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VIX down small as equities rally off overnight lows

Jan 02, 2019

 

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

Options Market Commentary

Stocks are softer on the first trading day of 2019 but are well off this morning’s lows. Currently, the S&P is -.38%, the Russell -.35%, and the Nasdaq is -.19% while bonds continue their bullish run with TLT +.24% (10-year 2.663%). Worth noting is the underperformance of sectors that saw relative strength during the selloff – Healthcare (-1.5%), Utilities (-2%) are Consumer Staples (-1%) are all trailing the broader market. Energy is stronger this afternoon in tandem with oil prices (Crude up 4.4%). Volatilities are mixed with the VIX -1% to 26.68, VXN +1% to 31.73, and RVX -1% at 28.29.

 

ETF 30D Volatility Changes

SPY:      -1%         

IWM:     -2%        

QQQ:     +1%       

Directional Options Strategies

Bullish Option Strategies

MTG 10,000 Mar 11 calls trade (ref. 10.29)

AAPL Buyer 5,000 Mar 160 calls (ref. 154.86)

AOP Seller 4,500 Jan 40 puts (opens write, ref. 42.01)

MRVL Buyer 3,500 Jan 11th 16.5 calls (ref. 16.44)

THC Seller 9,650 Jan20 25 calls (closing) to Buy 9,650 Jan20 20 calls (rolls down, ref. 17.22)

RRC Buyer 10,000 Jan 11th 10.5 calls (ref. 10.04)

AR Buyer 38,550 Jan20 15 calls (ref. 9.79)

EXAS Buyer 5,000 Jan 11th 63 – 68 call spreads (ref. 63.32)

 

Bearish Option Strategies

ECA Seller 54,700 Jan20 10 calls tied to stock (ref. 5.97)

SBGL Seller 7,000 Jul 5 calls to Buy 7,000 Jul 2.5 puts (ref. 2.88)

 

 

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

Macro Options Strategies

Bullish Option Strategies

JNK Seller 20,000 Mar 29 puts tied to stock (ref. 33.43)

HYG Buyer 25,000 Mar 84 calls (ref. 33.42)

SMH Seller 10,000 Feb 80 puts (opens write, ref. 87.79)

GLD Buyer 3,567 Jan20 150 calls (ref. 121.54)

Bearish Option Strategies

SPY Buyer 17,500 Jan 7th 240 – 230 – 220 put spreads (ref. 246.04)

SPY Buyer 17,500 Feb 1st 220 – 205 – 195 put flies (ref. 249.71)

IWM Buyer 5,000 Jan 131 – 117 put spreads (ref. 132.06)

VIX Seller 10,000 May 17 – 25 strangles to Buy 60,000 May 37.5 calls (ref. 20.92)

XOP Seller 27,500 Jan 23 puts (closing) to Buy 35,000 Feb 23 puts and Sell 20,000 Feb 30 – 31 call spreads (ref. 26.01)

USO Seller 50,000 Jan 9 puts (closing) to Buy 20,000 Feb 9 – 8.5 put stupids (ref. 9.60)

EEM Buyer 13,000 Jun 38.5 puts tied to stock (ref. 38.99)

EEM Buyer 11,090 Feb 1st 38 puts (ref. 39.05)

 

Actionable and Transparent Quantitative ResearchActionable and Transparent Quantitative Research

 

 

Finance Trades Options Strategies

EFA 5,000 Mar 59 RevCons trade (ref. 58.43)

SPY 11,000 Jan 250 RevCons trade (ref. 249.86)

 

 

