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VIX trades below 20 as equities continue to move higher

Jan 09, 2019

 

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

Options Market Commentary

Stocks are grinding higher as this week’s risk-on move extends through hump day. Currently, the S&P is +.57%, the Russell +.71%, and the Nasdaq +.85%. Crude Oil continues its recent run off last month’s lows while Treasury yields are edging higher. Furthermore, a bid in HYG (.22%) is indicative of the market’s more positive sentiment. Homebuilders are outperforming this afternoon (+2%) as Lennar is +7% on a strong earnings report. Energy is also having a good day (XOP +2%, USO +4%) with Crude Oil maintaining its bullish trend on hopes of a trade deal. Volatilities are softer with the VIX -2% to 20.08, VXN -4% to 26.69, and RVX -1.2% at 23.90.

 

ETF 30D Volatility Changes

SPY:      -3%         

IWM:     -1%        

QQQ:     -3%         

 

Directional Options Strategies

Bullish Option Strategies

HL Buyer 6,000 Jan20 5.5 calls (ref. 2.88)

SLB Buyer 10,000 Jan – Feb 42.5 call spreads (ref. 41.33)

CVE Seller 18,400 Jan 8 calls (closing) to Buy 9,000 Mar 10 calls (rolls out and up, ref. 7.92)

 

Bearish Option Strategies

ANF Buyer 11,000 Jan 22 puts tied to stock (ref. 21.41)

GPRO Buyer 12,900 Feb 5 puts (ref. 4.91)

ANF Buyer 11,000 Jan 22 puts tied to stock (ref. 21.45)

GME Buyer 11,700 Apr 13 puts (ref. 16.09)

STX Seller 5,600 Mar 45 puts (closing) to Buy 5,600 Mar 40 puts (monetizes and rolls, ref. 40.48)

BMY Buyer 7,500 Jan20 47 – 40 1x2 put spreads (ref. 47.11)

SWN Buyer 23,600 Feb 4 puts and 10,000 Jun 4 puts tied to stock (ref. 4.28)

 

 

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

Macro Options Strategies

Bullish Option Strategies

EWZ Buyer 5,000 Mar 45 – 47 call spreads (ref. 42.87)

EWZ Buyer 20,000 Mar 40 – 44 call spreads (ref. 42.78)

USO Seller 10,000 Feb 10.5 – 9 put spreads (ref. 10.84)

EEM Buyer 39,000 Feb 44 calls (ref. 40.55)

JNK Buyer 15,000 Mar 29 puts (closing) to Sell 15,000 Mar 32 puts (ref. 34.80)

OIH Buyer 70,000 Jan – Feb 16 call spreads (rolls out, ref. 16.19)

 

 

Bearish Option Strategies

EWZ Seller 20,000 Feb 44 calls tied to stock (ref. 42.87)

XAU Buyer 10,000 Feb 65 puts (ref. 72.65)

GLD Buyer 6,300 Feb 117 puts (ref. 121.81)

XLF Buyer 10,000 Mar 23 puts (ref. 24.40)

XME Seller 7,500 Jan 28 puts (closing) to Buy 7,500 Jan20 26 puts (rolls out and down, ref. 28.08)

 

 

Actionable and Transparent Quantitative ResearchActionable and Transparent Quantitative Research

 

 

Finance Trades Options Strategies

HYG 95,000 Feb 95 RevCons trade (ref. 83.83)

EFA 10,000 Feb 60 RevCons trade (ref. 61.12)

SIRI 10,000 Jan 8 – Feb 9 Jelly Rolls trade (ref. 6.16)

 

 

 

Upcoming Earnings

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
BBBY 1/9/2019 14.8 12.0 23.3% D 9,281
KBH 1/9/2019 6.4 5.2 22.2% C 5,068
C 1/14/2019 2.4 1.6 55.1% D 562,310
JPM 1/15/2019 2.1 1.3 64.7% D 550,346
UAL 1/15/2019 3.7 6.6 -44.2% C 106,492
UNH 1/15/2019 2.5 3.0 -15.6% B 232,938
WFC 1/15/2019 2.9 1.8 63.8% D 305,334
AA 1/16/2019 6.0 6.0 0.1% D 30,825
BAC 1/16/2019 1.5 1.5 4.3% C 1,019,540
BK 1/16/2019 4.0 3.5 14.0% D 21,943
BLK 1/16/2019 2.0 2.1 -4.2% B 59,133
CMA 1/16/2019 2.9 2.0 45.8% B 5,594
CSX 1/16/2019 3.9 4.3 -9.5% A 33,405
GS 1/16/2019 1.9 2.1 -5.3% D 500,668
PNC 1/16/2019 2.4 1.7 41.4% C 23,046
USB 1/16/2019 2.0 1.6 25.6% C 53,139
AXP 1/17/2019 2.3 3.4 -32.1% C 105,135
BBT 1/17/2019 2.6 2.3 11.3% C 10,080
FAST 1/17/2019 5.3 5.8 -7.4% C 8,557
MS 1/17/2019 2.8 2.3 20.1% D 174,668
MTG 1/17/2019 4.5 3.8 16.4% C 2,571
NFLX 1/17/2019 7.8 7.5 3.8% D 2,810,253
OZK 1/17/2019 10.1 26.8 -62.4% F 2,167
PPG 1/17/2019 4.0 2.0 97.3% C 13,378
SCHW 1/17/2019 1.9 1.9 -2.7% C 20,884
KSU 1/18/2019 3.4 2.3 46.7% B 8,669
RF 1/18/2019 4.4 2.1 108.3% C 8,855
SLB 1/18/2019 3.6 1.2 197.1% D 145,349
STI 1/18/2019 2.2 1.6 38.4% D 7,810
STT 1/18/2019 4.6 4.8 -3.1% D 10,354
VFC 1/18/2019 5.1 5.4 -6.4% B 8,725
AMTD 1/22/2019 1.8 2.5 -30.7% B 18,093
COF 1/22/2019 2.6 2.5 4.2% C 22,932
FITB 1/22/2019 1.8 2.5 -30.3% D 3,608
HAL 1/22/2019 3.5 3.7 -5.2% D 180,910
IBKR 1/22/2019 1.7 2.2 -25.2% D 4,443
IBM 1/22/2019 2.6 5.2 -49.2% A 214,358
SWK 1/22/2019 4.0 3.2 25.2% C 22,335
WYNN 1/22/2019 3.7 7.0 -46.2% D 306,528
ZION 1/22/2019 3.4 2.1 64.2% C 12,977
CCI 1/23/2019 1.7 1.5 13.3% B 15,487
CMCSA 1/23/2019 3.2 2.6 23.1% B 152,351
F 1/23/2019 5.4 4.3 25.8% C 70,855
FFIV 1/23/2019 4.6 4.6 -0.9% A 6,267
ITW 1/23/2019 1.9 3.7 -49.9% B 9,622
LRCX 1/23/2019 2.1 3.8 -44.5% C 76,010
NTRS 1/23/2019 2.6 3.5 -25.6% C 4,895
PG 1/23/2019 2.1 3.4 -37.6% B 157,720
ROK 1/23/2019 2.6 3.2 -19.4% C 5,035
TER 1/23/2019 5.9 7.1 -17.1% B 2,453
TXN 1/23/2019 1.9 3.8 -49.2% A 97,306
URI 1/23/2019 4.7 6.0 -21.3% C 59,486
VAR 1/23/2019 2.1 5.5 -62.7% C 5,039
XLNX 1/23/2019 4.4 6.0 -26.5% B 20,013

 

Volatility Standouts

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
EVRI 61.38% C -5.05% 80.16 112
ZAYO 43.07% C -1.71% 94.05 9,440
SRCL 40.94% F 0.97% 90.08 1,401
JACK 40.92% C -3.48% 94.84 2,509
NDLS 39.63% D -3.39% 32.94 148
HLF 39.03% B -0.42% 57.54 21,357
CHS 38.55% D -1.58% 99.60 1,099
HAIN 38.08% F -1.75% 95.63 2,533
CTXS 36.04% A 2.85% 93.65 6,156
WU 35.32% A -2.45% 85.32 470
FDP 34.60% C -2.61% 99.21 674
AOBC 34.02% C -2.73% 33.73 2,190
XRAY 32.47% C -3.14% 89.29 3,247
REV 31.62% D -8.06% 79.37 439
EPC 31.11% D 7.03% 79.37 1,292
ICPT 30.72% F -5.96% 99.60 11,169
BBBY 30.63% D -0.64% 90.48 9,281
MHK 30.60% C -2.07% 92.46 8,126
CTB 29.80% C -4.03% 88.10 2,435
PBYI 29.24% D 0.04% 79.76 1,853
CDK 27.84% B 0.11% 91.67 1,513
BMRN 2.72E-01 D -1.74% 97.22 31,221
UNFI 27.16% F 6.49% 92.86 1,035
ADT 26.33% A -11.01% 96.64 292

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
TSRO -67.19% D -5.05% 3.17 17,037
CELG -63.61% C -1.71% 5.95 559,980
NTRI -62.73% B 0.97% 1.59 903
USG -58.84% C -3.48% 23.81 615
QEP -54.96% F -3.39% 10.32 7,037
DNB -54.51% B -0.42% 20.24 1,354
IDTI -50.51% C -1.58% 11.11 1,530
OZK -48.16% F -1.75% 94.44 2,167
SAGE -45.01% F 2.85% 80.88 29,065
IEP -42.55% C -2.45% 88.89 3,341
XPER -39.87% D -2.61% 35.32 299
FNSR -36.22% F -2.73% 11.11 1,093
WES -35.07% C -3.14% 72.62 618
NRZ -34.08% C -8.06% 90.08 3,552
AAPL -32.13% A 7.03% 88.10 7,693,512
BMY -31.86% C -5.96% 96.43 721,684
EIX -31.75% C -0.64% 84.13 2,846
WM -31.52% B -2.07% 55.95 23,749
SNAP -31.46% D -0.33% 86.90 32,400
UNP -31.25% B -4.03% 91.27 93,876
FTAI -30.76% C 0.04% 58.33 467
ET -30.68% D 0.11% 71.43 37,188
KMI -30.25% C -1.74% 66.27 28,698
CRM -29.77% C 6.49% 84.13 344,437

 

Options
Quantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE