VIX reaches 28.96 as equities break key support level
Dec 20, 2018
Options Market Commentary
Equities continue to move lower following yesterday’s hike and not-so-dovish comments from Chair Powell. Currently, the S&P is -1.4%, the Russell is -1.8%, and the Nasdaq is -1.7%. Bonds are stronger with TLT +.40%. The 10-year yield has receded to 2.771% and the 2-10 spread has flattened to .1044 bps. Energy remains under pressure with crude prices down 4% on the day as XOP is -2.9% and XLE -2%. Both Gold and the miners are meaningfully stronger today with GLD +1.54% and GDX +3.4%. Volatilities are catching a bid today as we reach YTD lows with the VIX +9% to 27.92, RVX +9% to 31.21, and VXN +5% to 30.77.
ETF 30D Volatility Changes
SPY: +8%
IWM: +8%
QQQ: +3%
Directional Options Strategies
Bullish Option Strategies
BVN Buyer 3,000 Mar 18 call options (ref. 16.21)
AMLP Seller 11,400 Dec 10 put options (closing, ref. 9.09)
ESV Seller 5,000 Jan 5 put options and 5,000 Mar 4 put options (both closing, ref. 3.50)
WYNN Buyer 11,000 Mar 105 – 120 call options spreads (ref. 98.02)
MSFT Buyer 10,000 Dec 28th 103 call options (ref. 100.78)
Bearish Option Strategies
CL Seller 11,326 Dec 65 put options (closing) to Buy 11,326 Jan 62.5 put options (ref. 60.96)
USB Buyer 3,000 Jan 4th 44 put options (ref. 45.96)
ADSK 4,500 Jul 120 put options trade tied to stock (ref. 128.66)
OPK Seller 30,000 Jun 5 put options (closing) to Buy 30,000 Jan20 5 put options spreads (rolls out, ref. 2.68)
PSEC Buyer 10,000 Feb 6 put options (ref. 5.83)
F Buyer 20,000 Jan 8 put options tied to stock (ref. 8.32)
GE Buyer 110,000 Dec 8 put options tied to stock (closing, ref. 7.45)
Macro Options Strategies
Bullish Option Strategies
GLD Buyer 6,600 Feb 126 call options (ref. 118.98)
SPY Buyer 10,000 Dec 31st 260 – 265 call option spreads (ref. 250.36)
VXX Seller 20,000 Jan 2th 55 call options (ref. 44.07)
Bearish Option Strategies
HYG Seller 6,000 Dec 81 put options (closing) to Buy 6,000 Jan 81 put options (ref. 80.85)
HYG Buyer 35,000 Feb 79 – 75 put options spreads (ref. 81.03)
HYG Seller 25,000 Jan 80 call options to Buy 25,000 Jan 79 put options (ref. 80.27)
HYG Seller 9,687 Dec 85 – 80 put options spreads (closing) to Buy 9,154 Jan 81 – 78 put options spreads (rolls out and down, ref. 80.92)
IWM Buyer 9,000 Feb 120 put options (ref. 133.51)
IEF Buyer 30,000 Feb 103 put options tied to stock (ref. 103.33)
