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Volatility stays bid as equities trade up small in listless session

Dec 28, 2018

 

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

Options Market Commentary

Equities are struggling to find a direction today which is a bit ironic considering the amazing moves we’ve seen this week. Although the S&P is currently +.17%, the Russell is flat, and the Nasdaq is +.30% bonds remain strong with TLT +.57%. Financials (+.72%) and Biotech (+.63%) are outperforming today. The Energy sector is softer (USO -.7%, XOP -.9%) as despite WTI crude being positive (+1%) on a bullish EIA report. Volatilities are mildly stronger with the VIX +.47% to 30.06, VXN +1% to 34.58, and RVX flat at 31.71.

ETF 30D Volatility Changes

SPY:         +2%

IWM:        +1%

QQQ:        FLAT

 

Directional Options Strategies

Bullish Option Strategies

C Seller 20,000 Feb 60 calls (closing) to Buy 10,000 Mar 57.5 calls (rolls down and out, ref. 52.12)

CL Buyer 20,000 62.5 calls tied to stock (ref. 60.03)

BSX 17,000 Jan 37.5 calls trade (ref. 34.31)

BUD Buyer 15,000 Mar 70 calls (ref. 65.88)

 

Bearish Option Strategies

TEVA 5,000 Jun 14 puts trade tied to stock (ref. 15.74)

ING Seller 7,800 Jul 11 calls (ref. 10.66)

MRK Seller 11,000 Feb 80 calls (ref. 74.99)

TSM Buyer 6,000 Feb 37 puts (Earnings 1/17, ref. 37.21)

 

 

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

Macro Options Strategies

Bullish Option Strategies

SPY Seller 22,980 Mar 255 – 225 put spreads (monetizes and rolls down, ref. 249.24)

EEM Buyer 10,000 Mar 42 calls (ref. 39.13)

IWM Buyer 6,000 Mar 142 calls (ref. 131.83)

VIX Buyer 17,000 Apr 14 puts (ref. 21.70)

JNK Seller 25,000 Mar 29 puts (ref. 33.52)

XLF Buyer 25,000 Dec 28th 24 calls (ref. 23.71)

 

Bearish Option Strategies

XLF Buyer 7,800 Mar 22 puts (ref. 23.63)

HYG 20,000 Feb 76 – 75 put spreads trade (ref. 80.99)

VXX Buyer 10,000 Jan 91 calls (ref. 50.00)

 

Actionable and Transparent Quantitative ResearchActionable and Transparent Quantitative Research

 

 

Finance Trades Options Strategies

CMCSA 54,080 Mar 35 RevCons trade (ref. 34.50)

TLT 5,000 Jan 123 RevCons trade (ref. 120.62)

VNQ 5,500 Jan 79 RevCons trade (ref. 73.92)

OIH 7,000 Jan 15 RevCons trade (ref. 14.14)

IYR 9,000 Jan 80 RevCons trade (ref. 74.38)

 

 

 

