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VIX -10% as equities seem to have found a bottom

Dec 26, 2018

 

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

Options Market Commentary

Equities have had a bit of a rally, flush, and then rip higher as year-end positioning seems to be adding to recent volatility. S&P futures rallied 60 handles from their lows today and are now sitting near their highs with the S&P currently +1.95%, the Russell is +1.93%, and the Nasdaq is +2.97%. Bonds are in the red today on a risk-on day with TLT -.4%. Outperforming sectors  are Energy (XOP +5%), Retail (XRT +3.3%), and Biotech (XBI +4.6%). Gold is little changed. As stated, energy is rallying as WTI crude is +7.6%. This is carrying Energy stocks higher with XOP +5% and XLE +3%. Volatilities held up earlier today but have since settled down with the big market move higher with the VIX -7.6% to 33.31, VXN -6% to 36.40, and RVX -2.5% to 33.89.

 

ETF 30D Volatility Changes

SPY:         -6%

IWM:        -7%

QQQ:        -6%

 

Directional Options Strategies

Bullish Option Strategies

AMRN Seller 19,000 Jan 5 puts (likely closing, ref. 12.98)

DAN Seller 6,800 Mar 15 calls (closing) to Buy 6,800 Mar 13 calls (rolls down, ref. 12.85)

IGT Seller 6,000 Jan 16 calls (closing) to Buy 6,000 Feb 14 calls (rolls down, ref. 13.85)

GM Buyer 8,900 Mar 40 calls (closing, ref. 31.74)

F Seller 7,500 Jun 7 – Jan20 5 puts (rolls out and down, ref. 7.48)

WBT Buyer 7,550 Jun 12.5 calls tied to stock (ref. 10.74)

CI Buyer 5,600 Jan 195 calls (ref. 180.81)

BABA Buyer 17,621 Jan 4th 146 calls (ref. 131.59)

AGN Seller 8,150 Mar 150 calls (closing) to Buy 8,150 Mar 135 calls (rolls down, ref. 172.82)

HBI Seller 16,800 Jan 11 puts (ref. 11.98)

 

Bearish Option Strategies

BAC Buyer 93,000 Dec 28th 24 calls (closing) to Sell 93,000 Dec 28th 23.5 calls (rolls write down, ref. 22.75)

TTWO Seller 8,670 Feb 135 calls (ref. 101.19)

V Seller 10,340 Jan 142 calls (ref. 124.63)

MU Seller 10,500 Jan 30 calls (ref. 29.00)

AVGO Seller 15,000 Jul 250 calls to Buy 15,000 Jul 400 American flex calls (ref. 236.58)

 

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

Macro Options Strategies

Bullish Option Strategies

SPY Buyer 35,000 Jan 11th 250 calls (ref. 236.66)

SPY Seller 25,000 Mar 255 – 225 put spreads (monetizes and rolls down, ref. 236.73)

HYG Seller 50,000 Feb 78 – Mar 79 put spreads (likely closing, ref. 79.70)

VIX Seller 29,000 Apr 35 calls (ref. 21.50)

XOP Buyer 10,000 Feb 27 – 30 call spreads (ref. 24.89)

 

Bearish Option Strategies

QQQ Buyer 10,000 Mar 145 – 135 put spreads (ref. 146.38)

XOP Seller 27,500 Jan 24 – 23 put spreads (closing) to Buy 10,000 Feb 24 – 23 put spreads (rolls out and reduces, ref. 24.04)

EFA Buyer 30,000 Jan 55 – 52 – 49 put flies (ref. 56.89)

HYG Buyer 25,000 Feb – Mar 76 put spreads (ref. 79.65)

IYR Seller 2,600 Jun 75 – 70 put spreads (closing) to Buy 2,600 Jun 69 – 64 put spreads (ref. 72.03)

VIX Buyer 50,000 Apr 45 – 70 call spreads (ref. 21.02)

 

Actionable and Transparent Quantitative ResearchActionable and Transparent Quantitative Research

 

 

Finance Trades Options Strategies

EFA 25,000 Jan 60 RevCons trade (ref. 57.00)

FB 8,000 Jan 130 RevCons trade (ref. 129.48)

 

 

 

 

Upcoming Earnings

 

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
AYI 1/9/2019 12.2 10.3 19.1% C 2735
BBBY 1/9/2019 17.2 11.4 50.1% D 14753
KBH 1/9/2019 9.3 5.3 76.2% C 3582
LEN 1/9/2019 9.5 3.7 155.6% A 12406
STZ 1/9/2019 7.4 4.6 59.1% B 82016
DAL 1/10/2019 7.1 2.4 200.0% C 102665
BLK 1/11/2019 7.2 2.1 243.1% C 66847
C 1/14/2019 9.3 1.6 500.2% C 566159
HRS 1/15/2019 7.1 5.5 29.5% A 4312
JPM 1/15/2019 7.3 1.3 472.7% C 487183
SNV 1/15/2019 6.9 2.7 152.4% C 3476
UNH 1/15/2019 6.1 3.0 106.0% A 274061
WFC 1/15/2019 8.0 1.8 346.6% C 404474
AA 1/16/2019 10.5 6.0 75.1% F 16644
BAC 1/16/2019 8.0 1.5 448.2% C 745810
BK 1/16/2019 6.6 3.5 86.9% D 27438
CMA 1/16/2019 7.1 2.0 252.6% A 10651
CSX 1/16/2019 8.5 4.3 98.3% C 44555
GS 1/16/2019 8.7 2.1 323.0% C 599191
KMI 1/16/2019 6.9 2.0 250.8% C 21406
PNC 1/16/2019 7.0 1.7 312.8% C 23975
USB 1/16/2019 6.6 1.6 306.0% B 46728
AXP 1/17/2019 5.9 3.4 73.2% B 116526
BBT 1/17/2019 6.1 2.3 163.8% A 20875
FAST 1/17/2019 8.4 5.8 45.6% A 14796
KEY 1/17/2019 7.8 2.8 179.2% B 5767
MLNX 1/17/2019 12.8 4.1 211.4% A 9981
MS 1/17/2019 9.6 2.3 318.1% C 140233
MTB 1/17/2019 6.5 2.4 172.8% B 2852
NFLX 1/17/2019 12.4 7.5 64.9% D 2127771
PPG 1/17/2019 8.7 2.0 332.1% C 12265
SCHW 1/17/2019 8.3 1.9 337.7% C 17382
KSU 1/18/2019 7.9 2.3 241.7% C 5717
RF 1/18/2019 8.2 2.1 286.4% C 9095
SLB 1/18/2019 9.8 1.2 708.6% C 181966
STI 1/18/2019 7.0 1.6 340.3% C 14168
SYF 1/18/2019 9.3 3.8 142.9% C 18432
AMTD 1/22/2019 7.3 2.5 188.5% C 13721
ATI 1/22/2019 12.1 8.2 47.9% C 2697
COF 1/22/2019 8.1 2.5 227.1% C 26716
CREE 1/22/2019 11.1 6.8 62.5% D 4461
FITB 1/22/2019 9.1 2.5 256.1% C 7884
HAL 1/22/2019 10.7 3.7 192.7% C 70470
IBM 1/22/2019 7.5 5.2 43.6% B 243411
JNJ 1/22/2019 1.0 2.6 -59.3% B 763283
PG 1/22/2019 5.2 3.4 51.1% B 203589
RMD 1/22/2019 7.6 6.6 14.8% C 5379
STLD 1/22/2019 8.4 2.7 214.2% B 8221
STT 1/22/2019 10.2 4.8 113.3% C 11536
SWK 1/22/2019 7.7 3.2 141.6% D 22018
TRV 1/22/2019 6.5 2.7 142.7% B 18098
TXN 1/22/2019 7.8 3.8 105.8% C 101547
UAL 1/22/2019 8.4 6.6 27.4% C 99930
WYNN 1/22/2019 12.3 7.0 77.3% D 231188
ZION 1/22/2019 8.3 2.1 299.8% B 13820

 

Volatility Standouts

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
KAR 74.45% A 0.53% 99.60 1042
MHK 73.74% D -0.99% 99.60 5811
IMMU 71.39% D 1.70% 99.20 12025
SGMO 68.33% F -0.40% 99.60 3233
LL 66.52% F -11.94% 98.01 1163
ICPT 65.62% F -2.24% 99.60 15061
KSU 65.51% C 1.37% 100.00 5717
F 65.45% C -1.19% 99.60 85744
JPM 65.21% C -6.50% 99.60 487183
FBHS 64.61% C -0.88% 100.00 1087
CDK 64.05% B 3.01% 99.20 1838
MS 63.78% C 0.44% 99.60 140233
C 63.78% C 0.51% 100.00 566159
USB 62.31% B 2.79% 100.00 46728
TRCO 61.48% B 0.00% 29.88 247
SLB 61.23% C -2.86% 99.60 181966
BAC 60.80% C 0.00% 100.00 745810
PTCT 60.23% F -2.44% 89.64 1233
FTV 59.95% C 0.61% 100.00 2149
LE 59.80% D 0.73% 99.20 1368
ACM 59.51% D 0.91% 99.60 344
WFC 59.49% C 1.24% 100.00 404474
RLGY 59.18% F 0.00% 99.60 2233
PPG 59.18% C -10.72% 100.00 12265

 

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
ATHN -70.89% C 0.00% 10.76 29814
MB -67.39% B 0.00% 0.40 1471
USG -51.13% D 0.00% 12.35 457
ESIO -42.56% C 0.00% 1.59 1078
OZK -34.96% F 0.00% 99.60 1384
XPO -33.32% C 0.00% 98.41 109632
NTRI -30.19% C 0.00% 3.98 1139
GBT -23.28% F 0.00% 28.29 5993
XPER -22.52% D 0.00% 89.64 302
FNSR -21.00% D 0.00% 11.55 1947
CAMP -18.03% A 0.00% 99.20 396
SFM -17.67% C 0.00% 65.34 1817
SCG -16.68% D 0.00% 11.55 4185
NCS -14.72% A 0.00% 97.61 111
PI -14.60% D 0.00% 98.41 725
MOH -14.21% D 0.00% 99.20 3725
NBEV -13.75% F 0.00% 60.11 14216
SKX -11.75% C 0.00% 99.60 5820
FRPT -11.60% C 0.00% 95.62 3032
FOSL -11.23% D 0.00% 100.00 2160
JNJ -11.01% B 0.00% 99.60 763283
COUP -10.38% F 0.00% 98.80 9553
TRUE 59.20% #N/A 0.00% 99.60 49
LITE -10.32% C 0.00% 99.60 7654

 

Options
Quantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE