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VIX down -3% after trading up 13.5% on opening selloff.

Oct 26, 2018

Options Market Commentary

Stocks are in the red on weaker than expected revenue numbers from Amazon and Alphabet, but we are well off earlier lows with the S&P now -1.1%, the Nasdaq -1.6%, and the Russell -.8%. Bonds are rallying with TLT +.56% and the 10-year yield down to 3.08%. WTI crude is higher, however Energy Stocks are lower with XOP -.8% and XLE -.25%. The Consumer Discretionary sector is notably weak -3%. Gold is strong with GLD +.6% and the Miners ETF GDX rallying 2%. Volatilities are higher, though well off earlier highs with the VIX +.25%, RVX +6% to 28.08, and VXN +.7% to 29.75

 

 

ETF 30D Volatility Changes

SPY:         +1%

IWM:       +3%

QQQ:       +1%

 

Directional Options Strategies

Bullish Option Strategies

BAC Buyer 35,000 Jan 30 call options (ref. 26.14)

QCOM 7,400 Nov 65 and Jan 70 call options trade (ref. 61.76)

FDC Buyer 14,200 Nov 22 call options (Earnings 10/29, ref. 21.36)

GE 10,000 Jan 12 – 14 call options spreads trade (ref. 11.37)

CL Buyer 10,000 Feb 65 call options (ref. 60.06)

PBR Seller 14,000 Nov 15 put options to Buy 14,000 Dec 16 ns (ref. 15.70)

 

 

Bearish Option Strategies

VSH Buyer 5,000 Dec 17.5 put options (Earnings 10/30, ref. 17.20)

WMT Buyer 8,700 Nov 100 call options (closing) to Sell 8,700 Jan 105 call options (rolls write, ref. 98.92)

 

 

Macro Options Strategies

Bullish Option Strategies

VXX Buyer 20,000 Nov 9th 30 put options (ref. 40.24)

SPY 24,000 Dec 31st 290 – 305 call options spreads trade (ref. 266.10)

EEM Seller 64,495 Nov 36 put options to Buy 64.495 Nov 39.5 – 41 call options spreads (ref. 38.29)

EWZ Seller 20,000 Oct 26th 39 put options to Sell 20,000 Dec 43 call options and Buy 20,000 Dec 35 put options (ref. 39.04)

QQQ Buyer 15,000 Dec 170 – 182 call options spreads (ref. 165.71)

 

Bearish Option Strategies

VIX Buyer 26,000 Nov 26 call options to Sell 42,000 Dec 40 call options (ref. 20.82)

XLF Seller 10,000 Jan 25 put options (closing) to Buy 10,000 Jan 23 put options (ref. 25.18)

QQQ Buyer 15,600 Dec 165 – 157 put options spreads (ref. 165.76)

EFA Seller 10,000 Jun 62 put options and 20,000 Jun 61 put options and 10,000 (closing) to Buy 25,000 Jun 54 – 53 put options stupids (ref. 61.37)      

 

 

Finance Trades Options Strategies

IWM 8,000 Dec 145 RevCons trade (ref. 145.15)

VIX 10,000 Nov 21 RevCons trade (ref. 21.62)

 

 

 

Upcoming Earnings

 