Upcoming Earnings

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
AYI 1/9/2019 10.7 10.3 4.3% C 2,830
BBBY 1/9/2019 15.1 11.4 31.9% C 15,537
KBH 1/9/2019 7.5 5.3 42.9% C 4,159
LEN 1/9/2019 8.8 3.7 135.6% A 11,954
STZ 1/9/2019 6.6 4.6 41.8% C 82,157
DAL 1/10/2019 4.8 2.4 101.7% A 120,730
BLK 1/11/2019 5.1 2.1 141.7% B 69,437
C 1/14/2019 7.5 1.6 382.4% D 596,023
HRS 1/15/2019 5.7 5.5 4.3% A 4,107
IBKR 1/15/2019 7.4 2.2 234.2% D 2,899
JPM 1/15/2019 5.4 1.3 321.8% D 486,615
OZK 1/15/2019 12.7 26.8 -52.4% D 2,757
SNV 1/15/2019 5.4 2.7 96.7% C 4,938
UNH 1/15/2019 4.5 3.0 50.2% A 279,158
WFC 1/15/2019 6.1 1.8 243.9% C 362,967
AA 1/16/2019 9.2 6.0 53.0% C 25,852
BAC 1/16/2019 5.6 1.5 283.8% C 1,009,053
BK 1/16/2019 5.1 3.5 43.1% D 31,995
CMA 1/16/2019 5.3 2.0 161.6% B 10,819
CSX 1/16/2019 6.2 4.3 45.2% B 44,145
GS 1/16/2019 6.4 2.1 209.1% D 577,007
KMI 1/16/2019 4.6 2.0 132.9% D 25,147
PNC 1/16/2019 5.1 1.7 203.1% C 28,547
USB 1/16/2019 4.9 1.6 201.6% C 52,366
AXP 1/17/2019 4.2 3.4 21.9% B 130,643
BBT 1/17/2019 5.2 2.3 124.6% C 21,482
FAST 1/17/2019 6.9 5.8 19.7% B 11,905
KEY 1/17/2019 5.3 2.8 88.8% C 7,043
MLNX 1/17/2019 13.5 4.1 227.9% B 9,607
MS 1/17/2019 7.2 2.3 212.9% D 159,948
NFLX 1/17/2019 10.0 7.5 33.0% D 2,241,936
PPG 1/17/2019 6.7 2.0 234.8% C 14,188
SCHW 1/17/2019 5.3 1.9 179.1% C 21,638
KSU 1/18/2019 6.4 2.3 177.9% B 8,591
RF 1/18/2019 6.6 2.1 213.4% C 9,860
SLB 1/18/2019 7.5 1.2 520.4% C 188,432
STI 1/18/2019 4.9 1.6 211.9% C 12,784
SYF 1/18/2019 7.3 3.8 92.4% C 20,329
AMTD 1/22/2019 5.0 2.5 98.2% C 19,577
ATI 1/22/2019 11.0 8.2 34.0% D 3,310
COF 1/22/2019 5.5 2.5 121.1% C 33,609
CREE 1/22/2019 9.4 6.8 37.7% F 5,787
FITB 1/22/2019 6.0 2.5 134.0% C 8,312
HAL 1/22/2019 8.0 3.7 118.7% C 80,701
IBM 1/22/2019 6.0 5.2 15.5% B 276,572
PG 1/22/2019 3.5 3.4 2.8% B 192,090
RMD 1/22/2019 5.4 6.6 -18.8% B 3,550
STLD 1/22/2019 6.6 2.7 147.5% B 5,231
STT 1/22/2019 7.6 4.8 59.9% D 13,545
SWK 1/22/2019 5.8 3.2 84.0% C 21,719
TRV 1/22/2019 4.3 2.7 60.0% C 16,926
TXN 1/22/2019 5.5 3.8 46.6% A 137,350
UAL 1/22/2019 6.0 6.6 -8.9% C 116,903
WYNN 1/22/2019 10.4 7.0 49.8% C 300,445
ZION 1/22/2019 5.7 2.1 176.4% B 16,989

 

Volatility Standouts

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
TRCO 70.93% C -2.62% 17.06 157
GLPI 68.06% C -0.46% 97.22 779
HLF 64.33% B -6.91% 82.14 16,177
SGMO 62.05% D -3.87% 99.60 4,559
WYND 61.73% D 4.10% 99.20 213
SBGI 61.67% C -0.03% 92.06 1,499
FTV 59.27% D -4.44% 99.60 2,145
WMB 56.64% C -1.20% 97.62 26,253
ICPT 56.06% F 0.80% 100.00 15,001
XRAY 54.28% C -2.69% 96.03 2,065
AOBC 53.53% C -3.01% 58.73 1,453
ACM 52.96% A -1.61% 99.60 359
LL 52.00% F -3.06% 93.65 1,087
EPC 50.96% C -18.37% 99.21 866
MLNX 50.67% B 1.29% 99.60 9,607
CTXS 50.11% C 1.41% 100.00 11,157
SAGE 49.69% F 6.62% 99.60 8,548
MHK 48.38% C -2.86% 99.21 7,036
AN 47.68% C -6.99% 99.60 1,719
WH 46.37% F -4.11% 92.09 1,576
RLGY 46.07% C -1.41% 99.60 1,964
EAF 45.75% C -0.74% 97.44 875
RRGB 45.61% D 0.00% 98.41 1,230
BHF 45.32% F -2.90% 99.60 11,585

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
TSRO -72.11% D -2.62% 3.57 31,036
ATHN -68.62% C -0.46% 11.51 20,848
MB -66.74% C -6.91% 0.79 1,812
USG -52.35% D -3.87% 14.29 502
OZK -41.45% D 4.10% 94.84 2,757
XPO -37.18% C -0.03% 97.22 103,228
IMPV -34.41% B -4.44% 1.19 287
XPER -29.22% B -1.20% 98.02 276
FNSR -28.43% F 0.80% 10.71 1,636
GBT -25.13% F -2.69% 26.59 6,132
JNJ -23.44% C -3.01% 97.62 767,255
IEP -21.63% C -1.61% 98.41 3,478
NCS -21.44% A -3.06% 95.63 104
FOSL -20.99% D -18.37% 98.02 2,163
EIX -20.90% D 1.29% 96.03 2,921
STWD -20.76% C 1.41% 94.44 1,995
PI -19.37% C 6.62% 93.65 560
NTRI -18.30% C -2.86% 4.37 960
COUP -18.28% F -6.99% 98.02 9,867
SFM -18.23% C -4.11% 83.33 2,237
NBEV -17.95% F -1.41% 56.42 11,310
LITE -16.80% B -0.74% 98.41 7,528
SKX -16.42% C 0.00% 98.81 5,939

 

 

Options
Quantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE