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VIX spikes 12% on weakness in Technology Stocks

Nov 19, 2018

 

Options Market Commentary

Equities are getting hit today as tech weakness continues to drag the overall market lower. Currently, the S&P is -1.7%, the Russell is -1.9%, and the Nasdaq is -2.8% as stocks are currently on lows. Selling is mostly across the board though growth is seeing outsized losses especially in big cap tech with NVDA -7%, AAPL -3.7%, and AMZN -4.3%. Energy is in the red with WTI Crude -.15% and Energy ETFs both down approximately .6%. Bonds are little changed. Gold is unchanged though the miners are up slightly. Volatilities are moving higher on the selloff with the VIX +14% to 20.71, RVX +11% to 24.24, and VXN +13% to 27.58.

 

ETF 30D Volatility Changes

SPY:        +8%

IWM:       +7%

QQQ:      +7%

 

Directional Options Strategies

Bullish Option Strategies

AAPL 6,000 Nov 23rd 195 call options trade (ref. 188.81)

NIO Buyer 2,000 Dec 8 – 10 call options spreads (ref. 7.72)

CIEN Buyer 5,000 Nov 30th 34 call options (ref. 33.14)

JD Seller 40,000 Jan 31 call options (closing) to Buy 36,668 Mar 26 call options (rolls out and down, ref. 21.75)

GE Buyer 30,000 Jan20 10 call options (ref. 8.04)

 

Bearish Option Strategies

AMD Buyer 6,000 Nov 23rd 18 put options (ref. 19.86)

NOW Seller 6,000 Dec 190 call options (ref. 163.67)

MRK Buyer 9,300 Jan 75 call options (closing) to Sell 9,300 Jan 77.5 call options (rolls write, ref. 75.95)

KO Buyer 10,700 Jan 50 call options (closing) to Sell 10,700 52.5 call options (rolls write up, ref. 50.37)

VZ Buyer 11,000 Jan 60 call options (closing) to Sell 11,000 Jan 62.5 call options (rolls write up, ref. 60.71)

PYPL Seller 8,200 Dec 90 call options (opens write, ref. 82.29)

MAT 21,500 Dec 12 and Jan21 10 put options trade (ref. 13.44)

ESV Buyer 10,000 Jun 6 put options (ref. 6.41)

STZ Buyer 29,000 Jan 195 put options tied to stock (ref. 194.71)

 

Macro Options Strategies

Bullish Option Strategies

SPY Buyer 10,000 Dec 280 call options (ref. 271.81)

EEM Buyer 12,000 Dec 43 – 50 call options spreads (ref. 40.52)

 

Bearish Option Strategies

HYG Buyer 10,000 Mar 78 put options (ref. 83.03)

HYG Buyer 20,000 Apr 82 – 77 put options spreads (ref. 83.02)

SPY Buyer 20,300 Dec 31st 253 put options (ref. 271.92)

EWJ Buyer 5,552 Dec 52.5 put options (ref. 54.64)

USO Seller 35,000 Jan 11.5 put options (closing) to Buy 35,000 Jan 11 put options (ref. 11.92)

QQQ Seller 30,000 Dec 138 put options (closing) to Buy 30,000 Jan 131 put options (ref. 162.69)

 

 

 

Finance Trades Options Strategies

HYG 20,000 Dec 7th 90 RevCons trade (ref. 82.96)

 

 

 

Upcoming Earnings

 

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
A 11/19/2018 4.6 3.9 16.2% C 9,855
INTU 11/19/2018 3.1 2.9 6.8% B 34,815
JACK 11/19/2018 7.1 5.8 22.0% D 7,211
LB 11/19/2018 7.3 6.7 8.4% D 32,571
PSTG 11/19/2018 11.7 9.7 21.5% F 3,424
URBN 11/19/2018 9.4 6.0 57.5% A 8,986
ADI 11/20/2018 3.5 2.6 36.9% B 13,492
ADSK 11/20/2018 8.5 9.8 -13.0% D 43,845
BBY 11/20/2018 9.0 8.4 8.2% B 85,747
BKS 11/20/2018 12.7 7.5 71.0% C 4,424
CPB 11/20/2018 5.5 5.9 -6.2% C 15,633
FL 11/20/2018 12.7 15.7 -19.5% C 10,403
GPS 11/20/2018 8.9 7.5 19.3% C 14,536
HRL 11/20/2018 4.3 3.5 23.5% C 5,614
JEC 11/20/2018 3.6 5.5 -34.7% C 18,185
KEYS 11/20/2018 6.9 5.0 39.4% B 5,737
KSS 11/20/2018 8.6 5.4 58.7% A 72,576
LOW 11/20/2018 6.2 5.5 13.6% C 117,503
ROST 11/20/2018 7.4 5.2 42.1% A 33,317
TGT 11/20/2018 5.5 5.6 -0.4% A 135,404
TJX 11/20/2018 6.2 3.5 75.7% A 49,833
COL 11/21/2018 6.1 1.9 226.3% A 52,221
DE 11/21/2018 5.9 4.9 19.9% C 130,693
CBRL 11/27/2018 4.8 3.9 22.2% C 8,296
CRM 11/27/2018 6.7 2.1 210.7% C 290,306
GME 11/27/2018 10.8 6.4 69.6% D 7,977
NTNX 11/27/2018 12.5 7.8 60.0% D 33,236
BOX 11/28/2018 11.8 8.4 39.8% D 6,159
BURL 11/28/2018 6.3 4.8 32.5% A 19,010
DKS 11/28/2018 9.6 10.1 -4.4% C 18,960
PLCE 11/28/2018 5.6 6.4 -12.5% C 15,218
SJM 11/28/2018 5.9 5.4 8.5% B 14,126
TIF 11/28/2018 7.4 6.0 22.8% C 30,727
VEEV 11/28/2018 7.9 8.2 -4.4% B 10,241
AMBA 11/29/2018 10.1 11.0 -7.7% D 3,735
ANF 11/29/2018 13.5 14.7 -8.1% C 10,756
AVAV 11/29/2018 11.1 12.9 -14.3% F 4,236
DLTR 11/29/2018 8.4 8.9 -5.0% C 49,132
FIVE 11/29/2018 9.3 8.0 16.7% B 14,534
HPQ 11/29/2018 4.4 4.2 6.8% B 14,821
PANW 11/29/2018 8.6 7.9 8.0% C 65,524
PVH 11/29/2018 6.5 5.1 27.7% C 17,077
SPLK 11/29/2018 8.6 9.1 -5.7% D 69,864
VMW 11/29/2018 6.5 4.4 48.5% C 51,629
WDAY 11/29/2018 6.2 5.2 20.8% D 64,637
BIG 11/30/2018 8.0 5.4 46.9% D 5,134

 

Volatility Standouts

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
PEG 74.39% C 0.00% 65.61 1,872
SNV 73.00% C 1.07% 94.47 1,295
SERV 70.81% C -1.48% 65.08 2,865
FBHS 68.96% B -1.46% 97.23 1,254
CTB 68.87% F 0.15% 58.50 592
RCII 6.54E-01 C -3.31% 15.02 1,828
BERY 64.46% C -0.64% 96.05 12,600
YEXT 62.53% C 3.17% 92.49 444
RRGB 61.30% D 0.48% 59.68 1,506
DF 60.75% C -2.78% 99.21 2,392
CFX 59.02% C -1.45% 90.12 1,347
UNM 57.69% C -2.22% 99.60 9,266
TGI 56.17% F -0.30% 88.14 441
TTGT 55.22% C 2.58% 87.35 165
PLT 54.16% C 0.00% 99.21 5,659
MAN 51.88% C 2.87% 83.00 743
AJRD 51.69% C 0.00% 40.71 4,973
VOYA 50.92% C 4.85% 93.28 1,600
BC 48.88% C -0.80% 81.03 298
BAH 47.69% B -2.46% 44.66 697
ATSG 45.32% B -1.97% 71.15 212
SRCL 44.60% D 3.53% 73.91 2,242
COL 44.36% A 3.28% 94.07 52,221
ETR 43.87% D 0.00% 42.29 14,024

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
ARRS -63.02% D 0.00% 2.37 3,773
FNSR -62.13% F 1.07% 0.40 9,160
LITE -54.45% B -1.48% 60.08 16,177
OZK -51.96% D -1.46% 96.84 970
PVTL -4.29E-01 F 0.15% 40.97 1,758
ESIO -33.76% C -3.31% 3.16 3,253
PCG -30.91% B -0.64% 99.60 112,671
EIX -30.89% D 3.17% 99.60 29,884
OCLR -29.86% D 0.48% 50.99 329
CRUS -29.31% D -2.78% 67.59 6,742
ABMD -28.58% C -1.45% 92.09 58,814
WES -26.48% B -2.22% 85.38 3,987
VRSN -26.07% A -0.30% 89.33 13,622
HRS -25.54% A 2.58% 90.51 4,766
PGR -25.54% A 0.00% 97.63 24,873
ZS -23.94% D 2.87% 65.87 9,594
NKTR -22.71% D 0.00% 9.88 12,610
SAGE -22.29% F 4.85% 94.05 42,133
ANTM -21.78% B -0.80% 67.19 43,898
FLR -21.19% D -2.46% 83.79 10,827
SRE -20.51% A -1.97% 74.70 36,275
KBH -20.42% C 3.53% 99.21 15,066
SYMC -19.93% C 3.28% 83.79 36,153
SWCH -19.86% C 0.00% 43.87 633