SPY Buyer 5,000 Dec 248 – 245 – 242 put options flies (ref. 248.67)
EEM Seller 13,000 Jun 36 put options (closing) to Buy 13,000 Dec19 32 put options (rolls out and down, ref. 38.73)
Finance Trades Options Strategies
PAYX 3,390 Dec 65 RevCons trade (ref. 65.35)
Upcoming Earnings
Underlying |
Earnings Date |
Imp Move |
Historical Move |
Cheap vs Expensive |
Quantamize Rating |
Average Daily Vega |
CTAS |
12/20/2018 |
5.0 |
4.5 |
11.3% |
A |
2,676 |
NKE |
12/20/2018 |
6.5 |
4.3 |
49.8% |
D |
97,536 |
KMX |
12/21/2018 |
7.1 |
5.1 |
39.1% |
C |
13,214 |
AYI |
1/9/2019 |
10.5 |
10.3 |
2.0% |
C |
2,809 |
BBBY |
1/9/2019 |
17.2 |
11.4 |
50.5% |
D |
13,976 |
KBH |
1/9/2019 |
6.7 |
5.3 |
26.7% |
C |
5,196 |
STZ |
1/9/2019 |
6.6 |
4.6 |
43.0% |
B |
122,553 |
DAL |
1/10/2019 |
3.4 |
2.4 |
44.3% |
C |
98,741 |
LEN |
1/10/2019 |
7.8 |
3.7 |
108.1% |
A |
17,582 |
BLK |
1/11/2019 |
5.2 |
2.1 |
146.0% |
C |
68,101 |
C |
1/14/2019 |
6.6 |
1.6 |
322.6% |
C |
683,998 |
HRS |
1/15/2019 |
5.4 |
5.5 |
-1.1% |
A |
4,070 |
JPM |
1/15/2019 |
5.5 |
1.3 |
329.7% |
C |
575,488 |
UNH |
1/15/2019 |
5.1 |
3.0 |
72.9% |
A |
287,142 |
WFC |
1/15/2019 |
6.0 |
1.8 |
237.3% |
C |
489,369 |
AA |
1/16/2019 |
8.7 |
6.0 |
45.2% |
F |
15,079 |
BAC |
1/16/2019 |
5.6 |
1.5 |
281.6% |
C |
1,024,138 |
BK |
1/16/2019 |
5.1 |
3.5 |
43.2% |
D |
26,168 |
CMA |
1/16/2019 |
5.9 |
2.0 |
194.2% |
A |
14,126 |
CSX |
1/16/2019 |
6.2 |
4.3 |
45.2% |
C |
56,055 |
GS |
1/16/2019 |
5.6 |
2.1 |
171.7% |
C |
656,668 |
KMI |
1/16/2019 |
5.6 |
2.0 |
184.9% |
C |
19,959 |
PNC |
1/16/2019 |
5.5 |
1.7 |
224.0% |
C |
32,214 |
USB |
1/16/2019 |
4.8 |
1.6 |
200.0% |
B |
49,365 |
AXP |
1/17/2019 |
4.4 |
3.4 |
27.1% |
B |
110,342 |
BBT |
1/17/2019 |
5.0 |
2.3 |
117.7% |
A |
20,790 |
FAST |
1/17/2019 |
7.0 |
5.8 |
21.3% |
A |
11,532 |
KEY |
1/17/2019 |
6.7 |
2.8 |
138.7% |
B |
5,550 |
MLNX |
1/17/2019 |
12.6 |
4.1 |
205.7% |
A |
9,639 |
MS |
1/17/2019 |
7.4 |
2.3 |
221.2% |
C |
168,536 |
MTB |
1/17/2019 |
5.2 |
2.4 |
120.2% |
B |
3,495 |
PPG |
1/17/2019 |
6.5 |
2.0 |
222.0% |
C |
11,273 |
SCHW |
1/17/2019 |
6.4 |
1.9 |
237.5% |
C |
19,949 |
CFG |
1/18/2019 |
6.5 |
2.2 |
196.2% |
C |
3,416 |
KSU |
1/18/2019 |
6.9 |
2.3 |
201.1% |
C |
5,523 |
RF |
1/18/2019 |
6.4 |
2.1 |
204.8% |
C |
9,701 |
SLB |
1/18/2019 |
7.9 |
1.2 |
555.6% |
C |
166,313 |
STI |
1/18/2019 |
5.5 |
1.6 |
248.7% |
C |
15,703 |
SYF |
1/18/2019 |
7.6 |
3.8 |
100.4% |
C |
12,277 |
Volatility Standouts
Underlying |
2M Volatility vs Forecast |
Q Rating |
2M IV Change |
IV 2M Percentile |
Average Daily Vega |
BBBY |
70.27% |
D |
0.00% |
97.22 |
13,976 |
SAGE |
68.09% |
F |
0.92% |
100.00 |
14,061 |
MHK |
65.39% |
D |
1.96% |
99.60 |
7,815 |
SRCL |
65.33% |
D |
-3.96% |
99.21 |
970 |
HLF |
61.82% |
C |
2.12% |
31.75 |
13,070 |
PBYI |
60.92% |
F |
-3.10% |
93.25 |
1,149 |
ADT |
60.07% |
C |
4.61% |
99.12 |
198 |
LL |
59.81% |
F |
3.31% |
92.46 |
851 |
ZAYO |
59.38% |
C |
0.91% |
99.60 |
15,596 |
HIG |
59.37% |
A |
3.45% |
99.60 |
4,168 |
CLVS |
59.06% |
C |
0.18% |
97.22 |
6,496 |
CDK |
57.82% |
B |
2.71% |
98.81 |
2,611 |
TTMI |
57.52% |
B |
2.22% |
99.21 |
126 |
F |
57.48% |
C |
1.33% |
99.60 |
100,030 |
PTLA |
56.68% |
F |
14.78% |
85.32 |
5,294 |
RLGY |
56.54% |
F |
4.10% |
100.00 |
1,600 |
K |
55.97% |
D |
0.86% |
96.43 |
8,459 |
DAN |
55.89% |
C |
0.02% |
100.00 |
4,014 |
YEXT |
54.60% |
B |
1.07% |
74.60 |
707 |
AN |
53.46% |
C |
-0.32% |
99.21 |
1,818 |
ALLY |
53.05% |
C |
-0.39% |
99.60 |
21,864 |
RMBS |
52.82% |
D |
1.12% |
98.02 |
477 |
RSG |
5.28E-01 |
A |
1.02% |
95.24 |
2,207 |
XRAY |
52.58% |
D |
0.00% |
94.05 |
2,235 |
Underlying |
2M Volatility vs Forecast |
Q Rating |
2M IV Change |
IV 2M Percentile |
Average Daily Vega |
ESIO |
-73.44% |
C |
0.00% |
1.19 |
1,064 |
IMPV |
-65.02% |
C |
0.92% |
5.95 |
216 |
NTRI |
-64.98% |
C |
1.96% |
1.98 |
1,748 |
OZK |
-50.15% |
F |
-3.96% |
97.62 |
798 |
XPER |
-46.26% |
D |
2.12% |
92.46 |
488 |
XPO |
-37.43% |
C |
-3.10% |
98.41 |
113,258 |
DLTH |
-32.78% |
B |
4.61% |
82.14 |
316 |
GBT |
-24.60% |
F |
3.31% |
23.81 |
9,500 |
ATHN |
-23.82% |
C |
0.91% |
9.52 |
11,805 |
COUP |
-22.96% |
F |
3.45% |
87.30 |
16,092 |
ARMK |
-22.86% |
B |
0.18% |
94.44 |
12,095 |
SGH |
-22.28% |
B |
2.71% |
82.96 |
490 |
PCG |
-21.55% |
C |
2.22% |
93.65 |
19,545 |
SFM |
-21.44% |
C |
1.33% |
68.25 |
3,029 |
CAMP |
-21.38% |
A |
14.78% |
99.21 |
218 |
FNSR |
-20.99% |
D |
4.10% |
10.32 |
2,388 |
SCG |
-19.54% |
D |
0.86% |
0.40 |
11,351 |
NBIX |
-19.37% |
D |
0.02% |
96.03 |
27,261 |
PPL |
-1.91E-01 |
A |
1.07% |
97.62 |
7,918 |
SFIX |
-18.66% |
F |
-0.32% |
49.21 |
18,521 |
OKTA |
-17.09% |
D |
-0.39% |
88.49 |
21,023 |
JNJ |
-16.99% |
B |
1.12% |
98.81 |
726,830 |
SEND |
-16.75% |
D |
1.02% |
82.14 |
279 |
HA |
-15.68% |
D |
0.00% |
97.62 |
2,739 |
