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VIX up 8% as equities continue to move lower

Dec 17, 2018

 

Options Market Commentary

Equities started the day very weak with the S&P down 1%, rallied to unchanged but have since rolled over near lows. Some are pointing towards the Open Interest in the SPX 2600 strikes (41k calls, 83k puts) acting like a magnet as one of the reasons we are staying in this range. Bonds are higher with TLT +.5% and the 10-year yield moving down to 2.868%. Utilities are one of the weakest sectors, -1.8% even as bonds are in the green. Energy is lower with WTI crude moving back towards 50, -1.7%. Energy ETF’s are down as well with XOP -.6% and XLE -.25%. Volatilities are up though off highs with the VIX +5% to 22.71, RVX +4% to 26.43, and VXN +2% to 28.12.

 

ETF 30D Volatility Changes

SPY:        -1%

IWM:       +1%

QQQ:       -2%

  

 

Directional Options Strategies

Bullish Option Strategies

F Seller 15,000 Jan 8 puts (ref. 8.52)

NKE Buyer 3,000 Dec 72.5 call options (Earnings 12/20, ref. 70.92)

KORS Buyer 10,000 Jan21 75 call options (ref. 37.96)

ADBE Buyer 5,300 Apr 230 – 235 call options spreads (ref. 228.00)

PUMP Seller 2,700 Mar 20 call options (closing) to Buy 2,700 Mar 17.5 call options (rolls down, ref. 15.03)

BAC Buyer 10,000 Jun 28 call options (ref. 24.81)

NVAX Buyer 8,200 Jan 3 call options (ref. 2.33)

Bearish Option Strategies

FB Buyer 3,600 Mar 140 puts tied to stock (ref. 143.72)

TER Seller 5,000 Jan 40 call options (closing, ref. 32.65)

AZN Seller 4,000 Dec 39 puts (closing) to Buy 4,000 Jan 40 puts (rolls out, ref. 38.77)

F Seller 80,000 Jan 12 call options (closing, ref. 8.70)

BHGE Buyer 6,800 Jul 22 puts (ref. 22.01)

 

Macro Options Strategies

Bullish Option Strategies

VXX Buyer 12,500 Dec 37 – 36.5 put options spreads (ref. 41.41)

KRE Seller 24,000 Jan 50 put options (closing) to Buy 12,000 Mar 48 put options (monetizes and decreases size, ref. 48.61)

SPY Buyer 10,000 Dec 31st 275 call options (ref. 257.67)

 

 

Bearish Option Strategies

FXI Buyer 46,325 Jan 37.5 put options (ref. 40.70)

XBI Seller 7,500 Dec 76 put options (closing) to Buy 7,500 Jan 74 – 66 put options spreads (ref. 75.95)

SPY Buyer 4,000 Dec 255 – 251  - 246 put options flies (ref. 258.18)

XLF Buyer 11,000 Jan 4th 23 – 22.5 put options spreads (ref. 24.15)

QQQ Seller 30,000 Jan 131 put options (closing) to Buy 20,000 Feb 129 put options (rolls out and down, ref. 160.60)

 

 

 

Finance Trades Options Strategies

AAL 10,000 Jan 30 RevCons trade (ref. 32.15)

EWZ 24,000 Dec 40 RevCons trade (ref. 38.53)

EEM 8,000 Dec 45 RevCons trade (ref. 39.92)

 

 

 

Upcoming Earnings

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
ORCL 12/17/2018 5.9 5.6 5.1% C 97,960
DRI 12/18/2018 6.8 6.2 9.6% A 16,951
FDS 12/18/2018 5.3 4.3 24.4% A 3,419
FDX 12/18/2018 4.9 3.3 49.9% C 389,905
JBL 12/18/2018 7.3 6.1 20.2% C 2,500
MU 12/18/2018 7.3 5.2 41.4% C 484,794
NAV 12/18/2018 7.9 4.9 61.9% B 3,531
GIS 12/19/2018 4.9 3.9 23.1% A 45,352
PAYX 12/19/2018 3.8 2.1 79.0% B 11,963
CAG 12/20/2018 4.5 3.6 24.5% C 6,906
CCL 12/20/2018 4.1 3.2 28.4% B 18,753
CTAS 12/20/2018 4.6 4.5 2.2% A 2,519
NKE 12/20/2018 6.3 4.3 45.7% D 100,758
WBA 12/20/2018 4.6 3.7 25.0% B 76,805
KMX 12/21/2018 6.3 5.1 24.1% C 7,531
LW 1/4/2019 5.2 4.1 25.9% A 2,691
CALM 1/7/2019 6.5 3.8 70.8% D 3,152
AYI 1/9/2019 10.2 10.3 -0.1% C 4,030
BBBY 1/9/2019 18.2 11.4 59.0% D 12,519
KBH 1/9/2019 4.2 5.3 -20.5% C 5,386
STZ 1/9/2019 6.1 4.6 32.0% B 114,303
DAL 1/10/2019 2.9 2.4 22.2% C 127,641
LEN 1/10/2019 7.3 3.7 95.9% A 16,753
BLK 1/11/2019 4.7 2.1 120.7% C 72,075
C 1/14/2019 5.9 1.6 281.3% C 737,971
CSX 1/15/2019 5.8 4.3 36.2% C 60,091
FRC 1/15/2019 5.2 2.4 114.9% B 1,743
HRS 1/15/2019 4.2 5.5 -23.7% A 5,161
IBKR 1/15/2019 4.6 2.2 107.0% D 2,689
JPM 1/15/2019 4.9 1.3 283.2% C 572,838
UNH 1/15/2019 4.9 3.0 65.2% A 285,539
WFC 1/15/2019 5.9 1.8 232.8% C 500,929
AA 1/16/2019 7.2 6.0 20.4% F 19,118
AXP 1/16/2019 4.5 3.4 32.5% B 96,855
BAC 1/16/2019 5.1 1.5 249.0% C 1,003,459
BK 1/16/2019 5.2 3.5 47.3% D 23,179
CMA 1/16/2019 5.8 2.0 187.1% A 10,435
GS 1/16/2019 6.0 2.1 189.4% C 704,394
KMI 1/16/2019 5.4 2.0 171.6% C 22,408
PNC 1/16/2019 5.0 1.7 192.0% C 40,901
USB 1/16/2019 4.6 1.6 182.2% B 48,172
BBT 1/17/2019 4.5 2.3 95.3% A 22,934
FAST 1/17/2019 6.3 5.8 8.3% A 9,723
JBHT 1/17/2019 5.6 2.5 126.5% C 2,797
KEY 1/17/2019 5.0 2.8 78.3% B 8,096
MLNX 1/17/2019 9.5 4.1 130.4% A 11,464
MS 1/17/2019 6.5 2.3 181.2% C 200,258
MTB 1/17/2019 4.4 2.4 86.4% B 2,614
PPG 1/17/2019 5.3 2.0 164.0% C 9,010
SCHW 1/17/2019 5.6 1.9 196.4% C 27,978

 

Volatility Standouts

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
PBYI 74.59% F 0.53% 94.05 1,134
STWD 68.40% C 0.42% 14.29 608
LE 67.70% D 1.81% 80.16 4,069
SRCL 65.68% D 2.41% 100.00 1,219
HIG 62.10% A 1.34% 96.43 4,696
BBBY 58.54% D 1.49% 98.81 12,519
ZAYO 58.36% C -0.80% 99.60 15,045
MD 57.81% C 0.65% 71.83 849
SFLY 54.17% B 0.64% 97.62 8,270
TTMI 54.01% B -0.64% 94.84 82
PTLA 53.29% F 5.36% 86.51 5,363
MHK 52.05% D 3.67% 99.60 6,507
CLVS 52.02% C 6.99% 99.21 8,615
HLF 49.16% C 9.78% 21.43 15,726
BLL 48.29% C 0.62% 99.60 10,313
RLGY 48.28% F 0.13% 96.43 18,801
COMM 47.25% D 4.55% 92.86 344
WEN 45.86% B -0.92% 38.89 1,262
SFS 45.54% C 0.91% 84.13 23
ADT 44.95% C 1.49% 80.72 196
VOYA 43.65% C 4.52% 97.22 915
ETM 42.74% F 3.38% 94.84 103
MYGN 42.20% F 0.00% 91.27 1,437
CZR 41.82% D -1.67% 95.24 11,730

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
ATHN -66.53% C 0.53% 2.38 10,343
ESIO -65.31% C 0.42% 2.78 584
NTRI -61.55% C 1.81% 0.40 1,780
GBT -47.83% F 2.41% 10.71 22,899
OZK -47.43% F 1.34% 98.81 1,406
XPER -46.16% D 1.49% 94.05 472
SFM -43.17% C -0.80% 46.03 14,822
DLTH -35.78% B 0.65% 98.02 411
FNSR -35.68% D 0.64% 7.14 3,548
XPO -33.81% C -0.64% 99.21 106,560
EIX -28.37% D 5.36% 90.48 7,142
PCG -26.23% C 3.67% 94.84 20,120
ESRX -24.53% B 6.99% 2.38 51,710
LITE -24.45% C 9.78% 91.67 16,824
CAMP -24.34% A 0.62% 99.60 149
SCG -23.94% D 0.13% 4.76 13,278
NBIX -23.87% D 4.55% 92.06 27,073
COUP -22.90% F -0.92% 87.30 21,634
HRS -19.39% A 0.91% 96.03 5,161
WES -19.02% C 1.49% 71.83 574
LH -18.21% B 4.52% 99.60 13,295
VRSN -17.39% A 3.38% 96.03 4,618
HA -17.03% D 0.00% 93.65 3,209
SAVE -16.45% F -1.67% 85.32 7,682