The Broader Markets
Last Week – SPY was higher by 1.5%, more than the 1% expected move options were pricing.
This Week – SPY options are pricing less than a 1% (in either direction) for the upcoming week. With the SPY around $450 that corresponds to about $446 as a bearish expected move and $454 as a bullish expected move.
Implied Volatility – The VIX saw an intra-week high of about 19 mid-week, but came in Friday to finish the week about 16.50. That is lower than its historical average. December VIX futures are about 22.50, down from about 23 last week.
Expected Moves for This Week via Options AI:
The major ETFs are all pricing smaller moves this week than they were last week:
- SPY 0.8%
- QQQ 1.0%
- IWM 1.7%
- DIA 0.9%
The 0.8% expected move in the SPY is lower than the historical average. An Iron Condor with $1 wide wings based on the Expected Move for Friday, needs the ETF to finish between about $446.60 and $454.40 to make money. It needs the ETF between $447 and $454 to see Max Gain:
In the News
Hurricane Ida made landfall on the Gulf Coast of Louisiana on Sunday. The area is home to a lot of Oil and Gas industry and the storm grew in strength rapidly over the weekend into a Category 4 storm, after markets closed on Friday. Here’s what options were pricing for movement this week in the ETFs:
- XOP 3.6%
- XLE 2.3%
- USO 3.1%
Expected Moves for Companies Reporting Earnings
The Options AI Earnings Calendar is a free resource to keep up to date on upcoming earnings, how options are pricing potential moves, and how that compares to actual moves from prior earnings (starting with most recent).
Options AI puts the expected move at the heart of its trading experience. Traders are able to quickly generate trades based on the move, or to place their own price target in context of the expected move. More education on expected moves and spread trading can be found at Learn / Options AI.
Some earnings of note this week include Zoom, Chewy, Crowdstrike, Docusign, and more.
Monday
Zoom ZM / Expected Move: 7.3% / Recent moves: 0%, -9%, -15%
Tuesday
Crowdstrike CRWD / Expected Move: 6.5% / Recent moves: -4%, +6%, +14%
Ambarella AMBA / Expected Move: 7.6% / Recent moves: -1%, 0%, +15%
Wednesday
Chewy CHWY / Expected Move: 7% / Recent moves: -6%, +5%, -5%
Okta OKTA / Expected Move: 5.5% / Recent moves: -10%, -6%, +5%
Five Below FIVE / Expected Move: 6% / Recent moves: +7%, -4%, +4%
Thursday
Broadcom AVGO / Expected Move: 7.1% / Recent moves: +2%, +1%, -1%
Docusign DOCU / Expected Move: 3.6% / Recent moves: +20%, -7%, +5%
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.
