% D                 9,638
GPC 10/18/2018 4.0 3.7 7.4% A                 6,782
PM 10/18/2018 4.5 4.1 9.4% C             113,759
BK 10/18/2018 4.6 3.6 25.7% C               32,866
BX 10/18/2018 3.0 1.4 108.9% D               79,221
BBT 10/18/2018 3.3 2.5 33.2% B               14,362
KEY 10/18/2018 3.9 2.7 43.8% B                 4,924
SBNY 10/18/2018 6.9 2.7 156.3% C                 2,976
WBS 10/18/2018 6.0 2.8 109.3% C                 2,639
ETFC 10/18/2018 5.9 2.4 142.7% C               29,125
ADS 10/18/2018 6.3 4.1 53.5% B                 9,063
AXP 10/18/2018 4.3 3.5 23.4% C               91,090
PYPL 10/18/2018 5.8 4.7 22.9% D             388,299
TRV 10/18/2018 3.6 2.9 20.7% B               19,126
DHR 10/18/2018 3.5 3.0 17.4% A               17,011
ISRG 10/18/2018 5.5 4.2 30.0% C             234,548
TXT 10/18/2018 5.2 3.2 63.1% B               18,659
EEFT 10/18/2018 3.4 5.3 -35.5% A                 3,992
DOV 10/18/2018 4.6 2.9 61.9% D                 9,767
SNA 10/18/2018 5.4 5.7 -3.8% A               13,286
VICR 10/18/2018 16.1 13.2 21.8% F                 4,537
CLF 10/19/2018 9.0 9.3 -3.0% C               34,737
VFC 10/19/2018 5.2 4.5 14.3% C               21,937
PG 10/19/2018 3.0 2.5 22.3% C             107,902
SLB 10/19/2018 3.9 1.5 163.8% D             126,495
STT 10/19/2018 4.2 4.1 3.5% D               14,579
STI 10/19/2018 3.5 1.5 129.9% B               13,120
SYF 10/19/2018 5.6 3.5 59.6% D               13,890
MAN 10/19/2018 6.7 5.4 24.8% C                 4,553
HON 10/19/2018 3.5 1.9 81.9% C             112,941
KSU 10/19/2018 4.5 2.3 96.7% A               21,680
PII 10/22/2018 8.7 7.8 12.1% C                 5,931
HAS 10/22/2018 8.0 8.4 -4.5% D               17,069
KMB 10/22/2018 3.8 1.5 149.0% C               15,852
PETS 10/22/2018 12.0 10.8 10.5% C                 2,772
HAL 10/22/2018 5.3 3.7 44.5% C             111,306
ZION 10/22/2018 5.7 1.8 222.4% B               24,895
AMTD 10/22/2018 4.1 2.5 63.1% C               25,137

 

Volatility Standouts

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
TSRO 73.14% F -0.89% 90.51              7,396
PRSP 70.93% F 6.07% 49.43                 411
COL 69.97% A 9.54% 98.81          131,788
BECN 62.36% C 15.14% 99.60              1,574
ACHC 60.86% C 8.86% 99.60              5,820
CTXS 57.49% C 6.72% 92.09            34,315
RRR 57.23% C 0.00% 99.60              1,237
DVA 56.29% D -1.41% 98.81            29,981
FAST 55.79% A -3.41% 88.93            42,767
MHK 54.92% C 2.67% 99.60            24,419
CIT 54.70% D 5.68% 90.91                 762
USB 54.33% B 1.55% 94.86            69,563
TIVO 53.74% C 9.43% 84.58              1,964
F 53.33% C -4.34% 99.60            71,015
WH 51.84% D -3.60% 98.85              3,215
TJX 51.09% A -5.36% 87.75            33,175
CDK 49.53% A -5.42% 97.23              2,520
TTGT 49.18% A 16.01% 99.60                 273
AMED 49.15% C 5.15% 96.05              3,810
TGE 48.76% C 0.00% 71.94              1,408
VSAT 47.89% F 5.99% 85.77              1,457
AIZ 47.68% C -11.21% 70.36              1,907
VRSN 47.66% A -3.60% 99.60            18,623
HCA 47.64% B -4.27% 95.26            13,839

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
IMPV -72.05% C 43.12% 0.79              3,953
IDTI -70.78% C 0.00% 8.30                 781
SONC -66.92% C 0.00% 0.40                 544
XOXO -65.07% C 0.00% 1.58                   31
AKRX -56.09% F 2.37% 78.66              8,126
CA -37.20% B 0.00% 24.60              5,463
FLR -33.36% C -0.81% 99.60              9,545
OCLR -31.52% C 0.81% 26.09                 368
TTD -31.08% D -2.73% 99.60            70,164
PTCT -29.94% F -2.76% 75.49              4,648
CASA -29.66% D 5.35% 51.92              1,452
ATHN -28.63% B -5.69% 64.82            27,053
BBY -27.17% C -12.16% 97.63          127,381
P -24.51% F 1.03% 3.16              3,942
IPGP -24.05% C -5.07% 99.21            13,198
INFN -23.93% C 5.40% 98.02              2,804
SNAP -23.79% F -4.14% 99.60          129,010
EBIX -23.33% B -7.33% 99.60            23,324
VKTX -22.40% F -4.94% 27.32            12,310
ANF -22.13% D -10.42% 99.21              5,338
PPG -22.07% C -6.32% 98.02            11,006
FOSL -20.99% F -18.63% 91.30              2,810
TIF -20.73% D -8.65% 99.60            33,288
EEFT -19.96% A -1.97% 92.49              3,992