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VIX stays bid as equities try to find an equilibrium

Oct 22, 2018

Options Market Commentary

Stocks continue to experience intraday swings and are currently mixed. The S&P is -.32%, the Russell is +.18%, and the Nasdaq leads, +.63%. Emerging markets are strong (+.7%) on the back of China’s (FXI) 2.4% move higher. Gold and the Miners are down .3% each. Bonds are modestly in the green. Energy is weak with WTI crude -.4%, however Energy ETFs are even lower with XOP -2% and XLE -1.5%. Biotechs are notably weak as well with XBI -2.7%. Volatilities are generally higher with the VIX +2.7% to 20.43, RVX +2.7% to 24.17, and VXN -1% to 25.50.

 

ETF 30D Volatility Changes

SPY:        unchanged

IWM:       -1%

QQQ:       -2%

 

 

Directional Options Strategies

Bullish Option Strategies

F Buyer 15,000 Jan 8 put options (closing) to Sell 20,000 Mar 9 put options (rolls write up  and out, ref. 8.43)

AFL Buyer 4,000 Oct 26th 44 call options (Earnings 10/24, ref. ref. 44.65)

MLCO Seller 5,000 Jan 22 call options (closing) to Buy 5,000 Jan 20.68 call options (rolls down, ref. 17.91)

CPB Seller 7,500 Nov 35 put options (ref. 38.12)

EBAY Seller 2,500 Jan 25 put options to Buy 2,500 Jan 30 call options (Earnings 10/30, ref. 28.51)

BAC Buyer 62,000 Jan20 40 call options (closing) to Sell 62,000 Jan20 37 call options (rolls short call options down, ref. 27.88)

ARNC Buyer 5,000 Dec 22 call options (Earnings 10/30, ref. 21.26)

 

Bearish Option Strategies

AMLP Buyer 6,300 Nov 10.5 put options (ref. 10.49)

CROX Buyer 2,000 Mar 21 put options (ref. 19.23)

ITUB Buyer 16,500 Jan 8 put options (ref. 13.21)

 

Macro Options Strategies

Bullish Option Strategies

FXI Buyer 5,000 Jan 42 – 46 call options spreads (ref. 40.62)

FXI Buyer 8,000 Nov 41.5 – 43.5 1x2 call options spreads (ref. 40.38)

KWEB (China Internet Fund) Buyer 5,500 Nov 45 call options (ref. 43.00)

SPY Buyer 10,000 Oct 31st 286 call options (ref. 275.26)

IWM Buyer 16,000 Nov 30th 162 – 168 call options spreads (ref. 154.24)

VXX Buyer 20,000 Nov 28 – 26 1x2 put options spreads (ref. 35.33)

 

Bearish Option Strategies

FXI Buyer 10,000 Dec 31 put options (ref. 40.46)

XLP Seller 4,000 Dec 56 call options to Buy 4,000 Dec 54 – 51 put options spreads (ref. 54.61)

SPY Buyer 20,000 Oct 24th 260 put options (ref. 275.29)

XBI Seller 5,000 Nov 88 – 83 put options spreads to Buy 5,000 Nov 82 – 76 put options spreads (rolls down, ref. 83.96)

 

 

Finance Trades Options Strategies

PBR 3,000 Jan 15 RevCons trade (ref. 15.98)

 

 

Upcoming Earnings

 

On Mobile/Tablet scroll to the right.

