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VIX nearing 20 on equity follow through

Jan 08, 2019

 

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

Options Market Commentary

Stocks are mildly stronger this afternoon amid hopes for further trade progress. Currently, the S&P is +.54%, the Russell +1.15%, and the Nasdaq +.52%. Relatively speaking, headlines have been quieter this week, allowing equities and yields to melt-up higher. Sentiment appears to be cautiously optimistic with TLT slightly softer, -.02%, and HYG stronger +.44%. Energy (XOP +1%, USO +2%) is outperforming with Crude Oil maintaining its bullish trend, up +2.5%. Volatilities are lower with the VIX -5% to 21.01, VXN -3% to 28.63, and RVX -10% at 24.52.

 

 

ETF 30D Volatility Changes

SPY:      -2%         

IWM:     -2%        

QQQ:     -1%        

   

 

Directional Options Strategies

Bullish Option Strategies

CVE Seller 18,750 Jan 8 calls (closing) to Buy 20,000 Mar 10 calls (ref. 7.97)

EQT Buyer 7,500 Mar 22 calls (ref. 19.80)

I Seller 1,600 Mar 21 puts to Buy 4,000 Mar 33 – 45 call spreads (ref. 22.30)

RIO Seller 6,500 Apr 42.5 puts to Buy 6,500 Apr 55 calls (ref. 50.06)

 

Bearish Option Strategies

CBL Buyer 12,000 Mar 2.5 puts (ref. 2.26)

CZR Seller 9,000 Feb 1st 8 calls to Buy 6,000 Feb 1st 7 puts tied to stock (ref. 7.33)

SBUX Seller 9,900 Mar 60 – 67.5 strangles (directionally neutral, sells vol, Earnings Jan 24, ref. 63.27)

IQ Buyer 10,000 Jan21 5 puts (ref. 16.50)

 

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

Macro Options Strategies

Bullish Option Strategies

GLD Buyer 6,000 Jan 125 calls (ref. 121.55)

XHB Buyer 9,600 Mar 36 calls (ref. 34.49)

TLT Seller 10,000 Mar 117 puts (ref. 121.63)

EWZ Seller 30,000 Feb 44 calls to Buy 60,000 Mar 44 - 46 call spreads tied to stock (all opening, ref. 41.73

EEM Seller 140,000 Mar 36 puts (ref. 39.64)

EEM Buyer 12,000 Mar 40 – 44 1x2 call spreads (ref. 39.72)

 

Bearish Option Strategies

XOP 80,000 Buyer Jan 27 puts (likely closing, ref. 30.07)

XOP Buyer 10,000 Jun 26 puts (ref. 29.75)

XME Buyer 5,500 Jan 25th 25.5 puts (ref. 27.60)

XLU Seller 20,000 Jan 54 calls tied to stock (ref. 52.67)

SPX Buyer 13,348 Feb 8th 1350 puts (ref. 2552.95)

XAU Buyer 10,000 Feb 65 puts (ref. 71.40)

 

Actionable and Transparent Quantitative ResearchActionable and Transparent Quantitative Research

 

 

Finance Trades Options Strategies

SPY 5,000 Feb 255 RevCons trade (ref. 255.06)

XOP 25,000 Feb 30 RevCons trade (ref. 29.29)

 

 

 

Upcoming Earnings

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
AYI 1/9/2019 9.4 10.4 -9.4% D 3,813
BBBY 1/9/2019 14.1 12.0 17.4% D 8,976
KBH 1/9/2019 5.7 5.2 9.3% C 5,294
LEN 1/9/2019 5.2 3.7 39.6% B 13,101
STZ 1/9/2019 5.6 4.6 20.2% B 84,264
C 1/14/2019 2.6 1.6 65.7% D 581,114
FRC 1/15/2019 3.2 2.4 33.7% A 2,240
HRS 1/15/2019 4.2 5.5 -23.2% A 2,284
JPM 1/15/2019 2.1 1.3 68.1% D 559,260
UAL 1/15/2019 3.7 6.6 -44.3% C 96,210
UNH 1/15/2019 2.2 3.0 -27.5% B 239,384
WFC 1/15/2019 3.1 1.8 71.6% D 306,232
AA 1/16/2019 5.8 6.0 -2.6% D 34,545
BAC 1/16/2019 1.6 1.5 9.9% C 1,017,456
BK 1/16/2019 3.7 3.5 4.8% D 28,753
BLK 1/16/2019 2.0 2.1 -7.3% B 69,746
CMA 1/16/2019 2.9 2.0 46.2% B 5,798
CSX 1/16/2019 4.3 4.3 -0.6% A 35,674
GS 1/16/2019 2.3 2.1 11.2% D 533,462
PNC 1/16/2019 2.8 1.7 64.2% C 24,367
USB 1/16/2019 2.0 1.6 25.9% C 58,146
AXP 1/17/2019 1.6 3.4 -53.1% C 106,748
BBT 1/17/2019 2.3 2.3 1.8% C 12,327
FAST 1/17/2019 6.0 5.8 3.6% C 8,389
KEY 1/17/2019 2.5 2.8 -12.3% C 4,994
MS 1/17/2019 3.4 2.3 47.3% D 178,407
MTG 1/17/2019 4.2 3.8 9.0% C 3,006
NFLX 1/17/2019 8.2 7.5 9.1% D 2,757,333
OZK 1/17/2019 9.1 26.8 -65.9% F 2,664
PPG 1/17/2019 3.5 2.0 72.0% C 15,483
SCHW 1/17/2019 2.0 1.9 4.5% C 19,898
CFG 1/18/2019 3.4 2.2 56.5% C 2,486
KSU 1/18/2019 3.6 2.3 58.3% B 8,710
RF 1/18/2019 4.4 2.1 106.5% C 9,447
SLB 1/18/2019 3.7 1.2 206.2% D 144,559
STI 1/18/2019 1.9 1.6 20.6% D 7,969
STT 1/18/2019 4.9 4.8 2.0% D 10,176
VFC 1/18/2019 5.6 5.4 3.3% B 9,602
AMTD 1/22/2019 1.9 2.5 -27.1% B 18,406
COF 1/22/2019 2.1 2.5 -17.1% C 24,733
FITB 1/22/2019 2.5 2.5 -1.3% D 3,633
HAL 1/22/2019 3.3 3.7 -9.5% D 226,435
IBKR 1/22/2019 2.2 2.2 1.7% D 4,519
IBM 1/22/2019 2.6 5.2 -50.3% A 216,903
SWK 1/22/2019 4.0 3.2 25.0% C 25,035
WYNN 1/22/2019 4.4 7.0 -37.0% D 295,678
ZION 1/22/2019 3.8 2.1 85.4% C 12,009

 

Volatility Standouts

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
SRCL 69.69% F -4.06% 94.42 879
IMMU 68.31% C -1.64% 99.60 10,591
ARRS 67.56% C -1.11% 98.80 981
ISBC 61.23% D -1.24% 79.68 1,477
EVRI 54.94% C 0.27% 78.09 107
JACK 45.19% C -0.29% 96.81 2,036
ZAYO 44.03% C -1.56% 96.41 11,031
HLF 39.68% B -3.71% 74.10 21,559
PBYI 39.68% D -3.23% 89.24 1,775
AOBC 38.67% C 2.09% 39.84 1,315
EPC 38.32% D -1.97% 89.64 1,232
RST 38.25% D 0.86% 80.08 202
CTXS 36.76% A -0.62% 95.22 10,549
HAIN 35.58% F -13.04% 96.41 2,552
THRM 35.30% C 0.00% 84.46 1,447
CTB 34.30% C 0.40% 86.06 389
WU 33.86% A -4.29% 88.45 489
BBBY 32.33% D 1.57% 92.83 8,976
UNFI 31.93% F -2.69% 92.43 1,018
ICPT 31.88% F -1.42% 99.20 10,621
FTV 30.15% C -2.99% 93.90 1,206
AZO 29.69% A -3.47% 89.64 71,668
CBRL 29.61% B 0.00% 76.89 5,331
CHS 28.95% D 2.49% 98.01 1,201

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
TSRO -74.31% D -4.06% 3.19 19,114
RHT -74.09% D -1.64% 14.34 56,868
ATHN -71.59% C -1.11% 9.96 23,188
NTRI -64.69% B -1.24% 0.40 946
MB -64.33% C 0.27% 3.59 1,656
CELG -64.17% C -0.29% 3.19 560,061
DNB -55.76% B -1.56% 17.93 1,497
USG -52.92% C -3.71% 35.06 575
QEP -52.91% F -3.23% 72.11 7,049
OZK -4.87E-01 F 2.09% 92.43 2,664
SAGE -44.71% F -1.97% 82.80 25,785
IDTI -44.61% C 0.86% 1.59 1,517
IEP -41.82% C -0.62% 91.63 3,064
XPER -40.86% D -13.04% 25.50 282
FNSR -36.27% F 0.00% 10.76 1,174
SNAP -33.27% D 0.40% 87.65 47,339
NRZ -32.45% C -4.29% 91.63 3,784
AAPL -31.68% A -3.34% 90.44 7,792,610
BMY -31.50% C 1.57% 96.41 705,380
WM -29.55% B -2.69% 66.14 14,498
VER -28.73% B -1.42% 52.19 774
FOSL -28.71% C -2.99% 89.64 1,193
PI -27.80% C -3.47% 52.99 286
COUP -27.56% D 0.00% 87.65 7,845

 

Options
Quantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE