VIX down -5% as equities continue to move higher
Jan 25, 2019
Options Market Commentary
Stocks are stronger this afternoon in part due to speculation that the Fed may leave the balance sheet at higher levels than originally thought (dovish). Currently, the S&P is +1%, the Russell +1.2%, and the Nasdaq +1.3%. In contrast to yesterday, this appears to be a genuine risk on move with Treasury yields higher and HYG catching a bid (+.28%). In single name news, Intel is down 6.5% after reporting quarterly earnings – the chip-maker offered conservative guidance amid slowing iPhone sales. Meanwhile, Utilities are underperforming given the risk-on move. Volatilities are softer with the VIX -6.7% to 17.62, VXN -6% to 22.08, and RVX -5% at 21.38.
ETF 30D Volatility Changes
SPY: -4%
IWM: -3%
QQQ: -4%
Directional Options Strategies
Bullish Option Strategies
WDC Buyer 4,058 Mar 45 calls (ref. 44.07)
NOK Buyer 5,000 Apr 6 calls (Earnings 1/31, ref. 6.48)
CL Buyer 20,000 Mar 62.5 – May 65 call spreads tied to stock (rolls out and up, ref. 62.95)
AMD Buyer 11,000 Feb 1st 23.5 – 25.5 call spreads (ref. 21.03)
AAL 9,400 Mar 38 calls trade (appears bot, ref. 35.22)
VALE Seller 10,000 Mar 13 puts (ref. 14.30)
Bearish Option Strategies
FL Buyer 3,000 Feb 55 – 51.5 put spreads (ref. 56.96)
F Buyer 25,000 Jan20 7 puts tied to stock (possibly closing, ref. 8.94)
AHL Buyer 2,000 Mar 40 – 35 put spreads (ref. 41.88)
Macro Options Strategies
Bullish Option Strategies
FXI Buyer 7,226 Feb 22nd 43 – 45 call spreads (ref. 42.04)
GLD Buyer 10,000 Mar 125 calls (ref. 122.31)
VNQ Buyer 30,000 Mar 74 puts (closing) to Sell 15,000 Mar 77 puts (rolls write up, ref. 84.45)
FXI Buyer 10,000 Apr 44 – 47 call spreads tied to stock (ref. 42.25)
EEM 106,000 Mar 44 calls trade (possibly closing, ref. 42.22)
Bearish Option Strategies
XAU Buyer 10,000 Feb 65 puts (ref. 72.15)
XOP Seller 40,000 Mar 24 puts (closing) to Buy 25,000 Jun 27 puts (rolls out and up, ref. 30.50)
HYG Seller 30,000 Feb 79 and 78 puts and 9,000 Feb 77 and 76 puts to Buy 7,000 Apr 82 and 79 puts (rolls out and sizes down, ref. 84.47)
IYR Seller 13,500 Mar 83 calls to Buy 13,500 Mar 79 – 76 put spreads (ref. 80.49)
XLF Buyer 100,000 Jan21 25 puts tied to stock (ref. 25.98)
