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Equities find bottom but VIX still above 20 going into the holiday

Nov 21, 2018

 

Options Market Commentary

Equities are bouncing off the recent selloff today led by technology and energy shares. Currently, the S&P is +.9%, the Nasdaq is +1.3%, and the Russell is +2.2%. Bonds are modestly lower. Gold is slightly higher with GLD +.25% though miners are moving even higher with GDX +2.4%. WTI crude is rallying 4.5% on short covering after the recent sell-off and on hopes of a production cut. Energy stocks are rallying with XOP +3.8% and XLE +2.5%. Volatilities are lower across the board with the VIX -7.5% to 20.79, RVX -7.4% to 23.39, and VXN -6% to 27.02.

 

ETF 30D Volatility Changes

SPY:       -7%

IWM:     -7%

QQQ:     -5%

 

Directional Options Strategies

Bullish Option Strategies

JD Buyer 30,000 Jan 24 call options tied to stock (third day of call options buying, ref. 19.98)

SNAP Buyer 10,000 Jul 8 call options (ref. 6.34)

KSS Buyer 2,300 Dec 68 call options to Sell 4,600 Dec 72 call options (ref. 65.52)

PCG Buyer 2,000 Mar 28 – 33 call options spreads (ref. 24.20)

HIG Buyer 7,100 Dec 46 call options (ref. 44.74)

Bearish Option Strategies

JNJ Buyer 5,600 Nov 23rd 145 put options (closing, ref. 143.17)

CRM Seller 4,800 Jan 140 put options to Buy 4,800 Feb 120 put options (likely rolls out and down, ref. 122.78)

AMD Buyer 12,500 Nov 23rd 19 put options trade (ref. 19.24)

 

Macro Options Strategies

Bullish Option Strategies

FXI Buyer 10,000 Jan 42 – 46 call options spreads (ref. 41.12)

IWM Seller 9,000 Dec 31st 143 – 121 put options spreads (ref. 148.94)

XOP Seller 30,000 Jan 34 put options (ref. 33.80)

Bearish Option Strategies

FXI Seller 25,000 Dec 7th 42 – 44 call options spreads (closing, ref. 41.00)

QQQ Buyer 11,500 Feb 150 put options to Sell 23,000 Feb 130 put options (ref. 160.94)

HYG 7,000 Mar 78 – 72 put options spreads trade (ref. 83.25)

 

 

 

Finance Trades Options Strategies

HYG 10,000 Dec 7th 90 RevCons trade (ref. 83.33)

 

 

 

Upcoming Earnings

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
CBRL 11/27/2018 5.7 3.9 44.2% C 11980
CRM 11/27/2018 6.6 2.1 206.4% C 399258
NTNX 11/27/2018 14.6 7.8 86.1% D 36154
BOX 11/28/2018 14.8 8.4 75.7% D 7697
BURL 11/28/2018 6.8 4.8 42.0% A 20772
DKS 11/28/2018 9.5 10.1 -6.3% C 21389
PLCE 11/28/2018 6.4 6.4 0.5% C 11089
SJM 11/28/2018 6.8 5.4 25.2% B 15855
TIF 11/28/2018 7.6 6.0 25.0% C 31202
VEEV 11/28/2018 7.8 8.2 -5.4% B 12137
AMBA 11/29/2018 10.9 11.0 -1.0% D 4293
ANF 11/29/2018 12.7 14.7 -13.2% C 11056
AVAV 11/29/2018 12.9 12.9 -0.4% F 4641
DLTR 11/29/2018 8.3 8.9 -7.0% C 52331
GME 11/29/2018 9.6 6.4 51.2% D 7978
HPQ 11/29/2018 5.0 4.2 21.6% B 19919
PANW 11/29/2018 8.6 7.9 8.2% C 67877
PVH 11/29/2018 7.1 5.1 38.4% C 12711
SPLK 11/29/2018 9.8 9.1 7.6% D 49581
VMW 11/29/2018 6.4 4.4 45.7% C 54928
WDAY 11/29/2018 6.7 5.2 29.4% D 74622
ZUO 11/29/2018 9.7 18.9 -48.7% F 3464
BIG 11/30/2018 8.1 5.4 49.8% D 5760
COUP 12/3/2018 4.9 6.2 -21.1% F 7506
AZO 12/4/2018 5.6 5.0 12.2% A 108837
DG 12/4/2018 6.5 5.3 21.5% A 43421
GIII 12/4/2018 14.5 10.7 34.9% D 6909
HPE 12/4/2018 6.9 6.0 15.0% D 6438
MDB 12/4/2018 9.1 6.7 35.0% F 34990
OLLI 12/4/2018 7.5 2.7 180.7% C 6876
PLAY 12/4/2018 9.9 7.2 38.2% D 3961
RH 12/4/2018 14.9 20.9 -28.9% B 16399
TOL 12/4/2018 5.7 7.0 -19.2% B 6033
ZS 12/4/2018 13.0 11.1 17.2% D 12605
AEO 12/5/2018 10.0 7.4 35.0% B 3546
CLDR 12/5/2018 15.6 17.9 -12.8% F 7140
FIVE 12/5/2018 9.5 8.0 18.6% B 15462
HRB 12/5/2018 8.5 9.7 -11.8% B 3211
LULU 12/5/2018 10.9 12.0 -8.7% A 97217
OKTA 12/5/2018 15.7 10.4 50.4% F 39310
AVGO 12/6/2018 5.3 4.3 24.2% A 245531
DOCU 12/6/2018 9.4 6.7 40.4% C 16689
FIZZ 12/6/2018 4.5 5.7 -20.8% C 4300
KR 12/6/2018 7.2 8.5 -15.5% D 101042
THO 12/6/2018 12.6 7.4 69.8% D 8338
ULTA 12/6/2018 7.1 5.5 29.5% B 140131
MTN 12/7/2018 4.0 3.7 9.6% C 5988

 

Volatility Standouts

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
PLT 6.93E-01 C -4.02% 100.00 8257
TTS 69.26% D -1.45% 6.32 112
BERY 65.82% C -6.57% 93.28 23007
DF 65.54% C -4.13% 99.60 2300
UNM 58.42% C 1.79% 99.60 9698
CARS 55.34% D -3.79% 74.31 3542
SRCL 52.53% D -4.89% 84.19 2232
CTXS 51.19% C -2.41% 81.03 9107
STWD 51.12% C -3.30% 72.33 1454
TRCO 47.77% C -0.94% 26.88 1696
COMM 47.40% C -0.36% 95.26 2989
PPC 46.88% D -3.28% 56.92 2190
AXTA 46.48% D -1.92% 65.22 2705
UNFI 45.54% C -8.77% 94.47 1869
HAIN 44.89% D -9.54% 50.59 6197
EVRI 44.36% B -4.19% 54.15 474
PLAY 44.30% D -0.75% 98.81 3961
COL 43.91% A -4.54% 95.65 44083
MD 43.65% C -2.05% 19.76 958
VER 42.61% C -2.80% 59.29 283
FTAI 42.27% B -0.91% 60.87 350
WH 42.11% F -2.82% 66.96 3130
PTLA 41.35% F -25.07% 75.49 3641
PBYI 40.97% D -2.14% 95.26 1823

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
FNSR -6.26E-01 F -4.02% 1.98 9994
ATHN -55.63% C -1.45% 0.79 58094
LITE -54.35% B -6.57% 82.61 17504
ARRS -52.73% D -4.13% 1.19 4192
OZK -51.90% D 1.79% 99.21 1322
PCG -47.75% B -3.79% 98.02 119565
PVTL -42.04% F -4.89% 62.33 1687
EIX -40.77% D -2.41% 98.02 32781
CFX -34.21% C -3.30% 99.21 2497
OCLR -3.23E-01 D -0.94% 47.04 322
CRUS -28.52% D -0.36% 83.40 4290
ABMD -28.11% C -3.28% 95.65 61503
ACHC -24.20% C -1.92% 92.49 25524
ZS -23.35% D -8.77% 93.49 12605
KBH -21.95% C -9.54% 99.21 13787
ZUO -21.61% F -4.19% 73.79 3464
ERI -21.31% C -0.75% 92.49 7151
VRSN -21.30% A -4.54% 96.84 9897
HUBS -20.97% D -2.05% 94.86 13621
PGR -20.43% A -2.80% 98.81 36675
HRS -19.85% A -0.91% 93.68 5450
SWCH -18.53% C -2.82% 81.03 621
OLED -18.33% D -25.07% 71.94 31777
FLR -17.22% D -2.14% 95.65 9155