blog

Latest from the Quantamize Blog

VIX -10% on G-20 accord

Dec 03, 2018

 

Options Market Commentary

Equities are in the green following this weekend’s G-20 trade progress between China and the United States. Stocks started the day strong, but skepticism about the details and timing of any possible deal have put a lid on gains, especially in the Russell which spent a little time in the red today before working back to positive territory. Currently, the S&P is +1%, the Russell is +.3%, and the Nasdaq leads the way, up +1.44% with strength in the FAANG names and big tech in general. Gold is +1%. Bonds are green as well with TLT +.25% and the 10-year yield below 3% at 2.995%. Energy is strong, though off earlier highs with WTI crude +2.9% after being north of 5%. Energy ETF’s are up with XOP +2.3% and XLE +1.8%. Biotechs are strong as well on the GSK for TSRO deal with XBI +2.9%. Volatilities are lower on the market rally with the VIX -8% to 16.64, RVX -4% to 20.18, and VXN -8% to 22.01.

 

ETF 30D Volatility Changes

SPY:        -11%

IWM:       -6%

QQQ:      -10%

  

 

Directional Options Strategies

Bullish Option Strategies

F Buyer 11,000 Dec 10 calls options (ref. 9.81)

DAL Buyer 4,737 Dec 60 calls options (ref. 60.17)

BX Buyer 3,000 Dec 7th 35 calls options (ref. 34.78)

CVS Buyer 6,000 Jan 11th 80 calls options (ref. 79.99)

GM Seller 3,800 Dec 37 calls options (closing) to Buy 3,800 Jan 39 calls options (rolls up and out, ref. 38.87)

FTI Buyer 8,000 Dec 25 calls options (ref. 24.11)

FXC Seller 20,000 Jan 13 calls options (closing) to Buy 10,000 May 14 calls options (ref. 12.18)

 

Bearish Option Strategies

PVG Buyer 10,000 Mar 7 put options (ref. 7.04)

LVS Seller 10,571 Jan 52.5 calls options tied to stock (closing, ref. 58.53)

MS Seller 7,500 Dec 46 calls options (ref. 45.21)

PHM Buyer 3,400 Dec 14th 25 put options (ref. 26.23)

 

Macro Options Strategies

Bullish Option Strategies

SPY Seller 15,000 Dec 5th 284 calls options (closing) to Buy 11,250 Dec 290 calls options (ref. 279.80)

SPY Seller 56,859 Dec 7th 268 – 265 put options spreads (closing, ref. 279.23)

SPY Seller 26,989 Dec 280 calls options (closing) to Buy 39,076 Dec 28th 283 calls options (ref. 279.70)

GDX Buyer 3,000 Mar 24 calls options (ref. 19.34)

EWZ Buyer 13,000 Dec 43 calls options (ref. 40.59)

Bearish Option Strategies

FXI Seller 30,000 Dec 7th 43 calls options (ref. 42.96)

TLT Seller 9,000 Dec 116.5 – 117.5 call spreads (ref. 114.71)

EWZ Buyer 6,015 Dec 37 put options (ref. 40.72)

QQQ Buyer 10,000 Jan 160 put options (ref. 171.64)

SPY Buyer 30,500 Jan 11th 257.5 put options (ref. 279.61)

EEM Seller 38,000 Dec 41.5 calls options to Buy 38,000 Dec 38 put options (closing, ref. 41.88)

HYG Buyer 5,000 Mar 81 put options (ref. 83.59)

 

 

 

Finance Trades Options Strategies

XLE 5,000 Jan 65 RevCons trade (ref. 67.15)

 

 

 

Upcoming Earnings

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
COUP 12/3/2018 2.0 6.2 -68.3% F 10,518
RH 12/3/2018 13.3 20.9 -36.3% B 26,533
AZO 12/4/2018 4.7 5.0 -6.4% A 73,466
DG 12/4/2018 5.9 5.2 13.3% A 47,703
HDS 12/4/2018 6.9 5.4 28.5% C 4,698
HPE 12/4/2018 5.8 6.0 -4.1% D 4,768
MDB 12/4/2018 5.7 6.7 -15.5% F 21,054
OLLI 12/4/2018 5.2 2.7 95.7% C 5,244
TOL 12/4/2018 7.3 7.0 3.5% B 7,324
ZS 12/4/2018 8.5 11.1 -23.4% D 7,708
AEO 12/5/2018 2.6 7.3 -65.1% B 8,203
CLDR 12/5/2018 13.8 17.9 -22.7% F 3,259
FIVE 12/5/2018 8.4 8.2 2.0% B 13,365
GIII 12/5/2018 10.9 10.7 2.2% D 5,039
UNFI 12/5/2018 12.4 6.4 93.7% C 2,924
AVGO 12/6/2018 3.9 4.2 -6.2% A 299,556
DOCU 12/6/2018 8.0 6.7 19.4% C 12,308
FIZZ 12/6/2018 8.0 5.7 39.4% C 2,627
KR 12/6/2018 7.1 8.8 -18.7% D 19,165
LULU 12/6/2018 9.2 12.0 -22.9% A 93,232
PLCE 12/6/2018 5.9 6.4 -7.5% C 13,044
THO 12/6/2018 10.1 7.5 34.5% D 8,649
ULTA 12/6/2018 5.5 5.2 5.8% B 77,492
BIG 12/7/2018 6.1 5.5 12.1% D 4,258
MTN 12/7/2018 2.7 3.7 -25.7% C 9,610
SFIX 12/10/2018 15.1 23.7 -36.2% F 6,191
CASY 12/11/2018 4.9 4.6 6.4% B 3,138
DSW 12/11/2018 10.1 11.3 -10.5% B 3,685
PLAY 12/11/2018 8.8 7.2 22.5% D 3,013
OXM 12/12/2018 8.5 5.4 57.6% B 2,912
CIEN 12/13/2018 7.6 9.8 -21.9% D 11,409
COST 12/13/2018 2.2 3.1 -29.5% B 211,531
ORCL 12/17/2018 3.3 5.6 -40.4% C 122,657
CCL 12/18/2018 3.3 3.2 4.9% C 27,926
DRI 12/18/2018 5.0 6.1 -17.5% A 3,784
FDS 12/18/2018 4.4 4.2 3.1% B 24,000
FDX 12/18/2018 2.7 3.4 -18.7% C 138,781
MU 12/18/2018 5.4 5.2 4.1% B 453,821
GIS 12/19/2018 4.0 3.8 3.9% B 26,869
PAYX 12/19/2018 2.6 2.1 22.3% C 11,293
CAG 12/20/2018 2.9 3.6 -19.9% B 4,908
NKE 12/20/2018 3.4 4.3 -21.2% C 73,035
SAFM 12/20/2018 4.6 3.5 30.4% D 3,886
KMX 12/21/2018 5.1 5.1 0.0% B 4,225

 

Volatility Standouts

 

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
IMMU 74.98% C -8.47% 96.44 13,467
ESIO 72.59% C -3.36% 15.02 2,113
AKRX 61.96% D -5.62% 62.45 2,136
UNFI 52.01% C -6.56% 95.26 2,924
BBBY 49.62% C -4.77% 99.60 20,061
PTLA 49.51% F -5.21% 72.73 1,944
DF 46.52% C -5.95% 100.00 3,187
COMM 45.98% C -13.64% 93.68 786
CARS 45.37% D -6.12% 79.45 2,125
PBYI 43.90% D -4.42% 88.54 692
THS 43.08% C -6.55% 71.94 43,615
MD 42.16% C -6.67% 8.30 880
BERY 41.31% C -5.92% 87.35 18,165
AXTA 41.11% D -5.14% 63.24 26,515
CNDT 4.09E-01 D -3.24% 97.23 236
PPC 39.32% D -6.80% 49.80 1,920
SRCL 39.23% D -4.03% 73.52 1,157
IDTI 39.07% B -7.62% 6.72 1,018
NLY 37.38% D -6.57% 74.31 7,578
CLVS 36.34% C -5.28% 97.63 2,451
PLAY 35.47% D -7.19% 95.65 3,013
TTMI 34.97% A -4.41% 78.66 336
ONCE 3.40E-01 F -11.10% 92.09 1,052
RLGY 33.71% C -4.99% 91.70 21,514

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
ATHN -74.28% C -8.47% 2.37 16,832
FNSR -56.17% F -3.36% 3.56 2,494
OZK -50.33% D -5.62% 99.60 1,591
TRCO -49.97% C -6.56% 34.39 5,163
PCG -49.25% B -4.77% 97.23 50,129
SFM -48.54% C -5.21% 65.61 4,897
ARRS -47.44% D -5.95% 1.98 2,117
EIX -4.73E-01 D -13.64% 95.26 11,255
PVTL -45.90% F -6.12% 42.48 1,042
LITE -43.80% B -4.42% 69.96 9,299
HUBS -37.57% D -6.55% 58.89 7,752
CFX -37.50% C -6.67% 96.84 2,035
VRSN -37.45% A -5.92% 82.61 4,740
SAVE -36.56% C -5.14% 52.96 7,246
ZS -34.74% D -3.24% 51.14 7,708
MA -34.14% B -6.80% 86.56 369,307
SPLK -33.32% D -4.03% 84.98 68,674
LH -32.58% A -7.62% 99.60 11,434
CRM -31.71% C -6.57% 86.17 583,606
ERI -31.43% C -5.28% 88.93 10,803
PYPL -31.34% C -7.19% 87.35 244,239
SRE -30.91% A -4.41% 28.06 13,309
NOW -30.87% D -11.10% 91.30 86,901
DGX -30.42% C -4.99% 98.02 11,141