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VIX spikes 15% as equities continue to experience extreme intraday volatility

Nov 20, 2018

 

Options Market Commentary

Equities are again in the red though stocks are well off the lows as tech names seem to have flushed for now and rallied strongly to bring some up on the day. This seemed to follow positive comments from Citron Research on NVDA which sent the stock north from 134 to above 150. Currently, the S&P is -1.2%, the Russell is -1%, and the Nasdaq is -.9%. Bonds are again little changed. Gold is unchanged as well. Energy is getting hit today with WTI crude -4.8%. Energy stocks are lower as well with XOP -3.9% and XLE -2.6%. Volatilities are higher with the VIX +13% to 22.69, RVX +9% to 25.04, and VXN +4% to 28.49.

 

ETF 30D Volatility Changes

SPY:        +9%

IWM:       +7%

QQQ:      +4%

 

Directional Options Strategies

Bullish Option Strategies

X Buyer 5,500 Dec 24.5 calls (ref. 26.08)

JD 20,100 Jan 38 and Jun 29 calls trade (ref. 19.80)

CVE Buyer 5,000 Jan 8 – 10 call spreads (ref. 7.64)

FGEN Buyer 5,000 Jun 55 calls tied to stock (ref. 39.20)

GE Buyer 15,000 Jun 12 calls tied to stock (ref. 7.73)

AMAT 10,800 Dec 36 and 38 calls trade (ref. 36.27)

 

Bearish Option Strategies

T Buyer 6,000 Feb 30 puts (ref. 29.93)

BAC Buyer 5,000 Dec 22 puts (ref. 27.12)

BBY Buyer 7,100 Jan 65 puts (ref. 63.77)

CZR 8,200 Dec 9 and Jan 7 puts trade (ref. 7.81)

BAC Seller 10,000 Jan20 30 calls to Buy 10,000 Jan 20 25 puts (ref. 27.50)

 

Macro Options Strategies

Bullish Option Strategies

FXI Buyer 20,000 Dec 14th 42 – 45 call spreads (ref. 40.17)

FXI 11,000 Dec 43 – 45 – 47 call flies trade (ref. 40.32)

SPY 11,000 Dec 5th 277 – 282 – 287 call flies trade (ref. 264.99)

EEM 20,000 Mar 46 – 47 call spreads trade (ref. 39.51)

 

Bearish Option Strategies

IYT Buyer 3,000 Dec 185 – 175 put spreads (ref. 186.03)

XOP Buyer 15,000 Mar 35 puts (ref. 32.91)

EEM Buyer 10,000 Dec 37 – 33 1x2 put spreads (ref. 39.74)

IYR 10,000 Dec 77.5 – 75 put spreads trade (ref. 80.11)

 

 

 

Finance Trades Options Strategies

IYR 14,000 Dec 14th 81 RevCons trade (ref. 80.29)

SPY 15,000 Dec 14th 265 RevCons trade (ref. 265.21)

 

 

