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VIX up 4.5% on equity selloff due to Global Growth worries

Dec 14, 2018

 

Options Market Commentary

Equities continue to move lower as bonds move higher on economic slowdown fears. Currently, the S&P is -1.3%, the Russell is -.6%, and the Nasdaq is -1.55%. Energy and healthcare are notable laggards. Bonds are in the green with TLT +.4% and the 10-year yield moving down to 2.884%. Energy is in the red with WTI crude -2.8% and Energy WTFs down sharply as well with XOP -2.8% and XLE -1.6%. Volatilities are up across the board with the VIX +4% to 21.54, RVX +3% to 25.26, VXN +5% to 27.01.

 

ETF 30D Volatility Changes

SPY:        +6%

IWM:       +3%

QQQ:       +5%

Directional Options Strategies

Bullish Option Strategies

MYL Seller 10,000 Jan 30 calls (closing) to Buy 10,000 Apr 30 calls (rolls out, ref. 29.82)

JD Buyer 7,300 Jan20 75 calls (ref. 22.70)

JD Buyer 7,000 Mar 30 calls (closing, ref. 22.70)

GE Buyer 12,000 Jun 9 calls tied to stock (ref. 40.07)

EBAY Seller 22,500 Apr 26 – 25 put stupids (likely closing, ref. 29.06)

KORS Buyer 20,000 Jan21 75 calls (ref. 37.78)

ECA Buyer 8,000 Jan 6 calls (ref. 5.91)

 

Bearish Option Strategies

TRN Buyer 2,800 Jan 20 puts (ref. 21.53)

JD Buyer 5,000 Jun 25 puts (closing, ref. 22.70)

ETFC Seller 5,800 Jan 50 puts (closing) to Buy 5,800 Jan 45 – 40 put spreads (ref. 44.84)

CHK Seller 10,000 Apr 2.5 puts (closing) to Buy 20,000 Apr 2 puts (ref. 2.41)

 

Macro Options Strategies

Bullish Option Strategies

FXI Seller 7,500 Dec 28th 43 calls (closing) to Buy 7,500 Dec 28th 42 calls (rolls down, ref. 41.16)

SPY Seller 26,115 Dec 31st 272 – 280 call spreads (closing) to 11,200 Dec 31st 267 – 273 call spreads (rolls down, ref. 263.52)

SPY Buyer 29,287 Feb 276 calls (ref. 262.85)

XLP Seller 15,000 Jan 56 – 50 put spreads (monetizes, ref. 54.57)

QQQ Buyer 10,326 Dec 31st 165 calls (ref. 162.40)

 

Bearish Option Strategies

SLV Buyer 11,000 Jan 13 puts (likely closing, ref. 13.64)

GLD 5,000 Mar 107 puts trade (ref. 116.79)

XLF Buyer 10,630 Dec 21.5 puts (ref. 24.38)

VIX Buyer 25,000 Jan 60 calls (ref. 20.72)

JNK Buyer 10,000 Jan 34 – 33 put spreads (ref. 34.62)

 

 

 

Finance Trades Options Strategies

GS 3,500 Jan 185 RevCons trade (ref. 174.53)

EEM 30,000 Dec 14th 40 RevCons trade (ref. 40.00)

AAL 7,500 Jan 35 RevCons trade (ref. 33.10)

 

 

 

