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VIX up 9.3% as equities continue to roll over

Nov 14, 2018

 

 

Options Market Commentary

Equities started the day in the green, but technology quickly reversed on AAPL weakness and stocks spent most of the morning in decline with the S&P dropping 35 handles off highs. Currently, the S&P is -.48%, the Russell is -.29%, and the Nasdaq is -.66% with AAPL -2.8% and NFLX -3%. Bonds are little changed. Utilities are weak on PCG getting hard hit on the California fire situation. Crude oil is bouncing on hopes for an OPEC production cut with WTI +1.7%. Energy stocks are following the market lower with XOP -.78% and XLE -.34%. Volatilities are higher with the VIX +6% to 21.31, RVX +1% to 24.75, and VXN +3.5% to 28.65.

 

ETF 30D Volatility Changes

SPY:        -4%

IWM:       -3%

QQQ:      -2%

 

Directional Options Strategies

Bullish Option Strategies

CSCO Seller 9,000 Nov 48 call options (closing) to Buy 9,000 Dec 7th 48 call options (ref. 45.19)

MOS Buyer 3,500 Nov 30th 39.5 call options (ref. 35.37)

PEGI Seller 10,0000 Mar 15 put options (ref. 19.93)

ON Buyer 20,000 Jan 70 call options (tied to 17.45)

 

 

Bearish Option Strategies

BAC 20,000 Nov – Dec 29 put options spreads trade (ref. 27.97)

AMRN Buyer 5,300 Dec 16 put options (ref. 14.67)

AR Seller 4,000 Jan 15 put options (closing) to Buy 4,000 Jan 14 put options (rolls down, ref. 14.50)

SGMS Seller 5,337 Dec 14th 53 put options trade (ref. 54.46)

KBR Buyer 3,600 Dec 19 put options (ref. 19.26)

RIG Buyer 10,000 May 9 put options (ref. 9.49)

 

 

Macro Options Strategies

Bullish Option Strategies

XLE Buyer 17,500 Nov 30th 69 -72 call options spreads (ref. 66.40)

HYG Buyer 6,000 Mar 84 call options (ref. 83.88)

VXX Buyer 17,000 Nov 35 – 34 1x2 put options spreads (ref. 37.19)

XOP Seller 10,000 Jan20 34 put options (ref. 34.60)

GLD Buyer 5,000 Nov 23rd 115 call options (ref. 113.80)

 

Bearish Option Strategies

QQQ Buyer 9,900 Nov 23rd 160 put options (ref. 167.48)

QQQ Buyer 5,262 Dec 7th 135 put options (ref. 166.18)

XBI Seller 7,500 Nov 86 – 77 put options spreads (closing) to Buy 7,500 Dec 76 – 68 put options spreads (ref. 76.87)

EWJ 5,337 Dec 14th 53 put options trade (ref. 54.46)

HYG Buyer 41,785 Jan 83 put options (ref. 83.50)

VNQ Buyer 30,000 Dec 79 – 76 1x2 put options spreads (ref. 80.71)

 

 

 

 

Finance Trades Options Strategies

FB 4,600 Nov – Jan 155 Jelly Rolls trade (ref. 143.15)

MU 23,000 Nov – Jan 43 Jelly Rolls trade (ref. 38.58)

CELG 8,000 Nov – Jan 75 Jelly Rolls trade (ref. 70.26)

BABA 10,000 Nov – Jan 150 Jelly Rolls trade (ref. 149.42)

HYG 30,000 Dec 7th 90 RevCons trade (ref. 83.59)

 

 

 

Upcoming Earnings

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Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
CSCO 11/14/2018 5.4 4.2 29.8% C 207,907
NBEV 11/14/2018 11.9 3.6 231.8% F 4,469
NTAP 11/14/2018 8.8 6.0 46.2% C 20,824
AMAT 11/15/2018 6.2 4.6 34.0% C 95,810
BERY 11/15/2018 8.0 3.9 106.5% C 7,527
JWN 11/15/2018 8.9 7.2 23.0% C 33,688
NVDA 11/15/2018 9.4 7.7 21.4% B 1,650,864
POST 11/15/2018 5.4 4.0 34.6% B 4,083
WMT 11/15/2018 4.6 5.7 -20.0% B 402,817
WSM 11/15/2018 8.2 6.2 31.8% C 13,839
COL 11/16/2018 6.2 1.9 229.5% A 52,977
DDS 11/16/2018 10.7 8.8 20.9% C 16,755
HP 11/16/2018 4.6 2.9 57.0% D 4,319
VIAB 11/16/2018 6.0 5.6 8.3% D 27,759
A 11/19/2018 5.6 3.9 46.2% C 6,964
AABA 11/19/2018 2.5 2.1 23.0% A 227,479
INTU 11/19/2018 4.9 3.0 63.2% B 34,664
LB 11/19/2018 7.5 6.5 15.0% D 35,673
PSTG 11/19/2018 12.6 9.7 30.4% F 3,111
URBN 11/19/2018 9.4 6.3 49.5% A 6,120
ADI 11/20/2018 4.0 2.6 55.6% B 15,742
ADSK 11/20/2018 8.4 9.5 -11.3% D 48,917
BBY 11/20/2018 9.8 8.4 17.2% B 81,925
CPB 11/20/2018 6.2 5.9 6.7% C 17,158
DLTR 11/20/2018 8.6 8.9 -2.7% C 47,116
FL 11/20/2018 13.7 15.3 -10.4% C 7,789
GPS 11/20/2018 9.1 7.3 24.0% C 13,987
HRL 11/20/2018 4.7 3.5 33.5% C 5,664
JEC 11/20/2018 5.4 5.5 -1.7% C 19,292
KEYS 11/20/2018 6.9 4.9 39.5% B 6,694
KSS 11/20/2018 8.5 5.4 55.8% A 62,106
LOW 11/20/2018 6.0 5.3 11.5% C 104,583
ROST 11/20/2018 8.5 5.2 62.1% A 29,254
TGT 11/20/2018 6.1 5.6 9.2% A 131,183
TJX 11/20/2018 6.4 3.5 85.0% A 47,225
DE 11/21/2018 5.8 4.9 17.8% C 158,586
PLCE 11/21/2018 6.7 6.4 4.6% C 12,278
BURL 11/23/2018 6.6 4.8 38.6% A 8,454
CBRL 11/27/2018 5.2 3.9 31.0% C 8,592
CRM 11/27/2018 6.0 2.3 156.9% C 296,333
GME 11/27/2018 11.9 6.4 86.2% D 5,583
HPE 11/27/2018 7.0 6.0 16.2% D 7,767
NTNX 11/27/2018 13.7 7.8 74.7% D 40,412
BOX 11/28/2018 12.9 8.4 52.9% D 6,213
DKS 11/28/2018 10.6 9.9 7.0% C 7,546
PVH 11/28/2018 7.0 5.1 36.2% C 15,472
SJM 11/28/2018 7.2 5.4 32.8% B 15,704
TIF 11/28/2018 7.6 6.0 26.2% C 22,553
VEEV 11/28/2018 9.1 8.2 10.2% B 11,573
AMBA 11/29/2018 10.2 11.0 -7.5% D 4,349
ANF 11/29/2018 15.5 14.7 5.2% C 10,392
FIVE 11/29/2018 9.2 8.0 15.4% B 19,191
HPQ 11/29/2018 5.1 4.2 23.0% B 16,563
PANW 11/29/2018 7.7 7.9 -2.6% C 70,763
SPLK 11/29/2018 9.0 8.9 0.8% D 73,886
VMW 11/29/2018 6.8 4.4 55.6% C 40,287
WDAY 11/29/2018 6.2 5.3 17.0% D 81,490
BIG 11/30/2018 6.9 5.4 28.0% D 3,295

 

Volatility Standouts

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
ATUS 74.31% F 0.74% 28.85 1,646
BG 71.47% A 0.28% 45.45 24,318
COL 70.38% A -10.43% 98.02 52,977
DOV 68.47% D -3.20% 47.62 9,714
IMMU 67.57% C 3.37% 91.30 14,221
CFR 66.80% B -0.87% 88.14 706
UNM 66.65% C -3.08% 85.38 7,742
TTS 66.55% D 1.82% 15.42 149
PLD 66.29% D -0.66% 90.12 1,379
SWCH 65.00% C 1.41% 99.21 322
DF 64.52% C -1.62% 99.60 3,554
CVA 62.83% C 0.64% 37.94 112
SRCL 61.64% D -1.62% 70.36 2,511
TTGT 61.10% C -3.06% 86.96 171
UNIT 60.21% C -4.17% 55.34 5,634
DK 59.56% D -5.91% 88.93 1,868
OZK 59.50% D -1.34% 96.44 2,289
CALM 58.44% F -0.79% 83.79 2,083
CFG 58.38% C -1.48% 73.91 1,348
VUZI 58.27% D 2.44% 40.32 273
AN 58.12% C -0.34% 71.15 990
GWW 57.83% B 1.94% 10.67 20,707
OLLI 57.38% C -1.40% 98.02 5,002
SFM 56.75% C 0.00% 11.07 6,143

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
ARRS -60.36% D 0.74% 0.00 3,351
FNSR -54.49% F 0.28% 0.40 8,205
LITE -52.58% B -10.43% 76.68 18,510
PVTL -47.07% F -3.20% 45.39 2,038
SAGE -43.02% F 3.37% 92.86 46,082
VRSN -34.34% A -0.87% 96.44 33,322
SGH -34.16% A -3.08% 48.65 487
ESIO -33.16% C 1.82% 3.16 7,792
ZS -29.76% D -0.66% 50.61 9,947
AKRX -28.81% D 1.41% 47.83 2,147
WES -25.19% B -1.62% 89.72 4,127
CLDR -22.78% F 0.64% 97.23 3,558
ZUO -20.75% F -1.62% 44.29 2,538
ABMD -20.17% C -3.06% 88.14 67,137
CRUS -19.71% D -4.17% 78.26 9,143
RH -19.64% B -5.91% 73.91 13,389
OLED -19.46% D -1.34% 64.03 87,259
SYF -16.98% C -0.79% 76.28 64,384
ANTM -15.69% B -1.48% 69.96 55,487
WELL -15.38% B 2.44% 59.68 15,482
NRZ -14.81% D -0.34% 54.55 2,928
IRM -12.90% B 1.94% 64.03 2,785
RNG -12.44% D -1.40% 90.91 11,362
OCLR -12.43% D 0.00% 48.62 306