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Volatility and Equities pause in listless trading

Dec 13, 2018

 

Options Market Commentary

Equities started the day in the green, traded down towards unchanged, rallied back towards highs, but the rally failed and now stocks are on lows for the day with the S&P -.25%, the Nasdaq is -.45%, and the Russell is the biggest laggard, -1.1% on weakness in Retail (-2.5%) and Biotech (-2.7%). Utilities are acting as a flight to safety, +1.25%. Bonds are modestly lower, as is Gold. WTI Crude is rallying, +2.1%, however the overall market is dragging keeping a lid on Energy ETF’s with XOP -.5% and XLE +.23%. Volatilities are mixed even as stocks fall with the VIX -.6% to 21.33, RVX +2% to 25.02, and VXN +.7% to 26.48.

 

ETF 30D Volatility Changes

SPY:        -2%

IWM:       FLAT

QQQ:       -1%

 

 

Directional Options Strategies

Bullish Option Strategies

CCJ Buyer 3,700 Mar 15 calls (ref. 12.15)

WFC Buyer 24,000 Jan20 50 calls tied to stock (ref. 47.60)

C Buyer 22,800 Feb 60 calls (ref. 56.18)

NVAX Buyer 6,000 Apr 3 calls (on top of 18,000 yest., ref. 2.40)

KORS Buyer 12,500 Jan21 75 calls (ref. 38.04)

NRG Buyer 3,000 Jan 43 calls (ref. 42.54)

LB Seller 7,000 May 25 puts (closing, ref. 31.30)

M Buyer 3,500 Jan 31 calls (ref. 30.50)

JD Seller 8,000 Dec 22 calls (closing) to Buy 8,000 Jan 23.5 calls (ref. 23.12)

 

Bearish Option Strategies

BAC Seller 25,000 Dec 14th 25 – 25.5 call spreads (ref. 24.51)

XPO Buyer 4,200 Jan 50 puts (ref. 57.11)

GE Buyer 25,000 Jan 4th 5.5 puts (ref. 7.36)

GME Buyer 6,000 Feb 13 puts (ref. 12.86)

VIAB Seller 7,400 Jun 27.5 – 32.5 strangles (sells vol., directionally neutral, ref. 29.01)

Macro Options Strategies

Bullish Option Strategies

EWZ Buyer 6,000 Jan 40 calls (ref. 38.53)

XLF Seller 30,000 Jan 22 puts to Buy 30,000 Jan 25 calls (ref. 24.63)

VIX Seller 22,000 Jan 23rd 30 calls (ref. 20.44)

FXI Buyer 13,000 Mar 46 calls (ref. 41.60)

 

Bearish Option Strategies

HYG 40,000 Jun 77 – 76 put spreads trade (ref. 83.50)

SPX 10,312 Jan 11th 1300 puts trade (ref. 2665.80)

EEM 10,000 Mar 40 – 37 put spreads trade (ref. 40.51)

SPY Buyer 30,000 Dec 17th 255 - 251.5 put spreads (ref. 264.97)

 

 

 

Finance Trades Options Strategies

AAPL 15,000 Dec – Jan 180 Jelly Rolls trade (ref. 171.46)

EEM 10,000 Jan 45 RevCons trade (ref. 40.44)

 

 

 

Upcoming Earnings

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
ADBE 12/13/2018 4.1 2.9 37.9% A 478,035
COST 12/13/2018 3.5 3.1 12.5% B 290,737
ORCL 12/17/2018 5.5 5.6 -1.3% C 101,877
DRI 12/18/2018 5.7 6.1 -5.8% A 13,093
FDS 12/18/2018 4.7 4.2 11.0% A 6,338
FDX 12/18/2018 4.0 3.4 17.1% C 352,697
JBL 12/18/2018 7.0 6.0 16.2% C 2,510
MU 12/18/2018 6.5 5.2 26.5% C 505,468
NAV 12/18/2018 7.7 5.0 54.0% B 2,947
PAYX 12/19/2018 3.7 2.1 74.1% B 11,740
CAG 12/20/2018 4.3 3.6 17.9% C 6,475
CCL 12/20/2018 3.6 3.2 14.0% B 20,541
NKE 12/20/2018 5.2 4.3 21.2% D 101,259
SAFM 12/20/2018 5.1 3.5 45.6% F 2,473
WBA 12/20/2018 4.4 3.7 20.4% B 82,725
KMX 12/21/2018 5.8 5.1 15.2% C 6,872
LW 1/4/2019 5.0 4.1 20.0% A 3,385
CALM 1/7/2019 6.1 3.8 61.6% D 3,300
AYI 1/9/2019 10.0 10.3 -2.7% C 5,220
BBBY 1/9/2019 17.5 11.4 53.3% D 18,250
STZ 1/9/2019 5.7 4.6 23.9% B 115,905
LEN 1/10/2019 6.9 3.6 90.4% A 19,030
BLK 1/11/2019 4.0 2.1 87.5% C 72,151
C 1/14/2019 4.9 1.6 214.0% C 668,758
CSX 1/15/2019 4.5 4.3 5.3% C 54,906
FRC 1/15/2019 3.7 2.4 53.8% B 2,751
HRS 1/15/2019 4.3 5.5 -21.1% A 10,328
IBKR 1/15/2019 2.0 2.2 -10.9% D 3,584
JPM 1/15/2019 4.0 1.3 216.2% C 563,996
UNH 1/15/2019 2.8 3.0 -6.0% A 392,192
WFC 1/15/2019 5.2 1.8 190.8% C 365,356
AA 1/16/2019 5.9 6.0 -1.9% F 26,221
AXP 1/16/2019 3.4 3.4 -2.2% B 101,033
BAC 1/16/2019 3.8 1.5 157.6% C 1,034,510
CMA 1/16/2019 5.3 2.0 165.2% A 8,756
GS 1/16/2019 4.7 2.1 130.7% C 719,091
KMI 1/16/2019 4.4 2.0 121.0% C 25,334
PNC 1/16/2019 4.4 1.7 160.9% C 39,303
USB 1/16/2019 4.1 1.6 152.9% B 51,509
BBT 1/17/2019 4.0 2.3 71.7% A 21,006
BK 1/17/2019 5.0 3.5 40.0% D 23,530
FAST 1/17/2019 5.3 5.8 -7.8% A 10,781
KEY 1/17/2019 4.6 2.8 63.6% B 8,381
MLNX 1/17/2019 4.1 4.1 -0.8% A 10,140
MS 1/17/2019 5.5 2.3 139.1% C 206,592
MTB 1/17/2019 4.2 2.4 74.8% B 2,997
PPG 1/17/2019 6.0 2.0 195.5% C 7,800
SCHW 1/17/2019 4.1 1.9 117.8% C 35,756

 

Volatility Standouts

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
PBYI 69.32% F -3.91% 92.86 1,072
ARNC 6.79E-01 D -1.10% 94.84 52,203
STWD 64.68% C -0.16% 69.05 843
EVRI 63.53% C 0.02% 70.63 2,605
MD 56.48% C 0.99% 30.56 594
BBBY 55.89% D -1.88% 97.62 18,250
SRCL 55.17% D -3.53% 98.41 1,191
SCG 52.95% D -2.21% 40.08 13,750
HIG 52.88% A -3.18% 99.60 5,300
ZAYO 51.76% C 2.20% 100.00 19,002
CLVS 48.46% C -1.13% 96.03 7,401
IMPV 48.00% C -2.75% 11.51 2,381
MHK 44.08% D -4.70% 99.21 7,589
PTLA 42.95% F -15.56% 85.71 3,495
HAIN 42.52% D -1.36% 96.83 5,742
COMM 42.21% D 0.29% 89.68 382
MDLZ 41.09% C -3.83% 73.81 25,086
MKC 39.97% A -1.69% 92.86 9,935
SSP 39.73% B -3.49% 31.35 924
BLL 39.16% C -3.03% 99.21 8,312
RLGY 39.06% F 1.56% 95.63 22,308
HLF 38.68% C -1.46% 17.46 16,606
WRD 38.21% D -7.62% 93.65 4,077
NLY 38.17% C -3.00% 87.70 4,891

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
ATHN -68.23% C -3.91% 1.59 12,609
TRCO -59.68% B -1.10% 2.78 10,538
XPER -54.54% D -0.16% 82.14 379
ESIO -53.03% C 0.02% 0.00 825
GBT -50.81% F 0.99% 8.73 23,621
SFM -47.34% C -1.88% 38.49 14,711
OZK -46.87% F -3.53% 98.81 1,395
FNSR -42.11% D -2.21% 4.76 3,578
PCG -34.36% C -3.18% 94.05 23,952
DLTH -33.78% B 2.20% 72.62 406
LITE -29.50% C -1.13% 88.10 16,869
EIX -29.43% D -2.75% 91.67 7,894
CAMP -29.27% A -4.70% 99.21 199
COUP -27.52% F -15.56% 85.71 21,977
LH -26.23% B -1.36% 99.21 15,442
VRSN -2.39E-01 A 0.29% 86.11 5,047
SQ -23.80% F -3.83% 71.43 527,976
ARMK -23.63% B -1.69% 94.05 9,122
OKTA -23.46% D -3.49% 85.71 31,650
HA -22.79% D -3.03% 81.75 3,464
DGX -22.63% B 1.56% 98.02 13,894
EL -22.54% C -1.46% 88.49 17,383
WES -22.00% C -7.62% 75.79 447
SAVE -21.11% F -3.00% 71.43 9,006