VIX up 5.6% on weak Chinese Export numbers
Jan 14, 2019
Options Market Commentary
Equities opened lower on weak Chinese data (exports down 4.4%) but have since pared losses. Currently, the S&P is -.49%, the Russell -.72%, and the Nasdaq -.63%. Even with equities muted, Bonds remain softer this afternoon with TLT -.34% and HYG -.30%. Meanwhile, XLF (+.86%) is outperforming today after Citi (+4%) reported earnings. Utilities are lagging the market on news that PGE (-46%) will declare bankruptcy. Energy is softer (USO -.64%) with WTI Crude is a bit lower (-.64%). Also worth noting is a bid in Gold (+.15%) as the dollar is weaker (-.02%). Volatilities are mixed today with the VIX +5.4% to 19.18, VXN +2.5% to 25.40, and RVX +3.5% at 22.47.
ETF 30D Volatility Changes
SPY: +1%
IWM: +1%
QQQ: -1%
Directional Options Strategies
Bullish Option Strategies
CL Seller 2,800 Feb 22nd 60 puts to Buy 2,800 Feb 22nd 64 calls (Earnings 1/25, ref. 61.74)
KEY Buyer 10,000 Jan 25th 16.5 calls (Earnings 1/17, ref. 16.08)
PE Seller 2,500 Mar 15 puts to Buy 2,500 Mar 20 – 25 call spreads (ref. 18.74)
Bearish Option Strategies
ET Seller 7,000 Apr 17 calls (ref. 14.86)
TXN Buyer 2,000 Feb 97.5 puts (Earnings 1/23, ref. 96.47)
BBBY Buyer 10,000 Feb 15 puts (ref. 15.37)
RRC 8,000 Jun 12 puts trade tied to stock (ref. 11.70)
Macro Options Strategies
Bullish Option Strategies
GDX Buyer 10,000 Feb – Apr 22 call spreads (rolls out, ref. 21.12)
EEM Buyer 25,000 Feb 41.5 – 43.5 call spreads (ref. 40.36)
EEM Buyer 14,000 Mar 1st 42 – 44 call spreads (ref. 40.19)
XLU Buyer 10,000 Feb 52 calls (ref. 51.65)
Bearish Option Strategies
XBI Seller 7,000 Mar 88 calls to Buy 7,000 Mar 78 – 68 put spreads (ref. 81.06)
QQQ 10,000 Mar 150 puts trade (ref. 159.08)
FXI Seller 20,000 Jan 41 calls (likely closing, ref. 39.85)
FXI Buyer 21,168 Feb 38 puts (ref. 39.86)
XLF Buyer 4,000 Jan 2th 23.5 puts (ref. 24.65)
EEM Seller 42,690 Dec 41 calls to Buy 142,300 Dec 37 – 30 put spreads (ref. 40.37)
EFA 12,000 Feb 1st 60.5 puts trade (ref. 60.80)
SPX Buyer 13,350 Dec20 2100 puts (ref. 2616.12)
SMH Seller 13,500 Mar 100 calls to Buy 13,500 Mar 80 puts (ref. 89.69)
Finance Trades Options Strategies
BABA 3,900 Jan 130 – Mar 140 Jelly Rolls trade (ref. 149.05)
HYG 10,000 Mar 95 RevCons trade (ref. 83.66)
IWM 5,550 Feb 150 RevCons trade (ref. 142.31)
XLP 5,000 Feb 50 RevCons trade (ref. 51.39)
Upcoming Earnings
Underlying |
Earnings Date |
Imp Move |
Historical Move |
Cheap vs Expensive |
Quantamize Rating |
Average Daily Vega |
DAL |
1/15/2019 |
3.2 |
2.4 |
35.4% |
A |
135,536 |
HRS |
1/15/2019 |
3.6 |
5.5 |
-34.5% |
A |
13,097 |
JPM |
1/15/2019 |
2.3 |
