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Volatility unchanged with directionless equity markets

Oct 30, 2018

Options Market Commentary

Equities are back in the green today after some early morning volatility that saw tech shares underperform. Currently, the S&P is +.6%, the Russell is +1.5%, and the Nasdaq is +.8%, though FAANG names are relative laggards with AMZN and NFLX in the red. Bonds are lower with TLT -.4% and the 10-year yield rising to 3.104%. Energy is mixed as oil rallies off earlier lows with WTI crude –6% and Energy ETFs both higher XOP +7% and XLE +1%. Consumer Staples are another leading sector today with XLP +1%. XHB – the homebuilders ETF is outperforming +3.6% bouncing sharply off year lows. Volatilities are modestly lower with the VIX -2.5% to 24.08, RVX -1% and VXN -.8%.

 

 

ETF 30D Volatility Changes

SPY:         -1%

IWM:       -2%

QQQ:       unch

 

Directional Options Strategies

Bullish Option Strategies

GE Seller 146,500 Jan 11 – 9 put options spreads (likely closing, ref. 11.30)

PAGS Seller 2,700 Dec 30 call options (closing) to Buy 2,700 Dec 25 call options (rolls down, ref. 24.87)

PG Seller 20,000 Jan 77.5 call options (closing) to Buy 20,000 Apr 95 call options (rolls up and out, ref. 89.29)

EQT Seller 7,500 Mar 50 call options (closing) to Buy 7,500 Mar 35 call options (rolls down, ref. 32.13)

KKR Buyer 30,000 Jan 25 call options (ref. 22.71)

 

Bearish Option Strategies

DIS Buyer 5,700 Nov 2nd 110 put options (Earnings 11/8, ref. 113.70)

CAT Buyer 7,500 Dec 110 put options (ref. 115.97)

VZ Buyer 11,100 Jan 57.5 call options (closing) to Sell 11,100 call options (rolls write, ref. 58.13)

FB Buyer 14,000 Dec 90 put options to Sell 28,000 Jan 75 put options (ref. 142.49)

AKS Buyer 5,000 Dec 3 put options (ref. 3.52)

BZH Seller 5,000 May 8 put options (closing) to Buy 5,000 May 6 put options (rolls down, ref. 8.42)

LVS Buyer 6,687 Mar 45 put options (ref. 49.87)

 

Macro Options Strategies

Bullish Option Strategies

VXX Seller 6,500 Nov 45 – 60 call options spreads (ref. 39.90)

QQQ Buyer 10,000 Dec 177 – 181 call options spreads (ref. 164.76)

EFA 6,000 Jun 68 call options trade (ref. 61.48)

HYG Buyer 30,000 Dec 82 – 80 put options spreads to Sell 10,000 Jan 82 – 81 put options spreads (rolls short spread, ref. 84.20)

 

Bearish Option Strategies

EEM Buyer 10,000 Dec 38 – 35 put spreads (ref. 38.51)

XBI Buyer 7,000 Nov 75 put options (ref. 78.70)

XOP Buyer 13,300 Jun 33 – 30 put options spreads (ref. 34.28)

 

 

Finance Trades Options Strategies

CHK 5,486 Apr 4 RevCons trade (ref. 3.24)

QCOM 8,000 Jan 60 RevCons trade (ref. 62.83)

IBM 12,000 Dec 120 RevCons trade (ref. 116.97)

BRKB 1,500 Nov 210 – Jan 200 Jelly Rolls trade (ref. 200.51)

 

 

 

Upcoming Earnings

On Mobile/Tablet scroll to the right.

