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VIX Down - 14% as Equities Rally into Earnings Season

Oct 16, 2018

Options Market Commentary

Stocks are back in rally mode, at least for this morning as techs lead the way and earnings season begins. Currently, the S&P is +1.5%, the Nasdaq is +1.9%, and the Russell is +1.77%. Info tech and Health Care are the biggest leaders. Bonds are modestly higher. Gold is +.2% with miners little changed. Energy is higher with WTI crude +.3% and Brent +.5%. Energy ETFs are up with XOP +1.1% and XLE +.5%. Volatilities are lower on today’s market rally with the VIX -13% to 18.60, RVX -12% to 20.39, and VXN -11% to 23.81.

 

ETF 30D Volatility Changes

SPY:        -14%

IWM:      -10%

QQQ:      -12%

  

 

Directional Options Strategies

Bullish Option Strategies

GM Buyer 16,300 Oct 36 put options to Sell 16,300 Nov 36 put options (rolls write, ref. 32.29)

MU Buyer 11,600 Nov 30th 48 call options (ref. 42.83)

QCOM Buyer 9,800 Oct 26th 70 call options (ref. 65.17)

TSLA Buyer 4,000 Oct 26th 280 – 290 call options spreads (ref. 269.06)

TPR Seller 5,000 Nov 50 call options to Buy 5,000 Nov 45 call options (rolls down 5 strikes, ref. 43.95)

DE Buyer 5,000 Nov 2nd 165 call options (ref. 149.46)

GILD Seller 8,000 Nov 82.5 call options (closing) to Buy 8,000 Dec 77.5 call options (rolls out and down, ref. 75.09)

 

Bearish Option Strategies

MOMO Buyer 5,300 Nov 35 put options (ref. 37.34)

DLTR Seller 5,200 Oct 80 put options to Buy 4,400 Nov 75 put options (rolls down, ref. 81.64)

BAC Buyer 7,000 Jun 22 put options (ref. 28.20)

 

Macro Options Strategies

Bullish Option Strategies

XLE Buyer 9,000 Nov 81 call options (ref. 72.61)

FXI Buyer 20,000 Dec 42 – 46 call options spreads (ref. 39.84)

VXX Seller 20,000 Dec 60 – 62 call options stupids (ref. 33.39)

 

Bearish Option Strategies

XLF Seller 10,000 Nov 27 call options (possibly closing, ref. 26.62)

EEM Buyer 6,500 Nov – Mar 38 put options spreads (rolls out, ref. 40.67)

 

 

Finance Trades Options Strategies

FB 4,600 Oct – Nov 155 Jelly Rolls trade (ref. 155.99)

CELG 8,000 Nov 85 Jell Rolls trade (ref. 82.96)

SPY 11,000 Dec 293 RevCons trade (ref. 277.92)

SQ 10,000 Nov 75 RevCons trade (ref. 75.94)

 

