Last Week – Fed comments still creating market moves
SPY rose 1.2% last week, less than the 1.5% move options were pricing. The week featured more volatility than the final tally would indicate as it rose about 3.3% from the week’s lows following the positive rate hike comments by Powell on Wednesday. VIX futures are still steeply in contango with Dec around 21 and Feb near 25. SPY option IV is less steep with 30-day IV, 18, 60-day, 19, and 90-day, 20. Powell’s comments moved markets more than the Jobs number and that assumption continues with big volatility assumptions around the Dec FOMC meeting. More on that below.
This Week – Low IV for now, with options looking ahead to Dec 14th FOMC
SPY options are pricing just a 1.3% move for the upcoming week.
Last week, we highlighted how the economic calendar was about to pick up in the first few weeks of December. The Powell speech was the highlight last week, with the Jobs number also seeing a big move lower before a late recovery. This week sees Producer Prices and Consumer Sentiment but the options market is already looking forward to Dec 14th. IV is low for the next week and a half and pricing much larger movement into and out of the FOMC decision. In fact, SPY options are pricing just a 1.5% move out to December 12th, with just 12 IV. Options pick up for the 13th, and the SPY options expiring on December 16th are 21 IV. This is something to keep an eye on for expiry dates and trading over the next 2 weeks as it will also show up in individual stocks (for instance, AAPL Dec 9 options are 22 IV and Dec 16th are 29). Here’s how it looks in SPY, something that looks more like a stock about to report earnings:
Expected Moves for This Week (via Options AI free tools)
- SPY 1.3%
- QQQ 1.9%
- IWM 1.7%
- DIA 1.2%
- Monday – ISM Services
- Thursday – Initial Jobless Claims
- Friday – UofM 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 (many free-to-use tools).
- AutoZone AZO / Expected Move: 4.2% / Recent moves: -3%, +6%, -2%, +8% (30d IV vs 1yr: +1)
- MongoDB MDB / Expected Move: 14.4% / Recent moves: -25%, +19%, +19%, +16% (30d IV vs 1yr: +10)
- Gamestop GME / Expected Move: 10.1% / Recent moves: +7%, +10%, +4%, -10% (30d IV vs 1yr: 0)
- Costco COST / Expected Move: 3.9% / Recent moves: -4%, +1%, -1%, +7% (30d IV vs 1yr: -7)
- DocuSign DOCU / Expected Move: 14.1% / Recent moves: +11%, -25%, -20% (30d IV vs 1yr: +20)
- LuluLemon LULU / Expected Move: 6.3% / Recent moves: +7%, -1%, +10%, -2% (30d IV vs 1yr: -2)
- Broadcom AVGO / Expected Move: 3.6% / Recent moves: +2%, -2%, +4%, +3% (30d IV vs 1yr: -15)
- Chewy CHWY / Expected Move: 11.6% / Recent moves: -8%, +24%, -16%, -8% (30d IV vs 1yr: 0)
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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.