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VIX up 16% as equities continue to roll over

Nov 12, 2018

 

 

Options Market Commentary

Stocks are getting hit today with technology dragging stocks lower. Currently, the S&P is -1.2%, the Russell is -.9%, and the Nasdaq is -2.3% with weakness in AAPL -4% on signs of soft iPhone demand. Health care and Industrials are each down 1.1%.  Biotechs are weak with XBI -3.2%. Bonds are closed today for the Veterans Day holiday, however TLT is +.56% implying lower yields. Crude is up 1.2% today on reports of production cutbacks, however the overall market is dragging down energy stocks with it as XOP -1.3% and XLE -1.2%. Volatilities are moving sharply higher with the VIX +15% to 19.95, RVX +12% to 25.02, and VXN +15% to 27.7

 

ETF 30D Volatility Changes

SPY:        +8%

IWM:       +5%

QQQ:      +9%

 

Directional Options Strategies

Bullish Option Strategies

SNAP 4,800 Nov 7 call options trade (ref. 6.79)

CVS Buyer 5,600 Nov 23rd 80 call options (ref. 79.64)

WMT Buyer 5,300 Nov 106 call options (Earnings 11/15, ref. 105.70)

CZR Buyer 6,500 Jan 9 call options tied to stock (ref. 8.11)

EBAY 10,100 Nov 28 and 29 call options trade (ref. 29.38)

 

 

Bearish Option Strategies

ABX Buyer 11,000 Dec 11 put options (ref. 12.70)

WLL Buyer 2,500 Jan 30 put options (ref. 35.97)

RIG Seller 10,000 Jan 11 put options (closing) to Buy 15,000 Feb 10 put options (ref. 10.21)

BCS Buyer 10,000 Jun 9 put options (ref. 8.76)

 

 

Macro Options Strategies

Bullish Option Strategies

EEM Buyer 11,750 Dec 42 call options (ref. 39.46)

USO Seller 156,000 Jan 11.5 put options (ref. 12.88)

EFA Buyer 15,000 Dec 7th 63 call options (ref. 62.50)

 

Bearish Option Strategies

HYG Buyer 10,000 Dec 83 put options (ref. 84.28)

SPY 12,500 Dec 14th 270 – 260 put option spreads trade (ref. 276.02)

EEM Buyer 17,330 Jan 28 put options (ref. 39.56)

EEM Buyer 11,111 Mar 29 put options (ref. 39.47)

XBI Seller 7,500 Nov 87 – 79 put options spreads (closing) to Buy 10,000 Dec 79 – 71 put options spreads (ref. 79.06)

XBI Seller 10,000 Dec 80 – 72 put options spreads (closing) to Buy 14,000 Dec 75 – 67 put options spreads (ref. 78.36)

XLE Buyer 19,580 Jan 48 put options (ref. 68.28)

EWZ Buyer 10,000 Jan 20 40 put options (ref. 39.09)

VXX Buyer 18,500 Jan 79 – 87 call options spreads (ref. 35.07)

 

 

 

Finance Trades Options Strategies

SPY 10,000 Dec 295 RevCons trade (ref. 275.86)

 

 

 

Upcoming Earnings

 

