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VIX up 20% in extremely volatile equity trading

Dec 06, 2018

 

Options Market Commentary

Equities are picking up where they left off on Tuesday and moving lower though tech shares have since popped and are outperforming and well off lows. Currently, the S&P is -1.55% with weakness in financial shares on the move lower in interest rates. The Russell is -1.08% and the Nasdaq is -.22%. Bonds are moving higher on economic slowdown fears and on a flight to quality, though prices are off earlier highs with TLT +.64% and the 10-year yield declining to 2.87%. Gold is +.22%. Crude oil prices are lower despite a draw in inventories and a potential agreement out of OPEC with WTI -3.2%. Energy ETFs are down as well with XOP -4.3% and XLE -3.2%. Volatilities are higher with the VIX +17% to 24.28, RVX +9% to 26.50, and VXN +7% to 27.06.

 

ETF 30D Volatility Changes

SPY:       +16%

IWM:     +10%

QQQ:     +7%

 

Directional Options Strategies

Bullish Option Strategies

C Buyer 10,000 Feb 65 calls (ref. 59.83)

X Seller 10,000 Dec 22 puts (closing, monetizes half of position, ref. 21.96)

ITB Buyer 3,000 Dec 32 calls (ref.  31.38)

LEN Buyer 5,000 Feb 40 calls (ref. 41.79)

QCOM Buyer 10,000 Jun 57.5 calls (ref. 56.16)

TGT Seller 12,000 Jan 72.5 calls to Buy 12,000 Mar 75 (ref. 67.75)

 

Bearish Option Strategies

CNC Buyer 1,800 Jan 135 – 130 put spreads (ref. 139.55)

TER Buyer 5,000 Jan 34 puts (ref. 33.30)

F Buyer 49,467 Jan 8 puts (ref. 9.02)

TRU Buyer 6,000 Dec 60 puts (closing, covers short, ref. 60.79)

RIG Seller 21,500 Jan 10 call tied to stock (ref. 8.58)

BID Buyer 3,000 Apr 41 puts (ref. 39.01)

CC Buyer 10,800 Dec 25 puts (ref. 25.69)

 

Macro Options Strategies

Bullish Option Strategies

SPY Buyer 25,000 Dec 31st 282 – 283 call spreads (ref. 265.45)

VIX Seller 43,000 Dec  40 calls (ref. 21.20)

TBT Buyer 10,500 Jan 37 calls (ref. 36.96)

 

Bearish Option Strategies

XME Seller 15,000 Dec 7th 28 puts to Buy 11,400 Dec 14th 27.5 puts (rolls out and down, ref. 27.93)

XME Buyer 30,000 Jan 24 – Mar 24 put stupids (ref. 28.17)

USO Seller 15,000 Jan 10.5 puts (closing) to Buy 15,000 Jan 9 puts (ref. 10.92)

HYG Buyer 5,000 Mar 78 puts (ref. 82.89)

VIX Buyer 50,000 Mar 47 – 70 call spreads (ref. 21.20)

XLF Buyer 6,000 Dec 14th 26 – 24.5 1x2 put spreads (ref. 25.26)

XLF Buyer 12,000 Dec 23 puts (ref. 24.97)

TLT Buyer 10,000 Dec 14th 118 – 116 put spreads (ref. 119.00)

XLP 9,600 Jan 50 puts trade (ref. 54.34)

 

 

 

Finance Trades Options Strategies

HYG 11,000 Dec 7th 90 – Jan 95 Jelly Rolls trade (ref. 82.82)

 

 

 

Upcoming Earnings

 

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
AVGO 12/6/2018 5.2 4.2 24.0% A 297177
COO 12/6/2018 5.3 3.5 50.5% B 3531
DOCU 12/6/2018 9.5 6.7 42.1% C 12357
LULU 12/6/2018 10.6 12.0 -11.4% C 107655
ULTA 12/6/2018 6.2 5.2 18.6% A 82832
UNFI 12/6/2018 12.7 6.3 101.6% C 3049
BIG 12/7/2018 8.1 5.5 49.1% F 5016
MTN 12/7/2018 5.0 3.7 34.6% B 9027
SFIX 12/10/2018 17.1 23.7 -27.9% F 5458
AEO 12/11/2018 10.0 7.3 36.7% C 10277
PLAY 12/11/2018 10.0 7.2 38.8% D 2651
OXM 12/12/2018 9.0 5.4 66.7% B 2905
TLRD 12/12/2018 16.0 14.7 8.6% C 3492
ADBE 12/13/2018 3.1 3.0 2.2% A 483627
CIEN 12/13/2018 9.2 9.8 -5.8% C 7590
COST 12/13/2018 3.5 3.1 13.7% B 263671
ORCL 12/17/2018 7.1 5.6 28.0% C 113162
CCL 12/18/2018 4.7 3.2 48.5% B 21660
DRI 12/18/2018 6.1 6.1 -0.3% A 3954
FDS 12/18/2018 5.4 4.2 26.4% A 7292
FDX 12/18/2018 4.7 3.4 39.3% C 205359
MU 12/18/2018 9.2 5.2 78.1% C 499096
GIS 12/19/2018 4.9 3.8 27.1% A 29145
PAYX 12/19/2018 4.1 2.1 92.0% B 11880
CAG 12/20/2018 4.0 3.6 8.5% C 4251
NKE 12/20/2018 5.8 4.3 33.0% D 89557
SAFM 12/20/2018 6.7 3.5 89.9% F 3207
WBA 12/20/2018 2.5 3.7 -30.4% B 71810
KMX 12/21/2018 6.1 5.1 19.7% C 5317
LW 1/3/2019 5.0 4.1 21.4% A 4042
CALM 1/7/2019 7.5 3.8 98.8% D 4901
AYI 1/9/2019 10.0 10.3 -2.2% C 5320
BBBY 1/9/2019 35.1 11.4 207.0% D 17685
KBH 1/9/2019 2.6 5.3 -51.4% C 6464
STZ 1/9/2019 5.9 4.6 27.7% B 94600
DAL 1/10/2019 4.0 2.4 67.6% C 138959
LEN 1/10/2019 7.8 3.6 113.4% A 13461
BLK 1/11/2019 2.1 2.1 -0.9% C 62573
C 1/14/2019 5.2 1.6 232.4% C 422937

 

Volatility Standouts

 

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
SRCL 70.12% D 10.48% 77.47 1198
CARS 69.32% C 5.67% 76.68 2354
TTMI 67.28% B 6.18% 92.89 343
FLIR 63.74% B 3.94% 91.70 338
IDTI 62.54% B -1.02% 16.21 1154
IMMU 62.38% D 4.90% 96.05 11323
PBYI 62.32% F 9.82% 96.05 821
PTLA 58.72% F 2.66% 73.91 2345
SSP 5.59E-01 B 11.23% 50.99 207
MD 54.59% C 6.19% 11.46 276
COMM 53.51% D 4.69% 90.91 731
CNDT 52.89% C 10.62% 98.02 244
BERY 52.70% B 8.16% 88.93 17547
TCS 51.89% F 20.32% 29.64 256
RRD 51.32% D 9.88% 63.64 57
EXR 50.18% B 18.34% 20.95 768
NLY 49.80% C 7.65% 94.47 7137
YRCW 49.72% A 9.73% 77.87 120
PLAY 49.22% D 9.47% 98.42 2651
LOCO 48.63% B 9.34% 69.57 331
ZAGG 48.08% D 7.89% 33.99 160
BGS 47.80% B 7.39% 12.65 1392
ONCE 46.95% F 10.58% 86.56 554
WMB 44.99% D 2.22% 86.17 12837

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
ATHN -62.25% C 10.48% 0.40 14454
OZK -47.90% F 5.67% 99.60 1972
SFM -47.01% C 6.18% 26.88 13143
GBT -45.96% F 3.94% 8.70 21281
PVTL -42.18% F -1.02% 69.68 1084
FNSR -41.49% D 4.90% 2.37 3599
TRCO -41.42% B 9.82% 0.79 9919
ARRS -39.20% C 2.66% 2.77 2113
LITE -36.88% C 11.23% 62.85 14222
PCG -36.14% C 6.19% 96.05 42475
EIX -34.93% D 4.69% 95.26 9382
IMPV -32.05% C 10.62% 0.40 2661
SAVE -28.38% F 8.16% 50.59 9098
LH -27.23% B 20.32% 99.21 13276
DGX -26.60% B 9.88% 92.89 12370
OKTA -2.17E-01 D 18.34% 96.44 36046
ABMD -20.03% B 7.65% 82.61 27164
PZZA -19.53% D 9.73% 52.17 24169
VKTX -19.29% F 9.47% 0.43 4064
OCLR -18.48% D 9.34% 56.52 238
VRSN -18.24% A 7.89% 85.77 4359
HUBS -17.82% C 7.39% 68.38 8942
CRUS -17.81% C 10.58% 47.83 9070
TDG -17.08% B 2.22% 96.44 8605