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VIX up small in listless trading

Nov 27, 2018

 

Options Market Commentary

Equities started the day in the red on talks of increased tariffs on China from the Trump administration. However, we have stabilized since then and are now mixed on the day with leadership in Tech but weakness in Industrials and especially Steel. Currently, the S&P is unchanged, the Russell is -.42%, and the Nasdaq is +.3%. Bonds are little changed. Gold is -.9%. Energy is lower with WTI crude -.5% and energy ETFs lower, XOP -1.6% and XLE -.4%. Volatilities are little changed with VIX +.4% to 18.98, RVX -3% to 22.61, and VXN -4% to 24.88.

 

ETF 30D Volatility Changes

SPY:        +1%

IWM:       -1%

QQQ:      -3%

  

 

Directional Options Strategies

Bullish Option Strategies

AA Seller 20,000 Dec 38 calls (closing) to Buy 10,000 Jan 37 call options (rolls out and down, ref. 31.52)

MSFT Buyer 10,900 Nov 30th 110 call options (ref. 106.64)

LOW Seller 10,000 Jan 90 call options (closing) to Buy 10,000 Jan 87.5 call options (rolls out and down, ref. 91.08)

CVE Buyer 20,000 Jan 8 call options (ref. 6.94)

 

Bearish Option Strategies

INTC Seller 10,000 Dec 49 call options (ref. 46.79)

AKS Buyer 20,000 Mar 4 put options (ref. 3.08)

BUD Buyer 3,200 Mar 65 put options (ref. 75.19)

GE Seller 12,500 Dec 8 – 7 put options spreads (closing) to Buy 30,000 Jan 4th 6.5 – 5.5 put options spreads (rolls out and down, sizes up, ref. 7.46)

X Buyer 15,900 Dec 22 put options (ref. 23.42)

GME Buyer 8,100 Jan 14 put options (Earnings 11/29, ref. 14.77)

 

Macro Options Strategies

Bullish Option Strategies

EEM Seller 22,500 Dec 37 put options tied to stock (possibly closing, ref. 40.14)

EEM Buyer 44,446 Jan 42 call options (ref. 40.33)

FXI Buyer 18,000 Dec 42 call options (ref. 40.90)

 

Bearish Option Strategies

QQQ Buyer 29,048 Jan 150 put options (ref. 163.44)

EEM Buyer 20,700 Dec 40.5 put options (ref. 40.37)

EWZ Buyer 40,000 Jan20 40 – 35 put options spreads (ref. 38.46)

 

 

 

Finance Trades Options Strategies

KHC 8,000 Jan 50 RevCons trade (ref. 51.05)

AMD 5,000 Jan 21 RevCons trade (ref. 20.61)

 

 

 

Upcoming Earnings

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
CRM 11/27/2018 5.8 2.1 170.3% C 412,772
NTNX 11/27/2018 10.2 7.8 29.5% D 33,053
BOX 11/28/2018 14.0 8.4 66.2% D 6,372
BURL 11/28/2018 6.4 4.7 36.1% A 23,036
DKS 11/28/2018 9.6 10.1 -4.8% C 20,839
SJM 11/28/2018 6.4 5.4 17.3% B 13,563
TIF 11/28/2018 7.8 6.2 25.6% C 33,727
VEEV 11/28/2018 5.2 8.3 -37.8% B 11,959
AMBA 11/29/2018 13.3 11.0 20.7% D 4,030
ANF 11/29/2018 12.8 14.7 -12.8% C 10,059
AVAV 11/29/2018 11.6 12.9 -10.6% F 4,424
DLTR 11/29/2018 8.2 9.1 -10.3% C 52,205
GME 11/29/2018 8.8 6.4 38.5% D 9,540
HPQ 11/29/2018 5.2 4.0 29.5% B 20,201
PANW 11/29/2018 7.0 7.7 -9.6% C 60,462
PVH 11/29/2018 6.9 5.1 34.8% C 21,151
SPLK 11/29/2018 9.2 9.1 0.5% D 40,991
VMW 11/29/2018 6.0 4.4 37.0% C 50,080
WDAY 11/29/2018 5.7 5.2 10.2% D 64,073
ZUO 11/29/2018 8.9 18.9 -53.0% F 3,203
BIG 11/30/2018 8.3 5.4 53.0% D 5,700
COUP 12/3/2018 3.5 6.2 -43.1% F 9,752
AZO 12/4/2018 5.3 5.0 5.7% A 101,957
DG 12/4/2018 6.3 5.3 19.5% A 45,192
GIII 12/4/2018 12.9 10.7 20.4% D 2,614
HPE 12/4/2018 6.2 6.0 2.2% D 5,537
HQY 12/4/2018 3.4 5.4 -37.6% D 4,494
MDB 12/4/2018 7.5 6.7 11.9% F 28,446
OLLI 12/4/2018 6.7 2.7 151.1% C 5,664
RH 12/4/2018 13.5 20.9 -35.7% B 15,349
TOL 12/4/2018 5.3 7.0 -25.3% B 5,461
ZS 12/4/2018 12.5 11.1 13.0% D 12,637
AEO 12/5/2018 8.5 7.4 15.0% B 3,732
CLDR 12/5/2018 13.6 17.9 -24.1% F 6,638
FIVE 12/5/2018 8.5 8.0 6.9% B 13,843
LULU 12/5/2018 10.8 12.0 -9.8% A 90,845
OKTA 12/5/2018 7.5 10.4 -27.7% F 35,899
AVGO 12/6/2018 3.1 4.3 -27.1% A 225,636
COO 12/6/2018 3.1 3.6 -12.1% C 2,515
DOCU 12/6/2018 9.0 6.7 34.0% C 13,274
FIZZ 12/6/2018 5.7 5.7 0.0% C 3,879
KR 12/6/2018 6.8 8.5 -19.8% D 95,421
PLCE 12/6/2018 6.0 6.4 -5.4% C 14,184
THO 12/6/2018 11.6 7.4 56.5% D 8,429
ULTA 12/6/2018 6.7 5.5 22.0% B 112,486
MTN 12/7/2018 3.3 3.7 -10.3% C 6,093
SFIX 12/10/2018 14.3 23.7 -39.6% F 7,835
CASY 12/11/2018 5.6 4.6 20.4% B 3,137
DSW 12/11/2018 10.2 11.3 -9.8% B 3,706
PLAY 12/11/2018 11.3 7.2 56.7% D 3,960
CIEN 12/13/2018 7.4 9.8 -23.8% D 19,611
COST 12/13/2018 2.9 3.1 -7.5% B 180,029
ORCL 12/13/2018 4.5 5.6 -18.4% C 141,103

 

Volatility Standouts

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
PTLA 5.77E-01 F 1.85% 79.76 1,740
AXTA 56.69% D 0.91% 76.98 4,313
PBYI 56.17% D -4.08% 98.41 940
SRCL 55.66% D -0.52% 78.57 1,527
MAN 55.22% C -2.20% 80.56 614
BERY 50.25% C -1.49% 89.29 22,454
DF 50.07% C 3.86% 100.00 1,669
HLF 48.10% B 0.49% 4.37 7,353
UNM 47.64% C 0.13% 92.06 8,688
CARS 46.99% D -1.31% 55.95 1,274
FHN 45.39% C 1.34% 84.13 394
ONCE 44.72% F 1.12% 89.68 1,216
MD 43.94% C -10.12% 3.17 968
CTXS 42.48% C -16.62% 53.97 8,910
HRL 42.30% C 4.64% 82.14 12,884
TRCO 41.82% C 0.98% 40.48 1,328
FTAI 41.72% B 0.76% 36.51 456
UNFI 41.71% C 0.45% 92.46 698
COMM 41.32% C -0.59% 91.27 1,462
FTV 40.45% D 1.79% 90.28 826
LL 39.51% F 1.56% 40.48 1,665
PRSP 39.31% F 1.01% 53.39 395
PPC 3.87E-01 D -1.08% 27.78 2,061
SAVE 38.27% C 2.22% 30.56 1,561

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
ATHN -62.43% C 1.85% 1.98 52,740
PCG -58.90% B 0.91% 96.03 119,310
FNSR -57.74% F -4.08% 1.19 7,942
LITE -57.42% B -0.52% 59.13 16,346
OZK -52.37% D -2.20% 99.21 1,135
EIX -49.79% D -1.49% 96.03 35,600
PVTL -47.15% F 3.86% 34.90 1,172
ARRS -46.49% D 0.49% 3.57 1,042
AET -41.34% C 0.13% 0.00 18,118
OCLR -36.45% D -1.31% 48.02 288
ERI -34.04% C 1.34% 91.67 5,542
CRUS -33.10% D 1.12% 61.51 4,071
ACHC -30.59% C -10.12% 92.06 22,494
CFX -29.29% C -16.62% 97.62 2,749
VRSN -29.14% A 4.64% 90.08 7,448
KBH -28.99% C 0.98% 93.25 15,469
ABMD -28.53% C 0.76% 89.68 51,882
SWCH -27.19% C 0.45% 61.51 644
PGR -26.70% A -0.59% 91.27 33,412
ZS -26.00% D 1.79% 75.00 12,637
HUBS -25.35% D 1.56% 79.37 8,285
FOXA -23.88% A 1.01% 1.59 125,089
NVDA -23.75% B -1.08% 92.06 2,445,451
MA -23.31% B 2.22% 90.08 348,006