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VIX trades lower in light volume equity rally

Dec 31, 2018

 

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

Options Market Commentary

Stocks are gently higher on the last trading day of 2018 but are off this morning’s highs. Although the S&P is currently +.25%, the Russell -.20%, and the Nasdaq is +.34% bonds remain bid with TLT +.12%. The weak Dallas Manufacturing figure sparked the strength in bonds. Healthcare (+.95%) and Biotech (+1.75%) are outperforming today while Utilities (-.27%) and Consumer Staples (-.34%) are underperforming. Energy is stronger despite mostly weaker oil prices. Volatilities are mixed with the VIX -6% to 26.68, VXN -4% to 32.87, and RVX +2% at 29.90.

 

 

ETF 30D Volatility Changes

SPY:      -6%         

IWM:     -3%         

QQQ:     -5%       

 

Directional Options Strategies

Bullish Option Strategies

HP Seller 8,500 Jan 42.5 puts (ref. 47.99)

TWTR Seller 44,800 Feb 37 calls (closing) to Buy 44,800 Mar 34 calls (rolls out and down, ref. 28.47)

CAH Seller 10,000 Feb 45 calls (closing) to Buy 10,000 Mar 45 calls (rolls out, ref. 44.29)

PEP Buyer 7,500 Jun 115 calls tied to stock (ref. 109.79)

JD Buyer 10,000 Mar 30 calls (possibly closing, ref. 21.60)

PSA Buyer 5,000 Jun 210 calls tied to stock (ref. 200.34)

PG Buyer 10,000 Jun 95 calls (ref. 91.38)

 

Bearish Option Strategies

DIS Buyer 4,000 Feb 85 puts (ref. 107.64)

DLTR Seller 11,770 Jan 4th 90 calls tied to stock (ref. 88.80)

CZR Seller 5,000 Mar 7 calls (ref. 6.67)

 

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

Macro Options Strategies

Bullish Option Strategies

XLF Buyer 5,000 Jan 11th 24.5 – 25 call spreads (ref. 23.74)

QQQ 10,000 Jun 188 calls trade (ref. 153.60)

VIX Seller 30,000 Apr 70 calls (possibly closing, ref. 21.12)

SPY Buyer 14,000 Jan 11th 254 calls to Sell 28,000 Jan 11th 262 calls (ref. 249.02)

Bearish Option Strategies

HYG 10,000 Mar 78 – 70 put spreads trade (ref. 81.26)

HYG Seller 10,000 Jan 83 calls to Buy 20,000 Jan 76 puts (ref. 81.15)

SPY Buyer 10,000 Jan 11th 220 puts (ref. 249.25)

SPY Buyer 23,786 Mar 150 puts (ref. 249.09)

JNK 25,000 Mar 29 puts trade (ref. 33.62)

 

Actionable and Transparent Quantitative ResearchActionable and Transparent Quantitative Research

 

 

Finance Trades Options Strategies

BAC 6,900 Feb 25 RevCons trade (ref. 24.60)

TWTR 3,400 Feb 30 RevCons trade (ref. 28.72)

JD 6,400 Feb 23 RevCons trade (ref. 21.89)

VIPS 23,000 Feb 6 RevCons trade (ref. 5.51)

 

 

 

Upcoming Earnings

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
AYI 1/9/2019 10.0 10.3 -2.6% C 3,175
BBBY 1/9/2019 13.4 11.4 17.5% C 13,010
KBH 1/9/2019 7.3 5.3 38.3% C 4,174
LEN 1/9/2019 8.0 3.7 114.0% A 12,990
STZ 1/9/2019 5.5 4.6 18.9% C 88,170
DAL 1/10/2019 3.5 2.4 49.3% A 101,975
BLK 1/11/2019 4.5 2.1 112.4% B 67,032
C 1/14/2019 5.7 1.6 268.8% D 578,820
HRS 1/15/2019 5.0 5.5 -8.9% A 3,516
IBKR 1/15/2019 6.5 2.2 192.6% D 3,279
JPM 1/15/2019 4.3 1.3 240.5% D 510,282
SNV 1/15/2019 4.8 2.7 74.5% C 4,463
UNH 1/15/2019 3.4 3.0 15.2% A 287,461
WFC 1/15/2019 5.0 1.8 182.7% C 255,122
AA 1/16/2019 7.6 6.0 26.5% C 25,874
BAC 1/16/2019 3.9 1.5 168.1% C 982,460
BK 1/16/2019 4.3 3.5 20.2% D 29,697
CMA 1/16/2019 4.8 2.0 138.4% B 11,381
CSX 1/16/2019 4.9 4.3 14.4% B 42,949
GS 1/16/2019 4.4 2.1 114.0% D 578,019
KMI 1/16/2019 3.4 2.0 73.4% D 26,259
PNC 1/16/2019 4.3 1.7 155.1% C 27,074
USB 1/16/2019 4.0 1.6 146.4% C 54,614
AXP 1/17/2019 2.8 3.4 -17.8% B 144,492
BBT 1/17/2019 4.7 2.3 105.0% C 20,962
FAST 1/17/2019 6.6 5.8 14.6% B 11,893
KEY 1/17/2019 4.1 2.8 44.7% C 7,133
MLNX 1/17/2019 12.4 4.1 201.4% B 9,181
MS 1/17/2019 5.6 2.3 145.0% D 163,335
NFLX 1/17/2019 9.4 7.5 25.1% D 2,246,820
OZK 1/17/2019 10.4 26.8 -61.0% D 2,462
PPG 1/17/2019 6.6 2.0 229.0% C 14,059
SCHW 1/17/2019 4.5 1.9 137.2% C 20,206
KSU 1/18/2019 5.3 2.3 130.6% B 8,730
RF 1/18/2019 6.2 2.1 192.2% C 9,948
SLB 1/18/2019 5.8 1.2 383.4% C 170,624
STI 1/18/2019 3.8 1.6 141.4% C 13,782
SYF 1/18/2019 7.3 3.8 90.5% C 21,782
AMTD 1/22/2019 4.9 2.5 90.8% C 21,665
ATI 1/22/2019 10.2 8.2 24.8% D 3,302
COF 1/22/2019 5.0 2.5 100.4% C 31,436
CREE 1/22/2019 7.6 6.8 12.1% F 6,072
FITB 1/22/2019 5.4 2.5 112.4% C 5,905
HAL 1/22/2019 6.0 3.7 64.9% C 81,133
IBM 1/22/2019 5.0 5.2 -4.5% B 271,835
PG 1/22/2019 3.0 3.4 -11.6% B 151,820
RMD 1/22/2019 4.7 6.6 -29.4% B 3,549
STLD 1/22/2019 6.6 2.7 148.0% B 5,749
STT 1/22/2019 7.1 4.8 48.4% D 9,583
SWK 1/22/2019 5.3 3.2 68.5% C 21,299
TRV 1/22/2019 3.2 2.7 19.1% C 15,079
TXN 1/22/2019 4.6 3.8 22.3% A 132,788
UAL 1/22/2019 5.0 6.6 -24.0% C 97,716
WYNN 1/22/2019 6.1 7.0 -12.7% C 301,029
ZION 1/22/2019 6.0 2.1 188.3% B 13,643

 

Volatility Standouts

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
TRCO 72.20% C -6.00% 26.19 121
F 61.25% C -3.98% 98.02 77,442
SGMO 57.92% D -7.34% 89.68 4,943
SAGE 55.83% F -7.44% 100.00 6,757
AOBC 54.35% C -1.76% 60.71 1,409
PTLA 53.38% F -2.94% 82.14 6,042
ICPT 53.07% F -4.55% 99.60 9,496
LL 49.98% F -5.24% 92.06 1,198
MLNX 49.61% B -3.86% 99.21 9,181
LEA 47.85% C -6.61% 99.21 5,806
IMMU 45.77% C -3.08% 97.62 12,101
EPC 45.44% C -6.72% 96.83 1,313
EVRI 43.44% B -5.97% 64.68 143
CAKE 43.16% B 47.77% 96.03 1,644
HLF 42.78% B -3.44% 44.05 18,033
UNFI 42.61% C -6.68% 99.21 1,844
CLVS 42.00% C -4.33% 94.84 10,582
BZH 42.00% F -6.82% 98.81 1,385
CTXS 41.93% C -7.92% 100.00 10,838
BHF 40.95% F -0.75% 98.81 11,322
WH 40.95% F -5.15% 96.43 1,249
CDK 38.79% A -1.69% 98.02 2,971
SPB 38.49% C -5.61% 83.33 379
DMRC 38.40% C 0.00% 98.41 477

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
ATHN -72.40% C -6.00% 10.32 20,926
MB -66.05% C -3.98% 1.19 1,459
NTRI -63.41% C -7.34% 5.56 526
USG -44.01% D -7.44% 42.46 499
OZK -41.72% D -1.76% 98.41 2,462
FNSR -32.59% F -2.94% 9.92 1,826
GBT -31.21% F -4.55% 23.41 5,921
JNJ -31.00% C -5.24% 96.83 782,454
XPER -29.54% B -3.86% 78.17 215
XPO -26.58% C -6.61% 98.02 67,182
SCG -25.89% C -3.08% 5.95 3,635
SNAP -23.35% D -6.72% 98.02 50,609
COUP -23.16% F -5.97% 96.83 10,282
IEP -23.16% C 47.77% 97.22 3,857
PI -22.66% C -3.44% 81.75 497
SGH -21.60% A -6.68% 90.78 902
RCII -21.17% C -4.33% 25.40 22,280
MOH -20.66% C -6.82% 98.41 3,504
NKE -20.59% C -7.92% 94.84 183,516
EIX -20.40% D -0.75% 90.48 2,856
SFM -19.66% C -5.15% 82.54 2,124
FRPT -19.63% C -1.69% 85.32 3,332
OKTA -19.59% F -5.61% 95.24 18,285

 

Options
Quantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE