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Volatility little changed as Equity Markets stall

Oct 19, 2018

Options Market Commentary

Stocks have had a roller coaster day and are currently mixed.  The S&P is +.37%, the Nasdaq is +.31%, and the Russell lags, -.63% on weakness in Retail, Energy, and Consumer Discretionary names. Gold continues to outperform with GLD +.25% and the miners ETF GDX +.4%. WTI Crude is rallying 1%, however Energy stocks are lower with XOP -1.2% and XLE -.33%. Emerging markets are strong following China’s overnight economic news with EEM +.9% and FXI +1.9%. Volatilities were sharply lower earlier in the day, but have rallied off lows. VIX is -1.69% to 19.70, RVX +-.22% and VXN -4.14%.

 

ETF 30D Volatility Changes

SPY:         +2%

IWM:       +1%

QQQ:       -1%

    

 

Directional Options Strategies

Bullish Option Strategies

BMY Buyer 9,500 Oct 57.5 put options (closing) to Sell 9,500 Nov 57.5 put options (rolls write, ref. 55.21)

AAL Buyer 5,000 Nov 34 call options (Earnings 10/25, ref. 32.53)

ECHO Buyer 3,000 Mar 35 call options (Earnings 10/24, ref. 26.25)

HLT Buyer 5,200 Nov 72.5 call options (Earnings 10/24, ref. 71.67)

HAL Seller 10,000 Apr 35 put options to Buy 5,000 Apr 45 call options (ref. 38.29)

 

Bearish Option Strategies

GME Buyer 4,800 Nov 14 put options (ref. 14.57)

SNAP Buyer 7,500 Jan 7 – 5 put options spreads (ref. 6.92)

CAT Buyer 11,000 Oct 26th 132 put options (Earnings 10/23, ref. 133.56)

ACRX Buyer 6,000 Nov 2.5 put options (ref. 4.10)

ARNC Buyer 4,000 Nov 21 – 18 put options spreads (Earnings 10/30, ref. 21.74)

CTL Buyer 7,200 Nov 23 put options (ref. 21.84)

TRUP Seller 3,000 Nov 30 call options to Buy 3,000 Nov 25 put options (ref. 27.25)

 

Macro Options Strategies

Bullish Option Strategies

KRE Seller 91,000 Nov 54 – 50 put options spreads (likely closing, ref. 55.19)

XLF Seller 96,030 Nov 26 – 23 put options spreads (likely closing, ref. 26.74)

USO Buyer 30,000 Jan 15.5 call options (ref. 14.75)

VXX Buyer 25,000 Oct 26th 27 put options (ref. 33.73)

 

Bearish Option Strategies

EWZ Buyer 20,000 Oct 26th 38 put options (ref. 39.30)

SPY Buyer 15,000 Dec 232 put options (ref. 279.16)

EEM Buyer 90,000 Nov 31.5 put options (ref. 40.03)

FXI 26,200 Dec 36 put options trade (ref. 39.69)

 

 

Finance Trades Options Strategies

FB 5,000 Jan 200 RevCons trade (ref. 156.46)

EEM 25,000 Nov 40 RevCons trade (ref. 39.79)

AAPL 6,400 Oct – Dec 220 Jelly Rolls trade (ref. 219.79)F

 

 

 

Upcoming Earnings

 

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Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
PII 10/22/2018 8.1 7.8 4.8% C 4,350
HAS 10/22/2018 7.0 8.6 -18.4% D 13,367
KMB 10/22/2018 4.0 1.5 158.0% C 15,117
HAL 10/22/2018 4.2 3.8 12.0% C 101,380
ZION 10/22/2018 5.6 1.7 224.0% B 27,834
AMTD 10/22/2018 3.5 2.5 39.8% C 20,694
IQV 10/22/2018 6.7 4.3 55.7% C 3,226
CDNS 10/22/2018 5.2 4.7 11.8% C 3,736
SLCA 10/23/2018 10.4 6.6 58.1% D 8,344
VZ 10/23/2018 2.7 2.4 12.1% A 193,048
HOG 10/23/2018 6.1 4.8 25.4% D 8,074
PHM 10/23/2018 5.4 2.3 135.0% A 5,757
MCD 10/23/2018 3.2 3.1 4.2% C 182,512
SIX 10/23/2018 7.3 4.3 70.2% C 13,228
RRC 10/23/2018 5.5 4.3 26.6% F 38,225
AMP 10/23/2018 4.5 2.9 54.4% C 3,829
FITB 10/23/2018 5.1 2.6 98.4% D 6,084
HBAN 10/23/2018 4.8 2.2 118.7% C 5,352
RF 10/23/2018 4.7 2.4 96.8% B 7,843
SNV 10/23/2018 4.9 2.8 76.5% C 2,925
COF 10/23/2018 3.6 2.8 30.1% C 38,696
TSS 10/23/2018 5.1 4.1 23.9% A 15,405
BIIB 10/23/2018 6.2 3.1 103.1% C 109,329
CNC 10/23/2018 5.4 4.0 35.2% C 15,446
ACHC 10/23/2018 11.6 8.8 31.4% C 6,237
EW 10/23/2018 7.0 6.7 3.8% B 18,926
ILMN 10/23/2018 6.1 5.7 6.4% C 73,510
DGX 10/23/2018 4.0 2.8 42.9% A 2,536
LMT 10/23/2018 3.4 2.7 25.6% B 106,049
UTX 10/23/2018 3.3 1.6 104.1% C 148,202
HA 10/23/2018 7.0 5.7 22.3% C 3,451
JBLU 10/23/2018 6.8 4.5 53.4% D 7,913
CAT 10/23/2018 4.7 3.8 24.7% B 381,838
MMM 10/23/2018 3.8 3.2 19.9% B 116,922
ATI 10/23/2018 8.8 9.6 -8.7% C 3,638
PCAR 10/23/2018 5.8 3.3 75.5% B 6,265
XRX 10/23/2018 6.3 4.3 45.6% D 26,495
JNPR 10/23/2018 6.1 5.9 3.2% D 5,786
IRBT 10/23/2018 14.1 15.4 -8.3% D 15,705
GLW 10/23/2018 5.3 5.7 -7.7% C 32,820
TER 10/23/2018 8.9 7.1 24.8% D 4,464
TXN 10/23/2018 3.9 3.1 26.6% A 142,332
NEE 10/23/2018 2.7 1.5 84.7% B 22,285
OC 10/24/2018 8.4 5.6 50.5% C 3,750
GRA 10/24/2018 4.8 3.7 28.2% B 17,195
FCX 10/24/2018 6.4 5.8 11.9% C 51,804
T 10/24/2018 3.0 3.5 -14.8% B 313,267
LAD 10/24/2018 8.2 6.7 21.7% C 7,322
F 10/24/2018 4.7 3.3 42.3% C  
SIRI 10/24/2018 3.3 2.7 22.0% C  
SNBR 10/24/2018 11.2 8.3 35.8% C 2,554
WHR 10/24/2018 7.6 7.0 8.2% D 29,657
PKG 10/24/2018 1.5 2.6 -40.2% A 10,519
TUP 10/24/2018 9.7 8.9 9.7% D 3,376
NTRI 10/24/2018 13.8 12.2 12.7% C 3,680
ORLY 10/24/2018 6.9 5.2 32.0% A 18,703
HLT 10/24/2018 5.3 1.7 219.5% A 17,952
LVS 10/24/2018 4.6 3.0 50.6% C 149,578
NYCB 10/24/2018 4.7 4.3 9.9% C  
RJF 10/24/2018 3.2 2.8 16.0% B 4,522
NDAQ 10/24/2018 4.4 1.8 138.7% C 15,237
V 10/24/2018 2.4 2.3 6.3% A 610,302
AFL 10/24/2018 2.8 2.0 39.6% A 22,508
UNM 10/24/2018 10.2 3.5 188.5% B 19,725
MKL 10/24/2018 2.9 1.9 55.6% B 6,428
SRPT 10/24/2018 6.2 8.8 -29.5% D 43,386
ALXN 10/24/2018 5.6 5.3 6.0% C 17,257
VRTX 10/24/2018 4.6 1.8 164.1% C 29,384
ALGN 10/24/2018 7.0 7.2 -3.8% B 126,568
BSX 10/24/2018 4.6 2.7 72.8% C 21,107
LH 10/24/2018 4.2 3.1 33.6% A 4,115
TMO 10/24/2018 3.3 3.1 8.1% B 29,405
BA 10/24/2018 3.9 3.8 2.0% B 1,199,566
GD 10/24/2018 3.3 3.2 2.4% B 31,573
NOC 10/24/2018 3.4 2.8 21.5% A 46,481
SAVE 10/24/2018 8.4 5.1 62.8% C 4,860
EFX 10/24/2018 3.8 2.9 29.5% C 3,670
ASGN 10/24/2018 8.0 4.8 66.1% D 3,769
ITW 10/24/2018 3.9 3.3 16.8% C 25,218
UPS 10/24/2018 4.4 3.7 17.6% B 83,033
NSC 10/24/2018 3.9 3.8 3.1% A 86,346
TRN 10/24/2018 5.8 3.3 74.1% C 13,112
KNX 10/24/2018 10.7 5.7 86.7% C 12,286
AGNC 10/24/2018 2.4 1.5 54.3% D 4,990
PTC 10/24/2018 6.0 4.3 38.7% D 11,019
NOW 10/24/2018 6.1 4.3 43.1% D 81,703
CTXS 10/24/2018 6.1 3.0 106.8% C 29,424
FFIV 10/24/2018 6.2 4.4 39.2% C 15,888
MSFT 10/24/2018 4.0 2.7 44.0% C 1,613,734
APH 10/24/2018 3.6 1.6 116.1% B 3,806
AMD 10/24/2018 12.4 13.6 -9.0% D 653,230
XLNX 10/24/2018 5.5 4.3 27.3% C 35,923
MLNX 10/24/2018 9.0 3.3 171.0% C 4,130
SRE 10/24/2018 2.6 1.3 104.4% C 22,497

 

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
PBF 71.95% D -7.79% 98.42 8,818
UNM 69.10% B -0.77% 96.84 19,725
CDK 65.59% A -2.59% 88.54 1,742
DVA 64.11% D -4.95% 99.21 8,553
KDP 64.05% F -1.10% 97.23 1,991
CIT 63.98% D -0.56% 85.38 672
HCA 62.92% B -2.71% 82.61 18,572
DBX 62.28% F -4.13% 83.80 24,621
PRTY 62.19% C -6.66% 96.05 4,974
MHK 62.03% C -1.80% 98.81 13,492
STAY 61.17% B -0.30% 71.94 425
INCY 60.86% D -2.02% 52.57 7,829
DLTH 60.52% B -7.42% 36.36 287
WH 60.20% D -4.10% 96.74 311
TIVO 58.95% C -17.18% 94.07 1,957
CFG 58.43% B -1.43% 90.91 2,668
SAGE 58.13% F 0.42% 72.33 14,051
XRAY 58.03% C -6.96% 99.21 2,600
CUBE 57.71% C -7.84% 60.87 852
CTXS 57.70% C -6.15% 70.75 29,424
MLNX 57.57% C -2.28% 95.65 4,130
ZION 57.27% B -3.79% 84.58 27,834
DHI 56.84% C -8.18% 98.42 27,807
CLF 56.53% C 0.02% 60.87 30,667

 

On Mobile/Tablet scroll to the right.

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
XOXO -65.95% C -7.79% 6.32 37
IDTI -63.75% C -0.77% 12.65 731
SVU -54.84% D -2.59% 0.40 4,828
SONC -52.71% C -4.95% 0.40 494
CA -52.01% B -1.10% 10.71 8,023
IMPV -50.08% C -0.56% 0.79 3,315
AKRX -36.70% F -2.71% 61.26 5,526
OCLR -36.45% C -4.13% 15.42 170
TTD -35.62% D -6.66% 96.44 35,566
CASA -35.48% D -1.80% 70.64 1,906
FLR -35.16% C -0.30% 98.42 11,297<