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VIX down -7% as equities have found a short term bottom.

Oct 25, 2018

Options Market Commentary

Stocks are bouncing today led by tech as FAANG names move sharply off yesterday’s lows. Currently, the S&P is +1.4%, the Russell is +1.8%, and the Nasdaq is +2.6% with AMZN +5.3% and GOOG +3.5% lifting tech in general. TWTR is another standout, +15% on strong earnings. Crude oil is unchanged, however Energy stocks are being lifted by the overall market with XOP +1.5% and XLE +1.1%. Biotechs are recouping a portion of yesterday’s shellacking with XBI +4%. Bonds are modestly lower. Gold is slightly in the red as well, however the Miners ETF is getting hit, -4 on earnings reports from NEM and GG%. Volatilities are lower, however VXX seems to be outperforming the overall move down in volatility. The VIX is -8% to 23.17 with VXX -2.2% to 38.13. RVX is -5% and VXN -7%.

 

ETF 30D Volatility Changes

SPY:         -5%

IWM:       -4%

QQQ:       -7%

   

 

Directional Options Strategies

Bullish Option Strategies

ATH Buyer 1,300 Feb 50 calls (Earnings 10/31, ref. 46.05)

NVS Seller 6,800 Nov 87.5 call optionss (closing) to Buy 6,800 Nov 90 call options (rolls up, Earnings 10/18, ref. 85.14)

BUD Buyer 9,800 Dec 90 call options (ref. 74.59)

INTC Buyer 7,700 Nov 2nd 45 – 47 call options spreads (ref. 43.76)

CNHI Buyer 3,000 Dec 10 call options (ref. 10.01)

GG Seller 14,000 Jan20 8 put options (ref. 9.11)

 

Bearish Option Strategies

VALE Buyer 4,500 Nov 14 put options (ref. 14.69)

BUD Buyer 3,400 Jan 65 put options (ref. 73.95)

CHK Seller 9,800 Nov 4 put options (closing) to Buy 9,800 Nov 3 put options (ref. 4.03)

AAL Buyer 20,000 Jan 43 put options (closing, covers loss on write, ref. 32.00)

MET Buyer 3,000 Jun 40 put options (ref. 41.05)

 

Macro Options Strategies

Bullish Option Strategies

EFA Buyer 40,000 Nov 23rd 63.5 call options (ref. 61.60)

KWEB Buyer 4,900 Dec 44 call options (ref. 40.88)

 

Bearish Option Strategies

QQQ Buyer 6,000 Jan 158 put options (ref. 167.63)

QQQ Seller 20,000 Nov 174 call options to Buy 20,000 Nov 161 put options (ref. 168.31)

XOP Buyer 25,000 Jan 37 put options (ref. 36.25)

XLF Buyer 21,000 Jan 25 put options (ref. 25.46)

SPY Buyer 46,000 Oct 26th 250 put options (ref. 268.49)

HYG Buyer 42,000 Jan 82 – 77 put option spreads (ref 84.62)

IWM Buyer 13,000 Jan 157 – 125 1x2 put option spreads (ref. 148.34)

RUT Seller 12,095 Oct 26th 1430 – 1380 put option spreads (closing) to Buy 12,095 Nov 1325 – 1275 put options spreads (ref. 1488.10)

 

 

 

Upcoming Earnings

 

On Mobile/Tablet scroll to the right.

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
EMN 10/25/2018 6.0 2.5 141.7% B 7,926
AKS 10/25/2018 10.1 10.7 -4.9% F  
DECK 10/25/2018 9.0 7.1 27.7% C 3,158
MHK 10/25/2018 9.3 5.5 70.7% C 19,777
CMG 10/25/2018 7.5 9.7 -23.0% C 338,918
AMZN 10/25/2018 6.3 4.0 57.5% C 17,942,768
EXPE 10/25/2018 8.2 8.0 1.9% C 65,353
MAT 10/25/2018 10.7 7.2 47.9% D 7,407
BYD 10/25/2018 7.2 4.2 71.8% C 4,107
SAM 10/25/2018 9.6 7.5 28.5% D 4,814
SWN 10/25/2018 6.8 7.9 -14.2% D  
NOV 10/25/2018 4.7 4.4 8.2% D 9,041
SIVB 10/25/2018 8.1 6.4 26.2% C 20,757
LPLA 10/25/2018 7.8 4.8 64.0% C 2,190
DFS 10/25/2018 3.2 2.5 29.9% B 12,054
HIG 10/25/2018 3.8 2.9 30.7% C 12,009
BMRN 10/25/2018 6.0 1.7 250.1% D 24,595
GILD 10/25/2018 5.8 3.8 52.7% D 233,948
SGEN 10/25/2018 11.5 3.7 211.2% F 2,911
UHS 10/25/2018 5.9 4.3 37.7% B 3,058
SYK 10/25/2018 4.4 2.6 67.0% C 13,918
KEX 10/25/2018 7.2 4.4 63.8% C 2,428
DLR 10/25/2018 3.7 2.8 31.8% D 11,976
CERN 10/25/2018 6.2 5.1 21.2% C 4,771
LOGM 10/25/2018 11.9 9.5 25.2% C 3,840
ELLI 10/25/2018 9.4 7.3 28.3% D 11,436
PFPT 10/25/2018 8.4 5.2 59.6% C 5,820
WDC 10/25/2018 6.2 5.6 10.5% C 60,568
FTV 10/25/2018 4.2 2.3 80.9% C 2,465
GOOGL 10/25/2018 5.0 3.7 35.6% C 2,056,812
VRSN 10/25/2018 6.6 1.7 288.4% A 27,989
SNAP 10/25/2018 17.6 20.7 -14.8% F  
CY 10/25/2018 8.4 3.5 143.4% B 6,379
INTC 10/25/2018 5.4 4.5 19.6% C 380,418
FSLR 10/25/2018 7.7 9.3 -16.6% F 23,536
FE 10/25/2018 4.0 1.7 139.6% C 8,710
PX 10/26/2018 2.1 1.8 17.4% C 63,185
WY 10/26/2018 3.8 2.4 58.5% B 21,507
CHTR 10/26/2018 5.8 5.2 11.4% C 21,699
TEN 10/26/2018 8.3 5.5 52.0% C 5,120
GT 10/26/2018 6.6 6.0 10.4% C 13,885
CL 10/26/2018 3.5 1.9 90.6% C 38,971
COG 10/26/2018 5.3 3.8 40.5% C 18,324
PSX 10/26/2018 2.7 2.0 37.6% B 36,122
MCO 10/26/2018 5.0 2.7 82.5% B 14,215
ZBH 10/26/2018 6.4 4.8 32.8% B 6,690
COL 10/26/2018 4.5 2.0 130.5% A 63,940
R 10/26/2018 8.4 6.8 23.0% C 3,104
ROP 10/26/2018 5.2 2.2 135.7% A 4,717
VTR 10/26/2018 3.1 2.6 19.3% C 9,576

 

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
NAVI 68.60% D -3.35% 47.43 501
NWL 68.30% F -2.37% 99.60 45,945
PRSP 66.37% F -7.12% 66.67 275
UNFI 66.24% D -9.69% 99.60 11,731
HAIN 64.82% F -14.10% 90.51 7,828
AGNC 64.20% D -1.41% 80.24 7,515
SNA 62.88% A -1.37% 88.93 24,583
CALM 62.28% C -9.47% 50.20 2,345
FAST 62.18% A 0.57% 89.33 13,694
ALLY 61.97% C -4.06% 98.81 18,773
UNM 61.72% B -0.57% 100.00 21,263
VSAT 60.83% F 9.26% 99.21 1,730
LVS 60.69% C -2.28% 99.60 191,408
F 60.58% C -3.18% 100.00 112,431
GWW 60.26% C 16.90% 34.78 83,780
SPG 59.58% C -5.91% 98.02 22,356
FOXA 59.56% B -0.69% 42.69 126,110
BLUE 59.09% D -7.73% 92.09 21,396
DOV 59.06% D -5.23% 73.02 9,584
AMED 58.74% C -2.20% 96.05 4,110
AXTI 58.64% B -2.14% 100.00 225
SGMS 58.44% D -0.15% 100.00 22,969
PRTY 58.35% C -3.90% 96.05 2,803
HCA 57.94% B 1.98% 99.21 23,550

 

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
SONC -59.40% C -3.35% 4.35 494
XOXO -58.75% C -2.37% 8.30 39
IMPV -42.63% C -7.12% 1.19 645
CA -37.65% B -9.69% 93.65 5,104
PVTL -36.56% F -14.10% 76.38 4,672
DNB -34.36% B -1.41% 21.34 7,447
FLR -32.26% C -1.37% 100.00 11,313
RCII -30.61% F -9.47% 8.30 4,471
AKRX -28.29% F 0.57% 41.11 4,063
DXC -26.97% A -4.06% 99.60 42,294
JELD -25.19% C -0.57% 96.84 694
ATHN -23.66% B 9.26% 47.04 32,778
TTD -21.88% D -2.28% 99.21 27,866
RH -18.28% C -3.18% 86.96 40,484
SGH -17.31% A 16.90% 36.08 1,177
OCLR -16.90% C -5.91% 26.09 395
ZS -16.73% F -0.69% 84.00 8,483
SNAP -15.07% F -7.73% 97.63 91,666
ADBE -1.50E-01 A -5.23% 99.60 618,582
PI -14.60% F -2.20% 90.91 751
P -14.05% F -2.14% 5.14 5,454
CASA -13.00% D -0.15% 94.69 618
CLDR -12.40% F -3.90% 100.00 2,575
BMY -12.22% C 1.98% 87.35 233,486