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VIX only down -2% in spite of equities strong rally on Fed comments

Nov 28, 2018

 

Options Market Commentary

Equities are rallying on comments from Fed Chairman Powell signaling a possible pause in rate hikes calling them “just below” normal. Currently, the S&P is +1.4%, the Russell is +1.5%, and the Nasdaq is +2% with strength in FAANG names, especially AMZN +3.7%. Bonds are modestly lower. Gold is +.4% with Miner ETF GDX +1.8%. Energy was down earlier but has rallied with stocks with WTI Crude +.6% and energy ETFs higher, XOP +.7% and XLE +1.1%. Volatilities are easing on the Powell headlines with the VIX-2.5% to 18.61, RVX -.2% to 22.61, and VXN -3.5% to 23.87.

 

 

ETF 30D Volatility Changes

SPY:        -3%

IWM:       -1%

QQQ:      -3%

 

Directional Options Strategies

Bullish Option Strategies

JNPR Buyer 3,700 Nov 30th 28.5 call optionss (ref. 28.81)

GE Buyer 10,000 Dec 8.5 call options (ref. 7.47)

ESV Buyer 4,700 Dec 7 call options (ref. 6.00)

TWTR Seller 20,000 Jan 36 call optionss (closing) to Buy 20,000 Feb 37 call optionss (ref. 32.72)

EBAY Buyer 6,387 Apr 32 call options (ref. 29.00)

KEY Buyer 8,000 Dec 7th 18.5 call options (ref. 18.25)

XON Buyer 11,000 Jan – Jan20 10 call options spreads (rolls out, ref. 9.25)

 

Bearish Option Strategies

BBBY Seller 5,900 Feb 12.5 put options (closing) to Buy 10,600 Feb 10 put options (rolls down, ref. 12.42)

HUN Seller 8,000 Jan 21 put options (closing) to Buy 12,000 Jan 19 put options (rolls down, ref. 19.16)

X 7,000 Jul 20 put options trade (ref. 22.24)

V Buyer 6,100 Nov 30th 137 put options (ref. 138.22)

PHM Buyer 8,500 Dec 26 put options (ref. 25.49)

 

Macro Options Strategies

Bullish Option Strategies

SPY Buyer 75,000 Dec 288 – 289 call options spreads (ref. 269.45)

SPY Seller 30,000 Dec 31st 289 – 280 put options spreads to Buy 30,000 Dec 31st 300 call options (all closing, monetizes, ref. 269.33)

FXI Buyer 15,000 Jan 43 – 46 call options spreads tied to stock (ref. 41.35)

EWW Buyer 21,970 Dec 14th 40.5 call options (ref. 38.50)

EFA Buyer 6,500 Sep 65 call options (ref. 62.36)

 

Bearish Option Strategies

IWM Seller 15,000 Dec 145 – 135 put options spreads to Buy 15,000 Feb 140 – 125 put spreads (rolls out and down, ref. 149.26)

EWZ 7,000 Jan 41 – 35 strangles trade (directionally neutral, ref. 38.46)

VNQ Seller 30,000 Dec 79 put  options (closing) to Buy 30,000 Jan 39 put options (ref. 80.51)

VXX Buyer 9,000 Nov 30th 30 call options (ref. 35.94)

EEM Buyer 46,500 Dec 42 – 38 put options spreads (ref. 40.62)

GLD Buyer 5,000 Mar 107 put options (ref. 114.75)

 

 

 

Finance Trades Options Strategies

FTR 5,000 Feb – Jan20 3 Jelly Rolls trade (ref. 3.64)

 

 

 

Upcoming Earnings

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
BOX 11/28/2018 13.9 8.4 65.0% D 7,370
VEEV 11/28/2018 4.8 8.3 -42.8% B 12,186
AMBA 11/29/2018 12.8 11.0 16.4% D 4,890
ANF 11/29/2018 14.5 14.7 -1.3% C 6,735
AVAV 11/29/2018 12.5 12.9 -3.3% F 3,995
DLTR 11/29/2018 7.5 9.1 -17.2% C 43,632
GME 11/29/2018 9.5 6.4 48.7% D 12,817
HPQ 11/29/2018 5.0 4.0 26.8% B 21,015
PANW 11/29/2018 6.7 7.7 -13.0% C 57,151
PVH 11/29/2018 6.6 5.1 28.8% C 23,750
SPLK 11/29/2018 8.7 9.1 -5.4% D 36,167
VMW 11/29/2018 5.8 4.4 32.1% C 45,073
WDAY 11/29/2018 5.3 5.2 2.8% D 71,477
ZUO 11/29/2018 9.2 18.9 -51.2% F 3,637
BIG 11/30/2018 8.6 5.4 59.0% D 6,181
COUP 12/3/2018 3.9 6.2 -37.8% F 10,320
AZO 12/4/2018 5.3 5.0 5.0% A 80,397
DG 12/4/2018 6.4 5.3 21.3% A 45,432
HPE 12/4/2018 6.3 6.0 5.4% D 6,105
HQY 12/4/2018 3.3 5.4 -38.7% D 4,190
MDB 12/4/2018 7.1 6.7 6.5% F 24,793
OLLI 12/4/2018 6.6 2.7 144.7% C 5,374
RH 12/4/2018 13.8 20.9 -33.9% B 20,756
TOL 12/4/2018 5.6 7.0 -20.1% B 5,735
ZS 12/4/2018 11.0 11.1 -1.0% D 10,329
AEO 12/5/2018 8.3 7.4 11.8% B 4,854
CLDR 12/5/2018 13.5 17.9 -24.9% F 5,655
FIVE 12/5/2018 8.6 8.0 7.6% B 13,996
GIII 12/5/2018 11.8 10.7 9.8% D 3,802
LULU 12/5/2018 10.1 12.0 -15.3% A 86,870
OKTA 12/5/2018 8.2 10.4 -21.0% F 33,422
AVGO 12/6/2018 3.9 4.3 -8.0% A 313,822
COO 12/6/2018 3.8 3.6 7.0% C 2,655
DOCU 12/6/2018 8.1 6.7 21.7% C 12,966
FIZZ 12/6/2018 5.9 5.7 3.3% C 3,154
KR 12/6/2018 6.9 8.5 -19.1% D 85,793
PLCE 12/6/2018 6.4 6.4 0.8% C 14,536
THO 12/6/2018 10.8 7.4 44.9% D 9,384
ULTA 12/6/2018 6.5 5.5 18.9% B 108,168
MTN 12/7/2018 3.9 3.7 4.8% C 7,263
SFIX 12/10/2018 14.5 23.7 -38.8% F 6,791
CASY 12/11/2018 5.1 4.6 10.2% B 3,075
PLAY 12/11/2018 10.2 7.2 41.7% D 3,305
CIEN 12/13/2018 7.8 9.8 -20.0% D 15,774
COST 12/13/2018 2.5 3.1 -19.1% B 198,533
ORCL 12/13/2018 4.4 5.6 -21.2% C 144,075

 

Volatility Standouts

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
TCS 67.39% C -1.66% 51.78 39
PTLA 58.17% F -1.71% 79.84 2,135
DF 50.67% C -2.47% 100.00 1,033
MD 50.04% C -1.47% 5.93 1,060
PBYI 49.75% D -3.02% 96.44 724
AXTA 47.90% D -1.09% 55.34 12,043
CARS 47.43% D -3.43% 61.66 1,417
BERY 46.99% C -2.67% 88.54 20,867
SRCL 46.84% D 0.06% 86.17 1,466
FTAI 45.64% B 3.00% 47.83 479
UNM 45.62% C -3.76% 84.58 7,033
HLF 4.48E-01 B -1.35% 5.53 9,008
COMM 44.14% C -0.57% 92.49 907
GNTX 43.82% A -9.99% 69.17 216
NLY 42.32% D -0.38% 75.49 5,356
XRAY 41.81% C -2.40% 62.45 2,649
THS 41.69% C -3.30% 53.75 29,045
CLVS 41.41% C 3.37% 96.05 2,148
EXTR 40.88% F -0.37% 27.27 55
PRSP 39.89% F -1.98% 54.62 456
STWD 38.40% C -0.97% 33.60 1,085
CTXS 38.23% C -3.78% 46.25 6,748
ONCE 37.72% F 0.00% 98.02 1,197
PCAR 37.26% C -1.94% 88.93 3,076

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
ECYT -7.34E-01 D -1.66% 2.37 9,870
FNSR -59.62% F -1.71% 1.58 3,691
PCG -54.77% B -2.47% 97.23 96,012
ATHN -53.79% C -1.47% 3.56 28,728
OZK -51.12% D -3.02% 99.21 1,510
EIX -50.81% D -1.09% 95.65 26,120
PVTL -4.77E-01 F -3.43% 40.67 1,118
ARRS -46.24% D -2.67% 1.98 1,855
LITE -43.23% B 0.06% 67.19 11,271
AET -42.18% C 3.00% 0.40 33,071
FOXA -3.32E-01 A -3.76% 0.40 107,203
SWCH -29.82% C -1.35% 73.52 790
KBH -29.81% C -0.57% 92.09 13,752
ZS -29.58% D -9.99% 68.21 10,329
VRSN -28.97% A -0.38% 88.54 6,298
ERI -28.83% C -2.40% 91.70 3,719
CFX -28.73% C -3.30% 98.42 1,852
ACHC -27.15% C 3.37% 90.91 29,247
SAVE -26.21% C -0.37% 61.26 4,015
HRS -25.04% A -1.98% 92.09 14,284
MA -25.03% B -0.97% 89.72 337,637
ZUO -24.99% F -3.78% 71.14 3,637
NVDA -24.99% B 0.00% 89.33 2,546,806
CRUS -23.38% D -1.94% 57.71 3,940