1.2 |
85.6% |
D |
499,181 |
UAL |
1/15/2019 |
4.2 |
6.6 |
-36.1% |
C |
120,164 |
UNH |
1/15/2019 |
2.9 |
3.0 |
-3.3% |
B |
212,330 |
WFC |
1/15/2019 |
3.3 |
1.8 |
83.7% |
D |
305,050 |
AA |
1/16/2019 |
5.8 |
6.0 |
-3.0% |
D |
20,420 |
BAC |
1/16/2019 |
2.7 |
1.5 |
86.7% |
C |
701,887 |
BK |
1/16/2019 |
3.6 |
3.5 |
2.8% |
D |
22,630 |
BLK |
1/16/2019 |
2.6 |
2.1 |
22.5% |
B |
59,415 |
CMA |
1/16/2019 |
3.5 |
2.0 |
73.5% |
B |
5,039 |
CSX |
1/16/2019 |
4.3 |
4.3 |
0.6% |
A |
29,857 |
GS |
1/16/2019 |
3.0 |
2.1 |
47.5% |
D |
389,879 |
KMI |
1/16/2019 |
1.0 |
2.0 |
-48.7% |
C |
30,298 |
PNC |
1/16/2019 |
2.7 |
1.8 |
52.6% |
C |
17,496 |
SCHW |
1/16/2019 |
2.8 |
1.9 |
49.8% |
C |
18,160 |
USB |
1/16/2019 |
2.3 |
1.6 |
41.2% |
C |
50,886 |
AXP |
1/17/2019 |
3.2 |
3.4 |
-5.7% |
C |
96,514 |
BBT |
1/17/2019 |
2.8 |
2.3 |
21.4% |
C |
12,247 |
FAST |
1/17/2019 |
5.8 |
5.9 |
-2.0% |
C |
8,466 |
KEY |
1/17/2019 |
3.1 |
2.8 |
11.0% |
C |
5,247 |
MS |
1/17/2019 |
3.6 |
2.3 |
56.1% |
D |
148,799 |
MTG |
1/17/2019 |
4.6 |
3.8 |
18.8% |
C |
3,410 |
NFLX |
1/17/2019 |
7.8 |
7.5 |
4.2% |
D |
3,284,859 |
PPG |
1/17/2019 |
3.8 |
2.0 |
89.3% |
C |
11,376 |
KSU |
1/18/2019 |
3.2 |
2.3 |
37.6% |
B |
6,057 |
RF |
1/18/2019 |
4.6 |
2.1 |
118.8% |
C |
7,126 |
SLB |
1/18/2019 |
3.3 |
1.2 |
171.0% |
D |
174,045 |
STI |
1/18/2019 |
2.7 |
1.6 |
73.2% |
D |
9,175 |
STT |
1/18/2019 |
5.2 |
4.8 |
8.1% |
D |
14,221 |
VFC |
1/18/2019 |
6.1 |
5.4 |
12.3% |
B |
9,914 |
AMTD |
1/22/2019 |
2.8 |
2.5 |
10.4% |
B |
11,748 |
COF |
1/22/2019 |
2.8 |
2.5 |
11.1% |
C |
16,630 |
FITB |
1/22/2019 |
3.1 |
2.5 |
21.9% |
D |
2,935 |
HAL |
1/22/2019 |
3.5 |
3.7 |
-4.6% |
D |
124,707 |
IBKR |
1/22/2019 |
3.4 |
2.2 |
52.8% |
D |
6,021 |
IBM |
1/22/2019 |
4.0 |
5.2 |
-24.1% |
A |
225,443 |
STLD |
1/22/2019 |
3.6 |
2.7 |
35.8% |
C |
3,009 |
SWK |
1/22/2019 |
4.0 |
3.2 |
25.4% |
C |
24,951 |
TRV |
1/22/2019 |
0.9 |
2.7 |
-67.5% |
C |
7,272 |
WYNN |
1/22/2019 |
7.1 |
7.0 |
1.3% |
D |
249,366 |
ZION |
1/22/2019 |
4.1 |
2.1 |
99.7% |
C |
10,547 |
CCI |
1/23/2019 |
1.1 |
1.5 |
-27.2% |
B |
17,057 |
CMCSA |
1/23/2019 |
3.0 |
2.6 |
15.6% |
B |
219,803 |
CTXS |
1/23/2019 |
5.6 |
2.7 |
104.0% |
A |
6,836 |
F |
1/23/2019 |
5.9 |
4.3 |
35.9% |
C |
80,485 |
FFIV |
1/23/2019 |
4.3 |
4.6 |
-6.9% |
A |
5,431 |
KMB |
1/23/2019 |
1.5 |
1.8 |
-17.6% |
C |
19,917 |
LRCX |
1/23/2019 |
3.6 |
3.8 |
-3.3% |
C |
102,288 |
LVS |
1/23/2019 |
2.4 |
3.2 |
-25.4% |
D |
72,510 |
NTRS |
1/23/2019 |
3.2 |
3.5 |
-8.5% |
C |
3,312 |
PG |
1/23/2019 |
2.3 |
3.4 |
-32.4% |
B |
149,178 |
PGR |
1/23/2019 |
2.7 |
2.5 |
7.8% |
B |
10,532 |
PTC |
1/23/2019 |
2.8 |
3.9 |
-27.0% |
D |
