blog

Latest from the Quantamize Blog

VIX down -5.5% on equity rally due to improved China talks

Dec 12, 2018

 

Options Market Commentary

Equities are in the green today following positive trade developments out of China. Currently, the S&P is +1.5%, the Russell is +1.7%, and the Nasdaq is +2%. Indexes are near their highs for the day. Strength is across most sectors with Consumer Staples, +.3% the lone laggard. Bonds are down slightly. Gold is +.2% with the Miners +2%. WTI crude oil is +1.2%. Energy ETFs are higher with XOP +2% and XLE +1.5%. Volatilities are getting hit on today’s move higher as the VIX is -5% to 20.70, RVX -6% to 24.20, and VXN -6% to 25.17.

 

ETF 30D Volatility Changes

SPY:        -6%

IWM:       -6%

QQQ:       -6%

   

 

Directional Options Strategies

Bullish Option Strategies

SBUX Buyer 3,400 Dec 14th 67 call options (ref. 66.49)

ZAYO Buyer 4,000 Dec 27.5 call options (ref. 25.43)

DVA Seller 6,000 Jan 67.5 call options (closing) to Buy 6,000 Jan 65 call options (rolls down, ref. 58.92)

TVPT 9,930 Mar 17.5 call options trade (ref. 15.76)

AIG Buyer 8,000 Jan 46 call options (ref. 37.59)

TWTR Buyer 10,000 Mar 38 call options (ref. 36.79)

V Seller 3,000 Dec 140 call options (closing) to Buy 6,000 Jan 145 – 150 1x1.5 call options spreads (ref. 140.27)

 

Bearish Option Strategies

TSLA Seller 4,000 Dec 340 put options (closing) to Buy 4,000 Jan 240 put options (rolls out, ref. 366.45)

CS Buyer 6,400 Jan20 10 put options (ref. 11.27)

BMRN Buyer 5,128 Jan 75 put options (ref. 95.64)

 

Macro Options Strategies

Bullish Option Strategies

EEM Buyer 3,000 Mar 40 call options to Sell 9,000 Mar 43 call options (ref. 40.62)

EFA Buyer 6,000 Dec 52 straddles (long vol., directionally neutral, ref. 61.55)

EEM Seller 110,000 Dec 42 call options (closing) to Buy 72,000 Jan 42 call options and Sell 94,000 Jan 43.5 call options tied to stock (ref. 40.54)

XOP Buyer 10,000 Jan 32 – 35 – 38 call options flies (ref. 31.33)

LQD Seller 45,000 Dec 112 put options tied to stock (ref. 112.57)

EWZ Seller 16,000 Dec 39 call options (closing) to Buy 25,000 Jan 40 call options and Sell 32,500 Jan 42 call options tied to stock (ref. 39.13)

 

Bearish Option Strategies

TLT Seller 21,000 Jan 121 – 127 call options spreads (closing, ref. 118.64)

GDX Buyer 6,000 Jan 20 put options (ref. 20.35)

GLD Buyer 4,184 Mar 110 put options (ref. 117.84)

XBI Seller 5,000 Jan 90 call options to Buy 5,000 Jan 74 – 67 1x2 put options spreads (ref. 80.55)

XBI Seller 15,044 Jan 75 – 67 put options spreads (closing) to Buy 15,044 Feb 77 – 67 put options spreads (rolls out and up, ref. 80.83)

 

 

 

Finance Trades Options Strategies

FXI 5,000 Mar 41 RevCons trade (ref. 41.60)

RAMP 5,000 Dec 65 RevCons trade (ref. 46.16)

 

 

 

Upcoming Earnings

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
TLRD 12/12/2018 17.4 14.7 18.6% C 4,768
ADBE 12/13/2018 3.9 2.9 32.8% A 464,818
CIEN 12/13/2018 8.6 9.5 -9.6% C 6,369
COST 12/13/2018 3.4 3.1 9.3% B 269,067
ORCL 12/17/2018 5.3 5.6 -5.5% C 105,408
CCL 12/18/2018 3.6 3.2 14.9% B 21,371
DRI 12/18/2018 6.1 6.1 -0.3% A 11,528
FDS 12/18/2018 4.9 4.2 15.6% A 6,824
FDX 12/18/2018 4.3 3.4 26.5% C 314,664
MU 12/18/2018 6.7 5.2 30.0% C 509,634
NAV 12/18/2018 7.9 5.0 58.4% B 2,872
GIS 12/19/2018 5.0 3.8 31.8% A 44,513
PAYX 12/19/2018 3.5 2.1 61.8% B 10,912
CAG 12/20/2018 4.2 3.6 16.4% C 6,757
CTAS 12/20/2018 3.8 4.5 -15.9% A 2,349
NKE 12/20/2018 5.4 4.3 25.0% D 102,586
SAFM 12/20/2018 5.6 3.5 58.0% F 2,679
WBA 12/20/2018 4.1 3.7 11.9% B 82,312
KMX 12/21/2018 5.8 5.1 14.5% C 6,848
LW 1/3/2019 5.0 4.1 20.3% A 3,830
CALM 1/7/2019 6.8 3.8 79.6% D 3,212
AYI 1/9/2019 10.1 10.3 -1.6% C 5,845
BBBY 1/9/2019 17.5 11.4 53.2% D 18,610
KBH 1/9/2019 2.3 5.3 -55.6% C 6,537
STZ 1/9/2019 5.6 4.6 22.1% B 114,316
DAL 1/10/2019 3.1 2.4 29.2% C 127,396
LEN 1/10/2019 7.6 3.6 107.2% A 18,810
BLK 1/11/2019 4.3 2.1 103.3% C 68,324
C 1/14/2019 4.8 1.6 210.1% C 622,045
CSX 1/15/2019 4.3 4.3 -0.4% C 55,440
FRC 1/15/2019 5.5 2.4 127.7% B 2,685
HRS 1/15/2019 3.2 5.5 -41.1% A 16,325
JPM 1/15/2019 4.1 1.3 224.5% C 522,605
UNH 1/15/2019 1.9 3.0 -34.8% A 395,856
WFC 1/15/2019 5.4 1.8 199.7% C 325,598
AA 1/16/2019 5.7 6.0 -5.1% F 31,460
AXP 1/16/2019 3.6 3.4 4.1% B 99,012
BAC 1/16/2019 3.8 1.5 158.5% C 966,907
CMA 1/16/2019 5.6 2.0 176.1% A 7,978
GS 1/16/2019 4.0 2.1 92.9% C 693,091
KMI 1/16/2019 4.7 2.0 138.4% C 30,886
PNC 1/16/2019 4.6 1.7 168.2% C 37,081
USB 1/16/2019 4.1 1.6 151.3% B 52,696

 

Volatility Standouts

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
ARNC 7.48E-01 D -4.82% 98.02 52,384
IMPV 60.62% C -1.15% 1.19 2,590
PTLA 60.21% F 1.07% 82.94 3,504
BBBY 59.94% D -2.23% 98.81 18,610
SERV 58.80% D -1.31% 91.63 1,165
EVRI 58.72% C -2.10% 78.97 2,590
UNIT 56.97% C -4.90% 52.38 6,270
IMMU 54.52% D -4.29% 94.44 8,841
TTMI 48.86% B -4.68% 95.24 104
MD 47.55% C -2.42% 33.33 591
ACM 46.85% D -4.10% 97.62 362
CARS 45.77% C -5.55% 80.16 2,831
CLVS 45.09% C -8.83% 98.81 7,168
UNFI 44.59% C 0.00% 96.43 5,359
HAIN 44.42% D -2.31% 96.83 4,637
CZR 44.31% D 0.00% 96.03 15,103
ICHR 43.73% D -5.38% 84.92 3,099
HSY 42.65% A -3.44% 94.84 6,239
UNM 42.30% B -3.59% 99.21 4,926
SRCL 42.27% D -2.96% 99.21 1,159
ACHC 42.04% C -2.91% 94.84 14,513
WH 41.97% F -5.13% 90.63 1,107
HIG 41.86% A -16.36% 98.02 5,182
MKC 41.38% A -21.04% 94.84 9,970

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
NTRI -69.58% C -4.82% 0.00 1,470
TRCO -66.25% B -1.15% 0.79 10,659
ATHN -57.48% C 1.07% 7.54 11,837
GBT -49.33% F -2.23% 11.90 24,304
XPER -47.52% D -1.31% 71.43 369
OZK -45.53% F -2.10% 98.81 1,542
FNSR -45.29% D -4.90% 6.35 3,604
SFM -45.17% C -4.29% 48.81 14,707
ESIO -42.56% C -4.68% 5.95 1,888
PCG -39.15% C -2.42% 94.44 28,341
LITE -37.16% C -4.10% 91.27 17,014
EIX -32.66% D -5.55% 94.84 7,750
SAVE -32.21% F -8.83% 77.78 11,536
COUP -29.97% F 0.00% 86.90 20,721
DLTH -28.73% B -2.31% 98.41 409
CAMP -28.24% A 0.00% 99.21 237
LH -26.81% B -5.38% 99.60 14,977
SQ -24.41% F -3.44% 88.49 523,467
VRSN -24.16% A -3.59% 93.65 5,164
SEND -23.26% D -2.96% 72.29 209
MA -23.00% A -2.91% 96.83 335,622
ARMK -22.38% B -5.13% 94.05 8,341
OKTA -22.23% D -16.36% 86.90 30,677
ACAD -21.74% D -21.04% 77.38 4,543