 

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
AMGN 10/30/2018 4.1 2.0 101.4% C 169,658
APC 10/30/2018 5.1 3.0 71.5% D 75,271
BGS 10/30/2018 9.9 7.9 25.5% B 12,055
BXP 10/30/2018 3.4 1.9 82.5% D 2,908
CAKE 10/30/2018 8.2 5.7 43.7% C 7,721
CHRW 10/30/2018 7.2 4.3 66.6% B 31,800
CLVS 10/30/2018 24.8 6.3 291.6% D 7,800
CXO 10/30/2018 6.2 3.0 109.8% D 36,250
DDD 10/30/2018 18.3 15.1 21.5% F 6,186
EA 10/30/2018 8.2 5.3 55.2% D 401,680
EBAY 10/30/2018 8.0 7.0 14.3% D 95,381
EXAS 10/30/2018 16.8 12.5 34.1% F 50,826
FB 10/30/2018 9.0 6.5 38.2% C 2,893,093
FEYE 10/30/2018 11.2 9.0 24.3% D 17,576
FLT 10/30/2018 7.4 5.9 26.3% A 8,679
HLF 10/30/2018 8.3 6.3 31.9% C 9,967
MDR 10/30/2018 14.7 6.2 137.9% C 16,762
MGM 10/30/2018 6.7 3.9 70.9% D 56,757
MKL 10/30/2018 3.2 1.9 70.6% B 6,521
MXIM 10/30/2018 6.0 3.7 60.2% C 5,223
NTRI 10/30/2018 14.1 12.3 15.1% C 4,884
OKE 10/30/2018 3.6 2.3 55.5% B 20,969
PAYC 10/30/2018 13.4 8.7 54.5% B 12,999
PSA 10/30/2018 3.7 3.4 7.6% C 15,381
SFLY 10/30/2018 14.6 11.2 30.2% D 12,704
SPWR 10/30/2018 12.0 8.5 40.3% D  
TMUS 10/30/2018 4.4 3.5 23.6% C 19,754
WLL 10/30/2018 8.7 9.2 -5.9% F 14,771
ZEN 10/30/2018 11.0 8.6 28.6% D 4,417
ADP 10/31/2018 4.3 3.5 24.0% A 36,981
AIG 10/31/2018 6.6 3.9 70.7% D 102,491
ALL 10/31/2018 3.8 3.7 4.3% B 18,230
ANTM 10/31/2018 4.0 3.5 15.5% B 51,682
APA 10/31/2018 5.3 4.2 25.9% D 22,871
AR 10/31/2018 6.9 3.6 90.4% F 2,690
BAX 10/31/2018 3.3 2.7 20.9% A 14,039
BG 10/31/2018 6.5 5.2 25.2% C 10,793
BLUE 10/31/2018 11.8 4.3 175.9% D 22,726
CDW 10/31/2018 5.5 3.6 49.8% A 3,117
CF 10/31/2018 5.6 6.0 -5.6% D 21,615
CLX 10/31/2018 4.2 3.1 33.4% C 16,891
DIN 10/31/2018 9.9 5.1 92.0% A 3,250
EL 10/31/2018 6.2 5.1 21.8% C 23,780
EPD 10/31/2018 2.9 1.6 77.5% C 18,123
ESRX 10/31/2018 2.2 3.5 -37.9% B 27,780
ETR 10/31/2018 2.3 1.3 82.9% C 13,889
FISV 10/31/2018 4.6 2.6 79.3% A 4,608
FIT 10/31/2018 13.4 12.1 10.6% D  
GM 10/31/2018 5.8 2.9 102.4% D 182,028
HES 10/31/2018 4.9 3.1 55.7% F 37,975
HFC 10/31/2018 5.3 5.4 -1.5% C 9,177
HGV 10/31/2018 7.3 1.7 324.6% B 3,236
ICE 10/31/2018 4.4 2.6 68.9% B 12,044
ICPT 10/31/2018 7.8 6.5 18.5% F 12,348
K 10/31/2018 5.3 2.8 89.4% C 12,168
MAC 10/31/2018 4.0 1.2 227.9% C 2,982
MIC 10/31/2018 6.8 6.8 0.5% C 3,715
MTDR 10/31/2018 5.5 3.2 73.1% D 4,440
NFX 10/31/2018 8.8 4.7 84.5% D 8,588
NLY 10/31/2018 2.2 1.2 78.1% C  
O 10/31/2018 1.9 1.6 22.0% C 10,830
PBF 10/31/2018 5.7 2.0 184.9% D 3,037
QRVO 10/31/2018 8.0 5.0 60.3% D 7,665
RGLD 10/31/2018 5.3 2.9 83.7% C 9,934
S 10/31/2018 4.8 6.2 -22.7% D  
SPR 10/31/2018 8.2 7.2 15.0% C 3,443
SRCI 10/31/2018 30.1 3.1 868.0% D  
SSNC 10/31/2018 6.3 3.2 98.7% C 2,844
STMP 10/31/2018 11.9 11.7 1.9% C 13,679
TAP 10/31/2018 5.8 4.7 23.1% A 17,229
TYL 10/31/2018 6.8 3.7 84.7% C 4,294
WMB 10/31/2018 4.4 2.2 94.2% C 14,247
WPX 10/31/2018 8.2 5.2 57.5% F 5,200
XPO 10/31/2018 9.5 4.7 100.4% C 32,786
YUM 10/31/2018 4.4 3.7 20.0% C 14,782
ZNGA 10/31/2018 8.8 4.9 78.7% D  

