blog

Latest from the Quantamize Blog

Stocks selloff amid Apple disappointment and unrest in Washington.

Jan 03, 2019

 

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

Options Market Commentary

Stocks are well into the red this afternoon on concerns over slowing global growth. Apple’s revenue warning in combination with weaker than expected ISM data have sent stocks lower. Currently, the S&P is -1.5%, the Russell -6%, and the Nasdaq is -2.2% while bonds continue their bullish run as TLT is +1.1% (10-year 2.58%). Defensive sectors are acting well and are outperforming the broader market with Utilities (+.45%) are Consumer Staples (+.2%). Energy is also holding in well (XOP +.8%, USO +.5) as Crude oil is positive on the day. Volatilities are stronger with the VIX +6% to 26.68, VXN +5% to 31.60, and RVX +3% at 27.72.

 

ETF 30D Volatility Changes

SPY:      +6%         

IWM:     +3%        

QQQ:     +4%       

 

Directional Options Strategies

Bullish Option Strategies

SNAP Buyer 12,038 Feb 7 calls (ref. 5.68)

PBR Buyer 5,009 Apr 16 calls (ref. 14.00)

SGMS Seller 5,000 Jan20 40 calls (likely closing) to Buy 5,000 Apr 22 calls (ref. 17.72)

CBS Buyer 3,000 Mar 50 calls (ref. 46.23)

BMY Buyer 10,000 Jun 55 calls (ref. 45.94)

MET Seller 9,988 Feb 45 calls (closing) to Buy 9,988 Feb 42.5 calls (rolls down, ref. 41.51)

 

 

Bearish Option Strategies

FXC Buyer 5,000 Mar 9 puts (ref. 10.20)

BMY Buyer 9,000 Jun 44 – 34 put spreads (ref. 44.86)

CELG Seller 9,699 Jan 80 puts (closing) to Buy 9,699 Jun 75 puts (ref. 84.00)

YNDX Seller 10,228 Jan20 50 calls (closing, ref. 26.95)

FCX Buyer 20,000 May 6 puts (ref. 9.89)

CAR Buyer 11,000 Jan21 15 puts (ref. 22.23)

 

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

Macro Options Strategies

Bullish Option Strategies

XME Seller 20,000 Jan 28 calls (closing) to Buy 10,000 Feb 28 calls (rolls and reduces size, ref. 26.15)

LQD Seller 25,000 Jan 112 puts (closing, ref. 113.04)

TLT Buyer 5,316 Mar 125 calls (ref. 123.15)

HYG Seller 37,500 Mar 80 – 76 put spreads (ref. 80.90)

SPY Buyer 27,000 Sep 315 calls (ref. 247.00)

 

Bearish Option Strategies

GLD Buyer 7,500 Jan 25th 118 puts (ref. 121.83)

SPY Buyer 14,939 Jan 25th 224 puts (ref. 247.08)

EEM Buyer 15,000 Mar 31 puts (ref. 38.24)

HYG Buyer 25,000 Mar 80 – 76 put spreads (ref. 80.82)

 

Actionable and Transparent Quantitative ResearchActionable and Transparent Quantitative Research

 

 

Finance Trades Options Strategies

EEM 5,000 Mar 40 RevCons trade (ref. 38.42)

AAPL 5,000 Jan 150 RevCons trade (ref. 143.34)

 

 

 

