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VIX up 7% as equities continue to search for a bid

Oct 24, 2018

Options Market Commentary

Market volatility continues with equities getting hit overnight, but then bouncing into the open on strong earnings from Boeing. After the open, stocks sold off with a strong move lower on reports of various suspicious packages sent to former Presidents Obama and Clinton. Stocks bounced from there and are off lows, but in the red overall with the S&P -.85%, the Russell -1.1%, and the Nasdaq -1.4%. IYR, XRT, XLP, and XLU are outperforming on a rotation towards value and away from growth. Bonds are higher with TLT +.42% and the 10-year yield down to 3.126%. Crude is bouncing with WTI +1.7% however the overall market is keeping energy stocks down with XOP -1.3% and XLE -1.4%. Volatilities are higher with the VIX +5% to 21.81, RVX +3% to 24.86, and VXN +8% to 27.32.

 

ETF 30D Volatility Changes

SPY:         +4%

IWM:       +2%

QQQ:       +6%

 

Directional Options Strategies

Bullish Option Strategies

CMCSA Buyer 5,200 Mar 32.5 calls (Earnings 10/25, ref. 35.45)

PBR Buyer 10,700 Jan 13 calls (ref. 15.65)

NWL 7,400 Dec 20 and Mar 21 calls trade (Earnings 11/1, ref. 16.52)

AAL Seller 22,000 Dec 32 puts (ref. 32.01)

NYT Seller 8,800 Nov 26 puts to Buy 8,800 Nov 28 calls (Earnings 11/1, ref. 25.83)

 

 

Bearish Option Strategies

T Buyer 5,000 Nov 32 – 29.5 put spreads (rolls down, ref. 30.97)

DISH Buyer 9,000 Jan 30 puts (ref. 31.82)

F Buyer 21,103 Nov 8 puts (ref. 8.42)

X Buyer 6,600 Nov 25 puts (Earnings 11/1, ref. 26.86)

DXC Seller 5,000 Nov 75 puts (closing) to Buy 7,500 Nov 70 puts (rolls down, ref. 73.00)

 

Macro Options Strategies

Bullish Option Strategies

VIX Seller 15,000 Nov 22 calls (ref. 19.72)

VXX Buyer 25,000 Dec 30 puts to Sell 25,000 Dec 28 and 27 puts (ref. 37.58)

XLI Seller 5,000 Nov 74 – 70 – 65 broken put flies (ref. 71.72)

 

 

Bearish Option Strategies

XLF Buyer 8,400 Nov 25.5 puts (ref. 25.76)

EWZ Seller 16,500 Nov 41.5 calls to Buy 16,500 Nov 37.5 puts (ref. 39.44)

IWM Seller 5,700 Nov 160 puts to Buy 20,000 Dec 145 puts and Sell 14,300 Dec 135 puts (monetizes and rolls, ref. 151.27)

XBI Seller 1,500 Dec 90 puts (closing) to Buy 10,000 Nov 77 – 70 put spreads (monetizes and rolls into spread, ref. 81.80)

 

 

 

Finance Trades Options Strategies

VIX 50,000 Dec 20 RevCons trade (ref. 19.30)

 

 

 

 

Upcoming Earnings

 

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Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
F 10/24/2018 4.9 3.3 49.2% C  
TSLA 10/24/2018 10.2 7.2 41.0% D 3,066,311
WHR 10/24/2018 7.4 7.1 3.6% D 24,325
PKG 10/24/2018 4.7 2.6 82.5% A 14,670
ORLY 10/24/2018 6.8 5.2 30.7% A 24,386
LVS 10/24/2018 4.6 3.0 54.8% C 199,657
RJF 10/24/2018 4.1 2.7 50.6% B 4,758
V 10/24/2018 3.2 2.3 40.5% A 591,110
AFL 10/24/2018 3.2 2.0 59.6% A 24,346
UNM 10/24/2018 9.8 3.5 177.9% B 21,296
SRPT 10/24/2018 6.4 8.8 -27.6% D 30,432
VRTX 10/24/2018 4.1 1.8 131.9% C 40,728
ALGN 10/24/2018 7.4 7.2 2.9% B 124,139
SAVE 10/24/2018 8.4 5.1 63.4% C 5,369
EFX 10/24/2018 3.6 3.0 20.4% C 5,806
ECHO 10/24/2018 12.7 6.3 103.3% C 4,401
TRN 10/24/2018 5.8 3.0 91.4% C 17,209
KNX 10/24/2018 8.7 5.9 46.9% C 12,451
AGNC 10/24/2018 2.2 1.5 46.7% D 5,166
PTC 10/24/2018 6.4 4.3 48.4% D 13,632
NOW 10/24/2018 5.8 4.0 44.8% D 114,558
CTXS 10/24/2018 5.7 2.8 101.2% C 18,830
FFIV 10/24/2018 5.4 4.4 21.2% C 17,819
MSFT 10/24/2018 5.2 2.5 106.8% C 1,738,714
AMD 10/24/2018 12.9 13.6 -5.2% D 624,220
XLNX 10/24/2018 5.9 4.3 36.9% C 21,358
MLNX 10/24/2018 8.5 3.0 183.8% C 7,551
EMN 10/25/2018 5.4 2.5 118.8% B 11,451
PX 10/25/2018 2.4 1.8 33.0% C 62,568
SHW 10/25/2018 4.1 3.6 14.1% A 20,607
AXTA 10/25/2018 5.2 2.6 96.0% D 6,737
NEM 10/25/2018 3.4 2.6 29.4% D 61,349
AKS 10/25/2018 8.0 10.7 -24.7% F  
CMCSA 10/25/2018 3.5 2.2 59.4% B 115,518
BWA 10/25/2018 6.5 2.7 142.2% B 8,794
LKQ 10/25/2018 8.7 5.5 56.8% B 8,696
LEA 10/25/2018 7.1 2.7 159.8% C 19,970
VC 10/25/2018 6.9 3.6 93.2% F 12,934
WWE 10/25/2018 9.9 4.2 134.2% D 19,851
CRI 10/25/2018 7.7 4.1 87.7% C 6,330
DECK 10/25/2018 8.8 7.1 24.0% C 3,431
MHK 10/25/2018 9.1 5.5 65.5% C 18,550
IP 10/25/2018 3.7 2.0 84.3% C 25,770
CMG 10/25/2018 7.8 9.7 -19.5% C 340,934
DNKN 10/25/2018 4.5 1.3 237.2% B 3,433
AMZN 10/25/2018 6.4 4.0 62.0% C 19,525,148
TSCO 10/25/2018 6.1 4.5 35.8% B 4,918
EXPE 10/25/2018 7.6 8.0 -6.0% C 78,598
MAT 10/25/2018 10.2 7.2 41.0% D 6,700
RCL 10/25/2018 5.8 5.1 14.3% C 48,389
BYD 10/25/2018 7.6 4.2 81.7% C 4,926
SAM 10/25/2018 8.6 7.5 15.2% D 5,425
HSY 10/25/2018 3.7 3.7 -0.5% A 11,636
MO 10/25/2018 2.8 1.7 67.8% B 92,566
COP 10/25/2018 2.9 2.0 49.0% C 107,045
EQT 10/25/2018 6.8 5.0 35.3% C 16,371
SWN 10/25/2018 5.9 7.9 -25.0% D  
VLO 10/25/2018 3.9 3.1 28.5% C 116,905
NOV 10/25/2018 4.6 4.4 5.5% D 9,372
BEN 10/25/2018 4.6 1.7 170.4% C 2,839
TROW 10/25/2018 3.5 3.2 8.3% B 14,828
KKR 10/25/2018 3.7 2.5 47.5% C 15,388
CFR 10/25/2018 5.1 3.0 70.9% B 3,977
SIVB 10/25/2018 7.3 6.4 14.4% C 18,895
ALLY 10/25/2018 5.9 3.2 83.2% C 19,275
SPGI 10/25/2018 4.5 2.5 82.2% A 11,327
LPLA 10/25/2018 7.5 4.8 57.6% C 2,549
CME 10/25/2018 3.2 2.0 59.3% A 45,169
DFS 10/25/2018 3.3 2.5 32.7% B 15,746
HIG 10/25/2018 3.8 3.0 27.3% C 12,916
BMRN 10/25/2018 5.0 1.7 190.1% D 30,678
CELG 10/25/2018 5.6 3.8 47.9% C 208,588
GILD 10/25/2018 4.6 3.8 21.6% D 176,017
SGEN 10/25/2018 9.9 3.7 167.7% F 2,864
BMY 10/25/2018 3.4 3.1 8.9% C 192,684
MRK 10/25/2018 2.3 1.9 20.4% C 193,061
UHS 10/25/2018 5.3 4.3 23.2% B 3,110
SYK 10/25/2018 3.9 2.6 49.1% C 13,431
MCK 10/25/2018 4.9 5.3 -7.1% C 13,992
RTN 10/25/2018 3.0 2.1 41.4% C 112,753
ALK 10/25/2018 6.1 5.7 7.5% D 18,532
LUV 10/25/2018 5.0 4.9 1.6% C 34,462
AAL 10/25/2018 6.4 4.1 56.7% F 197,802
IRM 10/25/2018 4.0 1.9 112.4% C 5,434
AIMC 10/25/2018 7.3 4.1 79.3% C 6,456
SWK 10/25/2018 5.6 3.5 60.7% B 44,933
PRLB 10/25/2018 8.4 5.9 44.2% D 3,455
UNP 10/25/2018 3.4 3.3 4.1% A 219,461
KEX 10/25/2018 5.9 4.4 34.3% C 5,580
ODFL 10/25/2018 6.5 4.6 39.4% B 6,148
WM 10/25/2018 3.6 2.8 30.1% A 11,522
DLR 10/25/2018 3.6 2.8 27.6% D 10,931
NRZ 10/25/2018 3.1 2.9 5.9% D 2,255
SPG 10/25/2018 4.8 2.6 84.8% C 20,793
CERN 10/25/2018 5.8 5.1 13.6% C 4,457
ELLI 10/25/2018 8.9 7.3 21.5% D 11,090
PFPT 10/25/2018 9.2 5.2 76.2% C 5,841
CA 10/25/2018 3.1 2.1 50.5% B 8,738
WDC 10/25/2018 6.2 5.6 10.2% C 63,772
FTV 10/25/2018 3.8 2.3 64.5% C 2,929
GOOGL 10/25/2018 5.1 3.7 37.5% C 2,262,538
VRSN 10/25/2018 6.1 1.7 259.7% A 24,270
TWTR 10/25/2018 12.7 11.8 7.5% D 221,852
GRUB 10/25/2018 11.8 15.8 -25.3% C 47,558
SNAP 10/25/2018 16.2 20.7 -21.8% F  
CY 10/25/2018 8.8