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The Slowdown that Wasn’t – Equities Rally on Strong Jobs Number, Dovish Powell

Jan 04, 2019

 

Diverse Option Strategies for All Risk LevelsDiverse Option Strategies for All Risk Levels
ETF 30D IV 30D IV
Percentile
90D IV 90D IV
Percentile
90D/30D IV 90D/30D IV
Percentile
30D IV-
20D HV
30D IV-20D HV
Percentile
90D IV-
60D HV
90D IV-60D HV
Percentile
SPY 22.34 96.03% 21.33 97.62% 0.95 10.91% -6.56 13.1% -3.29 25.4%
QQQ 30.25 97.62% 27.91 98.02% 0.92 18.06% -6.39 20.63% -5.93 19.44%
IWM 25.95 95.24% 24.71 97.02% 0.95 23.81% -3.46 15.48% -1.45 23.41%
FEZ 19.58 86.11% 19.57 92.86% 1 46.83% 0.13 48.41% 0.77 63.1%
EEM 24.62 89.29% 24.27 96.03% 0.99 39.09% 6.41 98.41% -0.84 44.84%

 

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

Highlights from the past week

Apple caught the market off guard when it cut its Q1 revenue guidance Wednesday evening. The following morning, with Apple down 8%, a weak ISM manufacturing figure brought the Bears out in full force and a sparked fears over a trade-war driven recession.

… How quickly things can change …

The US and China will recommence discussions early next week, the jobs number came in way above expectations (312k vs. 184k est.) and Fed Chair Powell pivoted toward a more dovish tone. For all the downside risks being discussed, upside risks (i.e. the Trade Deal, Dovish Fed) exist as well.

For the week, SPY is set to close roughly 1% higher while the VIX has receded more than 15%. As we enter Q1 Earnings season, it will be valuable to see how the market reacts as investors receive mixed signals on the strength of the US economy.

 

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

Bullish: SPY Buyer 33,000 Mar 282 calls (ref. 250.67)

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

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

Bearish: VNQ Seller 82,500 Mar 74 puts (closing) to Buy 115,000 Mar 65 puts (ref. 73.99)

Bearish: SPY Buyer 50,000 Feb 170 puts (ref. 249.18)

Bearish: HYG Seller 25,742 Jan 84 puts (closing) to Buy 25,742 Jun 75 puts (rolls out and down, ref. 80.95)

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

 

Amidst all the drama this week, Bristol Myers Squibb quietly acquired Celgene for $70 billion. Celgene soared some 30% on the announcement while  Bristol Myers fell more than 10%. On the options front, traders appear to be fond of the deal as most are looking to buy some upside here:

Bullish: BMY Seller 60,000 Feb 46 puts to Buy 60,000 Feb 48 calls (ref. 46.59)

Bullish: BMY Buyer 14,000 Mar 52.5 calls (ref. 45.43)

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

 

 

Options
Quantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE