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VIX hovers around 20 as the equity rally starts to fade

Nov 26, 2018

 

Options Market Commentary

Equities are in rally mode thanks to strong holiday shopping figures. Currently, the S&P is +1.14%, the Nasdaq is +1.46%, and the Russell +1.03%. Bonds are weaker and Gold is a bit softer with GLD -.13% though miners (GDX) are outperforming +.34%. WTI crude is bouncing off its recent lows and energy stocks are responding positively with XOP +1.35% and XLE +1.47%. Given today’s risk-on move, volatilities are getting hit with the VIX -8% to 19.82, RVX -3% to 23.02, and VXN -5.5% to 26.39.

 

ETF 30D Volatility Changes

SPY:        -7%

IWM:       -5%

QQQ:      -7%

 

Directional Options Strategies

Bullish Option Strategies

OIH Buyer 15,000 Dec 28th 20 calls (ref. 18.56)

AAL Seller 11,000 Dec 39 – 36 put spreads (ref. 38.31)

CRC Seller 8,800 Jan 15 puts (ref. 24.09)

CTL Seller 7,000 Dec 17.5 puts (ref. 18.37)

 

Bearish Option Strategies

INTC Seller 10,000 Dec 49 calls (ref. 47.08)

STLD Seller 5,000 Dec 37 puts (closing) to Buy 5,000 Dec 35 puts (rolls down, ref. 37.87)

ADI Seller 10,000 Jan 97.5 calls (ref. 89.32)

MMM Seller 10,000 Dec 210 calls (ref. 200.66)

 

Macro Options Strategies

Bullish Option Strategies

SPY Buyer 10,000 Dec 31st 280 – 285 call spreads (ref. 266.04)

XLI Buyer 20,000 Dec 7th 72 – 74 call spreads (ref. 70.54)

EEM Seller 15,000 Dec 44 – 36 strangles (directionally neutral, short vol, ref. 40.28)

EEM Buyer 16,000 Dec 7th 41.5 – 44 call spreads (ref. 40.32)

XOP Seller 25,000 Jan 34 – 32 put spreads (likely closing, ref. 33.26)

HYG Seller 25,000 Feb 78 puts tied to stock (ref. 83.12)

 

Bearish Option Strategies

XLF Buyer 6,000 Dec 7th 26 puts (ref. 26.55)

XLU Seller 9,950 Mar 55 calls (ref. 54.11)

VXX Buyer 17,450 Dec 55 calls (ref. 37.38)

XLE 15,000 Jun 64 puts trade (ref. 64.89)

XOP Seller 50,000 Jan 32 puts (closing) to Buy 50,000 Jun 30 puts (ref. 33.01)

 

 

 

Finance Trades Options Strategies

FB 900 Dec 135 RevCons trade (ref. 135.82)

 

 

Upcoming Earnings

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
CBRL 11/27/2018 5.5 3.8 44.5% C 11,968
CRM 11/27/2018 5.2 2.1 143.3% C 412,772
NTNX 11/27/2018 12.8 7.8 62.8% D 33,053
BOX 11/28/2018 13.4 8.4 58.4% D 6,372
BURL 11/28/2018 6.5 4.7 39.6% A 23,036
DKS 11/28/2018 9.9 10.1 -2.1% C 20,839
SJM 11/28/2018 6.3 5.4 16.2% B 13,563
TIF 11/28/2018 7.5 6.2 20.5% C 33,727
VEEV 11/28/2018 5.8 8.3 -30.1% B 11,959
AMBA 11/29/2018 11.0 11.0 0.4% D 4,030
ANF 11/29/2018 12.8 14.7 -12.8% C 10,059
AVAV 11/29/2018 12.9 12.9 -0.2% F 4,424
DLTR 11/29/2018 8.9 9.1 -1.7% C 52,205
GME 11/29/2018 10.9 6.4 71.4% D 9,540
HPQ 11/29/2018 4.6 4.0 15.8% B 20,201
PANW 11/29/2018 7.7 7.7 0.4% C 60,462
PVH 11/29/2018 6.8 5.1 32.2% C 21,151
SPLK 11/29/2018 9.4 9.1 2.7% D 40,991
VMW 11/29/2018 5.9 4.4 35.2% C 50,080
WDAY 11/29/2018 5.7 5.2 11.5% D 64,073
ZUO 11/29/2018 10.0 18.9 -47.1% F 3,203
BIG 11/30/2018 8.6 5.4 58.4% D 5,700
COUP 12/3/2018 5.2 6.2 -16.0% F 9,752
AZO 12/4/2018 5.2 5.0 4.4% A 101,957
DG 12/4/2018 6.1 5.3 14.1% A 45,192
GIII 12/4/2018 13.2 10.7 22.6% D 2,614
HPE 12/4/2018 6.4 6.0 5.7% D 5,537
HQY 12/4/2018 1.1 5.4 -79.3% D 4,494
MDB 12/4/2018 9.4 6.7 39.6% F 28,446
OLLI 12/4/2018 7.3 2.7 172.5% C 5,664
PLAY 12/4/2018 9.7 7.2 34.6% D 3,960
RH 12/4/2018 14.1 20.9 -32.8% B 15,349
TOL 12/4/2018 5.2 7.0 -25.9% B 5,461
ZS 12/4/2018 12.6 11.1 13.8% D 12,637
AEO 12/5/2018 9.2 7.4 25.2% B 3,732
CLDR 12/5/2018 13.8 17.9 -23.2% F 6,638
FIVE 12/5/2018 8.7 8.0 8.5% B 13,843
HRB 12/5/2018 8.6 9.7 -11.1% B 2,468
LULU 12/5/2018 10.8 12.0 -9.9% A 90,845
OKTA 12/5/2018 11.0 10.4 5.6% F 35,899
AVGO 12/6/2018 3.4 4.3 -20.9% A 225,636
DOCU 12/6/2018 8.3 6.7 23.9% C 13,274
FIZZ 12/6/2018 5.7 5.7 -0.8% C 3,879
KR 12/6/2018 6.8 8.5 -20.2% D 95,421
PLCE 12/6/2018 6.0 6.4 -5.1% C 14,184
THO 12/6/2018 12.1 7.4 63.2% D 8,429
ULTA 12/6/2018 6.4 5.5 17.2% B 112,486
MTN 12/7/2018 3.5 3.7 -4.0% C 6,093

 

Volatility Standouts

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
DF 59.73% C -5.91% 99.60 1,669
BERY 59.12% C -2.30% 90.48 22,454
WRD 57.23% F -3.81% 96.03 681
SNCR 57.05% D -4.73% 63.59 44
AXTA 54.94% D -3.31% 76.19 4,313
CARS 54.31% D 0.85% 74.60 1,274
UNM 52.02% C -3.48% 97.22 8,688
HLF 49.97% B -6.10% 9.52 7,353
TCS 48.07% C -0.53% 55.95 36
SRCL 47.67% D -6.45% 87.70 1,527
HAIN 46.89% D -3.59% 49.60 3,031
PTLA 45.48% F -2.72% 75.40 1,740
CTXS 44.88% C -6.77% 69.84 8,910
WH 44.51% F 0.21% 60.68 3,843
PLAY 44.37% D 1.17% 97.62 3,960
TTGT 44.08% C -1.44% 96.83 54
MD 43.84% C -3.18% 5.16 968
USAT 43.30% C -5.20% 94.05 1,839
PPC 42.93% D -4.08% 52.78 2,061
COMM 41.67% C -4.53% 93.25 1,462
BLUE 41.52% D -5.09% 100.00 16,740
STWD 40.46% C -3.16% 61.51 1,233
CLVS 38.33% C -6.09% 98.81 2,015
CDK 37.69% A 0.32% 47.62 2,878

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
ECYT -74.95% D -5.91% 3.57 4,621
COL -63.83% A -2.30% 13.49 49,672
ATHN -63.23% C -3.81% 3.57 52,740
PCG -57.11% B -4.73% 97.22 119,310
FNSR -56.21% F -3.31% 2.38 7,942
LITE -55.81% B 0.85% 75.79 16,346
OZK -51.01% D -3.48% 99.21 1,135
ARRS -45.75% D -6.10% 2.78 1,042
PVTL -43.87% F -0.53% 47.30 1,172
EIX -41.42% D -6.45% 97.22 35,600
AET -31.82% C -3.59% 21.43 18,118
CRUS -30.97% D -2.72% 67.06 4,071
OCLR -30.29% D -6.77% 45.24 288
CFX -30.25% C 0.21% 98.81 2,749
VRSN -27.77% A 1.17% 92.06 7,448
ABMD -27.11% C -1.44% 95.63 51,882
ERI -25.87% C -3.18% 92.46 5,542
KBH -25.78% C -5.20% 97.22 15,469
ACHC -25.43% C -4.08% 89.68 22,494
PGR -25.39% A -4.53% 96.03 33,412
SWCH -25.20% C -5.09% 78.97 644
ZS -24.65% D -3.16% 86.55 12,637
FOXA -22.52% A -6.09% 0.79 125,089
HRS -22.27% A 0.32% 90.08 5,606