blog

Latest from the Quantamize Blog

Volatility stays bid into midterms

Nov 06, 2018

 

 

Options Market Commentary

Stocks are generally higher on this Mid-term election day with strength in technology after its recent underperformance. Currently, the S&P is +.4%, the Russell is +.31%, and the Nasdaq is +.64%.  Industrials are strong as well +1%. Bonds are little changed. Gold is modestly lower. Energy is in the red with WTI crude -1.4%. This is hitting energy shares with XOP -1.8% and XLE -.7%. Emerging markets are mixed. Volatilities are mixed to lower with the VIX +.8% to 20.13, RVX -1.3% to 23.94, and VXN -1.6% to 26.83.

 

 

ETF 30D Volatility Changes

SPY:        -2%

IWM:       -1%

QQQ:      unch

 

 

Directional Options Strategies

Bullish Option Strategies

CS Seller 7,400 Jan 12.01 put options (ref. 12.81)

BHGE Seller 45,000 Jan 27 – 23 put options spreads tied to stock (closing, ref. 26.93)

IBM Seller 8,500 Jun 120 calls (closing) to Buy 14,000 Apr 130 call options (rolls closer and up, ref. 122.81)

NIO Buyer 10,000 Dec 8 – 10 call options spreads (ref. 6.61)

EBAY Seller 20,000 Apr 30 straddles (directionally neutral, short vol, ref. 29.86)

 

 

Bearish Option Strategies

ALXN Buyer 2,000 Nov 9th 123 – 122 put options spreads (ref. 123.49)

OXY Seller 14,700 Dec 77.5 call options (ref. 72.82)

ASNA Seller 12,200 Nov 4 put options (closing) to Buy 12,200 Jan 4 put options (ref. 4.04)

DATA Buyer 10,500 Jan 100 put options (Earnings 11/6, ref. 104.36)

ZNGA Seller 10,000 Dec 4.5 call options to Buy 10,000 Dec 3 put options (ref. 3.69)

 

Macro Options Strategies

Bullish Option Strategies

XLI Seller 14,000 Dec 65 put options to Buy 14,000 Dec 73 – 76 call options spreads (ref. 71.79)

EEM Seller 35,000 Nov 30th 37 put options (ref. 40.87)

USO Seller 25,000 Jan 13 – 12.5 put options spreads (ref. 13.37)

IWM Seller 7,000 Dec 140 put options to Buy 7,000 Dec 165 call options (ref. 154.16)

VIX Buyer 80,000 Nov 17 – 15 put options spreads (ref. 18.92)

 

Bearish Option Strategies

SPY Buyer 14,200 Nov 9th 250 put options (ref. 274.53)

HYG Buyer 10,000 Nov 84 – 83 put options spreads (ref. 84.49)

XOP Buyer 25,000 Jan 30 put options (possibly closing, ref. 36.91)

VXX Seller 10,000 Jan 30 put options to Buy 10,000 Jan 37 – 47 call options spreads (ref. 35.40)

 

 

Finance Trades Options Strategies

BABA 5,000 Nov – Jan 140 Jelly Rolls trade (ref. 147.55)

 

 

 

Upcoming Earnings

 

On Mobile/Tablet scroll to the right.

 

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
AAXN 11/6/2018 12.7 12.7 -0.5% D 6,422
ACAD 11/6/2018 5.9 9.4 -36.8% D 5,257
AIZ 11/6/2018 4.9 2.7 79.9% C 2,748
ASH 11/6/2018 5.9 3.3 79.9% C 5,378
COHR 11/6/2018 10.1 12.7 -20.3% C 9,899
CPE 11/6/2018 8.6 4.0 115.2% D 2,914
CWH 11/6/2018 10.2 9.0 13.0% D 2,901
DATA 11/6/2018 9.8 9.2 6.5% F 12,989
DK 11/6/2018 8.4 3.6 132.3% D 2,653
DVN 11/6/2018 6.3 5.1 25.5% F 33,189
DXC 11/6/2018 7.6 6.5 17.5% A 97,853
DXCM 11/6/2018 14.5 11.2 29.3% F 14,960
ETSY 11/6/2018 15.3 8.5 79.8% D 8,602
FANG 11/6/2018 5.0 2.4 111.1% D 70,048
GDDY 11/6/2018 6.8 4.6 46.6% B 5,201
GLUU 11/6/2018 8.4 6.9 21.2% F  
HEAR 11/6/2018 22.1 1.6 1297.7% C 5,082
INGN 11/6/2018 13.0 10.3 25.9% B 3,950
MED 11/6/2018 15.1 15.3 -1.0% A 3,149
MRTX 11/6/2018 6.8 4.7 45.3% D 4,049
MTCH 11/6/2018 12.6 8.2 53.2% C 17,482
MYGN 11/6/2018 11.9 11.5 3.5% D 3,408
NEWR 11/6/2018 9.5 5.4 76.1% F 4,416
PAA 11/6/2018 5.1 5.9 -13.0% D 3,214
PLNT 11/6/2018 9.2 7.6 21.0% D 6,291
PXD 11/6/2018 5.6 3.6 54.0% D 72,642
PZZA 11/6/2018 7.5 5.4 39.1% F 16,026
SUPN 11/6/2018 8.6 5.5 54.5% B 3,257
TWLO 11/6/2018 13.4 14.1 -4.9% D 72,860
XEC 11/6/2018 6.5 3.9 65.0% D 5,572
Z 11/6/2018 13.2 6.6 99.5% C 39,486
AAOI 11/7/2018 20.1 16.2 24.3% D 5,803
ALB 11/7/2018 6.9 5.4 26.6% D 55,089
ALNY 11/7/2018 9.1 5.1 80.8% F 8,802
ANSS 11/7/2018 5.9 3.7 57.0% C 2,694
AYX 11/7/2018 14.1 12.7 11.1% F 3,262
CVNA 11/7/2018 15.0 8.2 82.1% F 11,150
DISH 11/7/2018 9.4 5.9 58.7% C 56,338
DVA 11/7/2018 11.4 4.8 135.7% D 28,881
FLS 11/7/2018 8.7 6.2 39.7% F 4,267
FOSL 11/7/2018 21.3 25.0 -14.8% D 5,011
HOLX 11/7/2018 6.8 4.5 51.0% B 3,158
HUBS 11/7/2018 9.7 4.3 125.6% D 5,703
HUM 11/7/2018 4.1 2.5 67.1% A 34,489
IAC 11/7/2018 9.8 5.5 76.2% C 21,159
IMMU 11/7/2018 10.7 6.4 68.3% C 11,299
KDP 11/7/2018 11.1 0.8 1291.4% F 4,692
MCHP 11/7/2018 6.7 5.6 19.6% C 13,613
MNST 11/7/2018 6.5 5.8 11.9% B 5,617
MRO 11/7/2018 5.1 3.7 39.6% F 24,876
MUR 11/7/2018 5.4 3.7 45.0% C 3,527
NKTR 11/7/2018 13.1 8.8 48.2% D 10,976
NWSA 11/7/2018 6.4 6.0 6.3% F 11,420
PRU 11/7/2018 4.0 3.2 25.8% C 22,536
PTLA 11/7/2018 13.3 10.3 29.7% F 3,225
QCOM 11/7/2018 5.8 3.4 69.7% C 262,997
QEP 11/7/2018 9.1 7.3 24.1% F  
ROK 11/7/2018 5.9 3.5 68.0% C 20,577
ROKU 11/7/2018 14.9 18.1 -17.4% F 66,588
SBGI 11/7/2018 6.3 4.8 31.5% C 4,598
SMG 11/7/2018 6.7 4.6 45.4% C 3,535
SO 11/7/2018 2.6 1.7 48.9% B 23,118
SQ 11/7/2018 9.8 5.7 70.1% F 468,038
SRE 11/7/2018 2.0 1.2 60.4% A 23,520
TRIP 11/7/2018 11.4 11.6 -1.6% C 10,053
TTWO 11/7/2018 7.0 7.1 -0.7% D 95,893
VAC 11/7/2018 5.0 4.9 1.8% C 6,391
VKTX 11/7/2018 12.2 6.2 96.3% F 5,624
WWW 11/7/2018 8.4 4.7 76.2% B 1,984
WYNN 11/7/2018 8.1 5.8 39.2% C 191,471

 

Volatility Standouts

 

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
TRCO 74.05% C -1.01% 39.29 1,866
DVA 70.46% D -1.07% 99.21 28,881
DNB 68.97% B -5.77% 21.83 1,295
IDTI 65.29% B -0.65% 30.95 1,200
CDK 63.85% A -1.70% 82.54 389
UNFI 63.09% C -1.61% 98.02 2,122
ARMK 63.03% C -2.02% 99.60 2,750
TCS 56.82% C -3.28% 78.57 387
PRSP 56.70% F 0.41% 77.88 347
VUZI 56.22% D 0.87% 62.70 403
XRAY 53.23% C -7.10% 97.62 3,252
HEAR 52.58% C -3.68% 99.13 5,082
SRCL 52.39% D -1.53% 55.95 2,592
BERY 51.19% C 8.47% 99.60 9,007
COL 49.08% A -7.54% 97.22 100,360
PK 49.04% D 0.08% 57.14 343
TIVO 48.29% C 0.61% 98.41 1,165
GOGO 48.21% D -1.25% 93.65 2,499
CARS 47.37% D -2.63% 97.62 346
PDCE 46.66% F -16.31% 91.27 4,136
TSRO 43.26% D -2.31% 98.02 15,098
PRTY 42.97% D -1.58% 97.22 302
HAIN 41.40% D -1.40% 89.29 19,029
DXCM 4.09E-01 F -1.29% 96.83 14,960

 

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
ESIO -59.31% C -1.01% 0.40 7,191
ECYT -51.91% D -1.07% 1.19 13,712
SONC -50.35% C -5.77% 11.11 302
SAGE -41.81% F -0.65% 91.24 29,118
PVTL -41.70% F -1.70% 77.78 2,453
SGH -35.73% A -1.61% 24.76 616
AKRX -33.36% D -2.02% 34.92 2,365
ZS -32.29% D -3.28% 46.20 7,710
FLR -31.09% D 0.41% 91.27 15,554
DXC -30.85% A 0.87% 99.20 97,853
VRSN -29.87% A -7.10% 99.21 40,279
JELD -29.28% C -3.68% 94.44 132
PPG -28.80% C -1.53% 93.25 12,331
ATHN -28.73% C 8.47% 34.92 36,571
IMPV -28.58% B -7.54% 1.98 247
IRM -27.71% B 0.08% 76.59 4,917
KEX -27.06% C 0.61% 92.86 1,567
OCLR -26.57% D -1.25% 36.51 204
IEP -25.66% C -2.63% 81.75 1,085
INGR -25.10% B -16.31% 63.10 2,142
MLNX -25.02% B -2.31% 97.62 20,491
AMCX -24.96% B -1.58% 65.87 6,079
TTD -24.40% D -1.40% 98.41 27,566
ZUO -24.06% F -1.29% 55.22 3,047