 

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
TGE 71.28% C -1.89% 88.10 592
OLN 70.21% B -1.91% 99.60 3,276
COL 67.32% A 0.36% 99.21 104,489
PDCE 64.22% F 0.44% 94.44 6,301
KDP 63.78% F 1.20% 93.25 1,855
FDP 62.46% F -2.39% 100.00 583
PRSP 59.26% F -0.93% 77.78 325
AOS 58.51% B -2.90% 99.60 3,813
WMB 56.94% C -0.86% 98.41 14,247
RRR 56.61% C -1.25% 98.41 1,867
NWL 55.34% F -0.15% 99.21 41,886
MHK 53.24% C -2.05% 97.22 32,470
WRD 51.50% F -2.80% 99.60 2,401
LL 51.35% F -8.02% 99.21 3,021
XRAY 50.37% C -15.22% 99.60 6,324
NTGR 49.84% C 2.74% 85.32 1,855
UNIT 49.49% C 2.87% 91.27 7,885
UNFI 49.48% D -1.60% 99.60 5,957
VUZI 49.21% F -2.19% 62.70 695
GWW 48.82% C -2.01% 40.48 60,198
HAIN 48.79% F -1.33% 98.02 13,197
WU 48.36% B -5.00% 92.86 435
USG 47.69% C -3.25% 28.97 3,423
WATT 47.54% D 3.00% 94.05 2,091

 

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
SONC -63.08% C -1.89% 4.76 437
CA -61.83% B -1.91% 14.34 3,662
RCII -49.85% F 0.36% 7.94 3,169
DNB -43.21% B 0.44% 21.83 1,603
PVTL -38.65% F 1.20% 91.54 4,757
ESIO -36.41% A -2.39% 76.59 492
ATHN -32.68% B -0.93% 6.75 30,388
DXC -3.24E-01 A -2.90% 99.60 50,507
PTCT -24.92% F -0.86% 30.56 1,175
P -23.06% F -1.25% 2.78 2,023
BMY -22.55% C -0.15% 78.97 244,826
OCLR -22.37% C -2.05% 40.48 402
MLNX -21.97% C -2.80% 98.02 21,806
ZS -21.92% F -8.02% 70.59 8,076
AKRX -21.35% F -15.22% 35.71 2,783
SGH -20.41% A 2.74% 85.00 701
PPG -20.35% C 2.87% 98.41 22,017
IRM -19.82% C -1.60% 84.92 6,135
ZUO -19.66% F -2.19% 75.19 5,312
RH -18.41% C -2.01% 94.05 31,917
TTD -18.05% D -1.33% 99.60 26,070
TSLA -17.87% D -5.00% 75.00 4,878,296
ESPR -17.61% F -3.25% 23.81 27,640
VLO -16.28% C 3.00% 98.81 130,184