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VIX up 21% as equities roll over on inverted yield curve

Dec 04, 2018

 

Options Market Commentary

Equities started the day in lower and have gone deeper into the red as the day has gone on due to yield curve inversion and economic fears. Bonds are rallying strongly today. Currently, the S&P is -1.8%, the Russell is -2.9%, and the Nasdaq is -2%. All are on or near lows for the day. Bonds are higher with TLT +1.4% and the 10-year yield dropping to 2.93%. Gold is holding firm as well with GLD +.5%. WTI crude is off earlier highs and is now unchanged, however energy stocks are getting hit with XOP -2.2% and XLE -1.4%. Banks are very weak today on today’s stock and interest rate moves with XLF -3.4% and KRE -5.3%. Volatilities were little changed earlier, but with the late morning sell-off they have moved sharply higher with the VIX +16% to 19.10, RVX +12% to 22.109, and VXN +8% to 23.48.

 

ETF 30D Volatility Changes

SPY:        +16%

IWM:       +12%

QQQ:      +10%

 

Directional Options Strategies

Bullish Option Strategies

KMB Seller 5,000 Jan 115 call options (closing) to Buy 5,000 Apr 125 call options (rolls up and out, ref. 113.67)

MIK Buyer 17,00 Jan 20 call options (Earnings 12/6, ref. 17.08)

SLB Buyer 11,400 Jan 47.5 call options (ref. 45.60)

RF 4,900 Dec and Jan 16 call options trade (ref. 16.04)

C Seller 10,000 Dec 67.5 call options to Buy 10,000 Jan 67.5 call options (ref. 62.75)

SNAP Buyer 32,000 Apr 10 puts (closing) to Sell 32,000 Jul 10 puts (ref. 6.38)

 

Bearish Option Strategies

GE Buyer 10,000 Jan 6 – 5 put spreads (ref. 7.64)

GE 10,000 Mar 5 – 4 put spreads trade (ref. 7.59)

X Buyer 2,000 Jun 22 puts (ref. 23.59)

MS 6,800 Jan 41 puts trade (ref. 44.07)

TRU Seller 11,200 Dec 65 call options (ref. 64.09)

 

Macro Options Strategies

Bullish Option Strategies

SPY Buyer 26,250 Jan 292 – 307 call options spreads (ref. 277.60)

XRT Buyer 7,000 Dec 47 call options (ref. 46.19)

SLV Seller 44,000 Mar 29th 12 put options (closing, ref. 13.72)

USO Seller 20,000 Apr 12 – 10 put option spreads (ref. 11.23)

KRE Buyer 10,000 Dec 56 – 58 call options spreads (ref. 54.10)

VXX Seller 15,000 Jan 11th 46 call options (ref. 32.94)

XLU Buyer 15,000 Dec 57 call options tied to stock (ref. 56.68)

 

Bearish Option Strategies

EWH Buyer 7,800 Jun 22 – 20 put options spreads (ref. 23.75)

SPY Seller 45,000 Dec 290 call options (ref. 278.40)

SPY Seller 40,000 Dec 31st 290 – 300 call options spreads (ref. 277.51)

SPY Buyer 10,977 Jan 4th 250 put options (ref. 277.24)

QQQ Seller 10,000 Dec 177 call options to Buy 10,000 Dec 162 put options (ref. 170.84)

EEM Seller 16,280 Dec 31st 44 call options (ref. 41.34)

VNQ Seller 66,000 Jan 72 put options (closing) to Buy 60,000 Mar 74 put options (ref. 82.00)

 

 

 

Finance Trades Options Strategies

HYG 12,500 Jan 4th 83.5 RevCons trade (ref. 83.55)

SPY 5,000 Mar 300 RevCons trade (ref. 273.68)

 

 

Upcoming Earnings

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
HPE 12/4/2018 5.6 6.0 -6.8% D 5,080
HQY 12/4/2018 1.8 5.4 -67.0% C 5,223
MDB 12/4/2018 7.7 6.7 15.2% F 18,577
OLLI 12/4/2018 5.1 2.7 88.6% B 4,906
ZS 12/4/2018 9.3 11.1 -16.6% F 6,727
CLDR 12/5/2018 14.5 17.9 -19.2% F 3,308
FIVE 12/5/2018 9.0 8.2 9.5% B 15,867
OKTA 12/5/2018 2.4 10.4 -77.4% D 38,035
AVGO 12/6/2018 4.2 4.2 -0.1% A 310,671
DOCU 12/6/2018 8.3 6.7 24.1% C 13,246
FIZZ 12/6/2018 7.9 5.7 38.6% C 2,374
GIII 12/6/2018 10.9 10.7 2.6% C 5,032
HRB 12/6/2018 8.0 9.7 -16.8% A 3,669
KR 12/6/2018 7.5 8.8 -13.9% C 19,944
LULU 12/6/2018 9.7 12.0 -19.0% C 102,126
PLCE 12/6/2018 6.7 6.4 5.1% C 11,449
THO 12/6/2018 10.1 7.5 35.1% D 8,717
ULTA 12/6/2018 5.7 5.2 8.5% A 78,616
UNFI 12/6/2018 11.0 6.4 72.0% C 2,954
BIG 12/7/2018 6.5 5.5 19.4% F 4,813
MTN 12/7/2018 3.4 3.7 -8.7% B 9,361
SFIX 12/10/2018 15.3 23.7 -35.7% F 5,936
AEO 12/11/2018 9.4 7.3 28.6% C 8,822
CASY 12/11/2018 5.1 4.6 9.2% B 1,443
DSW 12/11/2018 10.9 11.3 -3.2% C 2,602
PLAY 12/11/2018 8.6 7.2 20.4% D 2,593
OXM 12/12/2018 8.5 5.4 56.8% B 2,907
TLRD 12/12/2018 14.8 14.7 0.7% C 2,965
CIEN 12/13/2018 7.7 9.8 -21.4% C 10,324
COST 12/13/2018 2.5 3.1 -20.8% B 253,338
ORCL 12/17/2018 3.3 5.6 -41.1% C 112,918
CCL 12/18/2018 3.8 3.2 19.0% B 27,868
DRI 12/18/2018 5.1 6.1 -16.2% A 3,782
FDS 12/18/2018 4.5 4.2 5.5% A 7,792
FDX 12/18/2018 4.0 3.4 19.4% C 141,930
MU 12/18/2018 5.9 5.2 13.3% C 496,777
GIS 12/19/2018 4.4 3.8 16.4% A 30,434
PAYX 12/19/2018 2.8 2.1 32.1% B 11,305
CAG 12/20/2018 3.3 3.6 -8.6% C 4,256
NKE 12/20/2018 3.4 4.3 -21.3% D 85,642
SAFM 12/20/2018 5.6 3.5 58.9% F 3,250
KMX 12/21/2018 5.5 5.1 7.8% C 4,725

 

Volatility Standouts

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
AKRX 60.39% D -0.65% 75.00 2,640
FTAI 57.48% B -1.67% 51.98 647
PPC 56.93% D 4.19% 9.92 1,783
BBBY 55.71% D 1.73% 98.02 17,363
PBYI 52.83% F -1.37% 88.10 742
PTLA 5.23E-01 F 0.71% 71.43 2,033
CARS 48.04% C 3.34% 69.84 2,236
MD 47.22% C -0.63% 4.37 284
ONCE 46.56% F -0.42% 87.70 498
BERY 45.59% B -0.38% 85.71 17,816
RLGY 44.54% F 2.61% 87.30 24,556
UNFI 43.64% C 0.89% 92.86 2,954
THS 42.26% C -15.63% 67.46 43,556
TTMI 41.38% B -12.73% 69.84 343
ANDX 41.37% D -2.24% 90.48 2,600
TCS 37.53% F -2.09% 32.14 255
COMM 37.41% D 0.76% 88.10 772
NLY 37.34% C -0.60% 61.90 7,342
PLAY 36.64% D -0.92% 92.06 2,593
SRCL 36.55% D -1.54% 61.51 1,156
CNDT 3.62E-01 C 3.22% 95.24 235
UNM 33.82% B -1.68% 74.21 3,090
WU 33.75% B -0.86% 38.49 592
MHK 33.03% D -2.74% 97.22 8,603

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
ATHN -62.95% C -0.65% 0.40 16,032
FNSR -54.25% D -1.67% 0.00 3,409
IDTI -50.94% B 4.19% 8.73 1,066
SFM -49.83% C 1.73% 10.32 12,982
OZK -48.84% F -1.37% 99.21 1,536
GBT -4.84E-01 F 0.71% 22.22 21,492
PVTL -45.81% F 3.34% 60.39 1,177
LITE -43.45% C -0.63% 53.97 14,670
ARRS -42.87% C -0.42% 1.19 2,150
PCG -39.72% C -0.38% 95.24 42,889
EIX -37.16% D 2.61% 94.84 9,673
VRSN -37.00% A 0.89% 73.41 3,689
CFX -36.06% C -15.63% 94.05 1,810
ZS -35.93% F -12.73% 35.03 6,727
HUBS -35.24% C -2.24% 38.89 6,888
MA -34.69% A -2.09% 79.76 401,569
SAVE -34.62% F 0.76% 35.71 8,124
LH -34.28% B -0.60% 95.24 12,968
DGX -33.91% B -0.92% 86.90 11,793
SPLK -32.57% D -1.54% 67.46 75,948
CRM -31.92% D 3.22% 83.33 621,817
WES -31.86% C -1.68% 70.63 1,435
NOW -30.71% F -0.86% 79.37 92,539
PYPL -30.52% C -2.74% 57.94 256,456