Upcoming Earnings

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
ADSK 11/20/2018 9.1 9.8 -7.6% D 51,320
BJ 11/20/2018 8.0 0.9 808.3% F 3,808
FL 11/20/2018 13.2 15.7 -15.8% C 18,909
GPS 11/20/2018 9.3 7.5 24.5% C 23,483
KEYS 11/20/2018 8.0 5.0 61.0% B 5,031
DE 11/21/2018 6.5 4.9 32.3% C 127,948
CBRL 11/27/2018 5.3 3.9 34.5% C 11,501
CRM 11/27/2018 8.0 2.1 271.9% C 354,327
GME 11/27/2018 11.2 6.4 75.7% D 7,793
NTNX 11/27/2018 14.6 7.8 86.1% D 39,557
BOX 11/28/2018 14.2 8.4 68.8% D 6,558
BURL 11/28/2018 6.9 4.8 45.1% A 20,165
DKS 11/28/2018 9.6 10.1 -4.4% C 20,094
PLCE 11/28/2018 6.5 6.4 2.1% C 9,859
SJM 11/28/2018 6.8 5.4 25.6% B 14,170
TIF 11/28/2018 8.1 6.0 34.2% C 30,864
VEEV 11/28/2018 7.9 8.2 -4.4% B 10,675
AMBA 11/29/2018 11.0 11.0 0.4% D 3,801
ANF 11/29/2018 12.7 14.7 -13.8% C 10,832
AVAV 11/29/2018 13.8 12.9 6.4% F 4,282
DLTR 11/29/2018 8.4 8.9 -4.9% C 51,679
HPQ 11/29/2018 5.4 4.2 30.3% B 15,862
PANW 11/29/2018 8.5 7.9 7.1% C 65,959
PVH 11/29/2018 7.4 5.1 44.5% C 10,288
SPLK 11/29/2018 9.9 9.1 8.2% D 77,346
VMW 11/29/2018 7.2 4.4 64.8% C 54,016
WDAY 11/29/2018 7.2 5.2 40.0% D 67,960
BIG 11/30/2018 8.8 5.4 62.1% D 5,713
COUP 12/3/2018 3.1 6.2 -50.7% F 7,270
AZO 12/4/2018 5.8 5.0 15.9% A 109,878
DG 12/4/2018 6.8 5.3 27.6% A 39,952
GIII 12/4/2018 13.5 10.7 26.0% D 6,653
HPE 12/4/2018 7.0 6.0 15.9% D 7,878
HQY 12/4/2018 2.3 5.4 -57.0% D 4,942
OLLI 12/4/2018 7.3 2.7 172.1% C 5,273
PLAY 12/4/2018 10.8 7.2 49.8% D 3,737
RH 12/4/2018 14.6 20.9 -30.4% B 15,547
TOL 12/4/2018 5.9 7.0 -15.8% B 5,501
ZS 12/4/2018 12.5 11.1 12.6% D 14,981
AEO 12/5/2018 10.1 7.4 36.7% B 3,067
CLDR 12/5/2018 13.8 17.9 -23.1% F 6,027
FIVE 12/5/2018 10.0 8.0 24.9% B 14,680
HRB 12/5/2018 8.1 9.7 -16.6% B 3,396
LULU 12/5/2018 11.1 12.0 -6.8% A 87,545
OKTA 12/5/2018 8.7 10.4 -16.7% F 26,383

 

Volatility Standouts

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
BERY 69.92% C -9.65% 93.25 14,047
ESIO 68.89% C 3.38% 5.56 3,215
WCN 68.83% C 3.94% 78.97 64
DNB 67.09% B 3.16% 19.05 2,266
TRCO 65.25% C 16.21% 9.13 1,698
DF 65.16% C -0.50% 100.00 2,365
PLT 61.59% C 1.07% 99.60 8,149
COMM 56.99% C 4.37% 92.86 3,475
SRCL 54.68% D 9.73% 75.40 2,317
UNM 53.12% C 3.90% 98.41 9,617
CARS 52.13% D 6.39% 71.83 5,131
MD 48.97% C -0.65% 3.97 950
CVA 48.87% C 7.73% 39.29 202
CTXS 48.41% C 1.64% 65.87 8,177
FTAI 48.07% B -7.53% 51.59 350
TCS 47.96% C 4.27% 51.59 76
MTG 47.85% C 19.81% 83.73 931
PLAY 47.76% D 2.83% 97.62 3,737
TTGT 46.40% C 4.93% 80.16 186
SPPI 45.20% F 3.54% 77.78 524
EVRI 45.08% B 6.54% 27.38 601
BKS 44.62% C 2.00% 98.02 4,727
HAIN 44.36% D 3.99% 37.30 6,610
UNFI 44.09% C 4.01% 90.87 1,837

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
ATHN -74.38% C -9.65% 1.98 57,676
ARRS -63.83% D 3.38% 2.38 3,903
FNSR -61.88% F 3.94% 2.38 9,287
LITE -54.38% B 3.16% 77.38 17,396
OZK -48.72% D 16.21% 98.41 980
PVTL -40.87% F -0.50% 48.28 1,616
PCG -39.93% B 1.07% 99.21 114,466
EIX -35.75% D 4.37% 98.41 31,537
OCLR -32.83% D 9.73% 47.22 340
ABMD -30.59% C 3.90% 93.25 59,380
WES -30.14% B 6.39% 82.54 4,757
CRUS -26.34% D -0.65% 77.38 4,374
CFX -24.39% C 7.73% 99.60 2,147
ZS -24.25% D 1.64% 81.55 14,981
RNG -23.60% D -7.53% 96.83 9,134
ZUO -22.34% F 4.27% 70.83 2,782
ACHC -21.83% C 19.81% 94.44 30,096
HUBS -21.11% D 2.83% 88.49 14,245
VRSN -20.83% A 4.93% 94.84 12,890
HRS -20.25% A 3.54% 87.30 5,443
PGR -19.26% A 6.54% 97.62 35,634
KBH -18.92% C 2.00% 98.81 15,677
OLED -16.99% D 3.99% 63.89 34,758
NOW -16.89% D 4.01% 100.00 92,272