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VIX down -12.5% on strength in equity markets.

Jan 04, 2019

 

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

Options Market Commentary

Stocks are rallying powerfully this afternoon on a combination of trade progress, a strong jobs figure and Chair Powell’s dovish tone. Currently, the S&P is +2.8%, the Russell 3.3%, and the Nasdaq is +3.9%. Given the risk-on move, bonds are giving back yesterday’s gains with TLT is -1.1% (10-year 2.65%). Emerging markets (EEM +3.3%) are also up despite the stronger dollar and the Energy sector is also getting a boost with Crude Oil +2.4%. Volatilities are lower with the VIX -12% to 22.43, VXN -11% to 28.61, and RVX -11% at 25.43.

 

ETF 30D Volatility Changes

SPY:      -11%         

IWM:     -10%        

QQQ:     -11%       

 

Directional Options Strategies

Bullish Option Strategies

SLB Buyer 4,000 Mar 45 calls (ref. 38.55)

ESV Seller 15,000 Mar 4 puts (ref. 4.08)

MOMO Buyer 5,000 Feb 30 calls (ref. 25.34)

BMY Buyer 14,000 Mar 52.5 calls (ref. 46.73)

CHTR Seller 10,300 Feb 22nd 292.5 puts to Buy 10,300 Feb 22nd 297.5 calls tied to stock (ref. 296.67)

JD 30,000 Jan 23 – Feb 24 call spreads trade (likely rolls out and up, ref. 21.72)

AA Buyer 10,200 Feb 30 calls (ref. 27.80)

SGMS Seller 20,000 Jan20 40 calls (closing) to Buy 22,000 Jan20 30 calls (rolls down, ref. 18.62)

 

Bearish Option Strategies

BKS Buyer 9,929 Apr 5 puts (closing, ref. 7.42)

AMD Buyer 8,000 Jan 16 puts (possibly closing, ref. 18.28)

ARNC Seller 8,000 Feb 23 calls (possibly closing, ref. 18.95)

 

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

Macro Options Strategies

Bullish Option Strategies

HYG Buyer 8,400 Apr 82 calls (ref. 81.77)

KRE Seller 17,000 Mar 45 – 42 put spreads tied to stock (appears to roll write up, ref. 48.15)

EEM Buyer 25,620 Feb 42 calls (ref. 39.11)

EEM Buyer 17,500 Feb 42 – 44 call spreads (ref. 39.65)

SPY Buyer 5,000 Jan 30th 260 – 265 call spreads (ref. 251.73)

VIX Buyer 47,000 Jan 19 puts (ref. 23.02)

TLT Seller 6,000 Jan 4th 116 calls (closing) to Buy 6,000 Jan 11th 116 calls (rolls out a week, ref. 121.88)

FXI Buyer 15,000 Feb 40 – 42.5 call spreads (ref. 39.39)

 

Bearish Option Strategies

XBI Buyer 5,000 Feb 1st 70 puts (ref. 72.71)

KBE Buyer 5,000 Jan 37 puts (ref. 38.63)

XLF Buyer 17,000 Jan 22 puts tied to stock (ref. 23.97)

SPY 12,301 Jan 9th 230 puts trade (ref. 250.23)

EWZ Seller 18,000 Mar 47 calls (ref. 41.97)

OIH Buyer 9,700 Apr 13 puts (ref. 15.11)

HYG Buyer 8,000 Feb 81 – 78 put spreads (ref. 82.24)

 

Actionable and Transparent Quantitative ResearchActionable and Transparent Quantitative Research

 

 

Finance Trades Options Strategies

SIRI 3,500 Feb 8 RevCons trade (ref. 6.00)

HAL 58,000 Feb 22nd 27.5 RevCons trade (ref. 28.04)

JD 3,500 Jan 4th 132 RevCons trade (ref. 136.22)

GE 14,000 Jun 9 RevCons trade (ref. 8.09)

 

 