 INSERT TABLE

 On Mobile/Tablet scroll to the right

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
AAP 11/13/2018 8.2 8.7 -5.9% C 17,909
ARMK 11/13/2018 15.4 5.1 204.9% C 4,520
HD 11/13/2018 4.1 1.3 203.9% A 283,956
TSN 11/13/2018 5.0 3.7 36.1% A 10,986
CSCO 11/14/2018 5.2 4.2 25.3% C 200,881
M 11/14/2018 9.4 10.4 -9.4% C 80,357
NTAP 11/14/2018 8.5 6.0 40.0% C 21,910
AMAT 11/15/2018 6.9 4.6 51.1% C 93,021
BERY 11/15/2018 8.7 3.9 126.4% C 5,427
DDS 11/15/2018 10.5 8.8 19.2% C 8,042
JWN 11/15/2018 8.6 7.2 19.2% C 38,641
NVDA 11/15/2018 10.6 7.7 37.7% B 1,699,686
POST 11/15/2018 5.0 4.0 25.8% B 4,320
WMT 11/15/2018 5.1 5.7 -10.9% B 433,137
WSM 11/15/2018 8.2 6.2 32.0% C 15,790
COL 11/16/2018 6.0 1.9 220.7% A 64,083
HP 11/16/2018 4.2 2.9 44.3% D 3,988
VIAB 11/16/2018 5.9 5.6 5.2% D 3,624
A 11/19/2018 5.0 3.9 30.0% C 5,304
INTU 11/19/2018 3.9 3.0 27.5% B 36,372
JACK 11/19/2018 7.0 6.1 15.9% D 2,845
LB 11/19/2018 6.9 6.5 6.2% D 34,526
PSTG 11/19/2018 11.2 9.7 15.7% F 2,417
URBN 11/19/2018 9.2 6.3 47.4% A 6,788
ADI 11/20/2018 4.2 2.6 63.8% B 16,939
ADSK 11/20/2018 8.6 9.5 -9.5% D 53,699
BBY 11/20/2018 9.4 8.4 11.6% B 92,605
CBRL 11/20/2018 4.2 3.9 6.9% C 9,080
CPB 11/20/2018 5.6 5.9 -3.9% C 17,597
DLTR 11/20/2018 8.2 8.9 -7.3% C 44,775
FL 11/20/2018 12.3 15.3 -19.1% C 9,284
GPS 11/20/2018 8.2 7.3 11.8% C 11,064
HRL 11/20/2018 4.3 3.5 23.6% C 6,924
JEC 11/20/2018 3.9 5.5 -29.8% C 18,362
KEYS 11/20/2018 6.7 4.9 35.1% B 6,640
KSS 11/20/2018 7.7 5.4 41.0% A 53,365
LOW 11/20/2018 5.7 5.3 6.5% C 97,599
ROST 11/20/2018 7.1 5.2 35.3% A 17,332
TGT 11/20/2018 6.2 5.6 11.6% A 150,699
TJX 11/20/2018 6.3 3.5 80.5% A 47,317
DE 11/21/2018 5.3 4.9 8.3% C 163,554
PLCE 11/21/2018 5.3 6.4 -16.9% C 20,414
BURL 11/23/2018 6.4 4.8 33.5% A 8,718
GME 11/27/2018 23.5 6.4 268.5% D 4,853
HPE 11/27/2018 5.9 6.0 -1.9% D 6,563
NTNX 11/27/2018 11.1 7.8 41.4% D 45,429
BOX 11/28/2018 12.1 8.4 43.7% D 6,678
DKS 11/28/2018 9.1 9.9 -8.4% C 7,852
PVH 11/28/2018 6.3 5.1 23.6% C 27,697
SJM 11/28/2018 5.1 5.4 -6.0% B 12,297
TIF 11/28/2018 6.8 6.0 12.0% C 15,386
VEEV 11/28/2018 8.5 8.2 2.9% B 12,505

 

Volatility Standouts

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
ZAYO 73.57% C 6.74% 98.81 14,514
FTAI 70.59% B 0.37% 52.57 509
IDTI 70.52% B 2.99% 31.23 917
PLT 69.88% C 3.88% 100.00 1,738
DNB 67.05% B -0.50% 22.92 2,316
ARMK 59.93% C -2.04% 99.60 4,520
GE 58.61% F -0.30% 99.60 769,140
NLY 58.19% D 14.40% 66.01 2,041
USAT 57.13% C 5.17% 100.00 1,141
CARS 56.66% D 0.48% 70.75 4,075
COL 56.51% A 2.17% 94.86 64,083
GOGO 51.36% D 14.40% 83.79 3,517
COMM 50.32% C 8.20% 90.91 1,825
CTXS 47.95% C -1.62% 32.41 9,597
STWD 47.59% C -15.55% 65.61 1,342
CNDT 47.59% D 6.31% 98.02 3,019
ANGI 46.64% B -9.54% 91.70 1,267
PBYI 45.51% D 10.35% 99.21 6,453
TJX 42.91% A 6.96% 90.51 47,317
PCG 41.81% B 2.72% 87.35 44,123
UIS 41.14% B 3.65% 36.36 608
RCII 40.65% C 3.23% 25.30 1,647
DF 40.39% C 7.94% 99.21 2,767
SRCL 40.38% D -1.39% 40.71 2,536

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
ARRS -66.20% D 6.74% 0.40 3,601
ECYT -64.87% D 0.37% 2.37 9,597
FNSR -54.25% F 2.99% 0.00 7,047
SONC -53.11% C 3.88% 12.25 153
SAGE -46.91% F -0.50% 91.27 40,578
PVTL -46.68% F -2.04% 43.17 2,615
AKRX -41.38% D -0.30% 59.68 2,340
VRSN -40.10% A 14.40% 90.91 34,003
ESIO -34.08% C 5.17% 0.40 9,384
SGH -34.01% A 0.48% 4.59 484
WES -30.71% B 2.17% 90.12 3,718
HRS -29.80% A 14.40% 87.35 44,930
ZS -29.64% D 8.20% 41.36 9,284
SYF -28.05% C -1.62% 66.01 60,198
WELL -26.10% B -15.55% 55.73 19,213
ZUO -25.83% F 6.31% 36.96 2,465
JELD -24.15% C -9.54% 86.17 181
BMY -23.93% C 10.35% 49.41 105,181
RH -23.80% B 6.96% 73.91 16,759
SAM -23.47% C 2.72% 68.77 12,992
KEX -22.52% C 3.65% 86.96 1,010
ANTM -22.32% B 3.23% 52.96 64,388
NRZ -22.09% D 7.94% 56.92 3,313
ABBV -2.11E-01 A -1.39% 49.01 183,032