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VIX down -8% on anticipated dovish tone from FOMC

Dec 19, 2018

 

Diverse Option Strategies for All Risk LevelsDiverse Option Strategies for All Risk Levels

Options Market Commentary

Equities are engaged in a cautious rally ahead of this afternoon’s much-anticipated FOMC meeting. Currently, the S&P is +1.2%, the Russell is +.98%, and the Nasdaq is +1.1%. Bonds continue to strengthen as investors anticipate a dovish tone from Chair Powell with TLT +.50% and the 10-year yield falling to 2.817%. Energy is bouncing today with crude prices up on a bullish EIA inventory as XOP is +2.6% and XLE +1.85%. Gold is modestly higher though miners are weaker, -1.2%. Volatilities are off recent highs amid the rally with the VIX -7% to 23.76, RVX -4% to 26.99, and VXN -3% to 28.42.

 

ETF 30D Volatility Changes

SPY:        -6%

IWM:       -4%

QQQ:       -5%

 

Directional Options Strategies

Bullish Option Strategies

NLSN Seller 9,000 Jan 30 calls (closing) to Buy 9,000 Jun 32 calls (rolls, ref. 25.03)

GM Buyer 12,700 Jan 41 calls (closes write, ref. 35.68)

COP Buyer 4,500 Jan 67.5 calls (ref. 62.78)

KHC Buyer 2,000 Jan 47.5 calls (ref. 46.58)

WMB Buyer 5,000 Dec 23 calls (ref. 22.97)

RF Seller 10,000 Dec 15 calls (closing) to Buy 10,000 Dec 14 calls and 5,000 Jan 15 calls (rolls down in Dec, ref. 13.32)

 

Bearish Option Strategies

ABX Buyer 10,000 Jan 13 puts (possibly closing, ref. 13.85)

XRX Seller 2,000 Jan 26 puts (closing) to Buy 8,100 Jan 19 puts (rolls down and increases size, ref. 21.60)

 

Quantitatively-Derived Options Trades: Transparent and Easily ExecutableQuantitatively-Derived Options Trades: Transparent and Easily Executable

Macro Options Strategies

Bullish Option Strategies

XLU Seller 18,000 Dec 53 – 51 put spreads (ref. 54.59)

SPY Buyer 20,000 Dec 28th 263 – 272 1 x 2 call spreads (ref. 256.38)

SPY Buyer 10,000 Dec 19th 264.5 calls (ref. 257.49)

VXX 7,500 Jan 31 – 28 1x2 put spreads trade (ref. 41.71)

XLE Seller 17,000 Jun 59 puts (closing, ref. 60.47)

TLT Seller 15,000 Jan 117 puts to Buy 15,000 Jan 126 calls tied to stock (ref. 120.36)

TLT Buyer 16,500 Dec 122 calls (ref. 120.22)

RF Buyer Dec 14 – 15 call spreads (ref. 13.32)

 

 

Bearish Option Strategies

IWM Buyer 10,000 Jan 130 – 120 put spreads (ref. 136.86)

SPY Buyer 12,748 Dec 241 puts (ref. 255.82)

XLE Seller 11,000 Dec 28th 66 calls (closing, ref. 59.85)

FXI Buyer 30,000 Dec 39 puts (closing, ref. 40.10)

USO Buyer 4,462 Jan 25th 9,5 puts (ref. 10.11)

HYG Buyer 15,000 Mar 79 puts (ref. 82.06)

EEM Buyer 85,000 Jan 32 puts (ref. 39.59)

 

Actionable and Transparent Quantitative ResearchActionable and Transparent Quantitative Research

 

 

Finance Trades Options Strategies

LLY 25,000 Apr 125 RevCons trade (ref. 110.18)

GGB 74,000 Dec – Mar 4 Jelly Rolls trade (ref. 3.98)

 

 

 

Upcoming Earnings

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
CAG 12/20/2018 4.8 3.6 32.3% C 8,582
NKE 12/20/2018 6.2 4.3 44.0% D 91,537
WBA 12/20/2018 4.8 3.7 32.2% B 77,036
KMX 12/21/2018 6.7 5.1 32.4% C 11,083
CALM 1/7/2019 6.2 3.8 64.8% D 969
AYI 1/9/2019 10.8 10.3 5.7% C 3,771
BBBY 1/9/2019 18.7 11.4 63.1% D 11,473
KBH 1/9/2019 6.5 5.3 22.5% C 5,328
STZ 1/9/2019 6.7 4.6 45.0% B 121,199
DAL 1/10/2019 2.8 2.4 19.6% C 112,493
LEN 1/10/2019 7.4 3.7 98.9% A 18,536
BLK 1/11/2019 5.5 2.1 162.2% C 71,396
C 1/14/2019 6.5 1.6 317.6% C 740,127
HRS 1/15/2019 4.9 5.5 -10.3% A 3,983
IBKR 1/15/2019 5.0 2.2 126.2% D 1,971
JPM 1/15/2019 5.6 1.3 344.6% C 626,375
UNH 1/15/2019 4.6 3.0 56.0% A 301,057
WFC 1/15/2019 6.3 1.8 254.2% C 503,617
AA 1/16/2019 7.9 6.0 31.4% F 15,047
AXP 1/16/2019 4.9 3.4 42.2% B 113,590
BAC 1/16/2019 5.7 1.5 290.2% C 1,064,205
BK 1/16/2019 5.4 3.5 52.4% D 28,504
CMA 1/16/2019 5.8 2.0 186.4% A 12,653
CSX 1/16/2019 6.0 4.3 39.3% C 61,387
GS 1/16/2019 5.6 2.1 172.2% C 721,170
KMI 1/16/2019 6.1 2.0 206.2% C 21,000
PNC 1/16/2019 5.6 1.7 230.6% C 41,141
USB 1/16/2019 4.9 1.6 205.8% B 51,383
BBT 1/17/2019 5.1 2.3 119.7% A 26,399
FAST 1/17/2019 6.7 5.8 16.0% A 9,589
JBHT 1/17/2019 6.2 2.5 153.3% C 2,387
KEY 1/17/2019 7.1 2.8 151.8% B 6,188
MLNX 1/17/2019 10.7 4.1 160.5% A 7,701
MS 1/17/2019 7.3 2.3 215.6% C 192,035
MTB 1/17/2019 5.4 2.4 124.9% B 3,741
PPG 1/17/2019 6.5 2.0 220.8% C 13,021
SCHW 1/17/2019 6.3 1.9 230.9% C 31,066
CFG 1/18/2019 6.9 2.2 214.1% C 3,749
KSU 1/18/2019 6.9 2.3 198.9% C 6,076
RF 1/18/2019 6.6 2.1 210.6% C 13,326
SLB 1/18/2019 7.8 1.2 550.0% C 169,828
SYF 1/18/2019 7.6 3.8 99.1% C 24,879

 

Volatility Standouts

 

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
BBBY 71.83% D 0.00% 99.21 11,473
XRAY 69.16% D -1.16% 90.48 2,522
TTMI 68.49% B -2.59% 98.02 118
FTAI 68.06% B -3.36% 82.94 88
PBYI 66.05% F -2.15% 93.65 1,260
IMMU 65.84% D 4.69% 100.00 7,579
CLVS 63.32% C 0.33% 99.21 7,745
HLF 61.31% C -1.21% 28.57 14,021
SRCL 60.47% D -1.42% 100.00 1,118
SFS 60.08% C -3.42% 90.08 22
LL 59.92% F -2.68% 90.48 1,086
NDLS 56.74% C -1.86% 63.10 411
ZAYO 56.63% C 1.01% 99.60 18,232
PTLA 56.06% F -0.78% 86.90 5,477
MD 55.68% C 9.30% 78.97 873
CBOE 53.69% B -11.15% 97.22 9,547
SAGE 53.13% F -1.98% 100.00 14,164
COMM 51.11% D 0.24% 90.87 359
HIG 50.90% A -2.66% 97.62 4,087
RMBS 50.78% D -0.52% 99.60 460
CNDT 50.57% C -2.96% 99.21 310
MYGN 50.36% F -3.31% 99.60 1,506
MIDD 50.31% B -3.28% 90.08 879
WFC 50.29% C -1.93% 100.00 503,617

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
NTRI -64.77% C 0.00% 1.59 1,855
OZK -53.42% F -1.16% 99.21 1,190
XPER -45.67% D -2.59% 71.43 486
XPO -38.02% C -3.36% 98.81 115,759
ARRS -27.83% C -2.15% 0.79 1,033
COUP -26.92% F 4.69% 86.90 17,424
GBT -26.76% F 0.33% 25.00 10,247
DLTH -25.64% B -1.21% 84.52 372
SFM -24.82% C -1.42% 64.29 3,329
SGH -23.06% B -3.42% 90.30 480
ATHN -23.01% C -2.68% 9.52 12,643
FNSR -22.81% D -1.86% 9.92 2,613
CAMP -21.88% A 1.01% 99.21 188
OKTA -21.12% D -0.78% 87.70 23,696
NBIX -20.56% D 9.30% 97.22 26,604
ARMK -2.02E-01 B -11.15% 95.24 9,975
HA -18.24% D -1.98% 96.43 2,874
JNJ -17.86% B 0.24% 99.21 712,615
WES -17.15% C -2.66% 87.70 584
SFIX -16.99% F -0.52% 41.67 18,494
LITE -16.92% C -2.96% 98.02 11,196
SCG -16.69% D -3.31% 1.59 12,290
PCG -16.61% C -3.28% 97.62 22,249
QLYS -16.26% C -1.93% 96.83 2,198

 

Options
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