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Volatility stays bid going into the G20 Summit

Nov 30, 2018

 

Options Market Commentary

Equities are mostly muted today on light volumes as the G-20 commences. Currently, the S&P is +.15%, the Russell is -.04%, and the Nasdaq is +.12%.  Bonds are a bit stronger as the 2-10 year curve has flattened below 20 bps.  Energy is flat as investors wait for OPEC developments out of Buenos Aires though Energy ETFs are lagging with XOP -1.3% and XLE -.23%.  Gold is -.15% and GDX the Miners’ ETF is -.21%.  Volatilities remain bid with the VIX +1.5% to 19.08, RVX flat to 22.04, and VXN +.75% to 25.06.

 

ETF 30D Volatility Changes

SPY:        +1%

IWM:       +1%

QQQ:      +3%

 

Directional Options Strategies

Bullish Option Strategies

MT Buyer 6,700 Dec 25 call optionss (ref. 22.41)

FB Seller 7,500 Jan 155 call options (closing) to Buy 7,500 Feb 155 call options (ref. 138.80)

TJX Buyer 4,989 Jan 50 call options (ref. 48.20)

GE Buyer 35,000 Jun 8 call options (possibly closing, ref. 7.49)

RLGY Seller 5,000 Jan 17.5 call options (closing) to Buy 5,000 Mar 17.5 call options (rolls out, ref. 19.42)

DLTR Buyer 5,670 Jan 4th 90 call options (ref. 87.65)

 

Bearish Option Strategies

CNQ Buyer 12,000 Mar 22 put options (ref. 24.67)

LLY Seller 7,600 Apr 125 – 110 strangle (sells vol, directionally neutral, ref. 116.99)

MCD Buyer 1,000 Dec 7th 187.5 – 182.5 1x2 put options spreads (ref. 187.49)

GE Seller 128,000 Dec 7th 8 put options (closing) to Buy 300,000 Jan 6 put options (rolls out and down, ref. 7.50)

BKD Seller 20,000 Dec 9 call options (ref. 8.29)

CZR Seller 4,000 Dec 9.5 call options to Buy 4,000 Dec 8 put options (ref. 8.61)

AZN Buyer 4,700 Dec 39 put options (ref. 39.81)

DB Buyer 7,500 Jul 7 put options tied to stock (ref. 9.14)

PFE Buyer 13,000 Jan 46 call options (closing) to Sell 13,000 Jan 48 call options (rolls write, ref. 45.85)

RIG Buyer 20,000 Jan 10 put options tied to stock (ref. 9.45)

TSLA Buyer 4,000 Dec 340 – 330 put options spreads (ref. 349.06)

 

Macro Options Strategies

Bullish Option Strategies

FXI Buyer 23,000 Dec 28th 43 – 45 call option spreads (ref. 41.45)

FXI Buyer 50,000 Dec 7th 43 call options (ref. 41.63)

GLD Buyer 5,000 Jan 115 call options (ref. 115.09)

SPY Buyer 50,000 Dec 7th 280 – 288 call option spreads (adds to 30k opened yest., ref. 274.08)

EEM Buyer 10,000 Dec 14th 41.5 call options tied to stock (ref. 40.82)

EWZ Buyer 25,000 Dec 40.5 call options to Sell 37,500 Dec 42.5 call options (ref. 39.67)

 

Bearish Option Strategies

QQQ Buyer 5,487 Dec 7th 162 put options (ref. 167.78)

QQQ Seller 30,000 Jan 157 (closing) to Buy Feb 155 put options (rolls out and down, ref. 168.33)

SLV Buyer 14,200 Jan 13 put options (ref. 13.23)

SLV Buyer 10,800 Mar 29th 12 put options (ref. 13.23)

SMH Buyer 21,900 Dec 7th 88 put options (ref. 94.09)

XOP Seller 19,900 Dec 7th 34.5 call options to Buy 19,900 Dec 7th 31.5 put options (ref. 32.47)

XLF Buyer 13,778 Dec 31st 26 put options (ref. 26.89)

 

 

 

Finance Trades Options Strategies

EFA 5,000 Jun 66 Reversal/Conversions trade (ref. 62.67)

 

 

Upcoming Earnings

 

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
AAL 1/24/2019 6.0 4.5 33.9% C 136,864
AAOI 2/20/2019 19.8 15.5 27.7% D 2,983
AAP 2/20/2019 9.8 9.0 9.7% C 14,101
AAPL 1/29/2019 2.2 4.6 -52.3% B 8,724,387
AAXN 2/26/2019 13.9 13.2 5.6% D 7,081
ABC 2/5/2019 5.2 4.3 21.5% C 6,928
ADM 2/5/2019 5.7 3.1 83.8% B 14,463
ADP 1/30/2019 2.3 3.7 -39.0% B 37,044
ADS 1/24/2019 5.7 4.1 40.7% B 4,674
AEO 12/5/2018 8.9 7.4 20.4% B 7,956
AEP 1/24/2019 1.5 1.2 21.6% B 14,628
AFL 1/30/2019 3.1 1.9 62.2% B 11,488
AGN 2/6/2019 6.2 3.4 82.3% C 91,007
AGNC 1/30/2019 1.6 1.4 15.0% D 9,359
AIG 2/7/2019 6.9 3.9 76.4% F 24,778
AKAM 2/5/2019 8.4 8.8 -4.2% A 7,605
AKS 1/29/2019 20.5 10.7 91.0% D 7,501
ALB 2/27/2019 4.8 4.9 -1.1% D 23,526
ALL 2/5/2019 5.3 4.1 30.4% C 14,538
ALNY 2/7/2019 9.5 5.9 61.2% F 4,471
ALXN 2/7/2019 5.6 6.1 -8.0% B 23,188
AMBA 2/28/2019 13.6 12.0 13.7% D 9,799
AMC 2/28/2019 6.8 4.0 70.5% D 6,310
AMD 1/29/2019 8.1 13.9 -41.2% D 374,072
AMG 1/28/2019 6.3 3.8 64.2% B 2,884
AMGN 1/31/2019 3.7 2.0 82.1% D 152,599
AMT 2/26/2019 2.1 2.2 -2.3% B 31,965
AMTD 1/22/2019 5.0 2.5 96.7% C 19,097
AMWD 3/8/2019 13.6 8.5 61.2% B 3,451
ANF 3/6/2019 15.6 15.6 -0.4% C 13,775
APA 2/21/2019 6.8 4.2 62.5% D 16,264
APC 2/5/2019 4.3 3.4 25.0% C 44,136
APD 1/25/2019 3.2 2.1 53.9% C 8,637
ARMK 2/5/2019 6.3 4.6 36.4% C 3,001
ARNC 2/4/2019 0.7 7.6 -91.0% F 28,731
ASH 1/28/2019 6.6 4.0 66.8% C 2,877
ATVI 2/7/2019 4.6 5.4 -14.6% C 92,130
AVAV 3/7/2019 13.2 13.0 1.3% F 5,044
AVB 1/30/2019 3.0 1.4 109.5% B 21,596
AVGO 12/6/2018 4.8 4.3 11.2% A 323,594
AXTA 2/5/2019 11.6 2.7 336.8% D 18,932
AYI 1/9/2019 10.0 10.3 -2.4% C 4,489
AZO 12/4/2018 5.2 5.0 3.2% A 65,657
BA 1/30/2019 2.6 3.4 -22.4% B 1,253,486
BAC 1/16/2019 3.6 1.5 147.3% C 568,535
BBBY 1/9/2019 19.4 11.4 69.2% C 28,244

Volatility Standouts

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
COMM 61.00% C 6.92% 92.09 821
FTAI 60.89% B 0.00% 58.10 738
UNFI 55.59% C -2.34% 94.86 2,631
AXTA 52.49% D -6.57% 78.26 18,932
PPC 51.56% D 1.02% 44.27 1,954
CARS 50.51% D -0.85% 77.47 2,072
PTLA 50.51% F -3.84% 74.31 2,050
PBYI 49.02% D 1.23% 89.72 702
BBBY 48.66% C 1.38% 99.60 28,244
MD 47.29% C 3.08% 4.35 891
CLVS 46.73% C -2.03% 98.81 2,480
BERY 4.63E-01 C -1.39% 87.75 20,790
DF 44.49% C 0.62% 98.81 3,162
FHN 44.42% C 4.55% 95.26 482
NLY 42.74% D -1.81% 82.61 7,539
CNDT 42.42% D -3.59% 98.81 225
TTMI 41.32% A 3.92% 78.26 326
UNM 41.26% C 0.19% 77.08 5,609
SRCL 40.82% D -0.07% 68.38 1,270
PLAY 40.34% D 2.32% 96.05 3,197
GE 39.51% F 5.69% 95.65 306,469
ONCE 39.32% F 2.80% 89.72 1,124
THS 38.26% C -1.30% 66.01 40,175
TCS 36.52% C -4.10% 45.06 321

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
ATHN -6.94E-01 C -9.44% 1.58 17,118
FNSR -56.80% F -5.26% 3.56 2,875
OZK -52.07% D -5.34% 99.21 1,338
PCG -51.56% B -3.62% 98.02 73,018
EIX -50.27% D -0.71% 94.86 15,959
PVTL -48.49% F 0.42% 35.53 1,131
ARRS -4.54E-01 D 0.00% 1.98 1,994
LITE -42.27% B -0.95% 64.43 9,611
VRSN -33.58% A -1.22% 86.17 4,976
CFX -33.41% C 0.04% 96.84 1,948
ZS -3.32E-01 D 0.55% 58.29 10,094
HUBS -32.89% D -0.88% 62.45 7,936
ERI -31.25% C -6.69% 91.70 5,060
SAVE -30.85% C -0.07% 50.59 5,922
MA -30.00% B -2.63% 90.51 372,625
KBH -28.18% C -0.96% 93.28 14,349
NOW -26.52% D -1.37% 92.49 82,586
SPLK -26.37% D -20.08% 96.44 55,390
FOXA -26.09% A 10.19% 0.40 89,736
VEEV -25.75% B 0.64% 73.12 26,689
CRM -25.62% C -0.97% 86.56 564,587
ZEN -25.13% D -1.16% 77.87 6,509
AMED -25.02% A -0.84% 51.78 5,153
NVDA -24.86% B -0.05% 88.93 2,553,622