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Volatility stays bid into Fed Announcement

Oct 17, 2018

Options Market Commentary

Stocks have had a volatile day of trading ahead of today’s Fed Meeting and ongoing Global fears. The S&P is unchanged, the Nasdaq -.08%, and the Russell -.5% on weakness in Retail, Energy, Housing, and smaller Tech names. Bonds are modestly lower. Energy is getting hit today with WTI Crude -2.6% on the EIA report showing a large build in crude inventories. Energy ETFs are in the red as well with XOP -2.1% and XLE -.9%. Volatilities are higher with the VIX +.5% to 17.70, RVX +2.3% to 20.76, and VXN +2.9% to 23.16.

 

ETF 30D Volatility Changes

SPY:        -1%

IWM:      +1%

QQQ:      +3%

 

 

Directional Options Strategies

Bullish Option Strategies

PYPL Buyer 8,200 Nov 85 call options (Earnings 10/18, ref. 80.45)

TTWO Seller 2,600 Oct 26th 130 call options (closing) to Buy 2,600 Oct 137 call options (rolls up, ref. 131.65)

NFLX Buyer 4,200 Dec 370 – 415 call options spreads (ref. 365.97)

 

Bearish Option Strategies

EBAY Seller 3,000 Oct 32 put options to Buy 3,000 Oct 31 put options (rolls out and down, ref. 31.74)

URI 5,500 Oct 136 and 135 put options trade (Earnings 10/17, ref. 138.84)

M Buyer 10,000 Nov 39 call options to Seller 55,000 Nov 32 put options and 30,000 Nov 29 put options (closes risk reversal) to Buy 30,000 Nov 30 – 29 put option stupids (adjusts hedge, ref. 32.04)

CBL Buyer 10,000 Dec 3 put options (Earnings 10/29, ref. 3.46)

NWL Buyer 8,000 Nov 20 put options (ref. 18.07)

 

Macro Options Strategies

Bullish Option Strategies

EEM Buyer 30,000 Dec 43 – 45 call options spreads (ref. 40.43)

VIX Seller 21,000 Nov 27 call options (ref. 17.80)

EFA Seller 5,00 Jan20 50 put options (ref. 64.60)

 

Bearish Option Strategies

XHB Seller 6,500 Nov 37 call options (ref. 35.11)

EEM Seller 17,000 Dec 42 – 45 call options spreads (closing, ref. 40.37)

VXX Buyer 20,000 Oct 36 – 37 call options spreads (ref. 33.49)

XAU Seller 10,000 Dec 70 call options (appears to be closing, ref. 70.97)

QQQ Seller 17,600 Jan 185 call options to Buy 17,600 Jan 160 put options (ref. 176.52)

IWM Seller 44,511 Dec 171 – 172 call options spreads (likely closing, ref. 156.69)

HYG Buyer 5,000 Mar 83 – 78 put options spreads (ref. 85.26)

 

 

Finance Trades Options Strategies

Financing Trades:

BABA 10,000 Oct – Nov 150 Jelly Rolls trade (ref. 147.56)

 

 

 

 

Upcoming Earnings

 

On Mobile/Tablet scroll to the right.