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
ZION 10/22/2018 4.9 1.7 183.5% B 28,292
AMTD 10/22/2018 3.2 2.5 27.0% C 20,597
CDNS 10/22/2018 4.8 4.7 3.5% C 3,921
SLCA 10/23/2018 9.3 6.6 41.8% D 8,759
VZ 10/23/2018 2.6 2.4 7.5% A 191,839
HOG 10/23/2018 7.0 4.8 44.5% D 9,481
PHM 10/23/2018 4.9 2.2 121.0% A 5,047
MCD 10/23/2018 3.3 3.1 6.8% C 180,657
SIX 10/23/2018 6.5 4.3 50.0% C 12,217
RRC 10/23/2018 5.3 4.3 23.0% F 38,963
AMP 10/23/2018 3.5 2.9 20.6% C 3,718
FITB 10/23/2018 4.7 2.6 81.3% D 5,576
HBAN 10/23/2018 4.4 2.1 105.7% C 5,268
RF 10/23/2018 4.2 2.4 78.5% B 8,222
SNV 10/23/2018 4.8 2.8 73.0% C 3,533
COF 10/23/2018 3.3 2.7 23.6% C 39,549
TSS 10/23/2018 3.9 4.1 -3.5% A 12,767
BIIB 10/23/2018 6.2 3.0 108.4% C 117,191
CNC 10/23/2018 4.7 4.0 18.0% C 17,274
EW 10/23/2018 7.5 6.7 11.1% B 17,997
ILMN 10/23/2018 5.7 5.7 -0.8% C 60,619
DGX 10/23/2018 3.7 2.9 28.1% A 2,531
LMT 10/23/2018 3.3 2.7 22.0% B 101,303
UTX 10/23/2018 3.2 1.6 100.3% C 172,000
HA 10/23/2018 5.3 5.7 -6.9% C 3,377
JBLU 10/23/2018 6.2 4.5 39.9% D 8,575
CAT 10/23/2018 4.8 3.8 26.3% B 403,570
MMM 10/23/2018 3.7 3.2 16.6% B 113,520
ATI 10/23/2018 7.9 9.6 -18.1% C 3,779
PCAR 10/23/2018 5.5 3.3 63.9% B 4,518
XRX 10/23/2018 4.9 4.3 14.9% D 27,398
JNPR 10/23/2018 6.4 5.8 10.4% D 5,732
IRBT 10/23/2018 14.2 15.4 -7.7% D 13,829
GLW 10/23/2018 5.3 5.7 -7.1% C 30,982
TER 10/23/2018 9.5 7.1 33.0% D 17,474
TXN 10/23/2018 4.0 3.0 34.5% A 123,360
NEE 10/23/2018 2.2 1.5 49.0% B 22,110
OC 10/24/2018 8.1 5.8 40.0% C 3,739
GRA 10/24/2018 4.3 3.8 11.6% B 17,056
FCX 10/24/2018 5.7 5.9 -2.6% C 57,747
T 10/24/2018 3.0 3.7 -17.4% B 300,254
LAD 10/24/2018 8.9 6.7 32.0% C 7,252
F 10/24/2018 4.0 3.3 21.4% C  
SIRI 10/24/2018 3.7 2.7 37.8% C  
SNBR 10/24/2018 10.8 8.3 30.7% C 2,484
WHR 10/24/2018 7.4 7.1 3.9% D 28,205
PKG 10/24/2018 1.2 2.6 -53.5% A 10,210
TUP 10/24/2018 9.3 8.9 3.8% D 3,486
ORLY 10/24/2018 6.2 5.2 18.5% A 20,881
HLT 10/24/2018 5.3 1.7 216.9% A 23,677
LVS 10/24/2018 4.4 3.0 47.5% C 145,761
NYCB 10/24/2018 4.8 4.4 9.7% C  
RJF 10/24/2018 3.7 2.7 36.4% B 4,313
NDAQ 10/24/2018 3.5 1.8 96.0% C 14,992
V 10/24/2018 2.4 2.3 4.1% A 593,630
AFL 10/24/2018 3.2 2.0 59.9% A 20,607
UNM 10/24/2018 9.7 3.5 172.6% B 20,671
MKL 10/24/2018 3.4 1.9 80.2% B 6,338
SRPT 10/24/2018 6.8 8.8 -22.9% D 32,443
ALXN 10/24/2018 5.2 5.3 -2.5% C 17,552
VRTX 10/24/2018 4.3 1.8 145.7% C 31,427
ALGN 10/24/2018 7.2 7.2 -0.2% B 122,066
BSX 10/24/2018 6.2 2.7 130.1% C 21,183
LH 10/24/2018 4.1 3.1 31.4% A 4,883
TMO 10/24/2018 3.0 3.1 -3.2% B 29,098
BA 10/24/2018 3.7 3.8 -2.3% B 1,129,376
GD 10/24/2018 3.1 3.2 -3.1% B 30,296
NOC 10/24/2018 3.4 2.8 19.9% A 49,378
SAVE 10/24/2018 7.1 5.1 37.5% C 5,091
EFX 10/24/2018 2.9 3.0 -3.2% C 3,776
ASGN 10/24/2018 8.2 4.8 70.4% D 1,512
ITW 10/24/2018 3.7 3.4 7.4% C 26,026
UPS 10/24/2018 4.4 3.7 18.9% B 82,279
NSC 10/24/2018 3.5 3.8 -9.2% A 80,030
TRN 10/24/2018 5.5 3.0 79.9% C 13,550
KNX 10/24/2018 10.5 5.9 77.2% C 9,184
AGNC 10/24/2018 2.3 1.5 46.8% D 4,652
PTC 10/24/2018 4.9 4.3 13.0% D 11,728
NOW 10/24/2018 5.8 4.0 45.6% D 74,898
CTXS 10/24/2018 5.6 2.8 96.3% C 17,668
FFIV 10/24/2018 5.8 4.4 30.9% C 17,208
MSFT 10/24/2018 3.9 2.5 53.0% C 1,584,420
APH 10/24/2018 4.2 1.6 161.8% B 4,034
AMD 10/24/2018 11.9 13.6 -12.1% D 640,118
XLNX 10/24/2018 5.3 4.3 23.4% C 20,313
MLNX 10/24/2018 7.7 3.0 156.4% C 4,243
SRE 10/24/2018 1.8 1.3 42.3% C 24,091