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Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
TREX 10/29/2018 11.7 12.0 -2.2% B 3,067
OLN 10/29/2018 6.8 3.7 84.1% B 3,292
CTB 10/29/2018 8.1 7.0 16.6% D 4,802
WING 10/29/2018 11.2 9.2 21.6% C 11,898
MDLZ 10/29/2018 4.1 3.3 26.5% C 48,254
CLR 10/29/2018 6.6 4.3 53.2% C 14,994
AMG 10/29/2018 7.3 3.9 86.7% C 14,711
CACC 10/29/2018 9.4 6.7 40.1% C 5,241
AMED 10/29/2018 14.4 6.4 125.9% C 3,821
FDC 10/29/2018 10.7 6.3 69.6% C 23,370
ARE 10/29/2018 3.7 2.0 88.6% D 3,097
VNO 10/29/2018 3.6 1.9 86.7% C 2,922
AVB 10/29/2018 3.5 1.6 117.4% C 16,155
ESS 10/29/2018 4.6 1.8 154.3% D 9,307
EPR 10/29/2018 4.0 2.5 57.6% A 1,075
AKAM 10/29/2018 8.5 7.3 16.1% B 7,336
KLAC 10/29/2018 7.6 3.6 111.4% B 6,411
ON 10/29/2018 8.0 3.6 122.4% B 4,487
EXP 10/30/2018 7.8 4.0 92.5% B 3,017
MAS 10/30/2018 7.3 4.3 69.2% B 9,680
VMC 10/30/2018 7.9 4.6 71.3% B 17,397
HUN 10/30/2018 7.5 3.3 130.8% B 15,814
ECL 10/30/2018 4.6 1.1 318.8% C 8,175
AMT 10/30/2018 2.4 1.6 56.8% C 28,817
TMUS 10/30/2018 4.8 3.5 34.3% C 13,940
AN 10/30/2018 6.6 4.4 48.0% C 2,919
UAA 10/30/2018 11.4 11.6 -1.1% F 7,252
NTRI 10/30/2018 12.4 12.2 1.5% C 4,850
SFLY 10/30/2018 14.3 11.2 27.5% D 11,895
EAT 10/30/2018 9.1 3.9 133.9% C 2,715
CAKE 10/30/2018 8.4 5.7 47.7% C 8,122
LL 10/30/2018 19.6 16.5 18.9% F 3,104
TPR 10/30/2018 8.6 10.2 -15.6% C 15,895
EBAY 10/30/2018 7.7 7.0 10.9% D 81,829
MGM 10/30/2018 6.9 4.0 75.2% D 50,064
KO 10/30/2018 3.2 1.3 139.0% B 119,422
HLF 10/30/2018 9.2 6.3 45.3% C 11,139
BGS 10/30/2018 11.4 7.9 44.6% B 7,889
APC 10/30/2018 5.0 3.0 69.1% D 76,409
CXO 10/30/2018 5.7 3.0 92.1% D 35,095
WLL 10/30/2018 9.3 9.0 3.7% F 14,418
OKE 10/30/2018 5.0 2.3 117.5% B 28,151
BHGE 10/30/2018 7.7 1.8 323.1% F 77,027
MDR 10/30/2018 13.5 6.2 118.5% C 18,380
MA 10/30/2018 4.6 2.3 102.2% A 359,438
MKL 10/30/2018 3.3 1.9 75.4% B 6,422
AMGN 10/30/2018 5.3 2.1 154.6% C 155,469
ARRY 10/30/2018 12.1 8.0 52.1% F 4,118
INCY 10/30/2018 6.3 2.5 154.7% D 10,770
CLVS 10/30/2018 10.2 6.3 61.5% D 9,223
BPMC 10/30/2018 10.1 5.9 70.2% F 4,762
PFE 10/30/2018 3.3 2.0 61.0% B 162,514
AGN 10/30/2018 4.7 2.7 75.3% C 93,769
AET 10/30/2018 2.7 1.2 120.0% C 29,023
WCG 10/30/2018 7.2 5.1 40.7% C 8,927
HCA 10/30/2018 5.6 3.0 84.8% B 24,394
EXAS 10/30/2018 18.0 12.7 41.9% F 50,443
GPN 10/30/2018 4.6 3.6 27.7% C 4,427
FLT 10/30/2018 7.5 5.9 27.1% A 9,957
ARNC 10/30/2018 10.0 9.0 10.1% D 36,570
CMI 10/30/2018 5.6 3.8 48.4% B 36,956
GE 10/30/2018 10.3 2.7 289.9% F 380,525
AOS 10/30/2018 7.6 2.2 249.7% B 3,291
XYL 10/30/2018 6.3 3.8 64.5% B 6,173
CHRW 10/30/2018 7.4 4.3 70.6% B 29,180
WAB 10/30/2018 7.1 4.3 66.3% C 2,520
WELL 10/30/2018 3.5 2.9 18.7% C 8,200
PSA 10/30/2018 4.3 3.4 25.7% C 12,474
BXP 10/30/2018 4.0 1.8 117.4% D 2,619
EA 10/30/2018 7.3 5.3 36.6% D 360,825
CTSH 10/30/2018 5.9 4.3 36.6% B 26,355
FEYE 10/30/2018 11.9 9.0 32.0% D 16,467
PAYC 10/30/2018 13.1 8.7 50.9% B 14,301
ZEN 10/30/2018 10.6 8.6 23.4% D 4,503
ULTI 10/30/2018 7.8 4.4 75.9% C 1,945
DDD 10/30/2018 19.8 15.1 30.9% F 5,418
FB 10/30/2018 8.2 6.5 25.5% C 2,507,229
IPGP 10/30/2018 8.5 10.2 -17.0% C 4,799
MXIM 10/30/2018 5.3 3.7 42.6% C 5,238
VSH 10/30/2018 7.9 4.0 99.2% B 3,928
PEG 10/30/2018 2.4 1.7 46.9% C 3,192

 

Volatility Standouts

 

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Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
COL 66.14% A 4.31% 100.00 69,242
NWL 65.94% F 3.50% 100.00 44,513
USG 56.25% C 1.60% 15.02 2,898
ECL 54.64% C 4.53% 98.42 8,175
UNIT 54.41% C -2.96% 78.26 7,598
UNFI 53.74% D 2.58% 100.00 10,939
KDP 52.65% F 0.87% 96.05 2,019
WMB 51.94% C 5.53% 88.93 12,524
HAIN 49.81% F 5.95% 94.07 9,049
WATT 49.72% D 3.84% 83.79 2,008
XRAY 49.65% C 2.23% 99.60 7,534
ESPR 49.31% F 4.65% 98.81 21,636
FSLR 48.70% F 3.92% 82.61 30,723
WDC 48.31% C 6.81% 98.42 65,165
NAVI 48.21% D -10.43% 42.29 487
PRTY 47.79% C -7.08% 96.84 2,799
VSAT 47.00% F 3.85% 98.42 2,793
GWW 46.17% C 9.73% 32.81 89,773
AMED 46.11% C -2.64% 99.21 3,821
DOV 45.52% D 9.07% 75.79 9,864
MTG 45.10% C 5.78% 69.57 4,170
LEG 45.09% C 7.45% 98.42 583
GD 44.56% B 9.54% 94.07 37,789
UPS 44.47% B 8.00% 96.84 121,217

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
SONC -66.14% C 4.31% 8.70 486
IMPV -63.45% C 3.50% 3.95 437
DNB -54.96% B 1.60% 19.37 7,538
CA -53.02% B 4.53% 71.43 4,430
RCII -43.64% F -2.96% 9.49 3,344
AKRX -39.81% F 2.58% 35.18 2,979
PVTL -37.70% F 0.87% 87.50 4,457
DXC -32.95% A 5.53% 99.21 43,331
ATHN -27.43% B 5.95% 51.38 32,750
JELD -27.13% C 3.84% 96.44 641
MLNX -26.75% C 2.23% 71.94 12,867
OCLR -24.81% C 4.65% 22.13 382
SGH -24.61% A 3.92% 61.22 1,132
TSLA -24.06% D 6.81% 78.66 3,773,629
P -23.89% F -10.43% 1.98 5,378
RH -22.57% C -7.08% 86.56 32,566
PPG -20.65% C 3.85% 94.47 21,752
PI -20.19% F 9.73% 90.51 696
BMY -19.73% C -2.64% 72.33 249,361
TTD -19.36% D 9.07% 99.60 25,911
ZUO -19.34% F 5.78% 53.54 6,315
ZS -19.31% F 7.45% 67.55 7,531
FLR -19.24% C 9.54% 100.00 9,153
ADBE -1.89E-01 A 8.00% 98.42 602,351