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Volatility rises as equity markets continue to roll over

Nov 09, 2018

 

 

Options Market Commentary

Stocks  are in the red today a day after the Fed signaled further hikes and as oil moves to new lows for the year.  Currently, the S&P is -1.1%, the Russell is -1.9%, and the Nasdaq is -1.9%. Consumer staples and Utilities are the value names that are safe-havens today as both sectors are in the green. Bonds are up with TLT +.6%. Gold is getting hit -1.2% with the miners’ ETF GDX -2.3%. Biotech is another laggard -3.5% in the XBI. In energy, WTI crude is -1% to 60 though off earlier lows. Energy ETFs XOP and XLE are down .3%. Volatilities are up across the board with the VIX +5.4% to 17.63, RVX +9% to 22.06, and VXN +8% to 24.66.

 

ETF 30D Volatility Changes

SPY:        +5%

IWM:       +9%

QQQ:      +9%

 

Directional Options Strategies

Bullish Option Strategies

FDC Buyer 12,000 Dec 25 call options (closing, ref. 18.88)

DBX Buyer 5,200 Dec 27 call options (ref. 25.91)

SQ Buyer 5,000 Mar 80 call options (ref. 72.74)

TSLA Seller 7,200 Nov 360 and 370 call options (closing) to Buy 7,200 Dec 380 call options (ref. 350.89)

KBH Buyer 5,800 Nov 21 call options (ref. 21.29)

 

Bearish Option Strategies

EBAY Buyer 9,800 Apr 26 put options (ref. 29.74)

VALE 6,800 Nov 15 and 14.5 put options trade (ref. 14.65)

GE 7,700 Mar 10 – 8 – 6 put options flies trade (ref. 8.26)

KMX Buyer 4,300 Dec 72.5 put options (ref. 66.38)

 

 

Macro Options Strategies

Bullish Option Strategies

USO Seller 28,000 Jan 12.5 – 12 put options spreads (ref. 12.67)

VXX Buyer 25,000 Nov 34 – 32 1x2 put optoins spreads (closing, ref. 33.49)

QQQ Buyer 5,000 Mar 187 call options (ref. 171.25)

 

Bearish Option Strategies

VIX Buyer 42,800 Nov 17 – 30 risk reversals (closing) to Sell 42,800 Dec 15 – 30 call options risk reversals (rolls out, ref. 17.44)

XOP Seller 4,600 Nov 35 – 32 put options spreads (closing) to Buy 4,600 Dec 33 – 29 put options spreads (ref. 35.61)

QQQ Buyer 9,224 Jan 150 put options (ref. 172.45)

SPY Buyer 14,000 Dec 248 put options (ref. 278.45)

 

 

 

Finance Trades Options Strategies

C 8,000 Dec 67.5 RevCons trade (ref. 66.30)

ECA 14,650 Apr 5 RevCons trade (ref. 8.73)

 

 

Upcoming Earnings

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Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
ATHN 11/9/2018 8.8 9.7 -9.4% C 32,712
AAP 11/13/2018 7.9 8.6 -8.1% C 15,318
ARMK 11/13/2018 15.6 5.1 208.5% C 3,361
HD 11/13/2018 3.0 1.3 124.8% A 298,690
TSN 11/13/2018 4.8 3.7 30.8% A 10,736
CSCO 11/14/2018 4.4 4.2 3.1% C 202,461
M 11/14/2018 8.6 10.3 -16.5% C 78,635
NTAP 11/14/2018 6.9 6.0 13.7% C 22,595
AMAT 11/15/2018 5.5 4.6 19.6% C 95,040
BERY 11/15/2018 8.0 3.9 104.8% C 6,625
DDS 11/15/2018 9.8 8.8 11.0% C 9,318
JWN 11/15/2018 8.1 7.3 10.1% C 38,193
NVDA 11/15/2018 8.6 7.7 12.1% B 1,807,589
POST 11/15/2018 4.9 4.0 22.8% B 4,028
WMT 11/15/2018 4.0 5.7 -31.1% B 443,487
WSM 11/15/2018 6.2 6.2 -0.4% C 13,865
COL 11/16/2018 6.0 1.9 220.6% A 88,033
HP 11/16/2018 3.9 3.0 29.3% D 3,293
VIAB 11/16/2018 5.5 5.6 -2.4% D 2,998
A 11/19/2018 3.7 3.9 -2.8% C 5,454
JACK 11/19/2018 6.7 6.1 10.4% D 3,273
LB 11/19/2018 5.3 6.5 -18.4% D 34,497
PSTG 11/19/2018 9.0 9.7 -7.4% F 3,578
URBN 11/19/2018 8.7 6.3 39.6% A 6,491
ADI 11/20/2018 3.4 2.6 31.4% B 16,643
ADSK 11/20/2018 7.5 9.5 -21.3% D 59,975
BBY 11/20/2018 9.5 8.4 13.3% B 75,298
CBRL 11/20/2018 2.5 3.9 -35.8% C 8,751
CPB 11/20/2018 5.4 5.9 -8.1% C 17,236
DLTR 11/20/2018 8.0 8.9 -9.9% C 61,524
DY 11/20/2018 8.8 11.2 -21.6% D 1,133
FL 11/20/2018 11.8 15.3 -22.9% C 10,039
GPS 11/20/2018 7.6 7.3 3.5% C 11,290
HRL 11/20/2018 4.2 3.5 19.8% C 6,767
JEC 11/20/2018 3.2 5.5 -41.5% C 18,504
KEYS 11/20/2018 6.5 4.9 32.3% B 7,011
KSS 11/20/2018 7.6 5.6 36.0% A 50,082
LOW 11/20/2018 5.3 5.3 -1.4% C 95,838
ROST 11/20/2018 6.7 5.2 28.4% A 17,048
TGT 11/20/2018 5.3 5.6 -5.5% A 144,050
TJX 11/20/2018 5.6 3.5 60.5% A 45,202
DE 11/21/2018 4.7 4.9 -5.6% C 174,222
PLCE 11/21/2018 4.8 6.4 -25.2% C 21,384

 

Volatility Standouts

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Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
BERY 70.06% C 2.35% 100.00 6,625
DNB 64.49% B 1.41% 22.53 2,084
FTAI 63.07% B 3.30% 59.68 522
PRSP 58.90% F 3.24% 74.77 53
COL 54.09% A 0.21% 95.26 88,033
STWD 53.19% C -0.75% 94.07 1,085
EIX 50.90% D 0.49% 27.67 2,086
CARS 49.27% D 2.62% 78.66 4,122
RCII 48.17% C 1.71% 35.57 1,712
COMM 46.01% C 1.08% 86.96 1,508
CNDT 44.26% D -1.39% 99.21 2,924
TSRO 42.62% D -0.20% 96.05 7,841
CDK 40.16% A 3.10% 46.25 1,414
PTLA 39.85% F 3.12% 76.28 4,731
GOGO 38.67% D 0.21% 81.03 3,398
UIS 38.54% B -1.80% 73.52 449
GE 37.26% F 8.86% 96.05 754,832
SSP 36.96% B 2.60% 96.05 1,003
TTS 36.57% D 7.00% 8.70 156
AIZ 36.56% C 0.48% 47.04 3,088
SRCL 36.52% D 0.39% 35.18 2,533
DF 34.99% C 4.20% 96.05 2,615
USAT 34.11% C 6.54% 87.35 294
OZK 34.10% D 0.00% 95.26 3,552

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
ECYT -66.54% D 2.35% 2.37 12,313
ARRS -59.30% D 1.41% 0.40 3,492
SONC -50.91% C 3.30% 11.07 177
FNSR -50.16% F 3.24% 100.00 4,060
SAGE -48.55% F 0.21% 89.68 42,536
PVTL -47.07% F -0.75% 46.38 2,618
VRSN -45.85% A 0.49% 90.91 35,995
ESIO -43.82% C 2.62% 1.58 9,031
AKRX -41.69% D 1.71% 63.64 2,327
FLR -33.60% D 1.08% 67.98 19,539
IRM -32.88% B -1.39% 59.68 4,312
ZS -32.55% D -0.20% 23.60 9,520
SYF -32.43% C 3.10% 52.17 59,550
HRS -31.68% A 3.12% 83.79 44,906
SGH -30.03% A 0.21% 4.63 491
MA -28.12% B -1.80% 84.98 399,078
DXC -27.23% A 8.86% 92.46 99,294
BMY -26.97% C 2.60% 50.20 104,315
KEX -26.90% C 7.00% 83.79 1,121
ERI -26.47% C 0.48% 95.65 5,052
WELL -26.26% B 0.39% 59.68 16,136
ANTM -26.25% B 4.20% 51.78 66,286
ZUO -25.96% F 6.54% 37.23 2,409
JELD -25.77% C 0.00% 84.98 208