Upcoming Earnings

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
AYI 1/9/2019 9.6 10.3 -6.8% D 3,466
BBBY 1/9/2019 14.4 11.4 25.8% D 11,622
KBH 1/9/2019 5.8 5.3 9.3% C 4,003
LEN 1/9/2019 6.4 3.7 71.7% B 11,430
STZ 1/9/2019 5.6 4.6 20.1% B 82,131
DAL 1/11/2019 1.1 2.4 -52.4% A 137,151
C 1/14/2019 3.5 1.6 126.4% D 552,078
HRS 1/15/2019 5.0 5.5 -8.7% A 3,553
IBKR 1/15/2019 4.0 2.2 83.1% D 4,213
JPM 1/15/2019 3.0 1.3 135.9% D 511,770
SNV 1/15/2019 4.0 2.7 46.0% C 3,444
UNH 1/15/2019 2.3 3.0 -21.7% B 276,278
WFC 1/15/2019 3.6 1.8 100.2% D 266,118
AA 1/16/2019 7.7 6.0 28.6% D 26,278
BAC 1/16/2019 2.0 1.5 36.1% C 969,310
BK 1/16/2019 4.0 3.5 13.0% D 26,327
BLK 1/16/2019 3.0 2.1 42.3% B 67,914
CMA 1/16/2019 3.4 2.0 67.4% B 8,248
CSX 1/16/2019 5.1 4.3 19.4% A 33,686
GS 1/16/2019 2.7 2.1 29.8% D 487,024
KMI 1/16/2019 0.9 2.0 -56.1% C 28,651
PNC 1/16/2019 2.5 1.7 47.2% C 26,868
USB 1/16/2019 2.3 1.6 41.6% C 70,308
AXP 1/17/2019 2.2 3.4 -36.1% C 133,547
BBT 1/17/2019 3.0 2.3 30.9% C 13,503
FAST 1/17/2019 6.0 5.8 3.8% C 12,903
KEY 1/17/2019 1.8 2.8 -34.4% C 5,756
MS 1/17/2019 4.0 2.3 73.6% D 149,759
MTG 1/17/2019 4.5 3.8 16.8% C 2,967
NFLX 1/17/2019 8.9 7.5 18.8% D 2,446,145
PPG 1/17/2019 6.2 2.0 206.7% C 14,407
SCHW 1/17/2019 3.5 1.9 84.1% C 17,798
CFG 1/18/2019 3.6 2.2 67.0% C 2,997
KSU 1/18/2019 4.6 2.3 98.7% B 8,812
RF 1/18/2019 4.2 2.1 98.9% C 8,456
SLB 1/18/2019 4.7 1.2 288.3% D 149,368
STI 1/18/2019 1.9 1.6 22.9% D 11,259
SYF 1/18/2019 5.1 3.8 33.4% D 19,778
VFC 1/18/2019 5.8 5.4 6.0% B 9,517
AMTD 1/22/2019 3.7 2.5 43.6% B 16,630
ATI 1/22/2019 8.8 8.2 7.9% C 1,356
COF 1/22/2019 3.6 2.5 42.7% C 29,035
FITB 1/22/2019 2.1 2.5 -17.6% D 4,764
HAL 1/22/2019 5.0 3.7 35.8% D 80,358
IBM 1/22/2019 4.2 5.2 -19.6% A 236,419
STT 1/22/2019 4.9 4.8 1.9% D 10,983
SWK 1/22/2019 4.5 3.2 40.8% C 27,610
TRV 1/22/2019 1.3 2.7 -52.8% C 11,155
TXN 1/22/2019 1.9 3.8 -49.8% A 119,223
UAL 1/22/2019 4.2 6.6 -35.9% C 103,288
WYNN 1/22/2019 2.8 7.0 -59.2% D 316,962
ZION 1/22/2019 3.6 2.1 74.0% C 13,030

 

Volatility Standouts

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
SRCL 67.77% F -5.79% 96.03 883
ARRS 66.17% C -0.79% 99.21 2,060
SAGE 66.10% F -3.83% 100.00 10,927
TRCO 65.21% B -7.00% 38.89 104
EVRI 60.26% C -9.06% 66.67 147
IMMU 58.41% C -0.53% 98.02 15,973
ZAYO 50.58% C -13.07% 96.83 7,331
ICPT 44.21% F -5.51% 99.60 8,634
HLF 43.41% B -6.21% 71.43 21,717
AOBC 43.41% C -1.18% 50.40 1,460
REV 42.41% D -3.07% 91.67 457
UNFI 42.21% F -8.18% 97.22 1,135
TXRH 40.96% C -7.65% 98.81 3,304
HAIN 40.92% F -5.35% 98.02 2,297
JACK 40.61% C -2.53% 97.22 1,811
XRAY 40.19% C -6.50% 91.67 1,252
EPC 39.92% D -8.54% 96.03 1,269
LEA 39.64% D -3.25% 97.22 4,638
CAKE 39.64% D -6.42% 93.25 1,940
CTXS 39.00% A -5.53% 97.62 13,650
MHK 38.45% C -7.66% 96.43 6,914
DAN 37.50% C -3.66% 98.41 15,522
CDK 36.64% B -13.86% 97.22 2,885
PBYI 36.23% D -1.15% 95.63 1,678

 

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
MB -72.69% C -5.79% 1.98 1,605
RHT -71.83% D -0.79% 15.08 57,056
ATHN -70.37% C -3.83% 12.70 21,893
IDTI -68.32% C -7.00% 11.11 1,125
NTRI -62.12% B -9.06% 1.59 215
CELG -57.42% C -0.53% 39.68 431,893
OZK -46.88% F -13.07% 94.44 2,709
IEP -44.38% C -5.51% 96.03 3,041
USG -39.90% C -6.21% 11.11 737
XPER -35.74% D -1.18% 62.70 265
PI -30.95% C -3.07% 70.24 426
ESIO -29.50% C -8.18% 1.59 535
FNSR -29.36% F -7.65% 12.70 1,265
GBT -29.17% F -5.35% 21.03 5,431
EIX -28.50% C -2.53% 86.51 2,495
AAPL -27.54% A -6.50% 97.62 7,718,058
SNAP -25.80% D -8.54% 97.22 46,281
FOSL -25.29% C -8.98% 96.83 1,416
BMY -25.06% C -3.25% 99.60 345,853
NKE -24.80% C -6.42% 90.08 195,950
FRPT -24.63% C -5.53% 86.11 3,043
HCP -24.15% C -7.66% 79.76 2,294
NCS -23.84% A -3.66% 96.83 149
AVGO -23.48% C -13.86% 94.44 542,458

 

Options
Quantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE