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Stocks bounce off lows but VIX above 20 again

Jan 10, 2019

 

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

Options Market Commentary

Stocks started the day under some pressure as Macy’s revised its 2019 guidance lower. However, the market has since recovered with the S&P is +.05%, the Russell +.30%, and the Nasdaq -.14%. The risk-on feel is slightly muted today with HYG +.10 and TLT -.10% as crude oil takes a breather (WTI -.2%). Biotech (+.90%) and Utilities (+.90%) are outperforming today while Retail is lagging (-2%) as the sector is being dragged lower thanks to the Macy’s news. Homebuilders are outperforming this afternoon (+2%) as Lennar is +7% on a strong earnings report. Volatilities are mixed today with the VIX +2% to 20.28, VXN +1% to 26.64, and RVX -0.3% at 23.74.

 

ETF 30D Volatility Changes

SPY:      -1%         

IWM:     -1%        

QQQ:     +1%       

 

Directional Options Strategies

Bullish Option Strategies

RIO Seller 6,200 Apr 42.5 puts to Buy 6,200 Apr 55 calls (ref. 49.90)

QRVO Buyer 3,250 May 80 calls tied to stock (ref. 61.10)

IQ 8,700 Feb 20 calls trade (ref. 17.83)

SLB Seller 22,725 Mar 35 puts (ref. 41.66)

 

Bearish Option Strategies

AMD Buyer 17,000 Jan 11th 18.5 puts (ref. 19.04)

VALE Buyer 10,000 Feb 13 puts (ref. 14.22)

BBBY Seller 10,000 May 12.5 calls to Buy 10,000 Feb 12.5 puts (ref. 13.64)

GOOS Buyer 2,600 Jan 11th 47 puts (ref. 47.61)

F Seller 50,000 Feb 9 calls (ref. 8.69)

 

 

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

Macro Options Strategies

Bullish Option Strategies

XLF Seller 20,000 Sep 30th 22 puts (ref. 24.36)

SPY Buyer 10,000 Jan 14th 263 – 264 call spreads (ref. 257.74)

 

Bearish Option Strategies

IWM Buyer 15,000 Feb 135 – 120 put spreads (ref. 141.97)

HYG Buyer 16,000 Apr 79 puts (ref. 83.59)

VNQ Seller 25,000 Mar 65 puts (likely closing) to Buy 20,000 Mar 70 puts (appears to roll up, ref. 76.25)

SPY Buyer 6,000 Mar 240 – 225 put spreads (ref. 256.27)

VIX Seller 60,000 Feb 17 – 16 put spreads to Buy 60,000 Feb 30 calls (ref. 20.52)

EWZ Buyer 25,000 Mar 33 puts (ref. 42.83)

 

Actionable and Transparent Quantitative ResearchActionable and Transparent Quantitative Research

 

 

Finance Trades Options Strategies

EEM 20,000 Mar 40 RevCons trade (ref. 40.48)

EWZ 13,000 Feb 45 RevCons trade (ref. 43.07)

AAPL 11,000 Feb 150 RevCons trade (ref. 152.17)

 

 

 

 

Upcoming Earnings

 

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
C 1/14/2019 2.9 1.6 85.2% D 568,662
DAL 1/15/2019 2.4 2.4 0.8% A 140,288
UAL 1/15/2019 4.7 6.6 -28.0% C 116,192
UNH 1/15/2019 2.9 3.0 -2.7% B 229,512
WFC 1/15/2019 3.2 1.8 80.1% D 308,215
AA 1/16/2019 5.7 6.0 -5.5% D 30,623
BAC 1/16/2019 2.2 1.5 52.3% C 1,004,207
BK 1/16/2019 4.1 3.5 14.6% D 23,405
BLK 1/16/2019 2.4 2.1 14.9% B 64,888
CMA 1/16/2019 3.1 2.0 55.6% B 5,811
CSX 1/16/2019 4.0 4.3 -5.9% A 32,321
GS 1/16/2019 2.4 2.1 16.4% D 467,709
PNC 1/16/2019 2.5 1.7 46.9% C 23,371
USB 1/16/2019 2.0 1.6 24.7% C 53,619
AXP 1/17/2019 2.7 3.4 -20.7% C 105,729
BBT 1/17/2019 2.7 2.3 16.6% C 10,938
FAST 1/17/2019 5.5 5.8 -4.9% C 8,526
KEY 1/17/2019 2.5 2.8 -9.8% C 5,431
MS 1/17/2019 2.7 2.3 18.6% D 176,936
MTG 1/17/2019 5.2 3.8 34.9% C 2,734
NFLX 1/17/2019 8.4 7.5 11.5% D 2,925,372
PPG 1/17/2019 4.0 2.0 100.3% C 12,956
SCHW 1/17/2019 2.3 1.9 19.3% C 18,908
KSU 1/18/2019 3.1 2.3 35.7% B 8,274
RF 1/18/2019 4.4 2.1 107.6% C 8,783
SLB 1/18/2019 3.6 1.2 201.8% D 173,250
STI 1/18/2019 2.6 1.6 63.8% D 7,388
STT 1/18/2019 5.0 4.8 4.5% D 10,529
VFC 1/18/2019 5.9 5.4 8.8% B 9,025
STLD 1/21/2019 3.1 2.7 17.5% C 3,079
AMTD 1/22/2019 2.4 2.5 -5.8% B 16,298
COF 1/22/2019 2.9 2.5 17.2% C 22,410
FITB 1/22/2019 2.1 2.5 -18.6% D 3,721
HAL 1/22/2019 3.3 3.7 -10.2% D 162,816
IBKR 1/22/2019 2.7 2.2 20.6% D 4,688
IBM 1/22/2019 3.0 5.2 -42.5% A 224,053
SWK 1/22/2019 4.5 3.2 42.4% C 24,136
WYNN 1/22/2019 5.3 7.0 -23.5% D 319,661
ZION 1/22/2019 3.5 2.1 68.2% C 13,478
CCI 1/23/2019 1.5 1.5 3.3% B 16,685
CMCSA 1/23/2019 3.5 2.6 33.9% B 164,696
F 1/23/2019 6.4 4.3 48.7% C 81,462
FFIV 1/23/2019 4.6 4.6 -0.2% A 5,255
KMB 1/23/2019 1.7 1.8 -4.8% C 23,166
LRCX 1/23/2019 3.2 3.8 -15.3% C 84,560
LVS 1/23/2019 1.0 3.2 -67.9% D 93,380
NTRS 1/23/2019 2.6 3.5 -25.8% C 4,445
PG 1/23/2019 2.6 3.4 -25.2% B 153,949
PGR 1/23/2019 1.3 2.5 -46.9% B 10,476
ROK 1/23/2019 2.9 3.2 -8.0% C 5,266
TXN 1/23/2019 1.9 3.8 -48.4% A 98,998
URI 1/23/2019 4.2 6.0 -29.0% C 65,292
UTX 1/23/2019 1.6 1.8 -8.9% B 61,002
VAR 1/23/2019 1.3 5.5 -76.0% C 4,707
XLNX 1/23/2019 4.7 6.0 -20.9% B 21,286

Volatility Standouts

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
EVRI 64.46% C 0.00% 59.13 573
CHS 43.47% D 0.00% 99.21 1,208
HLF 40.83% B 0.00% 80.16 24,061
EXPR 39.34% F 0.00% 82.14 343
ZAYO 39.18% C 0.00% 92.86 12,898
JACK 38.63% C 0.00% 90.87 2,824
SRCL 38.18% F -1.04% 80.16 1,405
ADTN 36.09% D 0.29% 95.63 781
HAIN 36.01% F -1.09% 95.24 2,700
PBYI 35.36% D 6.35% 82.14 2,590
USAT 35.18% F 2.10% 80.56 384
WU 34.60% A 1.30% 86.11 474
CBRL 34.42% B 3.28% 63.10 3,302
CTXS 33.74% A 0.55% 94.44 6,337
EPC 32.72% D -2.36% 82.94 1,387
CDK 32.06% B -4.92% 92.46 1,505
AOBC 31.78% C 2.09% 27.38 1,969
REV 31.53% D 1.58% 80.56 440
ICPT 29.57% F -1.25% 99.60 12,162
MHK 29.50% C -15.62% 90.87 8,375
XRAY 29.05% C 13.08% 82.14 3,658
CTB 27.82% C 0.18% 77.78 2,425
CNDT 26.79% D -2.58% 94.44 1,543
FDP 26.09% C -3.22% 98.02 1,078

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
ATHN -69.86% C 0.00% 7.14 17,533
TSRO -67.04% D 0.00% 3.17 17,082
USG -63.88% C 0.00% 13.89 670
NTRI -62.76% B 0.00% 1.98 902
CELG -62.73% C 0.00% 11.51 565,458
MB -57.43% C 0.00% 0.00 1,180
QEP -5.52E-01 F -1.04% 56.35 7,757
IDTI -51.98% C 0.29% 11.11 1,561
OZK -49.48% F -1.09% 94.05 2,318
SAGE -47.30% F 6.35% 80.88 31,640
IEP -44.24% C 2.10% 88.10 3,126
XPER -41.68% D 1.30% 35.71 277
NRZ -35.01% C 3.28% 90.48 3,617
FNSR -34.89% F 0.55% 11.51 1,112
WES -34.74% C -2.36% 68.25 656
UNP -32.70% B -4.92% 89.68 96,616
BMY -32.53% C 2.09% 95.24 809,177
ISRG -32.01% C 1.58% 86.51 121,765
ET -31.88% D -1.25% 69.05 39,280
AAPL -31.52% A -15.62% 85.32 7,934,084
SNAP -31.47% D 13.08% 84.92 33,055
EIX -31.32% C 0.18% 83.33 2,933
CRM -30.52% C -2.58% 84.13 346,956
ADBE -30.21% A -3.22% 82.14 418,579

 

 

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