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Volatility is bid again as equity rally stalls

Dec 27, 2018

 

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

Options Market Commentary

Equities are taking a bit of a breather today after yesterday’s historic rally. A risk-off feel has settled in with the S&P currently -1.5%, the Russell is -1.2%, and the Nasdaq is -2.2%. Bonds are stronger on a safety bid with TLT +.8%. Utilities (-.1%) and Consumer Staples (-.75%) are outperforming today while Gold is stronger. The Energy sector is softer (USO -4%, XOP -2.5%) as WTI crude is -2.75%. Volatilities are higher with the VIX +6.6% to 32.38, VXN +9% to 36.73, and RVX +12% to 33.87

 

ETF 30D Volatility Changes

SPY:         +9%

IWM:        +7%

QQQ:        +9%

   

 

Directional Options Strategies

Bullish Option Strategies

AVGO Buyer 7,500 Jun 250 – 400 call spreads (ref. 247.85)

KO Seller 29,900 Feb 38 calls (closing) to Buy 29,900 Mar 48 calls tied to stock (ref. 46.15)

FCAU 3,900 Jan 12 – 15 – 17 broken call flies trade (ref. 14.39)

COG Buyer 9,655 Jan 24 calls (ref. 22.89)

 

Bearish Option Strategies

GPRO 6,000 Jan 4 puts trade tied to stock (ref. 4.17)

MU Buyer 6,600 Jun 30 puts (ref. 31.14)

DISH Seller 11,000 Jun 25 puts (closing) to Buy 11,000 Jun 17.5 puts (rolls down, ref. 24.08)

WFC Seller 3,000 Dec 28th 43.5 puts (closing) to Buy 3,000 Jan 4th 43 puts (ref. 45.12)

DB Seller 19,400 Jan20 15 calls (likely closing, ref. 7.65)

GE Buyer 10,000 Mar 6 puts (ref. 7.08)

 

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

Macro Options Strategies

Bullish Option Strategies

JNK Seller 15,000 Mar 29 puts (30,000 total on the week, ref. 33.34)

VIX Seller 15,000 Jan 40 calls (ref. 25.62)

XOP Seller 50,000 Feb 28 – 24 put spreads (likely rolls down, ref. 26.24)

 

Bearish Option Strategies

IBB Buyer 2,000 Jan 92 – 86 put spreads (ref. 94.19)

QQQ Buyer 9,300 Jan 25th 147.5 puts (ref. 149.46)

HYG 50,000 Mar 80 – 78 put spreads trade tied to stock (ref. 80.53)

SPY Buyer 10,000 Dec 28th 228 puts (ref. 241.10)

SPX Buyer 13,700 Jan 25th 975 puts (ref. 2426.81)

 

 

Actionable and Transparent Quantitative ResearchActionable and Transparent Quantitative Research

 

 

Finance Trades Options Strategies

AVGO 3,000 Feb 250 RevCons trade (ref. 245.95)

EFA 10,000 Jan 60 RevCons trade (ref. 57.41)

AABA 4,000 Jan 60 RevCons trade (ref. 57.29)

IWM 6,000 Jan 140 RevCons trade (ref. 129.90)

XLF 7,545 Mar 23 RevCons trade (ref. 23.00

 

 