Upcoming Earnings

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
ORCL 12/17/2018 5.6 5.6 1.4% C 92,161
DRI 12/18/2018 6.3 6.1 4.1% A 14,612
FDS 12/18/2018 5.0 4.3 16.5% A 3,272
FDX 12/18/2018 4.6 3.4 37.3% C 384,522
JBL 12/18/2018 6.8 6.0 12.9% C 2,506
MU 12/18/2018 6.8 5.2 30.7% C 485,093
NAV 12/18/2018 7.6 5.0 52.2% B 3,534
GIS 12/19/2018 5.0 3.8 30.0% A 43,780
PAYX 12/19/2018 3.8 2.1 74.6% B 10,641
CAG 12/20/2018 4.5 3.6 24.5% C 6,716
CCL 12/20/2018 4.1 3.2 30.1% B 19,181
CTAS 12/20/2018 4.5 4.5 -0.4% A 2,579
NKE 12/20/2018 5.8 4.3 34.6% D 99,239
WBA 12/20/2018 4.6 3.7 24.4% B 78,135
KMX 12/21/2018 6.3 5.1 23.2% C 7,700
LW 1/4/2019 5.1 4.1 23.7% A 3,091
CALM 1/7/2019 5.9 3.8 54.8% D 3,358
AYI 1/9/2019 10.0 10.3 -2.5% C 4,009
BBBY 1/9/2019 18.3 11.4 59.9% D 16,568
KBH 1/9/2019 2.0 5.3 -61.6% C 5,656
STZ 1/9/2019 5.9 4.6 26.5% B 115,575
DAL 1/10/2019 2.0 2.4 -17.2% C 126,557
LEN 1/10/2019 7.2 3.6 98.3% A 17,261
BLK 1/11/2019 4.3 2.1 104.3% C 71,245
C 1/14/2019 5.5 1.6 257.3% C 740,892
CSX 1/15/2019 5.9 4.3 38.6% C 58,253
FRC 1/15/2019 4.5 2.4 86.5% B 2,855
HRS 1/15/2019 4.2 5.5 -23.6% A 5,725
IBKR 1/15/2019 6.1 2.2 175.9% D 2,744
JPM 1/15/2019 4.5 1.3 254.0% C 553,975
UNH 1/15/2019 3.7 3.0 25.1% A 335,410
WFC 1/15/2019 5.8 1.8 223.2% C 492,350
AA 1/16/2019 7.7 6.0 28.3% F 22,070
AXP 1/16/2019 4.1 3.4 20.6% B 91,379
BAC 1/16/2019 4.7 1.5 220.7% C 997,035
BK 1/16/2019 5.2 3.5 45.4% D 23,461
CMA 1/16/2019 5.5 2.0 172.5% A 8,927
GS 1/16/2019 5.4 2.1 161.8% C 688,134
KMI 1/16/2019 4.4 2.0 124.2% C 22,623
PNC 1/16/2019 4.8 1.7 183.8% C 40,103
USB 1/16/2019 4.4 1.6 171.2% B 52,724
BBT 1/17/2019 4.3 2.3 85.7% A 21,131
FAST 1/17/2019 5.9 5.8 1.7% A 9,740
JBHT 1/17/2019 5.3 2.5 117.8% C 2,645
KEY 1/17/2019 5.0 2.8 78.5% B 6,651
MLNX 1/17/2019 8.9 4.1 116.0% A 10,130
MS 1/17/2019 6.1 2.3 166.0% C 205,610
MTB 1/17/2019 4.0 2.4 68.9% B 2,691
PPG 1/17/2019 6.0 2.0 198.2% C 9,140
SCHW 1/17/2019 4.7 1.9 147.3% C 30,178

 

Volatility Standouts

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
IMMU 66.47% D 4.71% 97.62 8640
STWD 61.82% C 3.90% 80.56 652
BBBY 60.39% D 0.73% 98.81 16568
PBYI 59.84% F 3.45% 82.94 1010
MD 58.23% C 3.78% 28.17 812
HIG 56.08% A 2.30% 97.62 5322
ZAYO 51.32% C 5.08% 99.60 18619
SRCL 51.15% D -1.13% 97.62 1262
SCG 50.99% D 6.46% 51.98 12961
MKC 48.94% A 5.17% 92.06 10004
HAIN 48.67% D 2.45% 98.41 4909
WRD 48.58% D 6.56% 94.05 2126
BLL 48.17% C -4.65% 98.81 9672
MDLZ 47.90% C -7.53% 81.75 21261
HLF 47.71% C -1.37% 21.83 16718
ADT 47.26% C 4.70% 53.60 221
MHK 46.35% D -4.11% 99.60 6676
PTLA 46.17% F 2.22% 86.11 4632
SFS 45.54% C 3.70% 78.97 23
ESIO 44.62% C 4.85% 0.40 609
HSY 44.59% A -0.23% 90.08 6292
WU 43.75% B 5.32% 73.81 385
PE 42.82% C 0.00% 99.21 6965
HRL 42.33% B 2.79% 75.79 4541

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
NTRI -73.73% C 4.71% 0.79 1,822
ATHN -67.72% C 3.90% 3.97 11,012
GBT -51.21% F 0.73% 10.32 23,822
OZK -49.44% F 3.45% 99.21 1,321
SFM -47.04% C 3.78% 43.25 14,642
XPER -46.54% D 2.30% 53.57 456
FNSR -40.04% D 5.08% 5.16 3,383
DLTH -37.03% B -1.13% 72.22 404
PCG -31.99% C 6.46% 94.84 20,036
XPO -31.70% C 5.17% 99.60 89,158
EIX -29.62% D 2.45% 92.86 7,159
ESRX -27.51% B 6.56% 20.63 48,862
COUP -27.33% F -4.65% 85.32 21,715
CAMP -27.09% A -7.53% 98.81 169
LITE -24.82% C -1.37% 87.30 16,683
NBIX -23.35% D 4.70% 93.65 25,413
ARMK -21.60% B -4.11% 91.67 13,487
LH -21.03% B 2.22% 99.60 14,974
VER -20.55% B 3.70% 13.49 182
VRSN -20.10% A 4.85% 88.89 4,851
SQ -19.57% F -0.23% 69.44 507,827
OKTA -19.54% D 5.32% 86.11 29,174
HA -19.53% D 0.00% 93.25 3,181
HRS -19.29% A 2.79% 95.24 5,725