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Volatility stays bid as equity markets look for a bottom

Dec 10, 2018

 

Options Market Commentary

Equities opened unchanged but have since sold off and are currently off lows as investors digest another Brexit delay. Of note, tech is outperforming despite news of a partial iPhone ban in  China (AAPL -2%).  Currently, the S&P is -1.1%, the Russell is -0.8%, and the Nasdaq is -.32%. Bonds are modestly stronger and are dragging down financials with XLF -2.3%. Gold is muted with GLD -.3% and crude oil is lower today with WTI -1.8% and Brent -1.2%. Energy ETFs are responding in kind with XOP -3.5% and XLE -2.7%.  Volatilities are higher with the VIX +9% to 25.28, RVX +8% to 28.15, and VXN +4% to 29.19.

 

ETF 30D Volatility Changes

SPY:        +3%

IWM:       +4%

QQQ:       +1%

 

Directional Options Strategies

Bullish Option Strategies

WFC Buyer 3,000 Dec 14th 49.5 put options (closing) to Sell 3,000 Dec 14th 48 put options (rolls write, ref. 48.74)

TROX Buyer 1,900 Jan 11 call options (ref. 7.18)

VALE Buyer 5,000 Jan20 12 call options (ref. 12.79)

DVA Seller 6,000 Jan 72.5 (closing) to Buy 6,000 Jan 67.5 call options (ref. 57.27)

BAC Buyer 28,000 Jan20 32 – 35 call options spreads trade (ref. 24.45)

 

Bearish Option Strategies

KNX Buyer 20,000 Jan 25 put options (ref. 28.66)

TRIP Buyer 3,000 Mar 62.5 put options (ref. 60.92)

F Buyer 49,000 Jan 8 put options (ref. 8.62)

SKT Buyer 8,300 Mar 22.5 put options (ref. 23.86)

DSW Seller 4,000 Dec 25 put options (closing) to Buy 4,000 Jan 22.5 put options (ref. 23.24)

 

Macro Options Strategies

Bullish Option Strategies

VXX Buyer 15,000 Dec 34 – 33.5 put options spreads (ref. 40.84)

EEM Seller 20,000 Dec 38 put options tied to stock (ref. 39.48)

EEM Buyer 30,000 Feb 39 – 43 call options spreads tied to stock (ref. 39.11)

XOP Buyer 5,000 Mar 35 call options (ref. 30.19)

 

Bearish Option Strategies

XLB Buyer 3,176 Jan 48 put options (ref. 51.70)

GLD Buyer 7,392 Jan 114 put options (ref. 117.89)

XLF Seller 9,000 Dec 24.5 put options (closing) to Buy 12,000 Dec 23 put options (rolls down, ref. 24.49)

EFA 15,000 Feb 56 – 50 put options spreads trade (ref. 59.80)

TLT Seller 37,500 Jan 120 – 126 call options spreads (likely closing, ref. 118.92)

KRE Seller 7,694 Jan 53 – 50 put options spreads (closing) to Buy 14,200 Jan 50 – 47 put options spreads (ref. 50.34)

HYG 30,000 Jan 82 – 77 put options spreads trade (ref. 82.71)

SPY Seller 16,070 Dec 265 – 255 put options spreads to Buy 16,070 Jan 255 – 240 put options spreads (ref. 260.67)

 

 

 

Finance Trades Options Strategies

EWJ 9,000 Dec 55 RevCons trade (ref. 52.75)

IWM 13,000 Jan 160 RevCons trade (ref. 143.17)

 

 

 

Upcoming Earnings

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
SFIX 12/10/2018 19.6 23.7 -17.4% F 6,160
AEO 12/11/2018 10.7 7.3 45.9% C 13,103
DSW 12/11/2018 12.0 11.3 6.0% C 3,100
TLRD 12/12/2018 17.1 14.7 16.2% C 3,616
ADBE 12/13/2018 4.7 2.9 59.6% A 449,236
ORCL 12/17/2018 6.2 5.6 10.7% C 111,045
CCL 12/18/2018 4.2 3.2 31.6% B 20,736
DRI 12/18/2018 6.7 6.1 9.2% A 7,118
FDS 12/18/2018 5.3 4.2 24.3% A 7,106
FDX 12/18/2018 6.0 3.4 78.5% C 236,469
MU 12/18/2018 8.7 5.2 68.4% C 457,531
GIS 12/19/2018 5.5 3.8 44.2% A 37,283
PAYX 12/19/2018 4.0 2.1 86.8% B 11,943
CAG 12/20/2018 4.8 3.6 32.2% C 6,170
CTAS 12/20/2018 4.1 4.5 -7.9% A 2,389
NKE 12/20/2018 6.0 4.3 37.8% D 89,379
SAFM 12/20/2018 5.6 3.5 57.7% F 3,000
WBA 12/20/2018 3.2 3.7 -12.3% B 72,133
KMX 12/21/2018 6.0 5.1 19.0% C 6,336
LW 1/3/2019 5.5 4.1 33.0% A 4,372
CALM 1/7/2019 7.2 3.8 89.9% D 3,377
AYI 1/9/2019 10.9 10.3 6.0% C 5,198
BBBY 1/9/2019 20.6 11.4 80.3% D 18,772
KBH 1/9/2019 4.6 5.3 -13.4% C 6,953
STZ 1/9/2019 6.1 4.6 32.1% B 114,844
DAL 1/10/2019 4.4 2.4 85.6% C 139,181
LEN 1/10/2019 8.7 3.6 137.6% A 17,282
BLK 1/11/2019 4.3 2.1 102.5% C 65,196
C 1/14/2019 5.5 1.6 252.4% C 575,597
CSX 1/15/2019 5.1 4.3 18.3% C 49,225
HRS 1/15/2019 5.1 5.5 -6.7% A 15,918
IBKR 1/15/2019 1.5 2.2 -31.1% D 3,578
JPM 1/15/2019 5.1 1.3 299.2% C 428,655
UNH 1/15/2019 2.6 3.0 -11.8% A 358,112
WFC 1/15/2019 5.9 1.8 228.8% C 222,694
AA 1/16/2019 5.9 6.0 -1.2% F 40,080
AXP 1/16/2019 3.7 3.4 9.1% B 93,361
BAC 1/16/2019 5.3 1.5 262.1% C 761,540
CMA 1/16/2019 6.6 2.0 227.9% A 5,176
GS 1/16/2019 4.5 2.1 117.5% C 601,146
KMI 1/16/2019 5.6 2.0 182.1% C 28,293
PNC 1/16/2019 5.3 1.7 212.1% C 28,095
USB 1/16/2019 4.7 1.6 193.5% B 54,915

 

Volatility Standouts

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
UNFI 74.97% C -0.74% 98.02 4,665
IMMU 65.22% D -1.14% 99.21 11,292
CARS 61.82% C 0.90% 85.32 2,374
PTLA 61.46% F 1.36% 80.56 2,358
KTOS 60.54% F 2.01% 97.62 1,385
THS 60.16% C 1.75% 87.70 43,349
FTAI 59.73% B 2.73% 74.21 446
SRCL 58.71% D -0.85% 98.02 1,222
BBBY 56.79% D -0.02% 99.60 18,772
IDTI 54.92% B 5.70% 5.56 1,086
MD 52.24% C -0.86% 26.19 252
MKC 52.23% A 0.53% 96.43 9,084
CLVS 51.25% C -9.31% 98.81 6,437
MDLZ 45.90% C 0.98% 82.94 23,003
GSKY 44.19% F -2.47% 89.47 184
HIG 44.10% A 2.24% 98.41 5,329
HSY 44.06% A -1.20% 92.06 6,105
RLGY 44.04% F -1.67% 97.22 22,990
CZR 42.86% D -0.43% 96.43 14,134
HRL 42.70% B 0.28% 79.76 7,819
PLAY 42.10% D -1.03% 98.41 2,387
COMM 41.96% D -1.21% 94.05 576
BERY 41.31% B 4.26% 92.06 8,255
WU 40.90% B -0.86% 79.37 440

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
ATHN -65.14% C -0.74% 6.75 13,523
GBT -49.56% F -1.14% 11.11 23,776
FNSR -45.94% D 0.90% 6.75 3,123
SFM -44.69% C 1.36% 36.90 13,541
OZK -39.15% F 2.01% 99.60 1,642
PVTL -38.98% F 1.75% 96.18 1,470
LITE -36.86% C 2.73% 98.81 16,962
PCG -33.57% C -0.85% 96.03 32,675
SAVE -30.15% F -0.02% 85.32 10,991
TRCO -30.07% B 5.70% 3.17 10,683
EIX -27.58% D -0.86% 96.03 10,008
COUP -24.53% F 0.53% 89.29 20,532
SEND -23.72% D -9.31% 96.76 935
WES -23.50% C 0.98% 80.16 1,420
LH -20.96% B -2.47% 99.60 13,933
OKTA -20.90% D 2.24% 88.49 31,006
ERI -19.51% D -1.20% 92.86 10,502
VRSN -18.91% A -1.67% 96.03 5,084
MA -18.87% A -0.43% 99.21 334,551
ACAD -18.86% D 0.28% 82.94 4,648
HA -18.25% D -1.03% 86.51 2,947
OCLR -18.14% D -1.21% 13.49 690
VKTX -17.83% F 4.26% 4.29 3,843
DGX -17.66% B -0.86% 100.00 14,494