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Volatility holding firm in spite of equity follow through

Jan 07, 2019

 

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

Options Market Commentary

Stocks are gathering momentum this afternoon as investors are looking for progress on the trade front. Currently, the S&P is +1%, the Russell +1.6%, and the Nasdaq +1.2%. Given the risk-on move, TLT is softer -.1% (10-year 2.684%) while HYG is catching a bid (+.73%). Biotech (+5.5%) is outperforming today on M&A activity and Energy is leading the market  higher with Crude Oil +2.5% (Saudi Arabia announced export cuts). Volatilities are lower with the VIX -1% to 21.21, VXN -7% to 28.66, and RVX -7% at 25.31.

 

ETF 30D Volatility Changes

SPY:      -4%         

IWM:     -3%        

QQQ:     -4%       

 

Directional Options Strategies

Bullish Option Strategies

BHC Buyer 1,400 Jan 11th 24 calls (ref. 22.20)

URA Buyer 4,100 Feb 12 calls (ref. 12.00)

AXL Buyer 5,500 Jan 12 calls (ref. 11.83)

QEP Buyer 3,300 Mar 12 calls (ref. 8.27)

DXC Seller 39,000 Feb 55 puts to Buy 39,000 Feb 57.5 calls (ref. 56.98)

JD Buyer 7,000 Mar 30 calls (ref. 22.53)

T Buyer 12,000 Feb 31 calls (closing) to Sell 12,000 Mar 33 calls (rolls write, ref. 31.02)

CPE Seller 20,000 Jan 7 calls (closing) to Buy 28,000 Feb 9 calls (rolls out and up, ref. 7.62)

 

Bearish Option Strategies

EBAY Buyer 14,000 Jan 27 puts (likely closing, ref. 29.10)

AMD Buyer 8,000 Jan 20 25 puts (ref. 19.86)

TRU Seller 11,495 Jan 55 calls (ref. 55.84)

CTRP Buyer 5,000 Jan20 15 puts (ref. 29.24)

 

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

Macro Options Strategies

Bullish Option Strategies

SPY Buyer 13,264 Jan 11th 260 calls to Sell 13,200 Jan 11th 265 calls (ref. 252.49)

FXI Buyer 4,650 Mar 41.5 – 44.5 – 47.5 call flies (ref. 39.17)

USO Buyer 13,700 Feb 22nd 12 calls (ref. 10.41)

OIH Buyer 10,000 Apr 17 calls tied to stock (ref. 15.52)

FXI Buyer 10,000 Mar 40 calls to Sell 15,000 Mar 43 calls tied to stock (ref. 39.19)

JNK Seller 15,000 Mar 30 puts tied to stock (ref. 34.45)

TBT Seller 5,00 Mar 33 puts to Buy 5,000 Mar 36 calls (ref. 34.56)

 

Bearish Option Strategies

HYG Buyer 8,400 Feb 77 puts (ref. 82.75)

XOP 7,000 Jan 28 – 26.5 – 25 put flies trade (ref. 29.31)

IWM Seller 9,286 Jan 135 – Feb 145 call spreads (monetizes, rolls out up and up, ref. 139.09)

FXI Buyer 10,000 Feb 41 calls to Sell 10,000 Feb 42 and 43 calls (ref. 39.23)

SMH Buyer 5,000 Feb 80 puts (ref. 87.38)

 

 

Actionable and Transparent Quantitative ResearchActionable and Transparent Quantitative Research

 

 

Finance Trades Options Strategies

QCOM 7,500 Mar 50 RevCons trade (ref. 56.32)

SPY 5,000 Jun 240 RevCons trade (ref. 253.91)

AAPL 9,000 Jan 145 RevCons trade (ref. 146.94)

 

 

 

Upcoming Earnings

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
AYI 1/9/2019 9.3 10.4 -10.4% D 3,687
BBBY 1/9/2019 14.9 12.0 24.4% D 9,091
KBH 1/9/2019 5.4 5.2 3.5% C 3,729
LEN 1/9/2019 5.1 3.7 37.3% B 10,588
STZ 1/9/2019 5.6 4.6 20.4% B 83,326
C 1/14/2019 2.9 1.6 85.6% D 570,144
FRC 1/15/2019 3.5 2.4 44.5% A 2,549
HRS 1/15/2019 5.2 5.5 -5.0% A 2,590
IBKR 1/15/2019 4.0 2.2 79.3% D 4,200
SNV 1/15/2019 4.1 2.7 49.7% C 2,491
UNH 1/15/2019 2.1 3.0 -30.2% B 267,474
WFC 1/15/2019 3.4 1.8 90.4% D 295,292
AA 1/16/2019 6.6 6.0 9.5% D 32,886
BAC 1/16/2019 2.2 1.5 49.2% C 1,070,355
BK 1/16/2019 4.4 3.5 23.1% D 27,499
BLK 1/16/2019 2.3 2.1 10.9% B 72,548
CMA 1/16/2019 2.9 2.0 45.4% B 5,780
CSX 1/16/2019 4.6 4.3 6.9% A 35,531
GS 1/16/2019 2.4 2.1 17.2% D 515,569
PNC 1/16/2019 2.2 1.7 31.3% C 24,330
USB 1/16/2019 2.0 1.6 22.4% C 66,438
AXP 1/17/2019 1.6 3.4 -54.8% C 122,350
BBT 1/17/2019 2.8 2.3 20.5% C 13,317
FAST 1/17/2019 5.5 5.8 -4.6% C 10,518
KEY 1/17/2019 1.8 2.8 -37.3% C 5,019
MS 1/17/2019 3.3 2.3 42.7% D 169,610
MTG 1/17/2019 4.9 3.8 28.7% C 2,907
NFLX 1/17/2019 8.1 7.5 8.2% D 2,624,846
OZK 1/17/2019 9.0 26.8 -66.2% F 2,633
PPG 1/17/2019 5.1 2.0 154.1% C 14,837
SCHW 1/17/2019 2.3 1.9 22.8% C 17,778
CFG 1/18/2019 3.7 2.2 69.7% C 2,775
KSU 1/18/2019 3.6 2.3 57.9% B 8,907
RF 1/18/2019 3.7 2.1 74.6% C 8,141
SLB 1/18/2019 3.9 1.2 219.9% D 144,514
STI 1/18/2019 1.6 1.6 0.0% D 9,741
STT 1/18/2019 4.2 4.8 -11.9% D 10,602
SYF 1/18/2019 4.8 3.8 27.0% D 21,616
VFC 1/18/2019 5.5 5.4 0.7% B 9,851
AMTD 1/22/2019 2.9 2.5 15.0% B 20,082
COF 1/22/2019 2.5 2.5 0.5% C 29,099
HAL 1/22/2019 3.8 3.7 2.9% D 308,905
IBM 1/22/2019 2.6 5.2 -50.7% A 240,817
SWK 1/22/2019 3.8 3.2 19.2% C 28,016
TXN 1/22/2019 0.5 3.8 -87.4% A 123,082
UAL 1/22/2019 3.8 6.6 -41.8% C 107,602
WYNN 1/22/2019 4.3 7.0 -38.2% D 303,299
ZION 1/22/2019 3.2 2.1 56.6% C 11,843

 

Volatility Standouts

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
ARRS 67.44% C -2.10% 97.22 1,237
RCII 62.25% C 0.40% 83.73 8,235
SRCL 62.08% F -0.45% 95.63 865
EAF 61.72% A -1.94% 93.79 634
AIMC 54.62% F -1.02% 86.11 83
IMMU 51.98% C 0.50% 99.60 14,794
PBYI 51.56% D 1.31% 95.24 1,682
SSP 51.15% B -1.95% 68.25 714
SERV 50.76% C -0.82% 96.81 481
ZAYO 50.56% C -0.18% 98.41 11,004
PDCO 49.15% C -3.63% 86.11 1,089
AOBC 47.42% C -0.21% 44.84 1,261
ISBC 44.81% D 8.39% 86.90 1,141
ACHC 43.31% D 0.00% 82.54 842
HAIN 39.12% F -3.34% 97.22 2,467
JACK 38.25% C 4.26% 95.24 1,708
CAKE 37.93% D -0.28% 86.51 1,916
ICPT 36.40% F -1.96% 99.21 8,885
BBBY 35.76% D 0.71% 91.27 9,091
UNFI 35.70% F -0.38% 96.83 991
EPC 35.66% D -3.73% 92.06 1,156
HLF 34.44% B -2.83% 69.44 21,769
CTXS 33.63% A 0.08% 96.43 13,268
VUZI 32.31% F 0.30% 72.22 702

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
RHT -70.57% D -2.10% 14.68 54,564
ATHN -70.53% C 0.40% 14.29 22,972
NTRI -63.85% B -0.45% 4.76 220
CELG -63.09% C -1.94% 11.11 523,279
OZK -49.49% F -1.02% 93.65 2,633
XPER -43.57% D 0.50% 38.10 266
QEP -37.42% F 1.31% 95.63 444
FRPT -32.33% C -1.95% 76.19 3,056
IEP -31.99% C -0.82% 92.86 3,143
FNSR -31.08% F -0.18% 14.68 1,281
BMY -30.22% C -3.63% 97.62 611,886
USG -29.79% C -0.21% 29.37 740
PI -29.65% C 8.39% 62.70 372
SNAP -29.43% D 0.00% 90.08 47,888
ESIO -29.14% C -3.10% 6.35 531
NRZ -28.75% C -3.34% 92.46 3,865
AAPL -27.57% A 4.26% 91.27 7,970,271
FOSL -27.44% C -0.28% 92.06 1,168
NKE -27.09% C -1.96% 79.37 193,900
LITE -26.81% B 0.71% 92.86 8,475
SGH -26.55% B -0.38% 80.69 872
ET -26.15% D -3.73% 94.84 37,183
IDTI -25.98% C -2.83% 1.59 1,092
VER -25.98% B 0.08% 54.76 806

 

 

Options
Quantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE