Last Week – SPY was lower by about 3.3% last week, erasing most of the gains made the week before. The majority of the move lower came immediately after a slightly more hawkish-than-expected press conference from Jay Powell following the FOMC rate change and statement. The market rallied on Friday and kept last week’s selloff from being even worse.
The 3.3% move lower was more than the 2.5% move options were pricing. The market has been moving more than options were pricing fairly consistently over the past month. Despite that, vol continued to trend lower, with many of the big earnings reports, plus the FOMC decision now out of the way. However, the election looms this week and that could keep a bid on options for the next few days. 30 day IV in SPY is about 24, with realized vol (actually moves) over the past month around 27. (for reference, realized vol for the past year is around 23, so 27 the past month means the market is volatile, even for 2022)
This Week – SPY options are pricing about a 2.6% move for the upcoming week. That implies a move of about $10 in either direction. The VIX closed last week under 25. Its lowest levels since mid-September but still higher than average. It got as low as 19 in August.
With IV coming in the past 2 weeks, the skew of options is shifting, with upside calls in SPY and QQQ now more expensive (relatively) to the at-the-moneys than they had been when IV was higher. The reasons why are numerous and unimportant is some ways, but from a trading perspective, it means that debit call spreads that buy ATM and sell upside strikes are more favorable than they have been in recent weeks (not to mention they are lower IV overall).
The economic calendar this week has an important CPI number, and of course the mid-term elections are on Tuesday, with reactions beginning with Wednesday’s session.
Expected Moves for This Week (via Options AI)
- SPY 2.6% (+/- $10)
- QQQ 3.4% (+/- $9)
- IWM 3.1% (+/- $5)
- DIA 2.3% (+/- $7)
- Monday – Fed speeches: Mester, Collins
- Tuesday – Midterm Elections (results Tues night into Wednesday)
- Wednesday – Fed speech: Williams
- Thursday – CPI
- Friday – Michigan Consumer Sentiment
Earnings This Week
Expected moves for companies reporting this week. Recent moves indicate what the stock did in its past few reports (starting with the most recent). Also included is the 30-day (forward) IV vs the 1-year actual (realized, historical), which gives a sense of how options are pricing the moves relative to how the stock has traded over the past year.
Data is via the Options AI Earnings Calendar and other companies can be found at the link (free to use).
- Palantir PLTR / Expected Move: 12.6% / Recent moves: -14%, -21%, -16%, -9% (30d IV vs 1yr: +16)
- Lyft LYFT / Expected Move: 14.9% / Recent moves: +17%, -30%, +7% (30d IV vs 1yr: +21)
- Workhorse WKHS / Expected Move: 13.4% / Recent moves: -24%, +4%, +19%, -4% (30d IV vs 1yr: +7)
- Walt Disney DIS / Expected Move: 6.5% / Recent moves: +5%, -1%, +3%, -7% (30d IV vs 1yr: +32)
- Occidental OXY / Expected Move: 5.2% / Recent moves: -6%, +1%, 0% (30d IV vs 1yr: -11)
- AMC Entertainment AMC / Expected Move: 12.9% / Recent moves: +18%, -5%, +1%, -11% (30d IV vs 1yr: +8)
- Lucid LCID / Expected Move: 10.3% / Recent moves: -10%, -4%, -14%, +24% (30d IV vs 1yr: -4)
- The TradeDesk TTD / Expected Move: 15.2% / Recent moves: +36%, -1%, +1% (30d IV vs 1yr: +16)
- Rivian RIVN / Expected Move: 10.3% / Recent moves: 0%, +18%, -8%, -10% (30d IV vs 1yr: -12)
- Wynn WYNN / Expected Move: 7.3% / Recent moves: -1%, -5%, -2%, -2% (30d IV vs 1yr: +5)
- Nio NIO / Expected Move: 11.5% / Recent moves: +2%, -8%, -10%, -3% (30d IV vs 1yr: +7)
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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, member FINRA and SIPC.