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VIX Unchanged as equity selloff continues

Dec 21, 2018

 

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

Options Market Commentary

New York Fed President John “Santa” Williams briefly sent equities higher via his dovish tone this morning. The Grinch-algos have taken over as fears of a government shutdown settle in and we are approaching the lows of the day with the  S&P  -.8%, the Russell  -2%, and the Nasdaq  -2%. Bonds are slightly weaker with TLT -.17 % and the 10-year yield sitting around 2.794%. Energy continues its slide with crude prices softer on the day as XOP is -1.5% and XLE -.3%. Despite the reversal, both Gold and the miners are weaker stronger today with GLD -.3% and GDX -.92%. Volatilities are mixed today as we approach the holiday with the VIX -3% to 27.53, RVX +1% to 31.63, and VXN +5% to 32.58.

 

ETF 30D Volatility Changes

SPY:       -1%

IWM:     +1%

QQQ:     +2%

 

Directional Options Strategies

Bullish Option Strategies

WYNN Buyer 2,800 Mar 105 – 120 call spreads (on top of 11,000 yesterday, ref. 98.07)

ESV Seller 15,000 Mar 5 puts (ref. 3.56)

SNAP Buyer 32,000 Jul 10 puts (closing) to Sell 32,000 Jan20 puts (ref. 5.01)

 

Bearish Option Strategies

MU Buyer 5,000 Jan 4th 25 puts (ref. 30.97)

T Buyer 50,000 Feb 25 puts (ref. 28.84)

F Buyer 40,100 Jan 8 puts (ref. 8.31)

M Seller 25,000 Dec 30 puts (closing) to Buy 25,000 Jan 27 – 25 put spreads (rolls out and down, ref. 29.11)

DB Buyer 21,000 Jul 7 puts (ref. 8.07)

GE Seller 250,000 Jan 6 puts (closing)  and 50,000 Jan 22nd 6.01 puts to Buy 200,000 Feb 1st 6 puts (Earnings Jan 31st, ref. 7.28)

TSLA Buyer 5,000 Jan 90 puts (ref. 318.20)

AKS Seller 7,500 Dec 2.5 puts (closing) to Buy 7,500 Jan 2 puts (ref. 2.42)

 

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

Macro Options Strategies

Bullish Option Strategies

HYG Seller 10,000 Dec 28th 80 puts (ref. 80.60)

GDX Buyer 3,554 Jun 29 calls (ref. 20.55)

SPY Buyer 18,547 Dec 252 – 254 call spreads (ref. 249.17)

KRE Seller 8,794 Jan 50 – 47 put spreads (possibly closing, ref. 45.91)

HYG Seller 20,000 Apr 82 – 77 put spreads (closing) to Buy 20,000 Apr 80 – 75 puts spreads (monetizes and rolls down, ref. 80.69)

XOP Seller 40,000 Jan 24 puts (closing) to  Buy 40,000 Jan 23 puts (adjusts wing of Jan 30 – 27 – 24 fly from 24 to 23 put, ref. 25.92)

VIX Seller 31,920 Feb 40 calls (possibly closing, ref. 22.30)

EFA Buyer 24,000 Dec 60 puts (closing) to Sell 24,000 Jan 58 puts (rolls short puts, ref. 58.12)

 

Bearish Option Strategies

XRT Buyer 5,000 Mar 40 puts (ref. 39.78)

XME Buyer 4,950 Jan 11th 26.5 puts to Sell 9,900 Jan 11th 24.5 puts (ref. 26.15)

SPY Buyer 17,500 Jan 7th 240 – 230 – 220 put flies (ref. 247.16)

SPY Buyer 90,000 Dec 231 puts (closing, ref. 247.60)

LQD 10,000 Jan 112 puts (ref. 112.58)

XLF Buyer 10,980 Jan 4th 20.5 puts (ref. 23.32)

XBI Seller 15,000 Jan 69 – 62 to Buy 15,000 Jan 65 – 58 put spreads (ref. 67.20)

QQQ Seller 33,500 Jan 150 puts (closing) to Buy 21,000 Feb 145 puts (rolls out and down, ref. 151.05)

 

Actionable and Transparent Quantitative ResearchActionable and Transparent Quantitative Research

 

 

Finance Trades Options Strategies

NFLX 4,100 Jan 260 RevCons trade (ref. 245.42)

QQQ 20,000 Jan 160 RevCons trade (ref. 149.94)

 

 

 

