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VIX up 13% on Treasury Secretary Comments regarding Saudi Arabia

Oct 18, 2018

Options Market Commentary

Stocks started the day in the red, but the selling accelerated on a Tweet from Treasury Sec. Steven Mnuchin that the US would step out of the investors summit in Saudi Arabia. Currently, the S&P is -1.1%, the Russell is -1.3%, and the Nasdaq is -1.77%, though off lows. Bonds are modestly higher. Energy continues its 2-week long selloff with WTI crude -.5% and Energy ETF’s in the red, XOP -1.4% and XLE -.15%. Utilities and Consumer Staples are bucking the trend and trading slightly in the green. Gold is continuing its recent run higher +.33%. Volatilities are up across the board with the VIX +13% to 19.74, RVX +8%, and VXN +11%

 

 

ETF 30D Volatility Changes

SPY:        +14%

IWM:      +10%

QQQ:      +13%

 

Directional Options Strategies

Bullish Option Strategies

GRPN Buyer 3,700 Apr 4 call options (Earnings 10/31, ref. 3.57)

TWTR Buyer 6,500 Nov 33 call options (ref. 29.45)

HD Seller 3,600 Dec 180 – 175 put spreads (ref. 182.54)

SRCI Seller 5,000 Nov 7.5 put options to Buy 5,000 Nov 10 call options (Earnings 10/31, ref. 8.44)

OXY 15,000 Nov 87.5 call options trade (ref. 72.35)

 

Bearish Option Strategies

CZR Seller 10,000 Dec 10 call options (ref. 10.40)

GE Buyer 16,901 Nov 2nd 10 put options (Earnings 10/30, ref. 12.22)

EOG Buyer 6,793 Nov 95 put options (ref. 119.03)

SBUX Buyer 6,500 Jan 50 put options (ref. 58.93)

GE Seller 195,000 Nov 12 – 10 put options spreads (closing) and 27,2000 Nov 11 put options (closing) to Buy 9,2000 Jan 12 – 10 put options spreads and 60,500 Jan 11 put options (Earnings 10/30, ref. 12.38)

GME Buyer 13,297 Nov 12 put options (ref. 15.20)

 

Macro Options Strategies

Bullish Option Strategies

EEM 11,000 Mar 44 call options trade (ref. 39.73)

GLD Buyer 3,000 Dec 132 call options (ref. 116.37)

EWZ Buyer 15,110 Jan 45  call options (ref. 39.10)

 

Bearish Option Strategies

XOP Seller 40,000 Nov 40 – 36 put options spreads (closing) to Buy 40,000 Dec 38 – 34 put options spreads (rolls out and down, ref. 40.55)

FXI Buyer 7,500 Dec 36 put options (ref. 39.12)

USO  Buyer 10,000 Jan 13 put options (ref. 14.68)

XLF Buyer 8,300 Jan 26 put options (ref. 26.79)

 

 

Finance Trades Options Strategies

EEM 15,000 Nov 40 RevCons trade (ref. 39.73)

 

 

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Upcoming Earnings

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
AXP 10/18/2018 3.1 3.5 -9.8% C 83,391
CE 10/18/2018 5.3 2.8 88.3% A 7,128
EEFT 10/18/2018 5.1 5.3 -3.2% A 2,487
ETFC 10/18/2018 5.2 2.4 113.3% C 21,151
ISRG 10/18/2018 5.1 4.2 21.4% C 233,810
PYPL 10/18/2018 5.7 4.7 22.3% D 428,411
SKX 10/18/2018 14.1 17.6 -19.5% D 11,171
CFG 10/19/2018 3.8 1.9 99.0% B 2,377
CLF 10/19/2018 8.5 9.3 -8.5% C 29,588
HON 10/19/2018 2.7 1.9 39.6% C 100,770
KSU 10/19/2018 3.3 2.1 54.7% A 16,844
PG 10/19/2018 2.6 2.5 5.9% C 113,969
SLB 10/19/2018 2.8 1.4 96.6% D 119,154
STI 10/19/2018 2.1 1.5 43.1% B 16,157
STT 10/19/2018 3.7 4.1 -10.1% D 12,230
SYF 10/19/2018 4.5 3.5 30.4% D 13,330
VFC 10/19/2018 4.9 4.5 8.5% C 22,366
AMTD 10/22/2018 2.7 2.5 8.2% C 23,479
CDNS 10/22/2018 4.8 4.7 3.1% C 4,917
HAL 10/22/2018 4.0 3.8 6.9% C 98,168
HAS 10/22/2018 7.0 8.6 -17.7% D 12,400
IQV 10/22/2018 4.5 4.3 5.2% C 3,168
KMB 10/22/2018 3.3 1.5 115.3% C 14,574
PETS 10/22/2018 11.4 11.1 2.4% C 1,493
PII 10/22/2018 7.7 7.8 -0.2% C 4,930
ZION 10/22/2018 4.4 1.7 156.9% B 26,090
ACHC 10/23/2018 13.1 8.8 49.1% C 7,062
AMP 10/23/2018 3.5 2.9 19.9% C 3,632
ATI 10/23/2018 8.0 9.7 -17.6% C 4,138
BIIB 10/23/2018 5.4 3.1 75.2% C 113,302
CAT 10/23/2018 4.2 3.8 12.2% B 370,207
CNC 10/23/2018 4.5 4.0 11.8% C 15,081
COF 10/23/2018 3.3 2.8 20.4% C 42,052
DGX 10/23/2018 3.5 2.8 25.7% A 4,539
EW 10/23/2018 6.7 6.7 -1.0% B 18,888
FITB 10/23/2018 4.3 2.5 73.1% D 6,154
GLW 10/23/2018 4.9 5.7 -14.1% C 31,714
HA 10/23/2018 5.1 5.7 -11.1% C 3,525
HBAN 10/23/2018 3.9 2.2 76.3% C 5,335
HOG 10/23/2018 5.8 4.9 18.5% D 7,982
ILMN 10/23/2018 5.7 5.6 1.8% C 81,612
IRBT 10/23/2018 13.3 15.1 -12.0% D 15,564
JBLU 10/23/2018 5.4 4.5 21.9% D 7,346
JNPR 10/23/2018 6.0 5.9 1.3% D 7,455
LMT 10/23/2018 3.0 2.6 14.1% B 108,492
MCD 10/23/2018 3.0 3.1 -4.6% C 190,043
MMM 10/23/2018 3.3 3.2 5.3% B 120,263
NEE 10/23/2018 2.4 1.5 65.5% B 24,290
PCAR 10/23/2018 5.2 3.3 55.3% B 6,387
PHM 10/23/2018 5.1 2.3 118.8% A 7,778
RF 10/23/2018 3.5 2.4 44.8% B 7,705
RRC 10/23/2018 4.8 4.3 10.9% F 42,347
SIX 10/23/2018 5.9 4.3 36.1% C 12,599
SLCA 10/23/2018 9.7 6.6 47.6% D 6,153
SNV 10/23/2018 4.6 2.7 70.9% C 2,817
TER 10/23/2018 7.8 7.1 9.0% D 3,837
TSS 10/23/2018 4.3 4.1 6.3% A 22,176
TXN 10/23/2018 4.1 3.1 34.1% A 145,504
UTX 10/23/2018 3.1 1.6 92.4% C 143,899
VZ 10/23/2018 2.7 2.4 13.6% A 201,397

 

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Volatility Standouts

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
COL 73.20% A 4.20% 99.21 129,654
UNFI 64.09% D -16.74% 99.60 8,303
TSRO 6.08E-01 F -3.38% 85.38 6,482
HEAR 58.71% D 0.05% 78.43 13,008
DVA 56.39% D -1.48% 97.63 9,217
FAST 50.05% A 3.68% 76.68 46,899
STAY 49.70% B -9.40% 82.61 115
UNM 49.57% B 2.03% 87.75 14,973
MHK 48.31% C 0.89% 98.02 13,094
PRTY 48.30% C 3.26% 96.05 4,787
JACK 48.17% D -6.09% 39.13 4,151
WH 47.62% D 1.86% 93.41 754
XRAY 45.68% C 1.45% 96.84 2,825
TIVO 45.51% C 0.25% 89.72 1,916
WATT 44.39% D -4.65% 84.58 2,167
ETFC 44.32% C -1.16% 98.81 21,151
NBL 44.19% F 0.01% 96.44 3,741
BHF 43.12% D 5.29% 86.56 3,441
CAKE 43.10% C 1.11% 84.58 2,334
KNX 42.89% C -1.67% 98.02 11,966
AOBC 42.33% C -0.09% 28.06 1,515
SGMS 42.01% D -29.13% 98.81 47,882
PCG 41.61% C 2.90% 55.34 68,773
CDK 41.56% A 1.63% 76.68 1,844

 

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Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
SVU -72.86% D 4.20% 0.79 4,930
XOXO -63.61% C -16.74% 0.79 36
CA -58.95% B -3.38% 16.27 8,022
SONC -55.33% C 0.05% 0.40 633
AKRX -40.28% F -1.48% 72.73 6,054
FLR -39.63% C 3.68% 97.63 11,104
OCLR -39.14% C -9.40% 18.18 414
TTD -37.46% D 2.03% 98.81 39,626
BBY -37.35% C 0.89% 65.22 86,792
CASA -36.93% D 3.26% 45.37 1,818
PPG -35.66% C -6.09% 92.89 18,341
JELD -33.66% C 1.86% 91.70 526
ATHN -32.83% B 1.45% 43.08 21,647
SNAP -32.11% F 0.25% 83.00 118,477
IDTI -32.03% C -4.65% 8.70 750
ADBE -31.33% A -1.16% 75.89 734,123
ANF -29.96% D 0.01% 87.35 5,112
IPGP -28.47% C 5.29% 85.38 13,579
TIF -27.70% D 1.11% 98.81 35,621
S -25.02% D -1.67% 17.00 14,675
IEP -24.60% C -0.09% 76.28 2,235
DXC -23.81% A -29.13% 78.17 17,414
P -23.34% F 2.90% 6.32 5,227
EBIX -23.15% B 1.63% 97.63 22,311