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VIX down -13% as equities rally after election results

Nov 07, 2018

 

 

Options Market Commentary

Stocks are rallying as the midterm elections failed to deliver any surprises. Currently, the S&P is +1.46%, the Russell is +1.31%, and the Nasdaq is +2.42%.  Bonds are stronger with TLT +.78%. Gold is modestly higher. Energy is stronger despite weakness in oil   with WTI crude down 0.6% - XOP is +1.4% and XLE +.7%. Emerging markets (EEM up 1.3%) are stronger in sympathy with domestic equities. Volatilities are getting hit with the VIX -14% to 17.12, RVX -11% to 21.17, and VXN -10% to 23.33.

 

ETF 30D Volatility Changes

SPY:        -12%

IWM:       -11%

QQQ:      -9%

 

Directional Options Strategies

Bullish Option Strategies

PBR Buyer 13,000 Nov 16 call optionss (ref. 15.69)

MDXG Seller 10,000 Jan 2.5 put optionss (closing, ref. 4.12)

CL Buyer 8,800 Feb 70 call options (ref. 60.50)

PE Buyer 5,000 Jan 30 call options (ref. 24.97)

CPE Seller 10,400 Nov 11 call options (closing) to Buy 18,000 Jan 13 call options (rolls up and out, ref. 11.15)

Bearish Option Strategies

MRVL Buyer 8,200 Jan 16 put options (ref. 16.88)

OXY Seller 10,000 Jan 80 call options (ref. 73.44)

DXC Seller 7,500 Nov 60 put options (closing) to Buy 7,500 Dec 60 put options (rolls out, ref. 62.65)

TSLA Buyer 4,000 Dec 14th 310 put options (ref. 348.57)

 

 

Macro Options Strategies

Bullish Option Strategies

FXI 20,000 Nov 41 – 43 call options spreads trade (ref. 41.45)

SPY Buyer 12,865 Dec 31st 300 call options (ref. 277.74)

EEM Seller 97,8000 Nov 30th 43 call options (closing) to Buy 97,800 Dec 44 call options (rolls out and up, ref. 41.39)

EEM Seller 16,600 Dec 37 put options (ref. 41.19)

VXX Seller 12,800 Nov 23rd 42 call options (ref. 33.30)

Bearish Option Strategies

EWZ Seller 10,000 Dec 43 call options (ref. 39.82)

UUP Buyer 230,000 Jan 25 put options (ref. 25.54)

SPY Buyer 12,500 Dec 14th 252.5 – 237.5 put options spreads (ref. 278.70)

 

 

 

 

Finance Trades Options Strategies

IBM 8,000 Nov 9th 130 RevCons trade (ref. 124.05)

 

 

Upcoming Earnings

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Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
SYY 11/5/2018 3.9 3.9 -0.8% B 16,115
THC 11/5/2018 12.6 12.4 1.8% F 13,862
WRK 11/5/2018 2.4 3.0 -20.3% A 4,050
TDG 11/6/2018 3.4 4.2 -19.7% B 16,729
TWLO 11/6/2018 13.2 14.1 -6.7% D 76,968
WLK 11/6/2018 6.8 4.0 68.0% B 1,645
XEC 11/6/2018 6.5 3.9 65.5% D 5,217
Z 11/6/2018 12.5 6.6 88.3% C 44,287
ZBRA 11/6/2018 8.4 10.5 -19.9% C 7,019
AAOI 11/7/2018 18.7 16.2 15.4% D 6,089
ALB 11/7/2018 5.6 5.4 3.1% D 56,598
ANSS 11/7/2018 5.3 3.7 42.0% C 2,584
AYX 11/7/2018 12.7 12.7 0.0% F 3,202
CVNA 11/7/2018 13.9 8.2 68.5% F 11,347
DVA 11/7/2018 3.8 4.8 -20.4% D 34,253
FLS 11/7/2018 7.2 6.2 15.9% F 2,724
FOSL 11/7/2018 20.7 25.0 -17.3% D 5,118
HOLX 11/7/2018 5.8 4.5 28.9% B 3,124
HUBS 11/7/2018 8.0 4.3 86.1% D 5,362
IAC 11/7/2018 6.7 5.5 21.6% C 21,276
IMMU 11/7/2018 8.3 6.4 30.9% C 10,169
KDP 11/7/2018 5.0 0.8 527.1% F 5,115
MCHP 11/7/2018 5.5 5.6 -1.4% C 12,893
MNST 11/7/2018 6.1 5.8 4.7% B 5,054
MRO 11/7/2018 4.8 3.7 29.6% F 21,807
MUR 11/7/2018 3.2 3.7 -14.1% C 3,182
NKTR 11/7/2018 8.9 8.8 0.4% D 11,008
NWSA 11/7/2018 5.5 6.0 -8.0% F 11,409
PRU 11/7/2018 2.6 3.2 -17.9% C 23,262
PTLA 11/7/2018 12.5 10.3 21.2% F 3,075
QCOM 11/7/2018 5.3 3.4 54.8% C 264,369
QEP 11/7/2018 8.1 7.3 10.6% F  
ROKU 11/7/2018 13.9 18.1 -23.3% F 64,192
SQ 11/7/2018 7.0 5.7 21.2% F 472,776
TRIP 11/7/2018 11.1 11.6 -4.4% C 13,518
TTWO 11/7/2018 6.2 7.1 -12.7% D 95,940
VKTX 11/7/2018 9.7 6.2 55.7% F 5,638
WYNN 11/7/2018 6.2 5.8 6.7% C 180,184
ZAYO 11/7/2018 4.5 3.9 15.2% C 4,337
TRIP 11/7/2018 11.2 11.4 -1.7% C 13,518
TTWO 11/7/2018 6.6 6.9 -4.8% D 95,940
VAC 11/7/2018 5.2 4.9 4.8% C 6,319
WWW 11/7/2018 9.2 4.7 93.7% B 4,761
WYNN 11/7/2018 8.0 5.8 36.5% C 180,184
AMC 11/8/2018 7.4 2.2 232.0% D 6,669
ATVI 11/8/2018 5.2 4.2 25.4% C 128,491
CAH 11/8/2018 5.1 5.5 -8.2% C 10,802
DBX 11/8/2018 9.2 7.3 26.3% F 9,357
DHI 11/8/2018 5.2 3.7 41.3% B 22,942
DIS 11/8/2018 3.1 2.1 49.5% A 374,683
DNR 11/8/2018 3.7 6.9 -46.3% C  
DOX 11/8/2018 3.7 2.0 83.2% C 3,226
EBIX 11/8/2018 7.8 3.8 107.0% A 20,478
ERI 11/8/2018 10.1 5.4 87.0% C 25,194
GTT 11/8/2018 11.1 5.4 105.3% C 2,825
HAIN 11/8/2018 7.2 4.0 80.1% D 16,106
HII 11/8/2018 5.2 5.8 -11.0% C 11,514
HTZ 11/8/2018 13.2 15.3 -13.3% B 6,677
LGND 11/8/2018 9.8 4.3 128.2% A 7,663
LNG 11/8/2018 2.7 2.8 -4.8% D 42,606
LOXO 11/8/2018 5.0 3.8 30.7% F 3,110
NCLH 11/8/2018 4.5 4.5 0.3% C 6,191
NRG 11/8/2018 4.3 3.9 11.5% C 2,594
NXST 11/8/2018 5.1 2.0 150.2% C 12,620
OSTK 11/8/2018 13.5 9.9 37.1% D 13,615
RDFN 11/8/2018 14.0 9.7 44.0% F 2,891
SGMO 11/8/2018 8.6 15.4 -43.8% D 4,644
SGMS 11/8/2018 17.8 9.8 81.9% F 12,933
SWKS 11/8/2018 5.3 5.6 -6.1% B 42,426
TRGP 11/8/2018 3.2 3.1 3.9% F 2,386
TTD 11/8/2018 17.6 29.7 -40.8% D 27,087
WP 11/8/2018 3.8 4.0 -5.0% F 5,031
XRAY 11/8/2018 8.6 7.0 23.2% C 3,549
YELP 11/8/2018 12.0 15.3 -21.1% D 19,848
ZGNX 11/8/2018 4.7 7.1 -34.3% D 5,827
TRGP 11/8/2018 4.3 3.1 38.0% F 2,386
TRXC 11/8/2018 11.0 6.3 75.6% D  
TTD 11/8/2018 18.1 29.7 -39.0% D 27,087
UBNT 11/8/2018 10.2 8.7 18.3% C 15,288
WP 11/8/2018 3.6 4.0 -8.2% F 5,031
XRAY 11/8/2018 8.6 7.0 23.8% C 3,549
YELP 11/8/2018 13.0 15.3 -14.9% D 19,848
ZGNX 11/8/2018 3.9 7.1 -44.9% D 5,827

 

 

Volatility Standouts

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
IDTI 74.02% B -6.79% 33.99 1,307
GOGO 67.48% D -6.84% 79.84 3,230
PRSP 66.59% F -1.65% 76.19 342
UNFI 60.11% C -10.23% 97.23 2,094
CARS 59.47% D -1.04% 99.21 1,884
COL 55.72% A -0.10% 96.84 100,372
VUZI 54.18% D -0.05% 60.87 339
BERY 53.44% C -5.91% 100.00 9,208
XRAY 51.81% C -22.36% 96.84 3,549
TIVO 50.18% C -8.06% 98.02 1,222
TSRO 49.52% D -8.73% 96.84 13,692
TCS 49.41% C -4.13% 71.15 392
USG 45.74% D -11.63% 6.72 5,041
DK 44.04% D -5.44% 96.44 2,423
PK 41.47% D -11.00% 43.87 299
PRTY 38.98% D -4.93% 94.07 489
DF 37.33% C 0.03% 99.60 1,965
ONCE 36.68% F -7.09% 85.77 1,605
SRCL 36.63% D -4.65% 51.38 2,043
PTLA 36.48% F -12.16% 81.82 3,075
SRCI 36.23% F -9.85% 99.60 4,115
HAIN 36.07% D -9.52% 79.05 16,106
STWD 35.61% C -3.93% 88.54 941
TTS 34.60% D 3.98% 13.04 97

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
IMPV -62.12% B -6.79% 3.16 451
ESIO -53.07% C -6.84% 1.19 7,339
SAGE -46.87% F -1.65% 89.68 43,318
SONC -46.36% C -10.23% 11.46 280
VRSN -46.18% A -1.04% 97.63 42,367
PVTL -41.99% F -0.10% 82.35 2,384
ZS -34.95% D -0.05% 32.08 8,642
SGH -34.67% A -5.91% 27.36 632
FLR -34.58% D -22.36% 82.21 16,931
IRM -32.32% B -8.06% 74.31 4,835
MA -31.51% B -8.73% 90.12 394,622
AKRX -29.67% D -4.13% 33.99 2,298
KEX -29.35% C -11.63% 89.33 1,127
OCLR -28.08% D -5.44% 41.90 172
HEES -27.70% C -11.00% 96.05 1,079
BX -27.56% D -4.93% 89.33 62,765
SYF -27.14% C 0.03% 90.91 59,638
HRS -26.53% A -7.09% 92.49 47,970
INGR -26.03% B -4.65% 60.08 2,123
NOC -25.78% B -12.16% 91.30 174,608
BMY -25.67% C -9.85% 58.89 180,809
V -25.65% A -9.52% 82.21 703,608
DXC -25.61% A -7.83% 97.62 101,477
JELD -25.24% C -3.93% 81.03 166