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VIX pops 11% as equities reverse

Nov 02, 2018

Options Market Commentary

Equities started the day strong despite a mixed report from Apple, but stocks have turned red as skepticism surrounding China talks increases. Currently, the S&P is -1%, the Russell is -.35%, and the Nasdaq is -1.5% with AAPL -7%. Bonds are getting hit on the very strong jobs report with TLT -.75% and the 10-year yield rising to 3.195%. Energy is getting hit with WTI Crude -.85% and energy ETFs lower as XOP -1.8% and XLE -.6%. Gold is little changed, while Silver is modestly higher. Volatilities are up across the board with VIX +8% to 20.97, RVX +3% to 24.69, and VXN +7% to 28.

 

ETF 30D Volatility Changes

SPY:        +7%

IWM:       +1%

QQQ:      +8%

    

 

Directional Options Strategies

Bullish Option Strategies

SNAP Buyer 10,000 Nov 9th 7 call options (ref. 7.04)

WYNN Buyer 2,000 Jun 150 call options (Earnings 11/7, ref. 111.97)

SYN Seller 8,700 Jan 30 call options (closing) to Sell 8,700 Jan20 20 put options and Buy 8,700 Jan20 28 call options (ref. 26.86)

EXEL Buyer 14,.000 Jan 21 call options (closing, ref. 17.41)

M Seller 10,000 Nov 2nd 35 call options (closing) to Buy 10,000 Nov 9th 35 call options (rolls out, ref. 35.46)

QCOM Seller 12,500 Jan 55 put options to Buy 12,500 Jan 70 call options tied to stock (Earnings 11/7, ref. 63.31)

 

 

Bearish Option Strategies

GPRO Seller 1,000 Jan 6 put options (closing) to Buy 11,000 Jan 5 put options (ref. 5.57)

MAR Buyer 6,000 Apr 110 put options (Earnings 11/5, ref. 120.67)

 

Macro Options Strategies

Bullish Option Strategies

EEM Seller 60,000 Nov 39 – 36 put options spreads to Buy 60,000 Nov 42 – 43.5 call options spreads (ref. 41.26)

EEM Buyer 85,000 Nov 30th 43 call options tied to stock (ref. 41.05)

XBI Buyer 5,000 Nov 90 call options (ref. 84.24)

XOP Buyer 45,000 Jan 35 put options to Sell 45,000 Mar 35 put options (opens both legs for a credit, ref. 37.09)

IWM Seller 55,100 Nov 145 – 130 put options spreads (closing, ref. 153.26)

SPY Buyer 25,236 Dec 31st 280 call options (ref. 272.21)

 

Bearish Option Strategies

EEM Buyer 130,000 Nov 36 put options (closes short leg of risk reversal, ref. 41.24)

XRT Buyer 8,000 Dec 46 put options (ref. 48.52)

QQQ Buyer 6,978 Nov 2nd 169 put options (ref. 170.21)

EWZ Buyer 30,000 Jan20 40 put options to Sell 80,000 Jan20 30 put options (ref. 41.25)

TLT Buyer 7,500 Dec 111 put options (ref. 112.49)

XLE Seller 11,600 Jun 74 put options (closing) to Buy 15,000 Jun 64 put options (rolls down, ref. 67.92)

 

 

Finance Trades Options Strategies

EWZ 25,000 Nov 39 RevCons trade (ref. 41.62)

NWL 24,000 Dec 19 RevCons trade (ref. 19.18)

 

 

 

Upcoming Earnings

 

On Mobile/Tablet scroll to the right.

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
ACHC 11/5/2018 6.0 9.0 -33.4% C 5,405
BHF 11/5/2018 7.6 2.7 181.5% F 4,038
BKNG 11/5/2018 6.4 6.7 -4.5% B 851,119
CAR 11/5/2018 10.5 11.9 -11.6% B 6,796
CRZO 11/5/2018 9.9 8.0 23.6% F 3,376
FMC 11/5/2018 5.3 4.6 15.8% C 4,533
IFF 11/5/2018 5.0 4.0 23.2% C 7,534
MAR 11/5/2018 3.4 2.3 45.6% C 44,104
MOS 11/5/2018 5.2 5.0 5.2% C 20,121
MYL 11/5/2018 6.7 2.8 138.4% D 20,672
NBIX 11/5/2018 7.4 7.1 3.3% D 9,180
OHI 11/5/2018 4.0 3.9 2.5% D 5,018
OXY 11/5/2018 3.8 3.0 26.2% B 40,499
PCG 11/5/2018 4.2 1.6 161.5% B 16,952
PDCE 11/5/2018 23.9 3.5 577.2% F 6,436
RCII 11/5/2018 32.2 5.4 498.2% C 1,588
RNG 11/5/2018 9.9 5.1 94.5% D 10,823
SBAC 11/5/2018 3.4 2.5 35.4% C 10,999
SEAS 11/5/2018 10.4 7.3 43.2% C 5,071
SYY 11/5/2018 3.9 3.9 -0.8% B 5,891
THC 11/5/2018 12.6 12.4 1.8% F 14,396
WRK 11/5/2018 2.4 3.0 -20.3% A 4,688
AAXN 11/6/2018 11.1 12.7 -12.9% D 7,321
ABC 11/6/2018 4.8 4.1 17.4% C 4,996
ACAD 11/6/2018 16.0 9.3 71.9% D 4,993
ADM 11/6/2018 4.4 3.4 29.4% B 15,711
APD 11/6/2018 3.6 2.4 49.4% C 9,582
ASH 11/6/2018 5.7 3.3 76.6% C 4,826
BDX 11/6/2018 4.3 2.3 88.8% C 38,950
BR 11/6/2018 4.8 3.8 24.5% B 2,701
COHR 11/6/2018 7.8 12.7 -38.5% C 11,349
CPE 11/6/2018 6.6 4.0 67.0% D 2,744
CVS 11/6/2018 4.6 3.7 24.2% C 133,539
CWH 11/6/2018 9.2 9.0 2.2% D 2,609
DAR 11/6/2018 6.3 5.0 26.1% C 3,036
DATA 11/6/2018 11.1 9.8 12.7% F 10,792
DK 11/6/2018 8.0 3.6 123.5% D 3,701
DVN 11/6/2018 6.5 5.1 28.0% F 34,895
DXC 11/6/2018 3.8 6.8 -44.3% A 86,790
DXCM 11/6/2018 12.2 10.8 13.2% F 12,137
EMR 11/6/2018 3.9 2.6 50.8% C 22,463
ETSY 11/6/2018 12.2 8.5 43.2% D 7,294
GDDY 11/6/2018 6.7 4.9 37.5% B 6,227
GLUU 11/6/2018 5.5 7.3 -24.7% F  
HEAR 11/6/2018 22.4 1.6 1316.0% C 5,105
HSIC 11/6/2018 5.7 4.7 21.5% C 3,872
INGN 11/6/2018 12.6 10.3 22.9% B 4,461
IONS 11/6/2018 5.2 5.0 3.8% D 7,987
LLY 11/6/2018 3.3 2.8 16.0% C 80,770
MED 11/6/2018 15.1 14.5 4.2% A 3,708
MLM 11/6/2018 6.6 4.8 39.3% C 31,893
MTCH 11/6/2018 12.7 8.2 54.4% C 17,948
NEWR 11/6/2018 8.1 5.4 49.3% F 4,311
PAA 11/6/2018 4.8 5.9 -17.8% D 3,248
PAGP 11/6/2018 5.2 5.8 -10.8% C 1,773
PLNT 11/6/2018 8.7 7.6 14.8% D 2,674
PXD 11/6/2018 5.2 3.6 44.0% D 70,511
PZZA 11/6/2018 8.2 5.4 51.2% F 13,289
REGN 11/6/2018 5.7 3.5 60.3% B 135,450
RL 11/6/2018 6.6 6.8 -2.7% B 18,159
SUPN 11/6/2018 5.7 5.5 3.3% B 3,105
TDG 11/6/2018 3.4 4.2 -19.7% B 10,847
TWLO 11/6/2018 13.2 14.1 -6.7% D 84,076
WLK 11/6/2018 6.8 4.0 68.0% B 2,433
XEC 11/6/2018 6.5 3.9 65.5% D 5,989
Z 11/6/2018 12.5 6.6 88.3% C 38,171
ZBRA 11/6/2018 8.4 10.5 -19.9% C 4,843

 

 

Volatility Standouts

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
PK 71.28% D 1.28% 67.98 352
PBYI 68.05% D -0.21% 98.42 3,637
CDK 62.22% A -4.02% 86.96 226
DVA 59.50% D -0.38% 96.05 20,948
COL 57.49% A 0.69% 99.60 98,573
VUZI 56.55% D -1.57% 63.24 453
GOGO 55.81% D 1.43% 94.07 2,322
HEAR 53.95% C -9.03% 97.35 5,105
PRSP 53.38% F -0.08% 73.53 352
XRAY 51.84% C -7.89% 98.02 5,208
TCS 51.81% C 1.69% 81.03 257
UNFI 49.03% C -1.40% 98.02 3,906
WES 47.64% B 3.23% 93.68 915
PRTY 46.48% D -1.94% 97.63 579
TSRO 46.45% D 4.20% 99.60 18,223
HAIN 44.97% D -23.31% 95.26 18,996
ETM 44.29% F 1.53% 100.00 5,460
SRCL 42.48% D 2.26% 96.84 2,347
TIVO 42.01% C 3.63% 97.63 1,798
LL 41.04% F 4.10% 55.34 2,440
PCG 40.37% B 3.92% 50.59 16,952
MDR 40.01% C -0.74% 98.81 23,240
CARS 39.97% D -0.62% 89.72 1,430
STWD 39.43% C 0.39% 94.86 1,510

 

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
SONC -57.05% C 1.28% 11.07 285
ESIO -52.57% C -0.21% 0.40 4,973
RCII -47.04% C -4.02% 9.88 1,588
PVTL -41.64% F -0.38% 82.71 3,232
ACHC -34.29% C 0.69% 20.55 5,405
DXC -33.63% A -1.57% 98.81 86,790
SGH -31.38% A 1.43% 18.45 694
IMPV -30.73% B -9.03% 1.98 250
ZS -30.14% D -0.08% 53.85 8,548
AKRX -29.04% D -7.89% 33.60 1,749
FLR -29.03% D 1.69% 99.21 14,681
ATHN -27.46% C -1.40% 2.77 38,614
KEX -27.09% C 3.23% 94.47 1,424
MRTX -26.16% D -1.94% 18.18 7,544
P -25.65% D 4.20% 6.72 2,059
OCLR -25.52% D -23.31% 33.99 389
MLNX -25.48% B 1.53% 91.30 22,840
TTD -24.91% D 2.26% 98.42 27,061
RH -24.36% B 3.63% 88.14 26,014
PPG -24.29% C 4.10% 94.47 13,905
BMY -24.14% C 3.92% 50.20 225,714
CASA -23.42% D -0.74% 63.03 585
TSLA -23.10% D -0.62% 65.22 4,971,350
COHR -23.08% C 0.39% 80.63 11,349