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VIX up 9% as equities roll over on continued trade fears

Dec 07, 2018

 

Options Market Commentary

Equities started the day little changed on the weaker than expected jobs number, but then stocks moved sharply lower on trade concerns with the Nasdaq being the biggest underperformer. Currently, the S&P is -1.5%, the Russell is -1.1%, and the Nasdaq is -2.2% with AAPL and AMZN down over 2.3% each. Bonds are modestly lower. Gold is higher again with GLD +.5%.  Gold is now at its highest level since July. Crude oil is rallying on today’s announced OPEC cuts with WTI +4% and Brent +4.4%. Energy ETFs are in the green as well with XOP +1.6% and XLE +1.2%. Volatilities are higher with the VIX +5% to 22.23, RVX +2% to 25.59, and VXN +4% to 26.93.

 

ETF 30D Volatility Changes

SPY:        +11%

IWM:        +4%

QQQ:       +6%

 

Directional Options Strategies

Bullish Option Strategies

GPS Seller 8,000 Dec 25 put options (ref. 27.58)

QD Buyer 2,600 Jan 6 call options (ref. 5.12)

SPLK Seller 9,900 Mar 90 put options (closing, ref. 108.11)

ATVI Buyer 2,000 Dec 7th 48.5 call options (ref. 48.39)

RHT Seller 12,500 Mar 140 put options (closing, ref. 177.64)

 

Bearish Option Strategies

AEO Buyer 6,000 Dec 21 put options (19.24)

TSLA 10,000 Jan 280 – 270 (ref. 374.40)

CHK Buyer 9,500 Apr 2.5 put options (ref. 2.81)

TER Buyer 5,061 Jan 33 put options (ref. 33.15)

 

Macro Options Strategies

Bullish Option Strategies

SLV Seller 66,700 Jan 13 put options (closing, ref. 13.71)

USO Seller 10,000 Jul 10 put options tied to stock (ref. 11.39)

KRE Buyer 100,000 Jan  54.5 – 56 call options spreads tied to stock (ref. 52.26)

GDX Buyer 6,000 Jan 21 – 23 call options spreads (ref. 19.92)

FXI Seller 20,000 Dec 37 put options to Buy 10,000 Dec 36 – 35 – 33 put options all around and Sell 10,000 Dec 31 put options (closes protection, ref. 40.88)

 

Bearish Option Strategies

FXI Seller 10,000 Dec 28th 43 – 45 call options spreads (ref. 41.41)

FXI Buyer 12,500 Dec 39 put options tied to stock (ref. 40.88)

GLD Buyer 6,560 Dec 115 put options (ref. 117.78)

XLI Buyer 5,000 Jan 20 65 put options (ref. 69.15)

VXX Buyer 7,000 Dec 70 call options (ref. 39.61)

SPX Buyer 20,000 Dec 2625 – 2590 – 2550 put options flies (ref. 2665.18)

SPY Seller 30,000 Dec 14th 280 call options (ref. 268.39)

IYR Seller 20,000 Dec 77.5 put options (closing) to Buy 10,000 Dec 80 put options (rolls up, ref. 82.20)

 

 

 

Finance Trades Options Strategies

HYG 7,500 Jan 95 (ref. 83.17)

XLP 19,000 Dec 7th 55 – Jan 56 Jelly Rolls trade (ref. 55.12)

XLE 7,500 Jan 70 RevCons trade (ref. 65.16)

 

 

 

