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Volatility stays bid as equities experience wide swings due to China rumors

Nov 13, 2018

 

 

Options Market Commentary

Stocks are bouncing as hopes rise for China trade progress, though the market was not immune to lurches in both directions earlier in the day. Currently, the S&P is  +.7%, the Russell is +.96%, and the Nasdaq is +1.3%. Energy continues to get hit with WTI crude at new lows for the year, -4.2%.  Energy ETFs are down as well though losses are limited with the overall market up. XOP is -.14% and XLE -.43%. Financials and Industrials are outperforming +1.4% and 1.5% respectively. Bonds are lower with TLT -.4%. Emerging markets are up overall on China’s 3% gain, however Brazil and Mexico are both down 1.3% each. Volatilities are lower with the VIX -4% to 19.55, RVX -5.5% to 23.78, and VXN -3.5% to 27.12.

 

ETF 30D Volatility Changes

SPY:        -4%

IWM:       -3%

QQQ:      -2%

 

Directional Options Strategies

Bullish Option Strategies

ARNC Seller 5,000 Nov 20 call options (closing) to Buy 10,000 Dec 20 call options (sizes up, rolls out, ref. 20.43)

BKS Seller 10,000 Apr 5 put options to Buy 10,000 Apr 8 call options (ref. 6.94)

GE Buyer 100,000 Dec 15 call options (likely closing, ref. 8.19)

PG Seller 10,000 Jan 92.5 call options (closing) to Buy 10,000 Jan 95 call options (ref. 92.91)

VALE Buyer 9,700 Dec 15 call options (ref. 14.67)

 

Bearish Option Strategies

ROST Buyer 3,000 Jan 105 put options (Earnings 11/20, ref. 100.57)

BK Seller 3,000 Nov 47 put options (closing) to Buy 3,000 Nov 23rd put options (ref. 48.70)

VIAB Buyer 15,000 Jun 30 – 25 put options spreads (ref. 32.67)

GE Buyer 23,570 Jan 7 – 6 put options spreads (ref. 8.32)

IMMU Buyer 8,000 Feb 12 put options (ref. 19.11)

EOG Buyer 6,000 Dec 80 put options (ref. 101.16)

PBR 30,000 Nov 15 call options sold to close (ref. 14.18)

 

 

Macro Options Strategies

Bullish Option Strategies

XOP Buyer 5,200 Mar 37 call options (ref. 34.90)

XOP Seller 30,000 Jan 36 put options (ref. 34.90)

EWZ Seller 60,000 Nov 37 put options to Buy 40,000 Nov 39 call options (ref. 38.04)

USO Seller 7,000 Jan 13 – 11.5 strangles (directionally neutral, sells vol, ref. 12.14)

 

Bearish Option Strategies

QQQ Buyer 23,000 Dec 144 put options (ref. 168.23)

XBI Seller 7,500 Nov 87 – 80 put options spreads (closing) to Buy 12,000 Jan 78 – 68 put options spreads (ref. 78.23)

XLP 10,000 Jan 56 put options trade (ref. 56.64)

TLT 10,000 Dec 113 put optoins trade (ref. 113.68)

 

 

 

Finance Trades Options Strategies

EWZ 7,500 Dec 14th 38 RevCons trade (ref. 38.22)

AAPL 3,000 Jan 190 RevCons trade (ref. 195.13)

DISCA 18,000 Nov – Dec 40 Jelly Rolls trade (ref. 32.34)

 

Upcoming Earnings

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Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
M 11/14/2018 9.8 10.4 -5.4% C 81,151
NBEV 11/14/2018 3.6 3.6 -0.9% F  
NTAP 11/14/2018 8.5 6.0 39.9% C 21,840
AMAT 11/15/2018 6.8 4.6 48.2% C 90,018
BERY 11/15/2018 8.4 3.9 118.8% C 7,101
DDS 11/15/2018 9.9 8.8 12.2% C 15,040
JWN 11/15/2018 8.4 7.2 16.5% C 35,075
NVDA 11/15/2018 9.6 7.7 24.8% B 1,660,674
POST 11/15/2018 5.3 4.0 31.8% B 6,788
WMT 11/15/2018 4.7 5.7 -18.3% B 449,605
WSM 11/15/2018 8.3 6.2 33.6% C 15,770
COL 11/16/2018 5.7 1.9 202.7% A 54,810
HP 11/16/2018 4.3 2.9 46.0% D 4,200
VIAB 11/16/2018 5.9 5.6 5.0% D 5,328
A 11/19/2018 4.4 3.9 14.0% C 7,026
AABA 11/19/2018 1.2 2.1 -42.8% A 233,705
INTU 11/19/2018 3.3 3.0 7.6% B 35,439
JACK 11/19/2018 7.3 6.1 19.7% D 2,402
LB 11/19/2018 7.2 6.5 10.1% D 35,716
URBN 11/19/2018 9.0 6.3 43.4% A 6,563
ADI 11/20/2018 3.7 2.6 44.7% B 16,470
ADSK 11/20/2018 8.1 9.5 -14.6% D 48,026
BBY 11/20/2018 9.9 8.4 18.4% B 85,659
CPB 11/20/2018 6.2 5.9 5.2% C 17,964
DLTR 11/20/2018 8.6 8.9 -3.5% C 52,886
FL 11/20/2018 12.5 15.3 -18.2% C 8,254
GPS 11/20/2018 8.5 7.3 15.5% C 13,585
HRL 11/20/2018 4.5 3.5 28.5% C 6,230
JEC 11/20/2018 3.5 5.5 -35.3% C 18,021
KEYS 11/20/2018 6.5 4.9 31.2% B 6,648
KSS 11/20/2018 7.9 5.4 44.2% A 67,993
LOW 11/20/2018 5.3 5.3 0.1% C 92,502
ROST 11/20/2018 7.4 5.2 42.7% A 14,295
TGT 11/20/2018 6.0 5.6 7.6% A 141,429
TJX 11/20/2018 6.2 3.5 77.9% A 47,522
DE 11/21/2018 5.7 4.9 14.9% C 159,825
PLCE 11/21/2018 5.7 6.4 -10.3% C 11,946
BURL 11/23/2018 6.5 4.8 35.0% A 7,982
CBRL 11/27/2018 4.2 3.9 7.4% C 9,020
CRM 11/27/2018 5.5 2.3 137.9% C 295,616
GME 11/27/2018 12.0 6.4 88.6% D 5,718
HPE 11/27/2018 6.0 6.0 0.0% D 6,854
NTNX 11/27/2018 11.0 7.8 40.9% D 45,053
BOX 11/28/2018 11.9 8.4 40.6% D 6,442
DKS 11/28/2018 9.3 9.9 -6.0% C 7,247
PVH 11/28/2018 5.7 5.1 10.2% C 28,177
SJM 11/28/2018 6.4 5.4 17.9% B 15,288
TIF 11/28/2018 6.6 6.0 9.1% C 15,821
VEEV 11/28/2018 7.6 8.2 -7.6% B 12,338
AMBA 11/29/2018 10.1 11.0 -7.9% D 4,813
ANF 11/29/2018 14.9 14.7 1.1% C 9,897
FIVE 11/29/2018 8.8 8.0 10.7% B 17,819
HPQ 11/29/2018 4.6 4.2 11.1% B 16,424
PANW 11/29/2018 8.1 7.9 1.7% C 69,944
SPLK 11/29/2018 8.2 8.9 -8.2% D 75,576
VMW 11/29/2018 5.6 4.4 27.6% C 31,806
WDAY 11/29/2018 5.7 5.3 8.7% D 82,796

 

Volatility Standouts

 

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
USAT 62.93% C -1.68% 98.81 1,160
ZAYO 62.76% C -1.37% 98.41 14,479
CARS 61.09% D 0.20% 76.19 4,072
PLT 53.96% C -0.95% 100.00 3,405
ARMK 49.91% C 1.04% 98.81 6,410
GOGO 49.59% D -0.51% 83.33 2,714
COMM 48.71% C -30.94% 90.87 1,949
COL 47.37% A -2.83% 98.81 54,810
SRCL 46.24% D -2.96% 57.54 2,491
FTAI 44.63% B 2.31% 42.46 351
CTXS 44.36% C 0.47% 47.62 10,973
TJX 41.25% A -2.46% 96.43 47,522
CVA 40.63% C -0.43% 62.70 86
UNM 40.53% C -4.26% 82.54 7,167
UNFI 39.82% C -3.82% 93.65 3,172
OZK 39.59% D 0.39% 95.24 3,173
TTGT 39.25% C -2.77% 89.68 170
DF 37.37% C -0.37% 99.60 3,632
IMMU 37.19% C -1.05% 90.08 13,321
DNB 36.94% B -3.35% 25.00 2,347
PLD 36.04% D -1.33% 90.08 1,253
LL 35.21% F -0.15% 52.78 2,024
DOV 35.11% D -1.07% 47.81 10,928
PBYI 34.44% D 1.35% 99.60 6,420

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
ARRS -66.91% D -1.68% 1.19 3,352
ECYT -64.21% D -1.37% 1.98 9,286
FNSR -57.81% F 0.20% 0.79 7,844
SONC -54.29% C -0.95% 12.70 152
LITE -53.85% B 1.04% 95.24 16,435
SAGE -48.26% F -0.51% 92.83 40,766
PVTL -48.11% F -30.94% 50.00 2,013
AKRX -44.05% D -2.83% 58.73 2,304
SGH -38.19% A -2.96% 40.91 493
VRSN -37.95% A 2.31% 99.21 32,556
GDEN -33.55% D 0.47% 75.79 228
ZS -31.16% D -2.46% 60.74 9,369
ESIO -30.95% C -0.43% 3.17 9,667
WES -30.90% B -4.26% 89.29 3,935
SYF -27.85% C -3.82% 81.75 60,804
NKTR -27.44% D 0.39% 46.83 11,766
WELL -25.94% B -2.77% 54.76 18,691
ABMD -25.82% C -0.37% 93.65 68,586
CRUS -25.31% D -1.05% 81.75 8,533
ZUO -25.16% F -3.35% 41.73 2,452
OCLR -25.12% D -1.33% 49.60 281
JELD -24.92% C -0.15% 86.51 172
OLED -24.86% D -1.07% 68.65 91,374
RH -24.16% B 1.35% 79.37 13,830