Upcoming Earnings

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
AYI 1/9/2019 9.8 10.3 -4.3% D 3,534
BBBY 1/9/2019 14.4 11.4 25.6% D 12,980
KBH 1/9/2019 6.4 5.3 20.5% C 4,180
LEN 1/9/2019 7.0 3.7 86.7% B 13,656
STZ 1/9/2019 5.6 4.6 22.1% B 89,862
DAL 1/10/2019 5.4 2.4 130.2% A 113,568
C 1/14/2019 4.3 1.6 174.6% D 552,987
HRS 1/15/2019 5.3 5.5 -4.6% A 3,664
IBKR 1/15/2019 5.4 2.2 144.2% D 4,157
JPM 1/15/2019 3.3 1.3 160.0% D 508,461
SNV 1/15/2019 4.4 2.7 61.1% C 3,651
UNH 1/15/2019 3.0 3.0 1.9% B 282,399
WFC 1/15/2019 4.1 1.8 127.0% D 268,831
AA 1/16/2019 7.9 6.0 32.2% D 26,041
BAC 1/16/2019 3.1 1.5 111.3% C 997,583
BK 1/16/2019 3.9 3.5 10.8% D 31,809
BLK 1/16/2019 3.4 2.1 60.4% B 64,599
CMA 1/16/2019 4.2 2.0 107.4% B 8,281
CSX 1/16/2019 5.3 4.3 24.8% A 37,781
GS 1/16/2019 2.8 2.1 37.2% D 514,405
KMI 1/16/2019 1.9 2.0 -1.5% C 28,502
PNC 1/16/2019 2.9 1.7 70.6% C 29,005
USB 1/16/2019 2.7 1.6 68.9% C 67,256
AXP 1/17/2019 2.6 3.4 -25.4% C 136,871
BBT 1/17/2019 3.2 2.3 38.5% C 16,422
FAST 1/17/2019 6.3 5.8 8.5% C 12,260
KEY 1/17/2019 2.4 2.8 -12.8% C 5,617
MS 1/17/2019 4.6 2.3 99.1% D 155,437
MTB 1/17/2019 3.1 2.4 29.5% B 1,723
NFLX 1/17/2019 8.9 7.5 18.3% D 2,430,509
PPG 1/17/2019 5.9 2.0 190.7% C 13,324
SCHW 1/17/2019 3.7 1.9 93.4% C 15,880
KSU 1/18/2019 5.0 2.3 119.3% B 8,921
RF 1/18/2019 5.1 2.1 140.4% C 10,242
SLB 1/18/2019 4.9 1.2 306.3% D 154,556
STI 1/18/2019 2.4 1.6 51.1% D 10,795
SYF 1/18/2019 5.5 3.8 44.2% D 20,218
VFC 1/18/2019 5.9 5.4 8.8% B 7,939
AMTD 1/22/2019 4.7 2.5 83.0% B 16,369
ATI 1/22/2019 9.4 8.2 15.1% C 3,280
COF 1/22/2019 4.2 2.5 67.6% C 30,478
CREE 1/22/2019 8.4 6.8 22.9% F 5,694
FITB 1/22/2019 3.1 2.5 20.3% D 4,919
HAL 1/22/2019 5.1 3.7 39.2% D 77,105
IBM 1/22/2019 4.6 5.2 -12.5% A 251,474
RMD 1/22/2019 5.5 6.6 -17.4% A 3,450
STLD 1/22/2019 6.0 2.7 125.9% C 1,919
STT 1/22/2019 5.6 4.8 16.7% D 11,832
SWK 1/22/2019 5.4 3.2 71.3% C 22,473
TRV 1/22/2019 2.5 2.7 -8.1% C 11,334
TXN 1/22/2019 4.3 3.8 14.5% A 125,463
UAL 1/22/2019 6.0 6.6 -9.3% C 95,858
WYNN 1/22/2019 5.2 7.0 -25.6% D 315,654
ZION 1/22/2019 4.4 2.1 113.0% C 13,420

 

Volatility Standouts

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
SRCL 68.77% F 3.93% 96.83 827
HLF 62.70% B 0.71% 44.84 20,793
SAGE 56.61% F 7.46% 99.60 9,718
EAF 54.42% A 13.09% 94.97 715
IMMU 53.20% C -1.55% 99.21 12,365
CAKE 50.19% D 1.07% 93.25 1,960
ISBC 49.63% D -0.35% 87.30 1,266
LEA 49.08% D 7.16% 95.63 3,976
AOBC 48.69% C 3.34% 51.59 1,418
EPC 48.15% D 3.72% 96.43 1,297
MLNX 47.91% A 2.33% 97.62 6,779
ICPT 45.45% F 0.87% 98.81 10,096
REV 42.85% D 7.46% 87.70 454
PBYI 42.79% D -10.54% 93.25 1,344
HAIN 42.31% F -14.84% 98.02 2,004
JACK 40.98% C 4.92% 98.41 1,931
CALM 40.58% D -0.13% 94.84 713
CDK 38.62% B 2.17% 93.65 2,954
MHK 38.53% C -1.63% 93.65 7,519
XRAY 37.94% C 1.88% 86.90 1,221
ZAYO 36.44% C 2.01% 94.84 6,559
CLVS 36.28% C 3.63% 90.48 8,926
NDLS 36.06% D 0.00% 34.92 19
CTB 35.74% C 2.46% 92.06 452

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
ATHN -69.49% C 3.93% 10.71 23,256
RHT -67.48% D 0.71% 14.68 59,899
MB -63.90% C 7.46% 0.40 1,526
NTRI -59.78% B 13.09% 4.76 503
USG -56.58% C -1.55% 23.81 933
OZK -44.68% F 1.07% 94.05 2,224
CELG -38.51% C -0.35% 96.83 173,648
ARRS -33.17% C 7.16% 98.02 2,478
XPER -29.66% D 3.34% 9.52 293
GBT -2.96E-01 F 3.72% 20.63 6,056
FNSR -28.95% F 2.33% 9.52 1,472
IEP -28.29% C 0.87% 96.43 4,072
SNAP -26.00% D 7.46% 93.65 44,759
WELL -24.48% C -10.54% 88.10 6,266
EIX -23.74% C -14.84% 89.29 2,294
PI -22.92% C 4.92% 67.86 444
IDTI -21.28% C -0.13% 2.78 1,235
BPL -20.78% F 2.38% 93.65 2,150
FOSL -20.69% C 2.17% 96.83 1,632
NCS -19.76% A -1.63% 97.22 160
AAN -19.66% B 1.88% 79.76 473
SFM -19.50% D 2.01% 81.75 1,688
TRCO -19.35% B 3.63% 37.30 138
NKE -19.30% C 0.00% 86.11 188,914

 

Options
Quantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE