What You Need To Know This Week In Options

The stubborn elevated implied volatility across the major indices finally fell a bit at the end of last week with the VIX dropping from 29 to 25. That means slightly narrower expected moves into earnings season. Earnings kicks off tomorrow morning with Citi, JP Morgan and Johnson & Johnson. Most stocks will enter their announcements not only pricing their own news but also broader market uncertainty, but some of that uncertainty got re-priced last week as the election results and stimulus negotiations became somewhat clearer. VIX futures still show election week as the highest demand for options premium.

Here's how this week looks through the lens of the options market.

Expected Moves via Options AI

• Last week's expected move in SPY: 2.2%
• Last week’s actual move SPY: +3.8%
• This week's expected move in SPY: 1.6%:

Earnings of Note

Banks/Financial earnings take center stage this week. Here's a 7 day expected move comparison, vs the XLF financials etf. Most are hovering near a 3-4% expected move for the next week with XLF about 2.5%. Wells Fargo options are pricing the largest expected move of the group:

We also see a couple of the big airlines this week, with Delta tomorrow morning and United after the bell on Wednesday. The rest report over the next few weeks. Here's a comparison of both the monthly and weekly expected moves in this group, compared to the JETS etf:

And here's a breakdown of expected moves over the next week, month, quarter and year:

Earnings Calendar for this week:

Earnings time, expected move for this Friday (highlighted on Options AI chart), and last earnings's actual move:

Tuesday 6:55am - Johnson & Johnson JNJ | expected move: 1.8%  (last earnings: -1.0%)

Tuesday 6:55am - JPMorgan Chase JPM | expected move: 3.5%  (last earnings: +2.4%)

Tuesday 7:00am - Delta Air Lines DAL | expected move: 5.5%  (last earnings: -5.0%)

Tuesday 8:00am - Citigroup C | expected move: 3.6%  (last earnings: -4.2%)

Wednesday 5:55am - UnitedHealth Group UNH | expected move: 3.0%  (last earnings: -3.2%)

Wednesday 6:45am - Bank of America BAC | expected move: 3.5%  (last earnings: -4.3%)

Wednesday 7:30am - The Goldman Sach GS | expected move: 3.3%  (last earnings: +5.2%)

Wednesday 7:50am - Wells Fargo WFC | expected move: 3.9%  (last earnings: -8.2%)

Wednesday 4:15pm - United Airlines UAL | expected move: 6.7%  (last earnings: -4.3%)

Thursday 7:00am - Taiwan Semiconductor Manufacturing TSM | expected move: 4.1%  (last earnings: -2.6%)

Thursday 7:15am - Morgan Stanley MS | expected move: 3.6%  (last earnings: +4.2%)

Thursday 8:45am - The Charles Schwab SCHW | expected move: 3.0%  (last earnings: -3.4%)

Friday 6:50am - Schlumberger SLB | expected move: 4.5%  (last earnings: -2.1%)