The Broader Markets

Last Week – SPY was higher by about 0.6% last week, less than the 1.6% move options were pricing. The SPY had an intraweek low below $428 on Monday which was about the lower end of the Bearish Expected Move before bouncing to finish the week above $437.

This Week – SPY options are pricing about a 1.4% move (in either direction) for the upcoming week. With the SPY around $437 that corresponds to about a $6 move in either direction, with $431 as a bearish expected move and $444 as a bullish expected move.

Implied Volatility – The VIX ended Friday around 19, down from 21 the week before. It was as high as 24 on Monday and closed Friday near its lows for the week. The VIX is about in line with its historical average entering this week. VIX futures remain upward sloping with January futures just under 24. Options are pricing more volatility towards the end of the year than now.

Expected Moves for This Week via Options AI:

With implied volatility slightly lower, options are pricing smaller market moves this week than they priced last week. Here are the expected moves for the week in the major ETFs, all slightly lower except the DIA which is about the same as last week:

  • SPY 1.3%
  • QQQ 1.7%
  • IWM 1.9%
  • DIA 1.5%

As an example of how the 1.3% expected move translates into strike selections, here’s an Iron Condor with short strikes set at the expected move (based on the close Friday). It would need the ETF to finish between $431 and $443 to see Max Gain:


In the News

Cryptocurrencies saw a sharp rally last week. BTC is about 9% shy of its all time highs. Options are pricing about a 6% expected move for this week. Here’s the expected moves through this Friday for BTC and ETH:

  • BTC: 6%
  • ETH: 7%

Expected Moves for Companies Reporting Earnings

Options AI puts the expected move at the heart of its trading experience. Traders are able to quickly generate credit and debit trades based on the Expected Move, or to their own targets in context of the Expected Move. More education on Expected Moves and options trading can be found at Learn / Options AI.

After a lull over the past few weeks Earnings season kicks into gear this week with some of the big financial companies. The expected move links to the Options AI Calendar with prior moves shows starting with the most recent earnings.


Tuesday

Fastenal FAST / Expected Move: 4% / Recent moves: -2%, -1%, -3%

Wednesday

JP Morgan JPM / Expected Move: 2.5% / Recent moves: -1%, -2%, -2%

Blackrock BLK / Expected Move: 3.2% / Recent moves: -3%, +2%, -5%

Delta Air DAL / Expected Move: 3.5% / Recent moves: -2%, -3%, +2%

Thursday

Bank of America BAC / Expected Move: 3.0% / Recent moves: -3%, -3%, -1%

Taiwan Semi TSM / Expected Move: 3.5% / Recent moves: -6%, -2%, +6%

Wells Fargo WFC / Expected Move: 3.8% / Recent moves: +4%, +6%, -8%

Citi C / Expected Move: 2.9% / Recent moves: 0%, -1%, -7%

Dominos DPZ / Expected Move: 5.4% / Recent moves: +15, +3%, -7%

United Health UNH / Expected Move: 2.9% / Recent moves: +1%, +4%, 0%

Friday

Goldman Sachs GS / Expected Move: 2.9% / Recent moves: -1%, +2%, -2%

Charles Schwab SCHW / Expected Move: 3.3% / Recent moves: -2%, -3%, +1%


Based upon publicly available information derived from option prices at the time of publishing. Intended for informational and educational purposes only and is not any form of recommendation of a particular security, strategy or to open a brokerage account. Options price data and past performance data should not be construed as being indicative of future results and do not guarantee future results or returns. Options involve risk, including exposing investors to potentially significant losses and are therefore not suitable for all investors. Option spreads involve additional risks that should be fully understood prior to investing. Securities trading is offered through Options AI Financial, LLC a registered broker-dealer.

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