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VIX reaches 28.96 as equities break key support level

Dec 20, 2018

 

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

Options Market Commentary

Equities continue to move lower following yesterday’s hike and not-so-dovish comments from Chair Powell. Currently, the S&P is -1.4%, the Russell is -1.8%, and the Nasdaq is -1.7%. Bonds are stronger with TLT +.40%. The 10-year yield has receded to 2.771% and the 2-10 spread has flattened to .1044 bps. Energy remains under pressure with crude prices down 4% on the day as XOP is -2.9% and XLE -2%. Both Gold and the miners are meaningfully stronger today with GLD +1.54% and GDX +3.4%. Volatilities are catching a bid today as we reach YTD lows with the VIX +9% to 27.92, RVX +9% to 31.21, and VXN +5% to 30.77.

 

ETF 30D Volatility Changes

SPY:        +8%

IWM:       +8%

QQQ:       +3%

    

 

Directional Options Strategies

Bullish Option Strategies

BVN Buyer 3,000 Mar 18 call options (ref. 16.21)

AMLP Seller 11,400 Dec 10 put options (closing, ref. 9.09)

ESV Seller 5,000 Jan 5 put options and 5,000 Mar 4 put options (both closing, ref. 3.50)

WYNN Buyer 11,000 Mar 105 – 120 call options spreads (ref. 98.02)

MSFT Buyer 10,000 Dec 28th 103 call options (ref. 100.78)

 

Bearish Option Strategies

CL Seller 11,326 Dec 65 put options (closing) to Buy 11,326 Jan 62.5 put options (ref. 60.96)

USB Buyer 3,000 Jan 4th 44 put options (ref. 45.96)

ADSK 4,500 Jul 120 put options trade tied to stock (ref. 128.66)

OPK Seller 30,000 Jun 5 put options (closing)  to Buy 30,000 Jan20 5 put options spreads (rolls out, ref. 2.68)

PSEC Buyer 10,000 Feb 6 put options (ref. 5.83)

F Buyer 20,000 Jan 8 put options tied to stock (ref. 8.32)

GE Buyer 110,000 Dec 8 put options tied to stock (closing, ref. 7.45)

 

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

Macro Options Strategies

Bullish Option Strategies

GLD Buyer 6,600 Feb 126 call options (ref. 118.98)

SPY Buyer 10,000 Dec 31st 260 – 265 call option spreads (ref. 250.36)

VXX Seller 20,000 Jan 2th 55 call options (ref. 44.07)

 

Bearish Option Strategies

HYG Seller 6,000 Dec 81 put options (closing) to Buy 6,000 Jan 81 put options (ref. 80.85)

HYG Buyer 35,000 Feb 79 – 75 put options spreads (ref. 81.03)

HYG Seller 25,000 Jan 80 call options to Buy 25,000 Jan 79 put options (ref. 80.27)

HYG Seller 9,687 Dec 85 – 80 put options spreads (closing) to Buy 9,154 Jan 81 – 78 put options spreads (rolls out and down, ref. 80.92)

IWM Buyer 9,000 Feb 120 put options (ref. 133.51)

IEF Buyer 30,000 Feb 103 put options tied to stock (ref. 103.33)

SPY Buyer 5,000 Dec 248 – 245 – 242 put options flies (ref. 248.67)

EEM Seller 13,000 Jun 36 put options (closing) to Buy 13,000 Dec19 32 put options (rolls out and down, ref. 38.73)

 

Actionable and Transparent Quantitative ResearchActionable and Transparent Quantitative Research

 

 

Finance Trades Options Strategies

PAYX 3,390 Dec 65 RevCons trade (ref. 65.35)

 

 

 

Upcoming Earnings

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
CTAS 12/20/2018 5.0 4.5 11.3% A 2,676
NKE 12/20/2018 6.5 4.3 49.8% D 97,536
KMX 12/21/2018 7.1 5.1 39.1% C 13,214
AYI 1/9/2019 10.5 10.3 2.0% C 2,809
BBBY 1/9/2019 17.2 11.4 50.5% D 13,976
KBH 1/9/2019 6.7 5.3 26.7% C 5,196
STZ 1/9/2019 6.6 4.6 43.0% B 122,553
DAL 1/10/2019 3.4 2.4 44.3% C 98,741
LEN 1/10/2019 7.8 3.7 108.1% A 17,582
BLK 1/11/2019 5.2 2.1 146.0% C 68,101
C 1/14/2019 6.6 1.6 322.6% C 683,998
HRS 1/15/2019 5.4 5.5 -1.1% A 4,070
JPM 1/15/2019 5.5 1.3 329.7% C 575,488
UNH 1/15/2019 5.1 3.0 72.9% A 287,142
WFC 1/15/2019 6.0 1.8 237.3% C 489,369
AA 1/16/2019 8.7 6.0 45.2% F 15,079
BAC 1/16/2019 5.6 1.5 281.6% C 1,024,138
BK 1/16/2019 5.1 3.5 43.2% D 26,168
CMA 1/16/2019 5.9 2.0 194.2% A 14,126
CSX 1/16/2019 6.2 4.3 45.2% C 56,055
GS 1/16/2019 5.6 2.1 171.7% C 656,668
KMI 1/16/2019 5.6 2.0 184.9% C 19,959
PNC 1/16/2019 5.5 1.7 224.0% C 32,214
USB 1/16/2019 4.8 1.6 200.0% B 49,365
AXP 1/17/2019 4.4 3.4 27.1% B 110,342
BBT 1/17/2019 5.0 2.3 117.7% A 20,790
FAST 1/17/2019 7.0 5.8 21.3% A 11,532
KEY 1/17/2019 6.7 2.8 138.7% B 5,550
MLNX 1/17/2019 12.6 4.1 205.7% A 9,639
MS 1/17/2019 7.4 2.3 221.2% C 168,536
MTB 1/17/2019 5.2 2.4 120.2% B 3,495
PPG 1/17/2019 6.5 2.0 222.0% C 11,273
SCHW 1/17/2019 6.4 1.9 237.5% C 19,949
CFG 1/18/2019 6.5 2.2 196.2% C 3,416
KSU 1/18/2019 6.9 2.3 201.1% C 5,523
RF 1/18/2019 6.4 2.1 204.8% C 9,701
SLB 1/18/2019 7.9 1.2 555.6% C 166,313
STI 1/18/2019 5.5 1.6 248.7% C 15,703
SYF 1/18/2019 7.6 3.8 100.4% C 12,277

 

Volatility Standouts

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
BBBY 70.27% D 0.00% 97.22 13,976
SAGE 68.09% F 0.92% 100.00 14,061
MHK 65.39% D 1.96% 99.60 7,815
SRCL 65.33% D -3.96% 99.21 970
HLF 61.82% C 2.12% 31.75 13,070
PBYI 60.92% F -3.10% 93.25 1,149
ADT 60.07% C 4.61% 99.12 198
LL 59.81% F 3.31% 92.46 851
ZAYO 59.38% C 0.91% 99.60 15,596
HIG 59.37% A 3.45% 99.60 4,168
CLVS 59.06% C 0.18% 97.22 6,496
CDK 57.82% B 2.71% 98.81 2,611
TTMI 57.52% B 2.22% 99.21 126
F 57.48% C 1.33% 99.60 100,030
PTLA 56.68% F 14.78% 85.32 5,294
RLGY 56.54% F 4.10% 100.00 1,600
K 55.97% D 0.86% 96.43 8,459
DAN 55.89% C 0.02% 100.00 4,014
YEXT 54.60% B 1.07% 74.60 707
AN 53.46% C -0.32% 99.21 1,818
ALLY 53.05% C -0.39% 99.60 21,864
RMBS 52.82% D 1.12% 98.02 477
RSG 5.28E-01 A 1.02% 95.24 2,207
XRAY 52.58% D 0.00% 94.05 2,235

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
ESIO -73.44% C 0.00% 1.19 1,064
IMPV -65.02% C 0.92% 5.95 216
NTRI -64.98% C 1.96% 1.98 1,748
OZK -50.15% F -3.96% 97.62 798
XPER -46.26% D 2.12% 92.46 488
XPO -37.43% C -3.10% 98.41 113,258
DLTH -32.78% B 4.61% 82.14 316
GBT -24.60% F 3.31% 23.81 9,500
ATHN -23.82% C 0.91% 9.52 11,805
COUP -22.96% F 3.45% 87.30 16,092
ARMK -22.86% B 0.18% 94.44 12,095
SGH -22.28% B 2.71% 82.96 490
PCG -21.55% C 2.22% 93.65 19,545
SFM -21.44% C 1.33% 68.25 3,029
CAMP -21.38% A 14.78% 99.21 218
FNSR -20.99% D 4.10% 10.32 2,388
SCG -19.54% D 0.86% 0.40 11,351
NBIX -19.37% D 0.02% 96.03 27,261
PPL -1.91E-01 A 1.07% 97.62 7,918
SFIX -18.66% F -0.32% 49.21 18,521
OKTA -17.09% D -0.39% 88.49 21,023
JNJ -16.99% B 1.12% 98.81 726,830
SEND -16.75% D 1.02% 82.14 279
HA -15.68% D 0.00% 97.62 2,739

 

 

Options
Quantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE