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Intraday volatility stays elevated as equities look for support

Nov 15, 2018

 

 

Options Market Commentary

Equities have had quite a few large moves today, opening lower, bouncing towards unchanged, then dropping 30 S&P handles before rallying over the last hour into the green. Currently, the S&P is +.1%, the Russell is +.5%, and the Nasdaq is +.55%. Energy is higher with WTI crude +1% and energy stocks in positive territory with XOP +1% and XLE +.76%. Bonds are modestly positive. Gold is little changed. Emerging markets are up 1.6% led by China +1.3% and Brazil +2%. Volatilities are slightly lower with the VIX -.6% to 21.12, RVX -4% to 24.25, and VXN -5% to 27.03.

 

ETF 30D Volatility Changes

SPY:        -2%

IWM:       -3%

QQQ:      -2%

   

 

Directional Options Strategies

Bullish Option Strategies

BMY Buyer 7,193 Nov 57.5 puts (closing) to Sell 76,193 Jan 57.5 puts (rolls write, ref. 51.89)

CTL Buyer 5,000 Apr 24 calls (ref. 18.79)

VIPS Seller 7,000 Jan 8 calls (closing) to Buy 7,000 Feb 8 calls (ref. 5.76)

KR 46,500 Jan20 30 calls bought to close (ref. 30.11)

 

Bearish Option Strategies

GE Buyer 10,000 Jan 8 – 6 put spreads (ref. 8.34)

KHC Buyer 7,000 Dec 62.5 calls (closing) to Sell 7,000 Jan 57.5 calls (rolls write, ref. 51.91)

M Seller 40,000 Nov 33 puts (closing) to Buy 40,000 Dec 30 puts (rolls out, ref. 31.99)

Z Seller 11,800 Nov 23rd 30 calls (ref. 28.07)

AUY Buyer 60,000 Jan 2 puts tied to stock (ref. 2.135)

KBH Buyer 3,500 Apr 17 puts (ref. 17.07)

QCOM Seller 7,500 Jan 60 calls to Buy 7,500 Jan 45 puts (ref. 54.70)

 

 

Macro Options Strategies

Bullish Option Strategies

HYG Buyer 50,000 Dec 81 puts (closing) to Sell 50,000 Feb 80 puts (ref. 83.05)

FXI Buyer 10,000 Dec 43 – 45 call spreads (ref. 40.74)

SPY 14,536 Dec 31st 306 calls trade (ref. 270.31)

 

Bearish Option Strategies

QQQ Buyer 24,850 Dec 144 puts (ref. 165.53)

BKLN Buyer 98,000 Apr 22 – 20 put spreads (ref. 22.93)

SPY Buyer 30,000 Nov 255 – 240 puts spreads (ref. 268.56)

 

 

 

Finance Trades Options Strategies

EWZ 7,500 Dec 14th 38 RevCons trade (ref. 39.39)

 

 

 

Upcoming Earnings

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Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
AMAT 11/15/2018 6.7 4.6 46.6% C 97089
JWN 11/15/2018 8.3 7.2 14.7% C 35071
NVDA 11/15/2018 9.6 7.7 24.6% B 1530390
POST 11/15/2018 5.6 4.0 40.2% B 4940
WSM 11/15/2018 8.1 6.2 30.7% C 26883
COL 11/16/2018 5.5 1.9 193.5% A 47165
HP 11/16/2018 4.5 2.9 55.2% D 4421
VIAB 11/16/2018 6.0 5.6 6.9% D 27686
A 11/19/2018 5.4 3.9 38.2% C 8704
AABA 11/19/2018 1.7 2.1 -18.1% A 224841
INTU 11/19/2018 4.8 3.0 57.8% B 30387
LB 11/19/2018 7.2 6.5 10.5% D 32881
PSTG 11/19/2018 10.7 9.7 10.5% F 2925
URBN 11/19/2018 9.0 6.0 51.8% A 4465
ADI 11/20/2018 3.9 2.6 53.6% B 14374
ADSK 11/20/2018 8.8 9.5 -7.0% D 46962
BBY 11/20/2018 9.3 8.4 10.7% B 82467
BKS 11/20/2018 12.1 7.5 62.8% C 4390
CPB 11/20/2018 6.6 5.9 11.9% C 14721
FL 11/20/2018 13.2 15.3 -13.7% C 8725
GPS 11/20/2018 9.3 7.3 26.2% C 12732
HRL 11/20/2018 4.7 3.5 33.8% C 5335
JEC 11/20/2018 4.8 5.5 -12.4% C 20032
KEYS 11/20/2018 7.1 4.9 44.0% B 6022
KSS 11/20/2018 8.2 5.4 50.3% A 64671
LOW 11/20/2018 6.2 5.3 16.0% C 101610
ROST 11/20/2018 8.1 5.2 55.3% A 30690
TGT 11/20/2018 6.3 5.6 12.2% A 127966
TJX 11/20/2018 6.5 3.5 86.3% A 47019
DE 11/21/2018 6.6 4.9 33.7% C 152583
PLCE 11/21/2018 6.1 6.4 -3.6% C 11613
CBRL 11/27/2018 5.0 3.9 27.9% C 8030
CRM 11/27/2018 6.4 2.3 178.3% C 287512
GME 11/27/2018 12.4 6.4 95.2% D 6582
HPE 11/27/2018 6.4 6.0 6.0% D 7861
NTNX 11/27/2018 12.8 7.8 63.3% D 35080
BOX 11/28/2018 12.8 8.4 52.1% D 6655
BURL 11/28/2018 6.7 4.8 40.6% A 8469
DKS 11/28/2018 10.5 9.9 6.0% C 8687
PVH 11/28/2018 7.1 5.1 38.5% C 15608
SJM 11/28/2018 6.8 5.4 25.1% B 15542
TIF 11/28/2018 7.8 6.0 28.2% C 20417
VEEV 11/28/2018 9.0 8.2 9.1% B 9540
AMBA 11/29/2018 10.3 11.0 -6.4% D 4582
ANF 11/29/2018 15.3 14.7 3.5% C 10717
DLTR 11/29/2018 8.7 8.9 -2.0% C 47712
FIVE 11/29/2018 9.0 8.0 13.2% B 17202
HPQ 11/29/2018 5.2 4.2 26.3% B 15235
PANW 11/29/2018 8.9 7.9 11.8% C 70619
SPLK 11/29/2018 8.9 8.9 -0.5% D 72841
VMW 11/29/2018 7.4 4.4 69.3% C 42087
WDAY 11/29/2018 6.5 5.3 22.1% D 89567
ZUO 11/29/2018 11.8 18.9 -37.9% F 1911
BIG 11/30/2018 8.5 5.4 56.2% D 5454

 

Volatility Standouts

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
RCII 74.91% C 0.17% 19.37 1864
STWD 74.18% C -1.71% 32.02 1149
PCG 67.48% B 4.79% 100.00 81472
PRSP 67.37% F 2.38% 97.30 172
CTXS 60.24% C 0.30% 65.22 9903
PLT 57.00% C -3.82% 100.00 4962
UNM 56.75% C 0.08% 90.51 7942
DOV 55.85% D -1.03% 74.21 10191
SWCH 53.90% C 0.48% 83.79 519
PBYI 53.04% D 2.41% 99.60 6287
SRCL 51.23% D 2.99% 76.68 2515
COMM 49.20% C -0.36% 90.91 1939
IMMU 49.16% C 2.37% 94.07 16121
DF 47.66% C -3.31% 99.21 3426
COL 47.20% A 2.67% 96.05 47165
OZK 46.88% D 1.67% 97.63 1712
PLD 46.10% D 0.14% 92.09 1293
LGIH 46.07% D 0.76% 90.51 3738
OLLI 45.28% C -0.76% 99.21 4386
DK 45.23% D 2.72% 93.68 1686
TJX 44.97% A -0.61% 97.63 47019
NWSA 44.15% F 0.20% 29.25 1260
DDS 42.74% C 0.74% 82.61 16924
CVA 42.52% C -5.29% 68.77 116

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
ECYT -70.38% D 0.17% 1.58 8540
ARRS -66.94% D -1.71% 0.79 3436
FNSR -61.73% F 4.79% 0.79 8646
LITE -55.61% B 2.38% 71.54 17547
PVTL -48.30% F 0.30% 45.07 1891
ESIO -46.77% C -3.82% 2.37 7612
SAGE -44.86% F 0.08% 93.25 45191
SGH -40.66% A -1.03% 50.00 402
VRSN -38.42% A 0.48% 93.68 32150
AKRX -36.43% D 2.41% 47.83 2075
WES -30.98% B 2.99% 88.14 4161
ZS -28.41% D -0.36% 56.97 9807
CRUS -27.68% D 2.37% 75.89 9108
OCLR -26.37% D -3.31% 49.41 312
ABMD -24.88% C 2.67% 96.05 63846
CLDR -22.65% F 1.67% 97.63 5521
NKTR -22.05% D 0.14% 14.23 12473
ZUO -21.92% F 0.76% 47.52 1911
PGR -21.32% A -0.76% 99.21 24873
RH -20.65% B 2.72% 78.66 13490
OLED -20.38% D -0.61% 61.26 75747
VIAV -19.33% D 0.20% 62.45 815
VKTX -19.25% F 0.74% 12.39 6945
RNG -17.72% D -5.29% 90.51 11280