Upcoming Earnings

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
AYI 1/9/2019 9.7 10.3 -5.8% D 3,234
BBBY 1/9/2019 15.1 11.4 31.9% D 12,449
KBH 1/9/2019 6.2 5.3 17.1% C 4,319
LEN 1/9/2019 7.1 3.7 90.0% B 13,785
STZ 1/9/2019 5.6 4.6 21.0% B 92,723
DAL 1/10/2019 3.8 2.4 58.5% A 110,480
C 1/14/2019 4.6 1.6 195.6% D 569,555
HRS 1/15/2019 5.1 5.5 -7.4% A 3,641
IBKR 1/15/2019 5.9 2.2 168.5% D 3,820
JPM 1/15/2019 3.6 1.3 184.4% D 507,153
SNV 1/15/2019 4.3 2.7 57.8% C 4,002
UNH 1/15/2019 3.2 3.0 6.8% B 296,910
WFC 1/15/2019 4.4 1.8 144.0% D 272,809
AA 1/16/2019 7.8 6.0 30.9% D 25,780
BAC 1/16/2019 3.0 1.5 106.2% C 1,001,969
BK 1/16/2019 4.1 3.5 15.9% D 30,747
CMA 1/16/2019 4.3 2.0 116.1% B 10,074
CSX 1/16/2019 5.2 4.3 22.1% A 38,648
GS 1/16/2019 3.2 2.1 53.5% D 559,758
KMI 1/16/2019 2.0 2.0 0.0% C 29,146
PNC 1/16/2019 3.4 1.7 100.0% C 27,708
USB 1/16/2019 3.1 1.6 92.2% C 71,038
AXP 1/17/2019 2.1 3.4 -38.3% C 149,130
BBT 1/17/2019 3.9 2.3 71.0% C 18,385
FAST 1/17/2019 6.2 5.8 6.9% C 11,284
KEY 1/17/2019 3.0 2.8 6.9% C 6,454
MLNX 1/17/2019 12.4 4.1 200.4% A 7,898
MS 1/17/2019 4.9 2.3 111.2% D 156,695
MTB 1/17/2019 3.9 2.4 65.6% B 2,884
NFLX 1/17/2019 9.3 7.5 23.0% D 2,375,538
PPG 1/17/2019 6.1 2.0 203.1% C 13,503
SCHW 1/17/2019 4.0 1.9 110.3% C 20,326
BLK 1/18/2019 3.9 2.1 85.0% B 67,608
KSU 1/18/2019 5.1 2.3 120.4% B 8,924
RF 1/18/2019 5.6 2.1 167.2% C 9,592
SLB 1/18/2019 5.1 1.2 326.3% D 158,190
STI 1/18/2019 2.7 1.6 69.0% D 11,921
SYF 1/18/2019 6.7 3.8 75.6% D 19,917
AMTD 1/22/2019 4.2 2.5 63.3% B 20,775
ATI 1/22/2019 10.8 8.2 31.5% C 3,428
CREE 1/22/2019 7.6 6.8 10.9% F 5,482
FITB 1/22/2019 4.6 2.5 81.6% D 4,762
HAL 1/22/2019 5.2 3.7 41.6% D 80,654
IBM 1/22/2019 4.4 5.2 -15.6% A 268,902
PG 1/22/2019 2.8 3.4 -17.3% B 174,889
RMD 1/22/2019 5.1 6.6 -22.9% A 3,675
STLD 1/22/2019 5.5 2.7 107.0% C 5,261
STT 1/22/2019 6.0 4.8 24.9% D 10,586
SWK 1/22/2019 5.1 3.2 60.9% C 25,594
TRV 1/22/2019 3.2 2.7 19.9% C 11,230
TXN 1/22/2019 3.7 3.8 -3.1% A 131,106
UAL 1/22/2019 4.5 6.6 -31.0% C 94,200
WYNN 1/22/2019 5.2 7.0 -24.8% D 302,788
ZION 1/22/2019 4.5 2.1 118.6% C 13,918

 

Volatility Standouts

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
SRCL 74.13% F 2.07% 97.21 785
SAGE 54.42% F 3.37% 98.80 7,095
HLF 5.23E-01 B -2.00% 35.06 19,478
IMMU 51.43% C -3.01% 98.80 12,021
EPC 50.49% D -3.04% 97.21 1,332
ICPT 50.18% F -3.37% 99.20 9,561
MLNX 49.95% A -1.86% 98.41 7,898
CAKE 45.51% D -1.97% 94.02 2,077
LEA 44.05% D 0.72% 97.61 4,610
REV 42.98% D 0.32% 87.65 375
BHF 42.43% F 3.79% 98.01 8,420
CTXS 42.35% A 4.58% 97.61 14,390
AOBC 41.49% C -5.23% 51.79 1,518
PLAY 41.19% C -1.10% 62.15 2,455
XRAY 40.67% C -5.34% 89.24 1,346
PBYI 40.37% D 1.10% 95.22 1,173
CLVS 39.71% C -1.73% 93.23 9,257
DAN 39.43% C -2.41% 97.21 15,133
TIVO 38.75% C 1.23% 92.43 1,297
BZH 37.88% D -1.95% 98.80 1,390
JACK 37.46% C -3.58% 96.41 2,189
CNDT 36.89% D -0.38% 98.41 952
SSP 36.66% B 6.88% 86.45 60
CTB 36.64% C 8.89% 88.45 434

 

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
MB -73.03% C 2.07% 1.59 1,534
RHT -71.33% D 3.37% 12.35 63,947
ATHN -67.37% C -2.00% 9.96 22,103
NTRI -62.05% B -3.01% 0.80 538
USG -46.92% C -3.04% 21.12 538
OZK -44.35% F -3.37% 96.81 2,324
XPER -36.10% D -1.86% 78.49 210
FNSR -32.25% F -1.97% 9.16 1,582
GBT -30.92% F 0.72% 15.94 6,240
IEP -28.13% C 0.32% 98.01 3,941
SNAP -26.07% D 3.79% 96.41 50,911
RCII -25.80% C 4.58% 19.12 21,821
EIX -24.64% C -5.23% 92.03 2,501
FTAI -24.11% C -1.10% 93.63 102
PI -23.74% C -5.34% 72.91 507
SGH -22.73% B 1.10% 77.46 920
NCS -22.25% A -1.73% 95.62 154
NKE -21.62% C -2.41% 90.44 188,824
XPO -21.07% C 1.23% 95.62 43,653
LITE -20.88% B -1.95% 94.82 7,182
COUP -20.59% D -3.58% 93.23 10,316
BEAT -2.04E-01 C -0.38% 81.27 3,779
STWD -20.14% C 8.89% 93.63 2,295

 

 

Options
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