Upcoming Earnings

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
SFIX 12/10/2018 17.7 23.7 -25.5% F 5,776
AEO 12/11/2018 10.5 7.3 43.4% C 10,553
DSW 12/11/2018 10.3 11.3 -8.8% C 2,729
PLAY 12/11/2018 9.0 7.3 22.6% D 2,343
ADBE 12/12/2018 2.3 3.0 -24.2% A 464,644
OXM 12/12/2018 8.5 5.2 63.1% B 2,071
TLRD 12/12/2018 15.1 14.7 2.5% C 3,434
CIEN 12/13/2018 8.7 9.8 -10.5% C 5,710
COST 12/13/2018 3.3 3.1 6.5% B 249,107
ORCL 12/17/2018 5.7 5.6 2.2% C 119,301
CCL 12/18/2018 3.8 3.2 22.0% B 19,915
DRI 12/18/2018 5.8 6.1 -4.9% A 4,812
FDS 12/18/2018 4.8 4.2 14.0% A 6,854
FDX 12/18/2018 4.5 3.4 31.7% C 209,596
MU 12/18/2018 7.7 5.2 48.5% C 468,135
GIS 12/19/2018 4.9 3.8 29.3% A 32,584
PAYX 12/19/2018 3.7 2.1 71.5% B 12,043
CAG 12/20/2018 4.4 3.6 19.8% C 5,786
NKE 12/20/2018 5.4 4.3 24.3% D 86,008
SAFM 12/20/2018 5.2 3.5 46.2% F 2,986
WBA 12/20/2018 3.1 3.7 -16.6% B 73,489
KMX 12/21/2018 5.8 5.1 14.6% C 5,629
LW 1/3/2019 5.2 4.1 25.5% A 4,303
CALM 1/7/2019 6.4 3.8 68.2% D 3,688
AYI 1/9/2019 9.7 10.3 -5.9% C 5,550
BBBY 1/9/2019 35.2 11.4 207.7% D 17,341
STZ 1/9/2019 5.6 4.6 20.5% B 80,951
DAL 1/10/2019 3.4 2.4 45.7% C 142,103
LEN 1/10/2019 7.4 3.6 101.7% A 17,045
BLK 1/11/2019 1.7 2.1 -20.2% C 62,954
C 1/14/2019 4.3 1.6 175.1% C 572,806
CSX 1/15/2019 4.0 4.3 -6.4% C 39,139
FRC 1/15/2019 5.7 2.4 134.0% B 3,177
HRS 1/15/2019 4.1 5.5 -26.4% A 16,946
JPM 1/15/2019 3.5 1.3 176.0% C 407,814
UNH 1/15/2019 1.8 3.0 -40.6% A 346,942
WFC 1/15/2019 4.7 1.8 161.4% C 210,002
AA 1/16/2019 5.1 6.0 -15.1% F 40,077
AXP 1/16/2019 1.9 3.4 -44.2% B 90,253
BAC 1/16/2019 4.5 1.5 210.6% C 634,666
CMA 1/16/2019 5.3 2.0 164.7% A 4,784
GS 1/16/2019 2.5 2.1 21.7% C 618,269
KMI 1/16/2019 4.2 2.0 114.8% C 29,157
PNC 1/16/2019 4.3 1.7 154.3% C 26,813
USB 1/16/2019 3.8 1.6 137.0% B 50,068

 

Volatility Standouts

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
PBYI 73.58% F 0.80% 86.11 859
IDTI 63.34% B -1.05% 6.35 1,109
CARB 62.08% B -0.80% 75.00 111
DNB 60.89% B 1.73% 21.43 1,056
KTOS 58.02% F -3.88% 85.71 1,230
BBBY 57.15% D -1.96% 99.60 17,341
SRCL 55.36% D 1.49% 92.46 1,228
ARNC 5.53E-01 D 0.47% 93.65 39,213
TGI 54.55% D -0.97% 91.27 103
MD 54.50% C -0.88% 21.43 271
PTLA 54.29% F 1.85% 80.95 2,333
SSP 53.91% B 0.44% 71.43 209
CARS 51.82% C -6.24% 82.54 2,343
BERY 51.03% B -5.23% 91.67 8,400
COMM 50.51% D -1.19% 95.24 541
FRPT 49.89% C -2.15% 51.98 73
CVA 48.98% C 2.12% 62.30 558
SBRA 48.59% D -1.54% 73.41 248
THRM 46.49% C -1.45% 76.59 1,206
MKC 46.08% A -1.17% 94.44 8,160
THS 44.79% C -1.99% 85.71 43,319
HSY 44.69% A 0.74% 88.10 6,617
WU 44.35% B -5.12% 75.79 521
S 42.46% D 5.55% 100.00 10,017

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
ATHN -61.89% C 0.80% 5.56 15,231
SFM -50.02% C -1.05% 29.37 13,369
GBT -49.76% F -0.80% 14.29 22,650
OZK -45.96% F 1.73% 99.21 1,637
FNSR -44.16% D -3.88% 4.76 3,285
PVTL -42.69% F -1.96% 89.74 1,168
LITE -37.55% C 1.49% 89.29 17,134
PCG -35.42% C 0.47% 96.83 43,059
EIX -31.56% D -0.97% 96.03 9,974
WES -31.08% C -0.88% 81.35 1,331
TRCO -29.91% B 1.85% 2.78 10,590
LH -29.72% B 0.44% 99.60 13,408
SAVE -27.89% F -6.24% 63.49 10,157
OCLR -26.51% D -5.23% 15.08 679
DGX -25.79% B -1.19% 98.41 13,818
MA -22.90% A -2.15% 98.41 340,819
IMPV -22.71% C 2.12% 1.19 2,631
VRSN -22.63% A -1.54% 89.29 5,077
COUP -21.37% F -1.45% 87.70 18,003
FOXA -20.76% B -1.17% 1.59 52,528
HUBS -20.66% C -1.99% 81.35 8,658
NOW -19.75% F 0.74% 96.83 85,544
OKTA -19.68% D -5.12% 88.49 31,041
PZZA -19.67% D 5.55% 47.22 20,513