Upcoming Earnings

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
NFLX 10/16/2018 9.2 7.9 16.1% C       3,386,002
IBKR 10/16/2018 3.9 2.4 60.5% D              4,042
UAL 10/16/2018 4.7 6.5 -28.0% C          147,170
CSX 10/16/2018 4.7 4.7 1.2% A          106,771
IBM 10/16/2018 4.3 4.7 -9.8% C          347,606
LRCX 10/16/2018 5.0 4.1 21.7% C          182,725
CREE 10/16/2018 8.7 7.2 20.3% D            11,014
AA 10/17/2018 5.3 6.0 -11.9% C            63,961
STLD 10/17/2018 3.6 2.9 25.7% A            10,763
WGO 10/17/2018 9.6 7.3 31.3% D              6,685
CCK 10/17/2018 3.9 2.2 79.2% D            54,906
KMI 10/17/2018 2.9 2.6 14.2% C            29,837
NTRS 10/17/2018 3.7 3.2 15.7% B            11,641
MTB 10/17/2018 2.5 2.4 0.5% A              4,990
USB 10/17/2018 2.1 1.2 69.2% B            70,488
ABT 10/17/2018 2.8 2.1 34.6% B            76,991
URI 10/17/2018 4.6 4.7 -0.6% B            66,467
CCI 10/17/2018 2.4 1.8 34.0% C            34,175
CE 10/18/2018 5.0 2.9 74.0% A              7,209
PPG 10/18/2018 1.7 2.2 -22.4% C            11,617
NUE 10/18/2018 3.1 2.2 41.5% B            31,412
SKX 10/18/2018 13.9 17.6 -20.7% D            10,038
GPC 10/18/2018 3.5 3.7 -4.9% A              6,067
PM 10/18/2018 3.6 4.2 -15.6% C          109,268
BK 10/18/2018 3.6 3.6 0.1% C            28,946
BX 10/18/2018 1.9 1.4 38.3% D            79,825
BBT 10/18/2018 2.4 2.5 -5.4% B            15,071
KEY 10/18/2018 2.8 2.7 4.1% B              7,629
SBNY 10/18/2018 5.2 2.7 95.2% C              3,868
WBS 10/18/2018 5.1 2.9 77.0% C              3,781
ETFC 10/18/2018 5.5 2.4 127.7% C            25,445
ADS 10/18/2018 5.9 4.1 43.8% B              8,619
AXP 10/18/2018 3.8 3.5 9.9% C            82,892
PYPL 10/18/2018 4.7 4.7 0.5% D          378,217
TRV 10/18/2018 2.7 2.9 -7.7% B            20,830
DHR 10/18/2018 3.2 3.0 5.7% A            18,420
ISRG 10/18/2018 4.6 4.2 8.2% C          244,608
TXT 10/18/2018 4.2 3.2 31.7% B            15,428
EEFT 10/18/2018 4.9 5.3 -6.1% A              3,629
DOV 10/18/2018 4.2 2.9 44.8% D              9,776
SNA 10/18/2018 4.9 5.7 -13.3% A            14,814
VICR 10/18/2018 15.6 13.2 18.4% F              3,406
CLF 10/19/2018 7.9 9.3 -14.7% C            31,377
VFC 10/19/2018 5.2 4.5 16.1% C            23,011
PG 10/19/2018 2.3 2.5 -4.9% C          112,406
SLB 10/19/2018 3.0 1.4 109.5% D          130,641
STT 10/19/2018 3.5 4.1 -14.9% D            14,402
STI 10/19/2018 2.4 1.5 62.9% B            15,354
SYF 10/19/2018 5.1 3.5 47.3% D            14,895
MAN 10/19/2018 6.7 5.4 23.8% C              2,321
HON 10/19/2018 2.8 1.9 46.6% C          106,300
KSU 10/19/2018 3.5 2.1 68.3% A            19,974
PII 10/22/2018 8.8 7.8 12.8% C              5,313
HAS 10/22/2018 7.6 8.4 -10.3% D            18,532
KMB 10/22/2018 3.7 1.5 136.6% C            17,168
HAL 10/22/2018 4.3 3.7 16.6% C          110,795
ZION 10/22/2018 4.9 1.8 181.9% B            29,299
AMTD 10/22/2018 3.3 2.5 33.3% C            22,629
IQV 10/22/2018 5.1 4.3 20.2% C              5,192
CDNS 10/22/2018 5.4 4.7 16.2% C              3,535
SLCA 10/23/2018 9.6 6.6 46.4% D              5,585
VZ 10/23/2018 3.0 2.4 25.6% A          207,255
HOG 10/23/2018 6.3 4.9 28.3% D              8,269
PHM 10/23/2018 5.0 2.3 117.4% A              9,549
MCD 10/23/2018 3.4 3.1 10.3% C          193,650
SIX 10/23/2018 7.4 4.3 72.0% C            12,214
RRC 10/23/2018 5.5 4.3 27.6% F            44,612
AMP 10/23/2018 3.0 2.9 3.5% C              3,650
FITB 10/23/2018 4.9 2.5 93.4% D              6,057
HBAN 10/23/2018 4.9 2.2 122.9% C              4,371
RF 10/23/2018 4.2 2.4 77.9% B              6,790
SNV 10/23/2018 4.5 2.7 67.9% C              2,540
COF 10/23/2018 3.8 2.8 37.2% C            43,866
TSS 10/23/2018 4.5 4.1 11.0% A            13,516
BIIB 10/23/2018 5.7 3.1 87.7% C          139,570
CNC 10/23/2018 5.3 4.0 32.7% C            12,307
ACHC 10/23/2018 15.2 8.8 73.0% C              6,813
EW 10/23/2018 6.2 6.7 -7.7% B            33,289
ILMN 10/23/2018 5.8 5.6 4.3% C            82,751
DGX 10/23/2018 4.1 2.8 46.9% A              5,249
LMT 10/23/2018 3.1 2.6 18.4% B          101,518
UTX 10/23/2018 3.7 1.6 125.8% C          134,815
HA 10/23/2018 7.1 5.8 23.2% C              3,132
JBLU 10/23/2018 5.6 4.5 25.2% D              5,969
CAT 10/23/2018 4.1 3.8 9.5% B          404,478
MMM 10/23/2018 3.7 3.2 14.9% B          131,378
ATI 10/23/2018 8.5 9.7 -13.0% C              5,093
WAB 10/23/2018 4.6 4.3 6.7% C              6,202
PCAR 10/23/2018 5.4 3.3 62.8% B              6,568
JNPR 10/23/2018 6.2 5.9 4.6% D              7,614
IRBT 10/23/2018 13.9 15.1 -7.8% D            17,515
GLW 10/23/2018 4.9 5.7 -15.1% C            28,562
TER 10/23/2018 9.1 7.1 27.1% D              3,219
TXN 10/23/2018 4.3 3.1 40.7% A          140,919
NEE 10/23/2018 2.7 1.5 84.4% B            29,974

 

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
AIZ 64.31% C -13.17% 66.27           1,286
TSRO 63.34% F -1.31% 78.17           6,144
HEAR 5.93E-01 D -7.27% 79.00         11,260
TGE 55.53% C -3.77% 70.24           1,399
DVA 54.23% D -2.69% 98.02         11,781
NDLS 53.64% C 0.68% 71.03              251
FAST 52.75% A 1.26% 73.81         46,543
CTXS 51.29% C -3.47% 90.87         31,006
CUBE 51.05% C -0.44% 65.48              854
CDK 50.72% A -3.21% 91.67           2,044
EAF 49.91% B 9.04% 97.17           3,502
TIVO 48.11% C -5.27% 81.75           1,617
CAKE 47.45% C -5.19% 84.92           3,692
UNM 47.42% B 2.83% 90.87         15,349
MHK 47.28% C 0.12% 99.21         23,441
JACK 46.94% D -3.16% 36.51           7,391
PRTY 46.69% C -14.62% 97.62           5,440
FHN 46.17% C 5.51% 96.43           1,960
STAY 46.12% B 0.45% 73.41              204
BECN 45.78% C -2.76% 99.21           1,184
GME 45.36% F 4.35% 97.22         12,417
UTX 44.47% C -6.44% 98.41       134,815
WH 44.35% D 1.75% 97.75           3,222
BHF 44.35% D -0.59% 90.08           3,951

 

 

On Mobile/Tablet scroll to the right.

 

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
SONC -68.34% C -13.17% 2.78              547
XOXO -67.16% C -1.31% 4.76                13
CA -50.88% B -7.27% 15.54           7,242
AKRX -37.82% F -3.77% 59.52           5,914
IDTI -36.62% C -2.69% 7.94              778
FLR -36.59% C 0.68% 98.81         11,814