2,629 |
ROK |
1/23/2019 |
3.4 |
3.2 |
5.3% |
C |
6,474 |
TXN |
1/23/2019 |
2.8 |
3.8 |
-26.5% |
A |
104,252 |
URI |
1/23/2019 |
3.4 |
6.0 |
-43.3% |
C |
62,243 |
UTX |
1/23/2019 |
0.9 |
1.8 |
-48.3% |
B |
54,394 |
XLNX |
1/23/2019 |
4.8 |
6.0 |
-18.7% |
B |
17,496 |
Volatility Standouts
Underlying |
2M Volatility vs Forecast |
Q Rating |
2M IV Change |
IV 2M Percentile |
Average Daily Vega |
NDLS |
64.62% |
D |
-0.35% |
39.29 |
152 |
EVRI |
62.39% |
C |
-0.41% |
82.14 |
565 |
USAT |
57.98% |
F |
-3.12% |
83.73 |
296 |
ADTN |
53.36% |
D |
1.83% |
97.22 |
1,022 |
RRGB |
50.22% |
D |
-8.62% |
90.08 |
462 |
ELAN |
49.44% |
D |
0.00% |
85.29 |
1,194 |
ZAYO |
48.19% |
C |
1.79% |
92.46 |
20,365 |
ADT |
47.42% |
A |
0.75% |
92.95 |
260 |
HLF |
45.68% |
B |
-0.23% |
75.40 |
20,065 |
UNFI |
42.91% |
F |
2.51% |
90.48 |
862 |
JACK |
42.69% |
C |
-0.28% |
91.27 |
2,765 |
PCG |
42.38% |
B |
2.44% |
98.81 |
96,111 |
ISBC |
39.53% |
D |
1.06% |
75.79 |
1,118 |
SRCL |
37.26% |
F |
1.11% |
72.22 |
1,420 |
MHK |
37.09% |
C |
-16.95% |
91.67 |
9,886 |
CTB |
36.33% |
C |
0.71% |
53.57 |
2,392 |
AOBC |
35.74% |
C |
-0.82% |
47.22 |
1,189 |
ICPT |
35.53% |
F |
-0.52% |
99.60 |
15,630 |
WU |
34.31% |
A |
-0.72% |
81.35 |
410 |
XRAY |
33.85% |
C |
-0.33% |
71.83 |
3,537 |
REV |
33.46% |
D |
-0.66% |
73.81 |
569 |
HAIN |
33.42% |
F |
3.17% |
92.86 |
2,713 |
PBYI |
33.07% |
D |
15.86% |
75.79 |
2,733 |
CTXS |
31.98% |
A |
5.02% |
84.52 |
6,836 |
Underlying |
2M Volatility vs Forecast |
Q Rating |
2M IV Change |
IV 2M Percentile |
Average Daily Vega |
DNB |
-67.77% |
B |
-0.35% |
24.60 |
1,855 |
TSRO |
-62.72% |
D |
-0.41% |
0.79 |
14,330 |
CELG |
-61.48% |
C |
-3.12% |
6.75 |
625,149 |
QEP |
-60.49% |
F |
1.83% |
0.40 |
7,993 |
MB |
-57.82% |
C |
-8.62% |
0.40 |
1,111 |
USG |
-55.19% |
C |
0.00% |
9.92 |
1,010 |
NTRI |
-50.04% |
B |
1.79% |
4.76 |
944 |
OZK |
-49.96% |
F |
0.75% |
93.25 |
2,599 |
SAGE |
-48.44% |
F |
-0.23% |
79.68 |
31,126 |
IEP |
-47.02% |
C |
2.51% |
82.14 |
2,877 |
IDTI |
-40.53% |
C |
-0.28% |
13.89 |
1,453 |
M |
-38.75% |
B |
2.44% |
88.49 |
76,580 |
BMY |
-3.57E-01 |
C |
1.06% |
94.05 |
824,912 |
UNP |
-34.15% |
B |
1.11% |
79.76 |
109,831 |
NRZ |
-34.11% |
C |
-16.95% |
86.90 |
3,481 |
SNAP |
-33.77% |
D |
0.71% |
72.22 |
32,456 |
ISRG |
-31.02% |
C |
-0.82% |
84.13 |
140,195 |
FNSR |
-30.57% |
F |
-0.52% |
9.52 |
1,033 |
FOSL |
-30.03% |
C |
-0.72% |
85.32 |
1,814 |
MTN |
-29.91% |
A |
-0.33% |
95.63 |
13,341 |
AAPL |
-29.67% |
A |
-0.66% |
81.75 |
6,924,051 |
AVGO |
-28.88% |
C |
3.17% |
73.41 |
290,550 |
XPER |
-28.69% |
D |
15.86% |
7.14 |
237 |
EIX |
-28.19% |
C |
5.02% |
81.35 |
3,339 |