 

 

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
ESPR 73.99% F 0.00% 96.05 20,610
NCR 73.17% F -3.32% 96.44 2,502
COMM 70.48% C 0.00% 99.21 264
TRCO 70.09% C 0.00% 30.83 1,677
APOG 63.84% C 0.00% 81.42 125
WRD 63.23% F 0.41% 98.42 4,104
RDFN 62.41% F 2.28% 87.35 4,041
COL 61.27% A -3.70% 99.60 147,469
UNIT 60.24% C 1.62% 80.24 11,095
XRAY 60.01% C 0.00% 99.60 4,336
WH 57.14% D 0.00% 98.92 945
ARMK 57.03% B 1.18% 96.84 944
OLN 56.74% B 0.00% 93.68 6,141
TSRO 56.03% F -0.76% 95.65 6,954
WYND 55.80% D -11.08% 97.62 3,778
RSG 54.66% A 0.00% 69.96 773
CTB 53.25% D 1.99% 97.23 5,308
CRZO 53.02% D -2.73% 45.85 1,778
LW 52.07% B -2.09% 66.01 2,115
WATT 50.76% D -0.54% 88.54 2,080
PAA 48.91% D 0.00% 66.80 2,903
CIT 48.47% D 2.97% 82.61 2,029
SABR 47.31% D 0.00% 78.66 147
UNM 46.79% B 0.00% 98.42 20,671

 

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
SONC -74.55% C 0.00% 0.40 494
CA -67.57% B -3.32% 24.60 8,053
IMPV -66.75% C 0.00% 1.98 3,225
DNB -66.37% B 0.00% 17.39 7,413
PVTL -41.57% F 0.00% 44.35 4,497
FLR -41.51% C 0.41% 97.63 11,312
PPG -36.42% C 2.28% 83.79 21,037
IDTI -36.00% C -3.70% 12.65 865
JELD -34.50% C 1.62% 95.65 706
OCLR -33.11% C 0.00% 14.23 227
ATHN -31.69% B 0.00% 47.83 22,152
TTD -30.65% D 1.18% 97.63 32,641
SNAP -28.01% F 0.00% 82.21 108,937
SGH -27.45% A -0.76% 69.15 1,789
AKRX -26.78% F -11.08% 47.04 4,763
FOLD -25.98% D 0.00% 88.93 1,092
ADBE -2.56E-01 A 1.99% 96.05 705,844
CLDR -23.70% F -2.73% 75.89 3,765
IEP -23.67% C -2.09% 90.12 2,165
CAMP -22.92% C -0.54% 49.80 898
NBEV -22.30% F 0.00% 84.44 8,612
PTCT -21.60% F 2.97% 66.80 1,052
ZS -20.80% F 0.00% 42.86 8,563
SEE -20.78% B 0.00% 99.21 5,079