Upcoming Earnings

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
AYI 1/9/2019 11.5 10.3 12.3% C 2655
BBBY 1/9/2019 16.3 11.4 42.5% D 14840
KBH 1/9/2019 8.0 5.3 51.3% C 2847
LEN 1/9/2019 8.4 3.7 124.2% A 12703
STZ 1/9/2019 6.8 4.6 47.9% B 124722
DAL 1/10/2019 5.0 2.4 111.5% C 97523
BLK 1/11/2019 5.9 2.1 180.8% C 61694
C 1/14/2019 7.6 1.6 386.7% C 604818
HRS 1/15/2019 6.2 5.5 13.3% A 4318
JPM 1/15/2019 5.9 1.3 368.3% C 530156
SNV 1/15/2019 6.2 2.7 126.9% C 3619
UNH 1/15/2019 5.1 3.0 71.7% A 277047
WFC 1/15/2019 6.6 1.8 267.2% C 453964
AA 1/16/2019 9.5 6.0 59.2% F 13252
BAC 1/16/2019 6.3 1.5 329.2% C 980563
BK 1/16/2019 5.8 3.5 63.1% D 20940
CMA 1/16/2019 6.0 2.0 198.2% A 13724
CSX 1/16/2019 6.6 4.3 55.3% C 55012
GS 1/16/2019 6.7 2.1 223.7% C 603944
KMI 1/16/2019 6.3 2.0 216.8% C 18905
PNC 1/16/2019 5.7 1.7 234.1% C 30359
USB 1/16/2019 5.5 1.6 238.7% B 50707
AXP 1/17/2019 5.0 3.4 44.5% B 123253
BBT 1/17/2019 5.1 2.3 121.0% A 21224
FAST 1/17/2019 7.6 5.8 32.0% A 14102
KEY 1/17/2019 6.9 2.8 145.2% B 5856
MLNX 1/17/2019 13.4 4.1 224.2% A 8981
MS 1/17/2019 7.8 2.3 238.4% C 161229
MTB 1/17/2019 5.2 2.4 119.3% B 3372
NFLX 1/17/2019 10.6 7.5 41.1% D 1987977
PPG 1/17/2019 6.6 2.0 227.6% C 10366
SCHW 1/17/2019 6.8 1.9 257.4% C 18348
CFG 1/18/2019 6.5 2.2 198.0% C 2487
KSU 1/18/2019 6.8 2.3 194.8% C 5998
RF 1/18/2019 6.7 2.1 216.0% C 9788
SLB 1/18/2019 8.6 1.2 611.3% C 162110
STI 1/18/2019 5.7 1.6 261.3% C 16970
SYF 1/18/2019 11.1 3.8 192.0% C 11209

 

Volatility Standouts

 

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
SRCL 74.79% D -2.41% 100.00 930
TTMI 73.83% B -1.52% 99.21 107
PTLA 69.74% F -6.23% 87.70 6897
MHK 69.13% D -1.86% 99.60 5168
F 68.89% C -4.33% 100.00 92076
HLF 66.15% C 1.95% 64.29 13238
CAG 66.07% C -8.11% 99.60 18154
HIG 64.91% A -3.55% 99.60 3746
C 62.14% C -5.54% 100.00 604818
PBYI 60.86% F -5.00% 97.62 1120
BBBY 60.39% D -4.03% 98.81 14840
EBAY 59.62% C -3.88% 98.81 70470
USB 59.48% B -2.17% 99.60 50707
MS 58.88% C -3.26% 99.60 161229
COMM 57.95% D -3.50% 98.02 226
CDK 57.92% B -1.82% 98.81 2681
JPM 57.23% C -2.88% 100.00 530156
AN 57.18% C -7.77% 100.00 1701
WFC 56.85% C -5.00% 99.60 453964
SLB 56.74% C -1.87% 100.00 162110
SAGE 56.34% F -1.18% 99.60 11065
TRUE 56.04% #N/A -0.70% 65.48 59
WMB 55.87% D 0.00% 98.41 20565
EA 55.82% D -6.83% 100.00 87992
KSU 55.45% C 3.00% 100.00 5998

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
IMPV -71.04% C -2.41% 0.00 257
NTRI -66.10% C -1.52% 1.59 1756
OZK -50.60% F -6.23% 99.21 785
XPER -44.80% D -1.86% 77.38 503
SCG -38.90% D -4.33% 11.11 11288
XPO -35.23% C 1.95% 98.41 112432
ATHN -28.32% C -8.11% 9.92 11916
GBT -23.59% F -3.55% 23.81 7731
SFM -21.79% C -5.54% 82.14 2718
SGH -21.56% B -5.00% 94.12 399
NBIX -19.11% D -4.03% 97.22 25645
ARMK -19.04% B -3.88% 97.62 12452
JNJ -18.27% B -2.17% 99.21 735494
PCG -14.34% C -3.26% 98.02 18082
FNSR -14.34% D -3.50% 11.11 2377
LITE -13.70% C -1.82% 99.21 7523
OSTK -12.17% D -2.88% 86.11 24331
EIX -10.49% D -7.77% 92.86 3605
PPL -10.07% A -5.00% 98.02 7869
NCS -9.26% A -1.87% 96.83 80
LE -8.75% D -1.18% 91.67 2472
TRUE 56.04% #N/A -0.70% 65.48 59
COUP -8.37% F 0.00% 95.24 14307
SFIX -8.10% F -6.83% 54.37 17753

Options
Quantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE