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Vix stabilizes as equities trade in listless session

Nov 08, 2018

 

 

Options Market Commentary

Stocks are diverging today with weakness in tech and strength in the Russell. Currently, the S&P is unchanged after being down this morning, the Russell is +.23%, and the Nasdaq is -.4%.  Outperformers are financials, retail, and healthcare. Emerging markets are lower with EEM -2% with weakness in Mexico -4%, China -1.7%, and Brazil -1.6%. Bonds are little changed. Energy is weak again as oil continues to make 6-month lows, now -.9%. Energy ETF’s are lower as well with XOP -1.7% and XLE -1%. Volatilities are mixed with the VIX -.5% to 16.27, RVX -1% and VXN +.6%.

 

 

ETF 30D Volatility Changes

SPY:        -3%

IWM:       -1%

QQQ:      +1%

   

 

Directional Options Strategies

Bullish Option Strategies

LVS Buyer 8,955 Mar 55 call options (ref. 53.69)

KGC 8,300 Dec 3 call options trade (ref. 2.62)

ET 18,100 Dec 17 call options trade (ref. 16.62, second day of interest)

DAN Seller 12,000 Mar 20 call options (closing) to Buy 9,600 Mar 15 and 16 call options (rolls down, ref. 15.21)

STKL Buyer 5,000 Mar 7.5 call options (ref. 5.40)

CSCO Buyer 10,000 Jan 47 – 50 call option spreads (ref. 48.16)

ZION Seller 5,000 Nov 50 call options (closing) to Buy 9,400 Nov 52.5 call options (rolls up, ref. 50.42)

XOG Buyer 10,200 Dec 10 call options (ref. 8.60)

ENDP Buyer 8,000 Jan 15 call options (ref. 13.47)

HLF Seller 15,000 May 55 – 45 put options spreads (ref. 55.12)

 

Bearish Option Strategies

ETSY 3,300 Nov 50 and 49 put options trade (ref. 52.51)

SNAP 5,100 Apr 6 put optons trade (ref. 7.16)

GE 10,000 Jan20 8 put options trade tied to stock (ref. 9.18)

 

 

 

Macro Options Strategies

Bullish Option Strategies

EFA Seller 20,000 Nov 23rd 63.5 call options (closing) to Buy 27,750 Dec 7th 65.5 call options (ref. 64.17)

QQQ Buyer 10,000 Dec 31st 187 call options (ref. 174.68)

EWZ 5,000 Jan 40 – 44 call options spreads trade (ref. 39.86)

VXX Seller 20,000 Nov 23rd 39 – 42 call options spreads to Buy 20,000 34 – 32 put options spreads (ref. 31.69)

 

 

Bearish Option Strategies

IWM Buyer 15,000 Nov 155 – 150 put options spreads (ref. 157.05)

VIX Buyer 20,000 Nov 20 – 26 call options spreads (ref. 16.62)

SPY Buyer 20,000 Dec 7th 240 put options (ref. 280.55)

HYG Seller 30,000 Dec 82 put options (closing) to Buy 30,000 Jan 82 put options (ref. 85.05)

 

 

 

Finance Trades Options Strategies

F 38,000 Dec 10 RevCons trade (ref. 9.49)

CLNY 10,000 Dec 8 RevCons trade (ref. 6.14)

 

Upcoming Earnings

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Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
AMC 11/8/2018 8.6 2.2 284.2% D 6,625
ATVI 11/8/2018 7.1 4.2 70.4% C 143,457
CTL 11/8/2018 6.3 7.5 -16.5% C 32,907
DBX 11/8/2018 9.5 7.3 30.6% F 10,329
DIS 11/8/2018 3.0 2.1 43.3% A 375,003
DOX 11/8/2018 3.9 2.0 90.5% C 2,859
ERI 11/8/2018 9.1 5.4 68.2% C 4,795
HTZ 11/8/2018 13.8 15.3 -9.6% B 6,171
OSTK 11/8/2018 14.6 9.7 51.4% D 14,112
RDFN 11/8/2018 15.0 9.7 54.5% F 1,798
SGMO 11/8/2018 9.3 15.4 -39.3% D 4,554
SWKS 11/8/2018 5.3 5.6 -5.3% B 42,378
TTD 11/8/2018 17.8 29.7 -40.2% D 32,360
XRAY 11/8/2018 9.0 7.0 29.4% C 6,742
YELP 11/8/2018 13.5 15.3 -11.9% D 24,598
ZGNX 11/8/2018 6.2 7.1 -12.2% D 5,267
ATHN 11/9/2018 8.7 9.7 -10.2% C 32,054
COL 11/9/2018 3.4 1.9 83.6% A 105,203
UBNT 11/9/2018 9.9 8.6 15.0% C 15,459
AAP 11/13/2018 8.0 8.6 -6.3% C 15,552
ARMK 11/13/2018 9.2 5.1 81.1% C 3,398
EPC 11/13/2018 6.7 3.4 98.2% C 1,433
HD 11/13/2018 2.8 1.3 112.0% A 307,130
TSN 11/13/2018 5.0 3.7 37.5% A 10,402
CSCO 11/14/2018 4.3 4.2 2.3% C 191,388
M 11/14/2018 8.9 10.3 -14.0% C 79,366
NTAP 11/14/2018 6.9 6.0 13.6% C 21,216
WSM 11/14/2018 8.2 6.2 31.0% C 17,367
AMAT 11/15/2018 4.9 4.6 6.8% C 105,413
BERY 11/15/2018 8.0 3.9 103.6% C 5,988
DDS 11/15/2018 9.7 8.8 9.8% C 5,993
JWN 11/15/2018 8.2 7.3 11.8% C 38,058
NVDA 11/15/2018 8.4 7.7 9.0% B 2,082,073
POST 11/15/2018 4.7 4.0 18.0% B 3,898
SCVL 11/15/2018 16.3 14.7 10.6% C 1,563
WMT 11/15/2018 3.9 5.7 -32.0% B 438,589
HP 11/16/2018 4.0 3.0 33.1% D 3,649
VIAB 11/16/2018 6.0 5.6 6.5% D 3,555
A 11/19/2018 4.2 3.9 8.8% C 5,506
JACK 11/19/2018 7.4 6.1 22.4% D 3,333
LB 11/19/2018 8.2 6.5 25.8% D 28,160
PSTG 11/19/2018 10.1 9.7 4.5% F 3,513
URBN 11/19/2018 9.1 6.3 44.9% A 6,385
ADI 11/20/2018 4.0 2.6 55.1% B 16,093
ADSK 11/20/2018 7.2 9.5 -23.7% D 63,929
BBY 11/20/2018 9.0 8.4 7.7% B 75,779
CBRL 11/20/2018 4.0 3.9 0.9% C 8,714
CPB 11/20/2018 6.1 5.9 4.6% C 15,768
DLTR 11/20/2018 8.6 8.9 -2.7% C 61,912
DY 11/20/2018 8.6 11.2 -23.3% D 7,365
FL 11/20/2018 12.9 15.3 -15.4% C 10,752
GPS 11/20/2018 8.1 7.3 9.9% C 12,097
HRL 11/20/2018 4.9 3.5 39.3% C 6,530
JEC 11/20/2018 3.6 5.5 -33.6% C 14,650
KEYS 11/20/2018 6.5 4.9 32.4% B 6,940
KSS 11/20/2018 7.9 5.6 41.0% A 46,739
LOW 11/20/2018 5.4 5.3 0.3% C 100,580
ROST 11/20/2018 7.0 5.2 34.2% A 16,905
TGT 11/20/2018 5.3 5.6 -5.8% A 122,731
TJX 11/20/2018 5.8 3.5 65.6% A 44,639

 

Volatility Standouts

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
ARMK 69.43% C -0.23% 98.42 3,398
GOGO 68.86% D -0.49% 77.08 3,301
PRSP 59.27% F -0.32% 74.53 126
CDK 58.50% A 0.47% 54.94 997
BERY 54.42% C -0.88% 99.60 5,988
TTGT 53.16% C -25.86% 98.42 144
CARS 50.45% D -2.70% 82.61 4,012
CNDT 48.84% D 1.52% 100.00 2,468
CASA 48.81% D 1.33% 92.68 646
XRAY 45.50% C -4.38% 96.05 6,742
TCS 45.35% C -3.71% 73.91 391
RCII 44.24% C -1.28% 14.23 1,765
TSRO 42.93% D -2.61% 96.05 12,144
COMM 41.76% C -7.80% 96.44 478
COL 40.68% A 10.87% 96.44 105,203
VUZI 40.15% D -0.22% 52.17 319
PTLA 39.24% F -4.23% 80.24 3,696
PRTY 38.85% D -3.27% 94.07 552
UNFI 36.84% C -3.46% 95.26 3,088
STWD 35.96% C -11.63% 86.96 1,009
CSOD 35.79% C -2.37% 65.22 569
TTS 30.35% D -1.69% 12.65 119
USG 30.28% D -2.08% 17.00 5,024
DBX 29.57% F -30.39% 32.05 10,329

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
ECYT -66.12% D -0.23% 1.98 12,981
SONC -56.35% C -0.49% 11.86 283
SAGE -46.63% F -0.32% 90.08 45,554
VRSN -45.76% A 0.47% 85.77 37,080
PVTL -45.70% F -0.88% 62.04 2,510
AKRX -41.52% D -25.86% 33.20 2,724
ESIO -38.36% C -2.70% 1.19 8,179
SGH -38.18% A 1.52% 34.58 609
FLR -36.53% D 1.33% 61.66 18,483
WES -35.83% B -4.38% 86.96 3,592
ZS -35.79% D -3.71% 28.75 9,270
MA -35.66% B -1.28% 78.26 413,636
SYF -33.58% C -2.61% 58.89 59,864
IRM -33.03% B -7.80% 60.08 5,010
OCLR -32.98% D 10.87% 25.69 180
JELD -32.42% C -0.22% 80.24 169
BX -31.87% D -4.23% 69.96 59,113
KEX -30.80% C -3.27% 84.98 1,271
HRS -30.55% A -3.46% 84.58 45,074
KKR -30.26% C -11.63% 76.28 29,964
ABBV -2.97E-01 A -2.37% 41.50 203,802
BMY -29.50% C -1.69% 38.74 133,612
V -29.33% A -2.08% 56.52 664,223
AMZN -28.68% C -30.39% 66.01 20,932,726