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Markets swing over trade rhetoric, Volatility remains bid

Nov 16, 2018

 

 

ETF 30D IV 30D IV
Percentile
90D IV 90D IV
Percentile
90D/30D IV 90D/30D IV
Percentile
30D IV-
20D HV
30D IV-20D HV
Percentile
90D IV-
60D HV
90D IV-60D HV
Percentile
SPY 17.63 92.86% 16.79 92.46% 0.95 7.34% -2.57 23.41% 0.76 38.89%
QQQ 24.14 90.48% 22.29 93.65% 0.92 15.28% -8.16 12.7% -2.42 25.79%
IWM 20.93 92.66% 19.53 92.86% 0.93 8.93% -3.01 16.27% 1.2 35.71%
FEZ 19.98 94.05% 16.33 76.59% 0.82 2.18% 2.1 67.66% 0.08 48.02%
EEM 24.61 95.24% 22.74 95.63% 0.92 5.95% -3.22 17.26% -1.26 32.14%

 

Highlights from the past week

  • A December Fed hike felt like a foregone conclusion not too long ago – that no longer seems to be the case. After following AAPL lower early in the week on speculation over slowing iPhone demand, markets rallied Thursday thanks to optimism over trade. The S&P now sits slightly above 274.00 while the VIX Index is trading ~ 19.  From a macro perspective, here are some of this week’s largest and most interesting trades:

Bullish: SPY Buyer 77,000 Dec 31st 290 – 300 call options spreads (ref. 272.25)

Bullish: USO Buyer 117,000 Jan 19 call options (ref. 12.05)

Bullish: FXI Buyer 16,000 Nov 30th 42.5 call options to Sell 24,000  Nov 30th 44 call options (ref. 41.60)

Bearish: EEM 110,000 Dec 30 put options trade (ref. 40.94)

Bearish: XOP Seller 30,000 Feb 30 put options (closing) to Buy 40,000 Jan 30 – 27 – 24 put options flies (ref. 34.28)

 

  • One of the most actively traded ETFs this week was HYG – the High Yield Corporate Bond ETF has returned 47 basis points YTD and has struggled in a rising rate environment. Questions surrounding peak earnings has sparked worries over credit which has led to widening spreads – is the selling pressure warranted or is this an opportunity to find value?

Bullish: Buyer 50,000 Dec 81 put options (closing) to Sell 50,000 Feb 80 puts (rolls write, ref. 83.05)

Bullish: Buyer 63,000 Dec 85 call options (ref. 83.08)

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

Bearish: Buyer 50,000 Dec 80 – 80 1x2 put options spreads (ref. 83.07)

 

  • In single name action, we saw a significant earnings bet this week on one of America’s most iconic retailer, Macy’s. the stock is down 10% on the week despite beating quarterly earnings estimates. One trader opened 40,000 November 33 puts prior to the report and closed them the next day for a $3 million dollar profit. Not a bad day at the office. Other significant single name trades include:

Bullish: KR Buyer 46,500 Jan20 30 call options (ref. 30.11)

Bearish: GE Buyer 30,000 Jan21 5 put options (ref. 8.15)