INDA Buyer 7,500 Jun 32 – 30 put spreads to Sell 7,500 Jun 29 – 27 put spreads (ref. 32.63)
Finance Trades Options Strategies
SIRI 15,000 Feb 8 RevCons trade (ref. 5.84)
MU 9,000 Mar 50 RevCons trade (ref. 38.76)
Upcoming Earnings
Underlying |
Earnings Date |
Imp Move |
Historical Move |
Cheap vs Expensive |
Quantamize Rating |
Average Daily Vega |
AKS |
1/28/2019 |
11.1 |
10.9 |
2.1% |
D |
|
CAT |
1/28/2019 |
4.4 |
4.4 |
1.1% |
C |
338,072 |
WHR |
1/28/2019 |
6.0 |
7.1 |
-15.6% |
F |
13,450 |
AAPL |
1/29/2019 |
4.0 |
4.6 |
-13.2% |
A |
4,098,598 |
AGN |
1/29/2019 |
3.5 |
3.4 |
1.6% |
C |
62,151 |
ALGN |
1/29/2019 |
8.4 |
9.2 |
-8.4% |
A |
69,066 |
AMD |
1/29/2019 |
11.5 |
13.5 |
-14.8% |
C |
346,294 |
AMGN |
1/29/2019 |
3.3 |
2.0 |
62.6% |
C |
155,585 |
AOS |
1/29/2019 |
4.3 |
3.2 |
36.6% |
B |
1,771 |
BIIB |
1/29/2019 |
4.4 |
2.5 |
74.7% |
C |
129,407 |
BXP |
1/29/2019 |
2.7 |
2.1 |
32.5% |
D |
3,852 |
CHRW |
1/29/2019 |
2.5 |
3.8 |
-34.4% |
B |
20,217 |
CIT |
1/29/2019 |
3.5 |
1.3 |
158.4% |
F |
4,026 |
COHR |
1/29/2019 |
6.5 |
11.1 |
-41.5% |
D |
6,196 |
DHR |
1/29/2019 |
1.9 |
3.2 |
-39.9% |
B |
16,645 |
DOV |
1/29/2019 |
3.0 |
2.6 |
15.8% |
D |
3,744 |
EAT |
1/29/2019 |
5.7 |
3.8 |
47.5% |
B |
2,801 |
EBAY |
1/29/2019 |
5.5 |
6.8 |
-19.1% |
B |
82,829 |
EQR |
1/29/2019 |
1.9 |
1.8 |
9.8% |
C |
2,133 |
GLW |
1/29/2019 |
4.7 |
5.2 |
-9.6% |
C |
16,645 |
GPK |
1/29/2019 |
6.4 |
5.2 |
22.1% |
D |
2,935 |
HCA |
1/29/2019 |
4.2 |
3.3 |
26.6% |
B |
21,530 |
HOG |
1/29/2019 |
6.0 |
4.4 |
35.4% |
D |
5,642 |
HRS |
1/29/2019 |
2.8 |
5.5 |
-49.3% |
A |
15,012 |
ILMN |
1/29/2019 |
5.2 |
6.0 |
-14.7% |
B |
47,918 |
JNPR |
1/29/2019 |
7.0 |
5.5 |
27.8% |
B |
5,033 |
KNX |
1/29/2019 |
2.8 |
5.3 |
-46.6% |
C |
16,980 |
LLL |
1/29/2019 |
2.7 |
4.1 |
-33.8% |
B |
3,204 |
LMT |
1/29/2019 |
2.8 |
2.5 |
11.3% |
B |
107,953 |
MMM |
1/29/2019 |
3.3 |
3.4 |
-3.8% |
B |
100,320 |
NUE |
1/29/2019 |
2.6 |
2.0 |
29.4% |
A |
14,205 |
PCAR |
1/29/2019 |
3.8 |
3.6 |
6.6% |
B |
8,316 |
PFE |
1/29/2019 |
2.3 |
1.8 |
23.3% |
B |
169,744 |
PFG |
1/29/2019 |
2.8 |
3.4 |
-18.2% |
D |
2,709 |
PHM |
1/29/2019 |
4.2 |
3.0 |
38.3% |
B |
6,380 |
PII |
1/29/2019 |
6.7 |
7.2 |
-6.5% |
D |
2,780 |
PKG |
1/29/2019 |
4.0 |
3.2 |
22.7% |
B |
3,575 |
ROK |
1/29/2019 |
3.8 |
3.2 |
