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VIX trades as high as 25 as equities continue to slide

Oct 23, 2018

Options Market Commentary

Stocks are having a rough day with concerns corporate profits have peaked following weak results from 3M and Caterpillar. Gold and treasuries are higher in a risk-off day. Currently, the S&P is -1.4%, the Russell is -1.23%, and the Nasdaq is -1.5% though off earlier lows. Bonds are higher with TLT +.95% and the 10-year yield moving down to 3.13%. Gold is .8% higher with the Miners ETF +1%. Energy is getting hit aggressively today with WTI crude -4.6% which is taking Energy ETFs with it as XOP -4% and XLE -3.6%. Volatilities are moving sharply higher, though they are off today’s peak levels with the VIX +11% to 21.87, RVX +7% to 25.18, and VXN +7% to 27.

 

ETF 30D Volatility Changes

SPY:         +9%

IWM:       +6%

QQQ:       +7%

 

Directional Options Strategies

Bullish Option Strategies

CGC Buyer 4,000 Oct 26th 40 calls (ref. 39.98)

C Seller 20,000 Nov 72.5 calls to Buy 20,000 Dec 72.5 calls (rolls out, ref. 64.16)

BAC Buyer 65,000 Jun 33 calls (ref. 26.31)

MGM Seller 7,900 Nov 29 calls (closing) to Buy 5,900 Nov 27 calls (rolls down, ref. 24.99)

AAL 10,000 Nov 32 calls trade (ref. 30.72)

IGT Buyer 6,000 Jan 16 – 18 call spreads (ref. 15.48)

 

Bearish Option Strategies

ARNC Seller 7,500 Nov 22 calls and 12,500 Nov 23 calls to Buy 15,000 Nov 27 calls (all closing, ref. 20.78)

KBH Buyer 3,890 Jan21 13 puts (ref 18.78)

BAC Buyer 60,000 Oct 26th 28.5 calls (closing) to Sell 60,000 Oct 26th 28 calls (rolls write down, ref. 26.49)

STX Buyer 3,498 Jan 42 puts (ref. 42.09)

 

 

Macro Options Strategies

Bullish Option Strategies

FXI 7,300 Nov 23rd 42 – 44 call spreads trade (ref. 39.43)

FXI Buyer 50,000 Dec 42 – 45 call spreads (ref. 39.39)

ITB Seller 13,750 Dec 27 puts to Buy 13,750 Dec 31 – 35 call spreads (ref. 30.12)

EEM Seller 10,000 Dec 37 puts to Buy 10,000 Dec 41 calls (ref. 39.05)

VXX Seller 7,500 Nov 37 – 53 call spreads (ref. 37.56)

 

Bearish Option Strategies

QQQ 20,000 Dec 154 – 147 put spreads trade (ref. 169.50)

QQQ Buyer 15,000 Dec 163 puts to Sell 22,500 Dec 150 calls (ref. 170.70)

XOP Buyer 14,800 Nov 9th 37.5 puts (ref. 37.59)

EEM Buyer 15,000 Nov 37 puts (ref. 39.12)

 

 

 

Finance Trades Options Strategies

AABA 10,00 Nov 61 RevCons trade (ref. 60.30)

JNK 5,000 Nov 35 RevCons trade (ref. 35.26)

GDX 10,000 Nov 20 RC trade (ref. 20.17)

EFA 10,000 Nov 65 RC trade (ref. 62.42)

 

 

 

