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Volatility stays bid awaiting tomorrows fed announcement in spite of equity rally

Dec 18, 2018

 

Options Market Commentary

Equities are rallying today ahead of tomorrow’s Fed announcement and even as oil continues its plunge below $50. Currently, the S&P is +.92%, the Russell is +.88%, and the Nasdaq is +1.5%. Housing (+2.4%) and Materials (1.6%) are leading sectors.  Bonds continue to move higher with TLT +.47% and the 10-year yield falling to 2.834%. Energy is getting hit with crude prices hitting new lows for the year with WTI now -4.8% to 47.46. Energy ETFs are down as well with XOP-.9% and XLE -.77%. Gold is modestly higher, though miners are having a positive day +2%. Volatilities are mixed even as stocks move up with the VIX +.7% to 24.69, RVX -2% to 27.51, and VXN -5.5% to 28.40.

 

ETF 30D Volatility Changes

SPY:        FLAT

IWM:       -2%

QQQ:       -4%

 

 

Directional Options Strategies

Bullish Option Strategies

FCX 4,000 Dec 28th 11.5 call options trade (ref. 11.03)

CVNA Seller 2,300 May 30 put options (closing) to Buy 2,300 May 25 put options (monetizes and rolls, ref. 33.65)

RF Buyer 4,529 Dec 14 call options (ref. 13.65)

BHF Seller 5,000 Dec 40 put options (closing) to Buy 5,000 May 35 put options (monetizes and rolls, ref. 33.15)

 

Bearish Option Strategies

RCII Buyer 5,400 Dec 12 put options (ref. 12.20)

RCII Buyer 5,000 Mar 13 put options (ref. 12.45)

CTL Buyer 5,000 Apr 15 put options (ref. 16.66)

TEVA Buyer 5,222 Dec 16.5 put options (closing, ref. 17.35)

DWDP Seller 6,100 Jan 50 put options (closing) to Buy 7,000 Jan 45 put options (rolls down, ref. 53.18)

 

Macro Options Strategies

Bullish Option Strategies

SPY Buyer 8,000 Jan 4th 261 – 271 call options spreads (ref. 257.24)

QQQ Buyer 20,000 Dec 31st 162 call options (ref. 158.54)

QQQ Seller 84,000 Jan 135 put options (likely closing, ref. 158.80)

VIX Seller 40,000 Jan 35 call options (ref. 21.70)

EEM Seller 101,700 Dec 40 – 37 put options spreads (closing, ref. 39.21)

GLD Buyer 8,180 Jan20 150 call options (ref. 117.95)

XOP Seller 5,400 Dec 29 – Dec 28th 27 put options spreads (monetizes and rolls, ref. 28.04)

ITB Buyer 5,000 Feb 33 – 36 call options spreads (ref. 31.01)

 

Bearish Option Strategies

QQQ Buyer 16,427 Jan 155 put options (ref. 158.91)

QQQ Buyer 21,348 Feb 110 put options (ref. 158.47)

QQQ Buyer 60,000 Jan 110 put options (ref. 158.02)

SPY Buyer 17,000 Dec 19th 241 put options (ref. 257.14)

SPY Buyer 25,000 Dec 31st 245 – 230 – 215 put options flies (ref. 257.45)

XLU Buyer 5,000 Mar 51 put options (ref. 55.21)

GLD Buyer 7,023 Mar 107 put options (ref. 117.97)

XBI Seller 5,300 Dec 76 put options (closing) to Buy 7,500 Feb 72 – 63 put options spreads (rolls out, ref. 75.01)

XOP Seller 23,000 Jun 35 call options to Buy 23,000 Jun 23 put options (ref. 27.90)

EWZ Seller 17,000 Dec 43 – 37 risk reversals to Buy 20,000 Jan 40 – 35 risk reversals (rolls bearish RR, ref. 37.67)

HYG 10,000 Feb 79 – 76 put options spreads trade (ref. 82.10)

VIX Buyer 20,900 Jan 30 call options (ref. 21.97)

 

 

 

 

Finance Trades Options Strategies

QQQ 7,000 Jan 168 RevCons trade (ref. 158.72)

 

 

 

Upcoming Earnings

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
FDX 12/18/2018 5.1 3.3 54.9% C 409,305
MU 12/18/2018 6.6 5.2 28.0% C 475,398
GIS 12/19/2018 4.9 3.9 23.9% A 46,617
PAYX 12/19/2018 4.1 2.1 92.1% B 9,365
CAG 12/20/2018 4.5 3.6 22.8% C 7,432
CCL 12/20/2018 4.5 3.2 40.1% B 14,450
CTAS 12/20/2018 4.8 4.5 6.9% A 2,469
NKE 12/20/2018 6.0 4.3 38.8% D 101,761
WBA 12/20/2018 4.9 3.7 35.2% B 79,260
KMX 12/21/2018 6.7 5.1 32.1% C 7,825
LW 1/4/2019 4.9 4.1 18.4% A 2,180
CALM 1/7/2019 5.9 3.8 54.5% D 3,218
AYI 1/9/2019 10.1 10.3 -1.8% C 3,827
BBBY 1/9/2019 18.4 11.4 61.1% D 12,354
KBH 1/9/2019 3.8 5.3 -28.0% C 5,548
STZ 1/9/2019 6.7 4.6 44.4% B 118,683
DAL 1/10/2019 2.2 2.4 -7.6% C 115,569
LEN 1/10/2019 7.1 3.7 91.0% A 17,193
BLK 1/11/2019 4.5 2.1 113.3% C 74,115
C 1/14/2019 5.9 1.6 279.8% C 747,520
HRS 1/15/2019 4.8 5.5 -13.5% A 5,106
IBKR 1/15/2019 3.4 2.2 54.1% D 2,578
JPM 1/15/2019 5.0 1.3 291.5% C 603,173
UNH 1/15/2019 3.9 3.0 32.6% A 292,963
WFC 1/15/2019 5.8 1.8 223.6% C 500,690
AA 1/16/2019 7.5 6.0 25.8% F 17,567
AXP 1/16/2019 4.3 3.4 25.9% B 103,150
BAC 1/16/2019 4.8 1.5 226.3% C 1,037,912
BK 1/16/2019 5.6 3.5 56.7% D 25,082
CMA 1/16/2019 5.6 2.0 176.8% A 12,512
CSX 1/16/2019 5.7 4.3 34.2% C 57,755
GS 1/16/2019 5.5 2.1 168.0% C 719,920
KMI 1/16/2019 5.2 2.0 161.9% C 21,793
PNC 1/16/2019 5.1 1.7 198.9% C 41,208
USB 1/16/2019 4.6 1.6 182.6% B 51,125
BBT 1/17/2019 4.5 2.3 95.2% A 24,917
FAST 1/17/2019 6.4 5.8 11.5% A 9,607
JBHT 1/17/2019 5.3 2.5 116.7% C 2,702
KEY 1/17/2019 5.1 2.8 81.7% B 8,038
MLNX 1/17/2019 10.3 4.1 149.9% A 12,276
MS 1/17/2019 6.3 2.3 172.0% C 193,307
MTB 1/17/2019 4.6 2.4 94.3% B 3,784
PPG 1/17/2019 6.1 2.0 200.8% C 9,250
SCHW 1/17/2019 5.2 1.9 170.8% C 30,306
CFG 1/18/2019 5.7 2.2 162.3% C 3,701
KSU 1/18/2019 6.6 2.3 186.9% C 6,241
RF 1/18/2019 6.0 2.1 183.2% C 14,167
SLB 1/18/2019 7.1 1.2 490.6% C 162,393
SYF 1/18/2019 7.1 3.8 86.0% C 25,374

 

Volatility Standouts

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
IMMU 74.85% D -3.75% 98.80 7,261
NDLS 62.97% C -0.87% 42.63 417
BBBY 62.09% D -4.01% 99.20 12,354
PBYI 59.44% F -3.66% 97.21 1,196
ZAYO 59.43% C -9.96% 99.60 18,614
HIG 58.61% A -2.59% 97.21 4,113
SRCL 58.23% D -2.21% 99.60 1,224
PTLA 56.49% F -5.70% 86.45 5,420
ADT 52.81% C -3.31% 94.64 201
TTMI 51.41% B 0.09% 98.80 95
CLVS 51.06% C -1.49% 99.20 9,315
SFS 50.56% C -3.14% 84.46 22
HLF 49.97% C -3.60% 23.11 14,583
MHK 49.80% D 2.83% 100.00 6,926
MYGN 49.47% F -8.35% 91.63 1,482
SAGE 4.61E-01 F -0.22% 99.60 14,999
PM 45.43% B -1.22% 99.20 71,719
RLGY 43.73% F -6.45% 100.00 6,203
EVRI 42.78% C -5.80% 80.08 1,672
WH 42.47% F -3.28% 90.91 1,021
BLL 42.42% C -4.13% 99.60 10,560
SEAS 42.33% D -2.99% 84.46 6,707
CBOE 41.98% B -5.78% 94.02 11,689
CNDT 41.90% C 0.00% 99.60 312

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
NTRI -65.58% C -3.75% 1.59 1,739
IMPV -63.64% C -0.87% 12.35 196
OZK -52.82% F -4.01% 98.41 1,194
ATHN -52.07% C -3.66% 9.56 10,848
XPER -48.36% D -9.96% 91.24 475
GBT -45.52% F -2.59% 15.14 17,569
XPO -38.55% C -2.21% 99.20 113,482
FNSR -36.46% D -5.70% 9.16 3,283
DLTH -35.76% B -3.31% 72.91 389
SFM -35.57% C 0.09% 60.96 11,777
PCG -33.44% C -1.49% 94.42 21,274
SCG -33.27% D -3.14% 20.32 13,412
COUP -27.27% F -3.60% 89.24 22,634
EIX -25.20% D 2.83% 93.63 7,297
ARRS -2.43E-01 C -8.35% 3.98 690
LITE -24.12% C -0.22% 90.84 16,728
CAMP -23.62% A -1.22% 99.20 150
NBIX -21.51% D -6.45% 98.01 25,914
ARMK -20.05% B -5.80% 96.02 9,915
OKTA -19.39% D -3.28% 90.84 25,283
HA -19.09% D -4.13% 98.01 2,973
SGH -18.78% B -2.99% 93.98 471
JNJ -18.57% B -5.78% 100.00 649,564
VRSN -17.80% A 0.00% 95.62 4,675