19.1% |
C |
10,848 |
SYK |
1/29/2019 |
0.6 |
2.7 |
-77.0% |
B |
16,964 |
VZ |
1/29/2019 |
2.5 |
2.6 |
-3.0% |
B |
179,991 |
XRX |
1/29/2019 |
7.3 |
3.7 |
96.6% |
C |
21,005 |
ADP |
1/30/2019 |
3.9 |
3.7 |
4.1% |
B |
27,154 |
AGNC |
1/30/2019 |
1.3 |
1.4 |
-11.9% |
C |
3,208 |
ALLY |
1/30/2019 |
4.3 |
3.1 |
38.0% |
C |
6,163 |
AMP |
1/30/2019 |
4.2 |
3.6 |
17.1% |
C |
5,349 |
ANTM |
1/30/2019 |
2.6 |
3.5 |
-27.0% |
C |
33,523 |
BA |
1/30/2019 |
3.6 |
3.4 |
5.9% |
A |
957,961 |
BEN |
1/30/2019 |
3.9 |
2.0 |
95.0% |
C |
3,598 |
CACC |
1/30/2019 |
6.6 |
7.2 |
-8.4% |
D |
5,618 |
CREE |
1/30/2019 |
7.6 |
6.7 |
14.0% |
F |
8,401 |
CRUS |
1/30/2019 |
6.9 |
5.2 |
31.0% |
C |
3,387 |
ESS |
1/30/2019 |
2.8 |
2.0 |
39.8% |
D |
5,066 |
FB |
1/30/2019 |
6.5 |
6.2 |
4.7% |
B |
2,729,644 |
GD |
1/30/2019 |
3.4 |
3.9 |
-13.8% |
A |
27,417 |
HES |
1/30/2019 |
3.6 |
2.7 |
30.3% |
F |
28,132 |
HOLX |
1/30/2019 |
5.0 |
4.3 |
18.0% |
C |
4,937 |
ISBC |
1/30/2019 |
8.0 |
2.2 |
263.3% |
D |
2,600 |
IVZ |
1/30/2019 |
3.9 |
2.3 |
70.1% |
D |
3,924 |
MCD |
1/30/2019 |
3.4 |
3.7 |
-7.3% |
A |
185,343 |
MDLZ |
1/30/2019 |
3.5 |
3.5 |
-2.0% |
C |
43,211 |
MLNX |
1/30/2019 |
6.4 |
4.1 |
56.3% |
A |
28,051 |
MSFT |
1/30/2019 |
3.6 |
3.0 |
17.9% |
B |
1,235,052 |
MUR |
1/30/2019 |
4.9 |
3.6 |
36.9% |
D |
1,973 |
NDAQ |
1/30/2019 |
2.2 |
1.5 |
44.5% |
C |
2,294 |
NOW |
1/30/2019 |
5.2 |
3.6 |
43.9% |
D |
87,631 |
NTCT |
1/30/2019 |
7.4 |
7.4 |
0.1% |
B |
2,902 |
PYPL |
1/30/2019 |
5.4 |
5.4 |
-0.9% |
B |
323,524 |
QCOM |
1/30/2019 |
4.9 |
4.1 |
19.4% |
C |
508,121 |
RCL |
1/30/2019 |
5.6 |
4.4 |
27.2% |
D |
37,894 |
SFLY |
1/30/2019 |
11.4 |
12.2 |
-6.4% |
C |
4,878 |
SIRI |
1/30/2019 |
4.0 |
3.1 |
29.0% |
A |
3,424 |
T |
1/30/2019 |
3.5 |
4.6 |
-23.4% |
C |
257,118 |
TMO |
1/30/2019 |
3.2 |
2.8 |
12.2% |
A |
32,502 |
TROW |
1/30/2019 |
2.5 |
3.0 |
-15.3% |
B |
8,866 |
TSLA |
1/30/2019 |
6.4 |
7.7 |
-16.6% |
D |
3,332,611 |
TUP |
1/30/2019 |
8.6 |
9.8 |
-12.4% |
C |
2,774 |
V |
1/30/2019 |
3.0 |
2.6 |
16.7% |
A |
328,954 |
WYNN |
1/30/2019 |
7.4 |
7.0 |
5.6% |
D |
184,510 |
X |
1/30/2019 |
7.4 |
8.6 |
-13.3% |
C |
60,901 |
Volatility Standouts
Underlying |
2M Volatility vs Forecast |
Q Rating |
2M IV Change |
IV 2M Percentile |
Average Daily Vega |
ELAN |
62.42% |
D |
-4.56% |
77.63 |
3,876 |
NDLS |
61.08% |
D |
-1.06% |
48.02 |
174 |
MKC |
5.27E-01 |
A |
1.24% |
91.27 |
22,331 |
MDCO |
51.54% |
F |
-3.28% |
57.94 |
5,801 |
FDP |
49.49% |
C |
-0.77% |
92.06 |
1,416 |
RMD |
48.62% |
A |
2.86% |
72.22 |
6,396 |
ISBC |
48.16% |
D |
-4.43% |
52.78 |
2,600 |
EVRI |
47.33% |
C |
0.81% |
71.03 |
234 |
IONS |
46.86% |
F |
-9.28% |
46.22 |
11,271 |
RRD |
46.52% |
C |
-2.44% |
95.63 |
209 |
VSAT |
46.06% |
B |
-1.29% |
94.05 |
8,509 |
DMRC |
45.45% |
C |
-4.37% |
88.89 |
450 |
USAT |
44.03% |
F |
-7.75% |
70.63 |
1,030 |
CDK |
43.25% |
B |
-3.76% |
77.78 |
1,366 |
GSKY |
42.70% |
D |
-1.07% |
80.49 |
1,678 |
HAIN |
42.12% |
F |
-0.05% |
78.97 |
19,992 |
ETM |
41.82% |
D |
-4.55% |
79.76 |
263 |
GPRO |
41.74% |
F |
-0.52% |
75.79 |
3,281 |
CNDT |
4.14E-01 |
D |
-2.17% |
97.22 |
503 |
MHK |
41.15% |
C |
-3.86% |
86.11 |
18,181 |
TWOU |
40.23% |
C |
-2.04% |
81.75 |
912 |
BIG |
39.72% |
F |
-3.56% |
91.67 |
2,092 |
PDCE |
38.85% |
F |
-4.28% |
69.84 |
1,638 |
TIVO |
37.80% |
C |
-9.05% |
63.10 |
1,225 |
Underlying |
2M Volatility vs Forecast |
Q Rating |
2M IV Change |
IV 2M Percentile |
Average Daily Vega |
MB |
-66.40% |
C |
-4.56% |
0.00 |
604 |
NLS |
-65.96% |
D |
-1.06% |
97.22 |
408 |
RHT |
-65.74% |
D |
1.24% |
11.11 |
42,761 |
FDC |
-61.57% |
C |
-3.28% |
13.10 |
22,796 |
DNB |
-53.43% |
B |
-0.77% |
0.79 |
3,239 |
IMMU |
-51.82% |
C |
2.86% |
69.44 |
25,132 |
CASA |
-51.12% |
C |
-4.43% |
87.36 |
351 |
PCG |
-51.01% |
B |
0.81% |
99.60 |
187,806 |
ARNC |
-48.78% |
F |
-9.28% |
83.73 |
82,225 |
TGI |
-46.65% |
D |
-2.44% |
94.44 |
722 |
PVTL |
-46.49% |
F |
-1.29% |
35.64 |
1,745 |
QEP |
-45.06% |
F |
-4.37% |
1.98 |
3,862 |
SNAP |
-43.60% |
D |
-7.75% |
51.19 |
38,397 |
USG |
-41.51% |
C |
-3.76% |
20.24 |
1,193 |
VHC |
-41.50% |
D |
-1.07% |
44.05 |
3,227 |
UNFI |
-37.41% |
F |
-0.05% |
99.21 |
4,255 |
ADI |
-3.71E-01 |
B |
-4.55% |
68.25 |
30,131 |
TTD |
-36.77% |
C |
-0.52% |
74.60 |
31,019 |
AMAT |
-36.73% |
B |
-2.17% |
73.41 |
125,826 |
MO |
-36.55% |
C |
-3.86% |
92.06 |
148,963 |
FISV |
-35.63% |
A |
-2.04% |
91.27 |
30,864 |
EFII |
-34.80% |
C |
-3.56% |
69.05 |
546 |
FNSR |
-34.39% |
F |
-4.28% |
16.27 |
5,866 |
M |
-32.45% |
B |
-9.05% |
52.38 |
147,275 |