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
AA 10/17/2018 5.6 6.0 -6.9% C 62,025
STLD 10/17/2018 3.6 2.9 27.5% A 12,240
CCK 10/17/2018 4.0 2.2 82.0% D 56,123
KMI 10/17/2018 2.9 2.6 14.0% C 31,525
URI 10/17/2018 5.3 4.7 13.4% B 72,553
CCI 10/17/2018 2.4 1.8 37.2% C 39,881
CE 10/18/2018 4.9 2.9 71.0% A 7,190
PPG 10/18/2018 1.9 2.2 -12.3% C 10,835
NUE 10/18/2018 3.1 2.2 39.8% B 30,584
SKX 10/18/2018 13.4 17.6 -23.8% D 9,974
GPC 10/18/2018 3.5 3.7 -6.0% A 5,771
PM 10/18/2018 3.6 4.2 -14.7% C 101,707
BK 10/18/2018 3.7 3.6 1.9% C 29,595
BX 10/18/2018 2.1 1.4 55.8% D 68,263
BBT 10/18/2018 2.4 2.5 -2.8% B 13,899
KEY 10/18/2018 2.7 2.7 1.9% B 8,871
SBNY 10/18/2018 4.6 2.7 72.0% C 4,458
WBS 10/18/2018 4.2 2.9 43.5% C 3,864
ETFC 10/18/2018 6.1 2.4 151.2% C 21,960
ADS 10/18/2018 5.5 4.1 31.9% B 8,564
AXP 10/18/2018 3.3 3.5 -4.2% C 82,735
PYPL 10/18/2018 4.7 4.7 0.7% D 382,169
TRV 10/18/2018 2.8 2.9 -3.5% B 20,870
DHR 10/18/2018 2.8 3.0 -8.1% A 16,346
ISRG 10/18/2018 4.6 4.2 9.2% C 233,997
TXT 10/18/2018 4.1 3.2 29.2% B 15,703
EEFT 10/18/2018 5.1 5.3 -2.6% A 3,490
DOV 10/18/2018 3.3 2.9 13.6% D 6,102
SNA 10/18/2018 5.0 5.7 -11.7% A 14,833
CLF 10/19/2018 7.8 9.3 -15.8% C 31,035
VFC 10/19/2018 4.9 4.5 8.3% C 22,400
PG 10/19/2018 2.5 2.5 -0.4% C 115,013
SLB 10/19/2018 2.9 1.4 105.5% D 119,626
STT 10/19/2018 3.7 4.1 -11.0% D 14,965
STI 10/19/2018 2.4 1.5 61.1% B 16,224
CFG 10/19/2018 3.5 1.9 83.0% B 2,593
SYF 10/19/2018 5.1 3.5 48.9% D 12,190
HON 10/19/2018 2.7 1.9 38.4% C 103,790
KSU 10/19/2018 3.5 2.1 64.8% A 17,164
PII 10/22/2018 8.4 7.8 8.2% C 4,963
HAS 10/22/2018 7.1 8.4 -16.1% D 18,978
KMB 10/22/2018 3.8 1.5 143.1% C 15,902
HAL 10/22/2018 4.3 3.7 16.7% C 101,824
ZION 10/22/2018 5.7 1.8 222.2% B 26,847
AMTD 10/22/2018 3.2 2.5 26.9% C 22,498
IQV 10/22/2018 4.4 4.3 2.5% C 4,719
CDNS 10/22/2018 5.4 4.7 14.5% C 4,766
SLCA 10/23/2018 10.7 6.6 63.5% D 5,454
VZ 10/23/2018 3.0 2.4 24.2% A 205,216
HOG 10/23/2018 6.1 4.9 25.6% D 8,187
PHM 10/23/2018 4.9 2.3 111.3% A 7,952
MCD 10/23/2018 3.4 3.1 10.3% C 191,776
SIX 10/23/2018 6.4 4.3 49.6% C 11,206
RRC 10/23/2018 5.9 4.3 37.7% F 43,106
AMP 10/23/2018 4.3 2.9 46.6% C 3,884
FITB 10/23/2018 5.0 2.5 97.4% D 6,390
HBAN 10/23/2018 4.8 2.2 117.7% C 5,347
RF 10/23/2018 4.5 2.4 87.4% B 7,726
SNV 10/23/2018 5.2 2.7 94.0% C 3,038
COF 10/23/2018 3.7 2.8 32.7% C 42,627
TSS 10/23/2018 4.7 4.1 15.3% A 19,901
BIIB 10/23/2018 5.9 3.1 94.2% C 120,265
CNC 10/23/2018 5.5 4.0 38.5% C 13,470
ACHC 10/23/2018 15.6 8.8 77.8% C 7,003
EW 10/23/2018 6.6 6.7 -1.9% B 30,309
ILMN 10/23/2018 6.3 5.6 13.1% C 85,153
DGX 10/23/2018 4.0 2.8 42.1% A 5,242
LMT 10/23/2018 2.8 2.6 5.6% B 98,063
UTX 10/23/2018 3.3 1.6 105.6% C 138,934
HA 10/23/2018 7.0 5.8 22.4% C 3,332
JBLU 10/23/2018 5.4 4.5 22.2% D 6,126
CAT 10/23/2018 4.2 3.8 12.7% B 412,861
MMM 10/23/2018 3.5 3.2 10.0% B 127,293
ATI 10/23/2018 8.5 9.7 -12.3% C 4,413
PCAR 10/23/2018 5.7 3.3 70.8% B 6,626
JNPR 10/23/2018 6.0 5.9 2.3% D 7,402
IRBT 10/23/2018 13.6 15.1 -10.1% D 16,781
GLW 10/23/2018 5.0 5.7 -13.6% C 28,746
TER 10/23/2018 9.2 7.1 28.9% D 4,004
TXN 10/23/2018 4.0 3.1 30.2% A 148,748
NEE 10/23/2018 3.0 1.5 108.3% B 27,653