Upcoming Earnings

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Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
SIX 10/23/2018 7.0 4.3 62.8% C 12,842
RRC 10/23/2018 5.4 4.3 24.1% F 38,386
AMP 10/23/2018 5.3 2.9 83.4% C 3,972
COF 10/23/2018 3.8 2.7 40.1% C 36,870
TSS 10/23/2018 5.6 4.1 37.9% A 11,939
EW 10/23/2018 7.6 6.7 13.6% B 20,656
ILMN 10/23/2018 6.2 5.7 7.4% C 64,028
HA 10/23/2018 7.8 5.7 35.3% C 3,503
JNPR 10/23/2018 7.2 5.8 24.6% D 7,265
IRBT 10/23/2018 14.2 15.4 -7.3% D 11,658
TER 10/23/2018 11.1 7.1 55.0% D 19,361
TXN 10/23/2018 4.7 3.0 57.2% A 134,256
OC 10/24/2018 9.3 5.8 60.0% C 3,783
GRA 10/24/2018 5.2 3.8 37.7% B 20,479
FCX 10/24/2018 6.3 5.9 7.5% C 58,297
T 10/24/2018 3.6 3.7 -2.3% B 301,595
LAD 10/24/2018 8.2 6.7 22.1% C 9,191
F 10/24/2018 5.0 3.3 50.0% C  
TSLA 10/24/2018 9.9 7.2 37.2% D 2,631,768
SIRI 10/24/2018 4.3 2.7 57.5% C  
WHR 10/24/2018 7.5 7.1 4.6% D 28,024
PKG 10/24/2018 4.6 2.6 81.2% A 10,951
TUP 10/24/2018 9.9 8.9 11.2% D 3,223
ORLY 10/24/2018 7.0 5.2 33.6% A 22,791
HLT 10/24/2018 7.7 1.7 362.6% A 26,003
LVS 10/24/2018 4.9 3.0 65.6% C 147,107
NYCB 10/24/2018 5.6 4.4 27.7% C  
RJF 10/24/2018 4.9 2.7 78.4% B 4,381
NDAQ 10/24/2018 4.6 1.8 161.3% C 14,273
V 10/24/2018 3.6 2.3 56.9% A 547,847
AFL 10/24/2018 3.5 2.0 72.1% A 23,471
UNM 10/24/2018 10.2 3.5 189.1% B 21,074
SRPT 10/24/2018 7.6 8.8 -13.7% D 30,945
ALXN 10/24/2018 5.9 5.3 11.2% C 19,424
VRTX 10/24/2018 4.8 1.8 171.3% C 32,795
ALGN 10/24/2018 8.3 7.2 15.0% B 118,137
BSX 10/24/2018 4.3 2.7 58.8% C 24,996
LH 10/24/2018 4.8 3.1 53.2% A 4,834
TMO 10/24/2018 4.6 3.1 47.8% B 30,401
BA 10/24/2018 4.8 3.8 28.8% B 1,034,308
GD 10/24/2018 3.5 3.2 10.6% B 29,411
NOC 10/24/2018 3.9 2.8 38.5% A 55,197
SAVE 10/24/2018 8.5 5.1 65.4% C 5,152
EFX 10/24/2018 4.0 3.0 34.4% C 4,015
ITW 10/24/2018 4.4 3.4 26.4% C 25,694
UPS 10/24/2018 5.4 3.7 43.7% B 77,235
ECHO 10/24/2018 11.5 6.3 83.5% C 4,239
NSC 10/24/2018 4.4 3.8 16.2% A 80,972
TRN 10/24/2018 6.3 3.0 108.1% C 14,835
KNX 10/24/2018 12.3 5.9 107.6% C 8,137
AGNC 10/24/2018 2.4 1.5 57.0% D 4,336
PTC 10/24/2018 6.5 4.3 52.1% D 12,567
NOW 10/24/2018 6.6 4.0 65.6% D 75,577
CTXS 10/24/2018 5.8 2.8 105.9% C 16,701
FFIV 10/24/2018 5.6 4.4 26.0% C 17,357
MSFT 10/24/2018 5.0 2.5 97.5% C 1,593,729
APH 10/24/2018 4.6 1.6 185.6% B 4,878
AMD 10/24/2018 12.5 13.6 -7.8% D 626,666
XLNX 10/24/2018 5.8 4.3 33.7% C 20,126
MLNX 10/24/2018 9.0 3.0 199.1% C 7,783
SRE 10/24/2018 2.8 1.3 120.7% C 25,140
EMN 10/25/2018 5.4 2.5 118.6% B 13,703
PX 10/25/2018