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Intra-day volatility continues to soar as China Tariff rumors and meeting in White House create uncertainty

Dec 11, 2018

 

Options Market Commentary

Equities started the day strong with stocks rallying over 1% on reports of China lowering auto tariffs.  Since then stocks have leveled off and are now little changed with the S&P +.03%, the Nasdaq +.33%, and the Russell +.14%. Bonds continue to be well-bid with TLT +.37% and the 10-year yield falling to 2.848%. Gold is unchanged.  Crude oil is rallying with WTI +1.3%, however energy ETF’s are in the red with XOP -.23% and XLE -.6%. Volatilities were lower earlier, but have bounced with the stock market sell-off. The VIX is +3% to 23.24, RVX -.27% to 26.37, and VXN +.5% to 27.34

 

ETF 30D Volatility Changes

SPY:        +2%

IWM:       -1%

QQQ:       +1%

  

 

Directional Options Strategies

Bullish Option Strategies

KHC Seller 10,000 Apr 62.5 call options (closing) to Buy 10,000 Apr 52.5 call  options (rolls down, ref. 49.01)

NIO Buyer 5,000 Feb 10 call options (ref. 7.09)

BX Seller 69,000 Jan20 40 call options (closing) to Buy 31,000 Jan21 40 call options (rolls out, ref. 31.28)

KKR Seller 29,300 Jan20 25 call options (closing) to Buy 16,200 Jan21 25 call options (rolls out and up, ref. 21.34)

NBR Buyer 20,000 Jan 3 call options (ref. 2.78, adds to 20,000 opened yesterday)

 

Bearish Option Strategies

GE Seller 30,000 Mar 14 call options (closing, ref. 7.07)

F Buyer 50,000 Jan 8 put options (ref. 8.65)

KO Buyer 35,000 Jan21 40 put options (ref. 49.54)

KO Buyer 18,900 Jan21 30 put options (ref. 49.37)

UA Buyer 2,500 Dec 20 put options (ref. 21.13)

 

Macro Options Strategies

Bullish Option Strategies

VXX Buyer 6,000 Jan 11 30 – 28 1x1.5 put options spreads (ref. 39.20)

EWW 3,000 Mar 45 – 49 – 53 call options flies trade (ref. 40.40)

GDX Buyer 4,820 Dec 20.5 call options (ref. 20.11)

EEM Seller 63,000 Dec 37.5 put options to Buy 63,000 Dec 41 call options tied to stock (ref. 39.81)

GLD Buyer 5,000 Jan20 123 call options (ref. 117.57)

FXI Buyer 5,000 Mar 41 call options (ref. 40.59)

 

Bearish Option Strategies

KRE Buyer 3,000 Dec 49 put options (ref. 51.37)

TLT Seller 57,000 Jan 120 – 126 call options spreads (closing, ref. 119.01)

VIX Buyer 43,000 Dec 40 call options (ref. 20.97)

SPY Buyer 17,500 Dec 28th 245 – 230 – 215 put options flies (ref. 267.41)

EFA Buyer 30,000 Jan20 50 put options tied to stock (ref. 60.77)

USO Buyer 5,000 Jan 11 – 9 put options spreads (ref. 11.02)

EWZ Buyer 9,000 Dec 34 put options (ref. 38.20)

INDA Buyer 9,000 Jun 27 – 24 – 21 put options flies (ref. 31.22)

 

 

 

Finance Trades Options Strategies

EFA 5,000 Jan 61 RevCons trade (ref. 60.54)

AAPL 14,000 Jan 180 RevCons trade (ref. 168.97)

IWM 10,000 Dec 155 RevCons (ref. 144.54)

 

 

 

Upcoming Earnings

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
AEO 12/11/2018 10.7 7.3 45.8% C 13,938
TLRD 12/12/2018 16.4 14.7 11.7% C 4,066
ADBE 12/13/2018 3.8 2.9 29.4% A 472,052
CIEN 12/13/2018 8.7 9.5 -8.6% C 5,564
COST 12/13/2018 3.6 3.1 17.2% B 264,746
ORCL 12/17/2018 5.4 5.6 -2.3% C 115,118
CCL 12/18/2018 3.8 3.2 20.2% B 21,184
DRI 12/18/2018 6.4 6.1 5.4% A 9,404
FDS 12/18/2018 5.0 4.2 18.1% A 7,117
FDX 12/18/2018 4.9 3.4 45.3% C 295,253
MU 12/18/2018 7.0 5.2 34.8% C 492,424
GIS 12/19/2018 5.2 3.8 36.8% A 41,001
PAYX 12/19/2018 3.6 2.1 69.8% B 14,554
CAG 12/20/2018 4.4 3.6 20.8% C 6,946
NKE 12/20/2018 5.7 4.3 30.9% D 99,781
SAFM 12/20/2018 5.8 3.5 63.1% F 2,924
WBA 12/20/2018 4.3 3.7 18.6% B 79,792
KMX 12/21/2018 5.8 5.1 14.6% C 6,904
LW 1/3/2019 5.8 4.1 40.2% A 3,778
CALM 1/7/2019 6.9 3.8 83.1% D 3,248
AYI 1/9/2019 10.3 10.3 0.2% C 5,733
BBBY 1/9/2019 18.7 11.4 63.9% D 18,922
KBH 1/9/2019 3.2 5.3 -39.2% C 6,875
STZ 1/9/2019 5.8 4.6 24.4% B 117,855
LEN 1/10/2019 8.1 3.6 120.9% A 17,526
BLK 1/11/2019 3.6 2.1 73.0% C 69,182
C 1/14/2019 4.2 1.6 168.4% C 616,453
CSX 1/15/2019 4.2 4.3 -1.8% C 53,275
FRC 1/15/2019 3.9 2.4 60.9% B 2,818
HRS 1/15/2019 3.5 5.5 -37.2% A 16,147
JPM 1/15/2019 3.6 1.3 182.8% C 502,819
UNH 1/15/2019 2.6 3.0 -11.5% A 382,148
WFC 1/15/2019 4.9 1.8 174.9% C 281,835
AA 1/16/2019 5.8 6.0 -3.5% F 41,252
AXP 1/16/2019 3.2 3.4 -7.7% B 100,510
BAC 1/16/2019 3.5 1.5 141.4% C 948,176
CMA 1/16/2019 5.6 2.0 177.6% A 8,036
GS 1/16/2019 3.2 2.1 53.7% C 659,283
KMI 1/16/2019 5.0 2.0 151.4% C 30,562
PNC 1/16/2019 4.2 1.7 147.1% C 35,743
USB 1/16/2019 3.8 1.6 137.2% B 56,834
BBT 1/17/2019 4.0 2.3 71.8% A 17,107
BK 1/17/2019 4.7 3.5 33.1% D 27,243
FAST 1/17/2019 5.7 5.8 -1.8% A 11,485
KEY 1/17/2019 4.8 2.8 70.9% B 8,071
MS 1/17/2019 4.6 2.3 100.2% C 201,231
PPG 1/17/2019 4.3 2.0 112.4% C 9,224
SCHW 1/17/2019 4.5 1.9 136.5% C 36,230

 

Volatility Standouts

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
STWD 68.17% C -4.77% 58.17 990
IMMU 60.46% D -1.91% 98.01 11,039
BBBY 59.49% D -2.05% 99.20 18,922
PTLA 56.92% F -4.68% 82.47 2,744
THS 55.03% C -2.03% 96.81 43,853
CLVS 54.95% C -2.15% 98.80 7,115
ARMK 51.83% B -0.26% 87.65 5,854
SCG 51.11% D -5.95% 87.25 14,267
CARS 49.97% C -4.25% 90.44 2,364
MD 49.77% C -3.72% 23.51 281
FTAI 46.61% B -2.54% 75.70 466
MKC 46.29% A -5.35% 98.41 9,354
SRCL 45.44% D -10.64% 98.80 1,159
HSY 44.60% A -3.40% 94.02 6,141
UNFI 43.64% C 1.29% 98.80 5,281
YEXT 43.25% B -1.88% 66.14 925
BERY 43.08% B -5.30% 91.63 8,351
BGS 40.72% B -4.44% 27.89 1,070
SFS 40.14% C -2.82% 77.29 18
WU 39.88% B -5.75% 78.88 465
PLAY 39.64% D -0.95% 98.80 2,937
RRGB 39.55% D -5.84% 91.63 1,190
SLB 38.40% C -6.21% 99.60 157,841
HMHC 38.09% B -1.65% 98.80 85

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
IMPV -71.40% C -4.77% 12.35 2,634
NTRI -63.92% C -1.91% 0.00 1,439
ATHN -60.10% C -2.05% 3.98 12,878
FNSR -48.17% D -4.68% 4.78 3,575
GBT -47.94% F -2.03% 10.76 24,599
XPER -46.07% D -2.15% 82.47 306
SFM -45.60% C -0.26% 47.01 14,535
LITE -41.06% C -5.95% 93.23 17,341
OZK -39.71% F -4.25% 99.60 1,645
PVTL -38.31% F -3.72% 96.84 1,806
PCG -34.43% C -2.54% 96.41 33,347
TRCO -32.86% B -5.35% 1.59 10,669
SAVE -31.87% F -10.64% 79.28 11,326
COUP -30.46% F -3.40% 86.85 21,414
EIX -30.39% D 1.29% 95.22 8,291
LH -26.72% B -1.88% 99.60 14,600
DLTH -26.34% B -5.30% 94.42 408
VRSN -24.38% A -4.44% 93.23 5,248
NBEV -22.95% F -2.82% 37.64 6,465
SEND -22.93% D -5.75% 94.35 921
MA -22.73% A -0.95% 98.41 340,131
SQ -22.68% F -5.84% 90.84 511,472
OKTA -21.80% D -6.21% 88.05 31,566
ERI -21.73% D -1.65% 93.23 10,485