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VIX -2% In Mixed Equity Trading

Oct 15, 2018

Options Market Commentary

Stocks were down overnight on increased tensions with Saudi Arabia. Stocks then rallied pre-open are now mixed with the Nasdaq lagging and the Russell leading. Currently, the S&P is -.22%, the Russell is +.3%, and the Nasdaq is -.86%. Gold continues to rally +.75% with the mining ETF GDX +2%. Bonds are little changed. Consumer Staples and Utilities are leading sectors, while Tech and Healthcare are laggards. Volatilities are mixed with the VIX -1% to 21.05, RVX -3.6% to 23.04, and VXN +5% to 25.89. Backwardation in the VIX currently stands at 9.3%.

 

ETF 30D Volatility Changes

SPY:        -2%

IWM:      -2%

QQQ:      +1%

 

Directional Options Strategies

Bullish Option Strategies

HD Buyer 3,400 Nov 195 call options (ref. 192.20)

PFE Buyer 8,800 Nov 45 call options (ref. 43.16)

AAL Buyer 4,500 Nov 35 call options (Earnings 10/25, ref. 31.41)

CL Buyer 7,600 Oct 65 put options (closing) to Sell 7,600 Oct 65 put options (rolls write, ref. 62.72)

PBR Buyer 20,000 Jan 14 – 16 call options spreads (ref. 15.27)

S Buyer 20,000 May 8 – 7 1x2 call options spreads (Earnings 10/25, ref. 6.35)

HBAN Buyer 3,600 Nov 15 call options (Earnings 10/23, ref. 14.34)

GE Buyer 26,400 Oct 12.5 call options (ref. 12.24)

RRC Seller 20,360 Jan20 12 put options to Buy 20,610 Jan20 25 call options (ref. 17.45)

 

Bearish Option Strategies

ADI Seller 2,400 Oct 83 put options to Buy 25,000 Oct 26th 83 – 75 put options spreads (rolls into spread, ref. 83.93)

INTC Buyer 9,447 Jan 38 put options (ref. 44.84)

AU Buyer 10,000 Jan 8 put options (ref. 10.23)

 

Macro Options Strategies

Bullish Option Strategies

EMB Buyer 10,000 Dec 102 put options to Sell 10,000 Dec 101 put options spreads (rolls short leg of 106 – 102 put options spread, ref. 105.86)

IWM Buyer 44,000 Dec 171 – 172 call options spreads (ref. 153.78)

 

Bearish Option Strategies

EFA Seller 26,500 Jan 66 call options (ref. 63.61)

VIX 20,000 Nov 21 call options trade (ref. 18.65)

EEM Buyer 10,000 Mar 37 put options (ref. 39.94)

 

Finance Trades Options Strategies

SPY 10,000 Oct 276 RC trade (ref. 275.23)

 

 

Upcoming Earnings

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
JBHT 10/15/2018 4.0 2.5 60.2% B              6,751
OMC 10/16/2018 4.2 3.9 8.9% C              6,125
NFLX 10/16/2018 9.0 7.9 13.6% C       3,464,896
DPZ 10/16/2018 6.0 4.6 32.5% B            23,248
BLK 10/16/2018 2.3 1.7 37.9% A          174,706
CMA 10/16/2018 3.2 2.3 40.6% B            11,708
GS 10/16/2018 3.4 1.9 81.2% C          515,051
IBKR 10/16/2018 3.9 2.4 60.9% D              3,730
MS 10/16/2018 2.9 1.7 69.3% D          233,447
PGR 10/16/2018 2.9 1.9 58.2% A            27,509
JNJ 10/16/2018 2.5 2.7 -8.7% B          295,192
UNH 10/16/2018 3.0 2.6 13.6% A          223,192
UAL 10/16/2018 4.9 6.5 -23.4% C          139,133
GWW 10/16/2018 7.6 9.1 -16.8% C            38,408
CSX 10/16/2018 4.7 4.7 -0.3% A          106,967
PLD 10/16/2018 7.2 2.3 217.3% D              3,514
IBM 10/16/2018 4.7 4.7 -0.8% C          356,765
LRCX 10/16/2018 5.6 4.1 35.9% C          180,678
CREE 10/16/2018 8.9 7.2 24.1% D            16,974
AA 10/17/2018 5.2 6.0 -13.5% C            65,842
STLD 10/17/2018 3.8 2.9 31.7% A              5,651
WGO 10/17/2018 9.6 7.3 32.5% D              5,624
CCK 10/17/2018 3.5 2.2 60.1% D            56,764
KMI 10/17/2018 3.1 2.6 21.9% C            31,341
NTRS 10/17/2018 3.8 3.2 17.8% B            11,657
MTB 10/17/2018 2.6 2.4 7.2% A              5,467
USB 10/17/2018 2.7 1.2 119.9% B            68,226
ABT 10/17/2018 3.1 2.1 46.2% B            79,736
URI 10/17/2018 5.7 4.7 22.9% B            59,190
CCI 10/17/2018 2.6 1.8 46.6% C            29,801
CE 10/18/2018 6.2 2.9 115.5% A              6,963
PPG 10/18/2018 1.2 2.2 -46.3% C            11,376
NUE 10/18/2018 3.3 2.2 51.4% B            26,200
SKX 10/18/2018 14.3 17.6 -18.8% D              9,261
GPC 10/18/2018 3.7 3.7 -0.9% A              7,055
PM 10/18/2018 3.9 4.2 -8.8% C          109,070
BK 10/18/2018 3.8 3.6 5.8% C            32,300
BX 10/18/2018 2.4 1.4 75.7% D            79,857
BBT 10/18/2018 2.7 2.5 9.5% B            13,962
KEY 10/18/2018 3.0 2.7 12.4% B              7,253
SBNY 10/18/2018 4.5 2.7 67.0% C              3,316
WBS 10/18/2018 5.6 2.9 91.1% C              3,281
ETFC 10/18/2018 5.9 2.4 141.5% C            29,407
ADS 10/18/2018 5.9 4.1 43.7% B              8,853
AXP 10/18/2018 3.7 3.5 5.8% C            92,866
PYPL 10/18/2018 5.3 4.7 12.0% D          387,097
TRV 10/18/2018 2.7 2.9 -8.6% B            20,210
DHR 10/18/2018 3.4 3.0 13.8% A            18,193
ISRG 10/18/2018 5.0 4.2 18.6% C          235,356
TXT 10/18/2018 4.5 3.2 40.9% B            20,314
EEFT 10/18/2018 4.4 5.3 -17.2% A              4,157
DOV 10/18/2018 4.1 2.9 42.8% D              9,635
SNA 10/18/2018 5.1 5.7 -9.4% A            13,289
VICR 10/18/2018 15.6 13.2 18.5% F              4,486
CLF 10/19/2018 8.1 9.3 -13.0% C            33,402
VFC 10/19/2018 5.0 4.5 11.2% C            23,731
PG 10/19/2018 2.5 2.5 0.0% C          110,472
SLB 10/19/2018 3.4 1.4 140.0% D          127,390
STT 10/19/2018 3.7 4.1 -9.7% D            14,631
STI 10/19/2018 3.0 1.5 102.1% B            14,259
SYF 10/19/2018 5.2 3.5 49.6% D            14,649
MAN 10/19/2018 6.2 5.4 15.9% C              5,294
HON 10/19/2018 3.1 1.9 59.1% C          109,959
KSU 10/19/2018 3.9 2.1 85.5% A            21,472
PII 10/22/2018 8.5 7.8 10.1% C              5,669
HAS 10/22/2018 7.9 8.4 -6.1% D            18,458
KMB 10/22/2018 3.8 1.5 143.3% C            17,204
PETS 10/22/2018 11.6 10.8 6.9% C              2,467
HAL 10/22/2018 4.8 3.7 31.3% C          105,748
ZION 10/22/2018 5.2 1.8 197.7% B            29,943
AMTD 10/22/2018 3.6 2.5 42.1% C            22,393
CDNS 10/22/2018 5.7 4.7 21.5% C              3,449

 

Volatility Standouts

 

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
TSRO 72.88% F 0.00% 83.79           6,524
NDLS 70.46% C 0.00% 70.75              373
AIZ 67.85% C 0.00% 66.80           1,347
HEAR 6.38E-01 D 0.00% 77.78         10,383
COMM 61.91% C 0.00% 99.21              581
PX 59.30% C 0.00% 98.02         52,672
PRTY 58.82% C 0.00% 97.23           4,958
ACHC 58.78% C 0.00% 99.60           6,023
CTXS 57.76% C 0.00% 92.89         34,658
DVA 56.96% D 0.00% 99.21         28,933
TIVO 55.58% C 0.00% 99.21           2,135
CDK 54.46% A 0.00% 90.12           2,153
UTX 53.66% C 0.00% 99.21       138,181
MHK 52.21% C 0.00% 99.60         24,902
F 49.82% C 0.00% 99.60         85,039
UNM 49.21% B 0.00% 95.65         16,670
CI 48.57% A 0.00% 90.91       108,584
JACK 48.11% D 0.00% 32.02           7,672
CARS 47.74% D 0.00% 93.28           2,767
HCA 47.70% B 0.00% 96.05         12,350
STWD 47.57% D 0.00% 54.55              844
FAST 47.06% A 0.00% 78.26         46,535
CPB 46.73% D 0.00% 85.77         29,189
VSAT 45.55% F 0.00% 91.30           1,629

 

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
IDTI -73.01% C 0.00% 3.56 799
IMPV -72.60% C 0.00% 0.79 3,847
SONC -70.27% C 0.00% 2.77 570
XOXO -69.16% C 0.00% 2.77 20
CA -56.95% B 0.00% 22.62 5,643
AKRX -38.68% F 0.00% 71.94 7,851
CASA -33.99% D 0.00% 82.86 1,449
BBY -33.34% C 0.00% 94.07 101,266
FLR -33.21% C 0.00% 100.00 11,105
OCLR -32.39% C 0.00% 27.67 359
TTD -31.58% D 0.00% 99.60 65,905
SNAP -27.90% F 0.00% 98.02 126,707
IPGP -25.58% C 0.00% 98.02 13,907
P -23.91% F 0.00% 0.40 5,511
PPG -23.52% C 0.00% 98.81 11,376
ANF -22.22% D 0.00% 96.44 5,241
TIF -21.30% D 0.00% 99.60 32,112
ATHN -20.82% B 0.00% 36.36 28,069
FOSL -19.77% F 0.00% 87.35 2,843
DXC -19.53% A 0.00% 79.76 10,185
S -19.42% D 0.00% 22.53 3,591
EBIX -18.44% B 0.00% 98.81 23,771
VKTX -18.42% F 0.00% 21.03 10,674
PI -17.49% F 0.00% 92.09 950