Upcoming Earnings

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
AYI 1/9/2019 11.4 10.3 11.2% C 2,897
BBBY 1/9/2019 16.0 11.4 39.6% D 14,901
KBH 1/9/2019 8.3 5.3 56.6% C 3,727
LEN 1/9/2019 8.9 3.7 137.7% A 11,853
STZ 1/9/2019 7.1 4.6 52.8% B 88,639
DAL 1/10/2019 5.6 2.4 135.0% C 132,141
BLK 1/11/2019 5.8 2.1 175.3% C 67,314
C 1/14/2019 8.3 1.6 432.3% C 578,985
HRS 1/15/2019 6.4 5.5 17.1% A 4,226
JPM 1/15/2019 6.0 1.3 370.4% C 503,036
SNV 1/15/2019 5.6 2.7 103.9% C 3,508
UNH 1/15/2019 5.1 3.0 73.2% A 290,769
WFC 1/15/2019 6.8 1.8 283.4% C 400,951
AA 1/16/2019 9.3 6.0 54.7% F 19,137
BAC 1/16/2019 6.3 1.5 330.3% C 1,129,488
BK 1/16/2019 5.6 3.5 58.3% D 28,898
CMA 1/16/2019 5.7 2.0 183.2% A 11,477
CSX 1/16/2019 7.5 4.3 74.7% C 42,423
GS 1/16/2019 7.1 2.1 243.0% C 583,156
KMI 1/16/2019 5.5 2.0 177.6% C 22,989
PNC 1/16/2019 5.7 1.7 235.0% C 29,783
USB 1/16/2019 5.5 1.6 238.5% B 51,295
AXP 1/17/2019 4.7 3.4 37.7% B 131,061
BBT 1/17/2019 5.5 2.3 140.0% A 26,167
FAST 1/17/2019 7.5 5.8 29.2% A 11,590
KEY 1/17/2019 5.7 2.8 105.2% B 6,120
MLNX 1/17/2019 14.3 4.1 246.2% A 9,494
MS 1/17/2019 7.6 2.3 231.7% C 158,390
MTB 1/17/2019 5.1 2.4 115.0% B 2,401
NFLX 1/17/2019 10.9 7.5 44.6% D 2,233,698
PPG 1/17/2019 7.5 2.0 273.0% C 12,045
SCHW 1/17/2019 5.9 1.9 210.3% C 15,939
KSU 1/18/2019 6.7 2.3 193.6% C 7,068
RF 1/18/2019 7.2 2.1 239.0% C 10,002
SLB 1/18/2019 8.6 1.2 613.4% C 197,534
STI 1/18/2019 5.6 1.6 255.4% C 14,313
SYF 1/18/2019 8.4 3.8 120.8% C 19,261
AMTD 1/22/2019 5.5 2.5 115.1% C 22,204
ATI 1/22/2019 11.0 8.2 34.2% C 3,328
COF 1/22/2019 6.5 2.5 159.5% C 28,730
CREE 1/22/2019 9.2 6.8 35.2% D 5,347
FITB 1/22/2019 6.9 2.5 172.0% C 8,647
HAL 1/22/2019 9.0 3.7 146.8% C 80,009
IBM 1/22/2019 6.7 5.2 29.0% B 271,305
PG 1/22/2019 4.1 3.4 20.4% B 207,518
RMD 1/22/2019 6.4 6.6 -4.3% C 4,393
STLD 1/22/2019 7.5 2.7 180.7% B 8,330
STT 1/22/2019 8.6 4.8 79.4% C 11,967
SWK 1/22/2019 6.3 3.2 99.5% D 22,757
TRV 1/22/2019 5.1 2.7 89.5% B 18,723
TXN 1/22/2019 6.0 3.8 59.8% C 99,959
UAL 1/22/2019 6.7 6.6 1.3% C 103,617
WYNN 1/22/2019 10.2 7.0 46.3% D 285,391
ZION 1/22/2019 5.9 2.1 186.7% B 16,405

 

Volatility Standouts

 

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
WATT 69.27% D 2.96% 96.03 1,146
EAF 68.41% A 2.19% 99.35 1,125
SGMO 63.31% F 2.09% 97.22 3,832
HLF 62.86% C 2.46% 33.33 13,027
LL 59.15% F 4.44% 92.46 1,170
RLGY 57.47% F -0.16% 98.81 2,209
ZAYO 54.92% C 2.80% 96.43 15,183
IMMU 53.38% D 6.77% 98.81 13,363
ICPT 53.14% F 3.04% 99.21 14,858
MLNX 52.71% A 2.79% 98.81 9,494
CTXS 52.52% A 4.28% 100.00 11,788
EPC 52.27% F 1.07% 99.60 735
CLVS 51.76% C 3.33% 96.43 10,283
AOBC 51.27% C 1.06% 67.46 1,323
MD 50.33% C -7.52% 86.90 439
MHK 49.88% D 2.95% 99.21 5,997
GLPI 49.72% C 3.05% 100.00 950
F 49.71% C 1.53% 99.60 75,015
SLB 49.00% C 7.33% 98.41 197,534
CDK 48.93% B 3.46% 98.81 2,170
LEA 48.42% C 1.40% 98.81 6,563
PBYI 47.81% F 2.11% 94.84 1,193
NWSA 46.76% B 4.49% 100.00 1,055
DAN 46.34% C 0.00% 99.60 16,772

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
TSRO -74.17% D 2.96% 4.37 35,227
MB -71.82% B 2.19% 0.40 1,943
ATHN -67.72% C 2.09% 10.71 23,572
USG -52.09% D 2.46% 36.11 458
OZK -38.12% F 4.44% 94.44 2,738
NTRI -35.85% C -0.16% 4.76 1,014
XPO -35.10% C 2.80% 97.22 111,169
XPER -29.17% D 6.77% 94.44 269
GBT -27.86% F 3.04% 23.81 5,756
FNSR -27.54% D 2.79% 9.92 1,836
RCII -24.04% C 4.28% 57.94 21,798
NCS -24.01% A 1.07% 96.03 121
SCG -17.92% D 3.33% 44.84 4,043
FRPT -17.86% C 1.06% 83.33 3,027
JNJ -17.70% B -7.52% 98.41 752,602
COUP -16.88% F 2.95% 97.22 11,487
FOSL -16.31% D 3.05% 99.21 2,249
IEP -16.10% C 1.53% 98.41 3,561
SFM -16.07% C 7.33% 73.02 1,858
SKX -15.66% C 3.46% 96.03 6,019
MOH -15.51% D 1.40% 97.22 3,598
FTAI -14.33% B 2.11% 96.43 136
LITE -14.08% C 4.49% 98.81 8,036
EIX -13.92% D 0.00% 94.84 4,003

 

Options
Quantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE