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 |
