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VIX down -7.8% but still remains above 20 in spite of 2 day equity rally

Oct 31, 2018

Options Market Commentary

Stocks are rallying for a second straight day as technology leads the way with a big move higher in FAANG names (AMZN +4.8%, AAPL +3%, FB +4%, NFLX +7%, GOOG +4.3%). Consumer Discretionary Stocks  are strong as well +2.1%. Energy is moving higher with WTI crude +.2%, but Energy stocks are faring much better with XOP +4% and XLE +1.6%. Bonds are modestly lower. Gold is -.7% with GDX -1.6%. Volatilities are moving lower on today’s market move higher with the VIX -7.5% to 21.59, RVX -5.4% and VXN -8.7%.

 

ETF 30D Volatility Changes

SPY:         -5%

IWM:       -4%

QQQ:       -7%

 

Directional Options Strategies

Bullish Option Strategies

KO Buyer 15,000 Feb 48 call options (ref. 47.44)

QSR Buyer 3,800 Jan 55 call options (ref. 54.29)

BLDR Buyer 7,500 Feb 13 call options (Earnings 11/1, ref. 12.50)

DXC Buyer 15,000 Jan20 100 call options (ref. 73.85)

 

Bearish Option Strategies

MS Seller 3,000 Nov 9th 44 put options (closing) to Buy 3,000 Nov 9th 42 put options (ref. 45.58)

CAT 10,000 Dec 110 put options trade (ref. 121.96)

EA Seller 7,000 Dec 130 call options (ref. 93.34)

GM Buyer 10,000 Mar 30 put options (ref. 36.29)

NWSA Buyer 10,000 Nov 13 put options (Earnings 11/7, closing, ref. 13.06)

CBL Buyer 5,000 Jan20 4 put options (ref. 3.33)

MDR 14,900 Nov 12 and 11 put options trade (ref. 7.67)

 

Macro Options Strategies

Bullish Option Strategies

VIX Seller 11,000 Nov 18 put options to Buy 27,500 Nov 27 – 37 call options spreads (ref. 20.45)

EEM 14,500 Dec 41 call options trade (ref. 39.09)

 

Bearish Option Strategies

XBI Buyer 5,000 Dec 72 put options (ref. 79.84)

XRT Buyer 10,000 Dec 46 put options (ref. 47.40)

XOP Seller 22,300 Mar 35 put options (closing) to Buy 24,800 Jan 34 – 30 put option spreads (monetizes and rolls closer, ref. 36.60)

 

 

Finance Trades Options Strategies

WFC 10,000 Dec 52.5 RevCons trade (ref. 53.47)

JD 5,000 Nov 25 RevCons trade (ref. 22.83)

 

 

Upcoming Earnings

 

On Mobile/Tablet scroll to the right.

 

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
AIG 10/31/2018 6.6 3.9 71.2% D 108162
ALL 10/31/2018 3.0 3.7 -18.5% B 19159
APA 10/31/2018 4.2 4.2 -1.1% D 24341
AR 10/31/2018 7.1 3.6 94.7% F 2576
CF 10/31/2018 5.6 6.0 -6.7% D 23970
ESRX 10/31/2018 3.5 3.5 1.5% B 41231
FISV 10/31/2018 3.8 2.6 47.9% A 4166
FIT 10/31/2018 14.7 12.1 21.5% D  
HGV 10/31/2018 6.0 1.7 250.7% B 2825
MAC 10/31/2018 3.7 1.2 202.7% C 2967
MIC 10/31/2018 6.6 6.8 -2.9% C 3738
MOH 10/31/2018 8.7 9.6 -9.6% D 3033
MTDR 10/31/2018 4.3 3.2 37.0% D 4168
NFX 10/31/2018 7.0 4.7 47.1% D 8511
NLY 10/31/2018 2.1 1.2 66.8% C  
O 10/31/2018 2.0 1.6 26.7% C 11839
QRVO 10/31/2018 7.4 5.0 46.8% D 7715
RGLD 10/31/2018 4.6 2.9 59.0% C 9756
SRCI 10/31/2018 32.2 3.1 934.7% D  
SSNC 10/31/2018 5.6 3.2 75.0% C 1572
STMP 10/31/2018 11.5 11.7 -1.9% C 14786
TYL 10/31/2018 6.4 3.7 73.3% C 4152
WMB 10/31/2018 2.8 2.2 24.8% C 20209
WPX 10/31/2018 6.8 5.2 30.6% F 6256
XPO 10/31/2018 7.3 4.7 54.8% C 36338
ZNGA 10/31/2018 8.8 4.9 79.3% D  
AAPL 11/1/2018 4.6 4.3 7.3% A 6526610
ABMD 11/1/2018 9.9 6.5 51.8% C 39573
AGIO 11/1/2018 7.3 3.9 85.5% F 7062
AMCX 11/1/2018 4.0 4.4 -10.3% C 4654
AME 11/1/2018 4.7 2.2 109.6% A 10683
ANET 11/1/2018 8.9 10.3 -13.1% C 49337
ATHN 11/1/2018 2.4 9.7 -75.7% B 32933
BIO 11/1/2018 8.1 6.4 26.1% F 8505
BLL 11/1/2018 4.2 3.8 11.1% B 4827
BLUE 11/1/2018 10.6 4.3 147.7% D 21158
CATM 11/1/2018 11.9 11.1 6.7% C 2042
CBS 11/1/2018 3.6 2.8 31.8% C 27696
CC 11/1/2018 8.7 5.3 66.0% C 16278
CI 11/1/2018 4.1 1.7 142.2% A 67785
CRC 11/1/2018 17.8 12.8 39.2% F 21064
CRUS 11/1/2018 7.7 5.6 37.7% D 3116
CZR 11/1/2018 8.7 3.7 133.9% D  
D 11/1/2018 2.1 1.7 20.2% B 25367
DWDP 11/1/2018 4.2 1.7 150.4% C 123230
ED 11/1/2018 1.9 0.8 134.0% B 6529
EOG 11/1/2018 3.7 2.3 61.1% B 63285
EQIX 11/1/2018 5.2 3.1 68.0% D 23790
ES 11/1/2018 1.4 1.3 5.4% C 6957
EXC 11/1/2018 2.3 1.0 128.9% C 14230
EXEL 11/1/2018 9.6 7.6 26.5% C 14312
FLR 11/1/2018 6.9 8.1 -14.5% C 10561
FND 11/1/2018 12.0 11.1 8.0% C 5781
FTNT 11/1/2018 8.9 6.9 28.4% A 26471
GPRO 11/1/2018 12.7 10.7 18.6% D  
HBI 11/1/2018 10.0 9.3 6.8% D 10020
HST 11/1/2018 3.8 2.2 73.8% C 2805
IDXX 11/1/2018 6.1 5.6 8.9% A 9518
IIVI 11/1/2018 9.8 8.6 13.6% C 4212
IT 11/1/2018 6.0 3.8 56.9% C 2514
KHC 11/1/2018 5.3 3.0 78.1% C 56333
LITE 11/1/2018 8.6 7.7 11.4% C 15319
LNC 11/1/2018 3.4 2.4 42.1% C 3960
LYV 11/1/2018 6.9 6.1 13.1% D 6071
MELI 11/1/2018 8.4 8.3 1.1% D 32414
MET 11/1/2018 3.2 2.8 13.2% A 63866
MMP 11/1/2018 3.3 1.1 214.0% C 10948
MPC 11/1/2018 4.7 3.5 33.7% C 92380
MPLX 11/1/2018 4.2 2.7 53.9% B 3941
MSCI 11/1/2018 4.9 3.9 27.1% A 5511
MSG 11/1/2018 2.3 1.7 36.1% C 4961
MSI 11/1/2018 5.9 3.0 93.2% A 10554
MTZ 11/1/2018 8.3 5.1 64.1% C 8545
NBL 11/1/2018 9.7 4.9 97.8% F 30359
NYT 11/1/2018 6.0 5.4 10.5% D 9422
OLED 11/1/2018 12.0 11.9 1.1% D 67123
PBYI 11/1/2018 15.8 11.1 41.9% F 3065
PE 11/1/2018 6.7 6.5 4.2% D 6076
PENN 11/1/2018 5.5 5.3 3.0% C 5215
PH 11/1/2018 5.7 2.7 108.7% B 12228
PODD 11/1/2018 7.3 7.3 -0.1% F 2518
PPL 11/1/2018 1.8 0.9 104.2% C 11722
SBUX 11/1/2018 4.5 3.1 47.3% B 174660
SEE 11/1/2018 3.7 3.4 7.1% B 2917
SHAK 11/1/2018 10.4 9.0 14.5% F 8651
SKT 11/1/2018 4.3 4.3 -0.7% D 3723
SM 11/1/2018 8.4 4.5 85.0% F 6732
STOR 11/1/2018 4.6 2.2 111.6% A 2615
SYMC 11/1/2018 8.1 8.5 -5.6% F 27122
TDC 11/1/2018 8.5 6.7 26.0% F 4185
TDOC 11/1/2018 7.9 7.6 4.3% D 10546
TEX 11/1/2018 7.7 4.6 69.3% C 11532
TNDM 11/1/2018 14.1 9.1 54.8% F 8042
TPX 11/1/2018 8.6 6.7 27.9% C 17537
TREE 11/1/2018 16.6 11.3 47.1% B 9044
CAG 12/20/2018 4.5 3.6 23.4% C 10400
TRMB 11/1/2018 10.9 5.8 88.9% C 2584
TSRO 11/1/2018 12.3 9.1 35.0% F 18008
UNIT 11/1/2018 10.9 2.6 312.4% C 7240
W 11/1/2018 13.7 12.9 5.8% C 36544
WTW 11/1/2018 12.3 12.0 2.6% B 14489
X 11/1/2018 7.8 9.6 -19.1% D 101285
ZTS 11/1/2018 4.7 4.6 1.4% A 16195

 

 

 

Volatility Standouts

 

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Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
TCS 73.22% C -5.24% 94.47 129
PK 72.32% C -6.22% 96.84 473
COL 63.53% A -9.63% 99.60 99642
CDK 62.95% A -4.16% 95.26 227
UNIT 59.60% C -2.20% 91.30 7240
PDCE 57.66% F -3.64% 94.86 6450
GOGO 57.36% D 0.90% 86.17 1707
USG 57.11% C -6.71% 27.27 4035
DVA 51.99% D -1.93% 91.30 18060
XRAY 50.26% C 7.06% 98.81 5833
TIVO 50.02% C -4.11% 98.02 1706
VUZI 49.93% F -3.88% 66.01 575
LL 49.87% F -4.07% 60.87 2960
PRTY 48.51% C -4.24% 98.02