 

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
ARMK 68.39% B 3.19% 94.07 2,335
COL 61.96% A -0.06% 99.21 126,252
EAF 5.97E-01 B -5.68% 97.20 2,656
UNFI 57.12% D -0.79% 99.21 6,941
HEAR 52.25% D -0.36% 67.33 11,918
TSRO 52.18% F -0.16% 79.45 5,520
TIVO 50.95% C 7.34% 77.87 1,846
MHK 50.73% C 2.75% 98.02 24,153
JACK 50.72% D 1.98% 26.09 7,043
WH 47.91% D -0.20% 84.44 3,229
CUBE 46.87% C 3.55% 54.94 854
BECN 46.50% C 1.08% 98.81 934
PRTY 46.18% C -12.52% 94.86 5,189
PX 46.14% C 8.52% 99.21 44,915
CDK 45.77% A 3.88% 79.45 1,953
UNM 44.94% B 1.59% 88.14 14,832
CAKE 44.62% C 1.74% 81.82 3,612
STAY 44.40% B 2.25% 73.52 150
KDP 43.42% F 0.67% 99.21 1,928
KNX 42.94% C -0.29% 98.02 10,767
AZO 42.41% B -0.72% 49.41 103,346
AMED 41.01% C -2.82% 92.49 3,739
BHF 40.38% D 2.39% 89.72 4,056
CIT 40.28% D 1.80% 78.26 905

 

 

On Mobile/Tablet scroll to the right.

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
SVU -74.11% D 3.19% 0.79 4,911
SONC -67.16% C -0.06% 5.93 650
XOXO -66.86% C -5.68% 0.40 14
AKRX -40.49% F -0.79% 77.08 5,973
FLR -39.88% C -0.36% 98.02 11,198
OCLR -38.32% C -0.16% 17.00 409
BBY -36.01% C 7.34% 58.89 92,096
CA -35.41% B 2.75% 11.11 7,904
ADBE -34.94% A 1.98% 67.98 707,007
TTD -34.35% D -0.20% 98.42 43,803
SNAP -33.00% F 3.55% 84.98 114,629
CASA -31.57% D 1.08% 36.45 1,417
IPGP -30.66% C -12.52% 86.17 14,110
PPG -30.53% C 8.52% 86.56 10,835
IDTI -30.14% C 3.88% 7.51 796
TIF -29.51% D 1.59% 97.63 36,240
S -28.20% D 1.74% 20.16 14,710
SGH -27.31% A 2.25% 15.38 4,161
ANF -26.53% D 0.67% 92.89 5,022
PTCT -24.47% F -0.29% 73.52 3,349
ARRY -24.12% F -0.72% 30.43 1,740
INFN -23.60% C -2.82% 93.68 2,279
ATHN -22.36% B 2.39% 41.90 23,898
DXC -21.81% A 1.80% 76.19 16,345