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Volatility down small in listless equity trading

Jan 11, 2019

 

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

Options Market Commentary

Stocks opened lower on a slightly weak inflation figure this morning but have since pared losses and are approaching positive territory. Currently, the S&P is -.18%, the Russell -.13%, and the Nasdaq -.46%. With the government shutdown dragging on, markets have taken some risk off with TLT +.47% and HYG -.27%. Consumer Discretionary is outperforming today as GM (+8.5%) raised forward guidance and Energy is lagging  (USO -2%) as WTI Crude is softer (-1.7%). Volatilities are mixed today with the VIX -4.3% to 18.66, VXN -2.5% to 25.27, and RVX -4.7% at 22.23.

 

ETF 30D Volatility Changes

SPY:      -2%         

IWM:     -4%        

QQQ:     -2%       

 

Directional Options Strategies

Bullish Option Strategies

DAL Seller 10,000 Jan 52 calls (closing) to Buy 10,000 Jan 49.5 calls (rolls down, Earnings 1/15, ref. 48.32)

ATVI Buyer 17,000 Jan 11th 46 calls (ref. 25.09)

YELP Buyer 2,600 Feb 39 calls (Earnings 2/6, ref. 34.88)

GE Buyer 7,350 Mar 9 calls tied to stock (ref. 8.83)

SLB Seller 27,500 Mar 35 puts (ref. 41.17)

DELL Buyer 3,000 Jul 52.5 calls (ref. 45.02)

WFC Buyer 10,000 Apr 50 calls (Earnings 1/15, ref. 47.82)

 

 

Bearish Option Strategies

PCG 5,000 Mar 10 – 6 1x2 put spreads trade (ref. 17.23)

PCG 25,000 Feb – Mar 15 put spreads trade (ref. 17.50)

GM Seller 25,000 Feb 38 calls (ref. 37.64)

 

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

Macro Options Strategies

Bullish Option Strategies

EFA Buyer 12,000 Feb 62 calls tied to stock (ref. 60.93)

GLD Seller 7,000 Jun 116 puts to Buy 7,000 Jun 129 calls (ref. 121.78)

XME Buyer 3,320 Mar 31 calls (ref. 28.24)

XLP Buyer 25,000 Feb 54 calls (ref. 51.49)

 

Bearish Option Strategies

HYG 7,500 Apr 80 – 75 put spreads trade (ref. 83.34)

SPY Buyer 10,000 Mar 240 – 230 put spreads (ref. 257.29)

SPY Buyer 15,386 Feb 240 puts (ref. 257.91)

GLD Buyer 9,112 Mar 116 puts (ref. 121.83)

XLB Buyer 5,000 Feb 51 puts (ref. 52.02)

 

Actionable and Transparent Quantitative ResearchActionable and Transparent Quantitative Research

 

 

Finance Trades Options Strategies

EFA 7,000 Feb 60 RevCons trade (ref. 61.09)

CMCSA 54,080 Mar 35 RevCons trade (ref. 35.52)

 

 

 

Upcoming Earnings

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
C 1/14/2019 3.8 1.6 146.1% D 537,574
DAL 1/15/2019 2.2 2.4 -7.6% A 137,685
HRS 1/15/2019 4.2 5.5 -23.2% A 7,689
JPM 1/15/2019 2.7 1.3 110.6% D 502,863
UAL 1/15/2019 4.5 6.6 -31.7% C 128,452
UNH 1/15/2019 2.9 3.0 -2.7% B 193,763
WFC 1/15/2019 3.6 1.8 103.3% D 279,735
AA 1/16/2019 6.2 6.0 3.8% D 27,977
BAC 1/16/2019 3.0 1.5 103.3% C 704,469
BK 1/16/2019 4.2 3.5 17.5% D 23,561
BLK 1/16/2019 2.9 2.1 37.4% B 64,543
CMA 1/16/2019 3.6 2.0 80.1% B 4,855
CSX 1/16/2019 4.1 4.3 -3.4% A 31,055
GS 1/16/2019 3.2 2.1 54.7% D 418,341
PNC 1/16/2019 3.2 1.7 90.8% C 17,734
SCHW 1/16/2019 3.1 1.9 63.8% C 20,617
USB 1/16/2019 2.5 1.6 51.9% C 47,410
AXP 1/17/2019 3.3 3.4 -4.4% C 97,358
BBT 1/17/2019 3.1 2.3 35.1% C 9,130
FAST 1/17/2019 5.6 5.8 -2.6% C 8,284
KEY 1/17/2019 3.2 2.8 13.1% C 5,399
MS 1/17/2019 3.5 2.3 50.6% D 163,584
MTG 1/17/2019 5.2 3.8 36.3% C 3,092
NFLX 1/17/2019 8.4 7.5 11.5% D 2,948,681
PPG 1/17/2019 4.2 2.0 106.7% C 13,676
KSU 1/18/2019 3.4 2.3 46.9% B 7,022
RF 1/18/2019 4.8 2.1 126.4% C 6,992
SLB 1/18/2019 3.5 1.2 190.8% D 168,944
STI 1/18/2019 2.9 1.6 84.4% D 7,522
STT 1/18/2019 5.3 4.8 10.5% D 9,615
VFC 1/18/2019 6.1 5.4 12.5% B 8,666
STLD 1/21/2019 3.3 2.7 24.3% C 3,091
AMTD 1/22/2019 3.3 2.5 29.7% B 13,550
COF 1/22/2019 3.4 2.5 35.9% C 19,278
FITB 1/22/2019 3.9 2.5 54.5% D 2,958
HAL 1/22/2019 3.9 3.7 6.5% D 142,383
IBKR 1/22/2019 4.2 2.2 91.8% D 4,698
IBM 1/22/2019 3.2 5.2 -38.4% A 234,189
SWK 1/22/2019 4.6 3.2 46.7% C 24,309
TRV 1/22/2019 0.6 2.7 -76.9% C 7,387
WYNN 1/22/2019 6.3 7.0 -9.8% D 267,789
ZION 1/22/2019 4.3 2.1 106.5% C 10,727
CCI 1/23/2019 2.1 1.5 44.6% B 16,349
CMCSA 1/23/2019 3.6 2.6 35.2% B 156,795
CTXS 1/23/2019 5.9 2.7 116.9% A 5,988
F 1/23/2019 6.2 4.3 42.4% C 84,141
FFIV 1/23/2019 5.0 4.6 7.7% A 4,876
KMB 1/23/2019 1.3 1.8 -29.7% C 21,071
LRCX 1/23/2019 3.4 3.8 -8.7% C 76,682
LVS 1/23/2019 2.4 3.2 -25.1% D 75,491
NTRS 1/23/2019 4.0 3.5 13.1% C 3,001
PG 1/23/2019 2.6 3.4 -23.1% B 153,762
PGR 1/23/2019 3.3 2.5 32.0% B 10,380
ROK 1/23/2019 4.2 3.2 31.5% C 5,095
TXN 1/23/2019 2.5 3.8 -33.5% A 103,180
URI 1/23/2019 4.1 6.0 -31.8% C 61,662
UTX 1/23/2019 1.9 1.8 4.1% B 56,292
VAR 1/23/2019 1.3 5.5 -77.2% C 4,827
XLNX 1/23/2019 5.0 6.0 -16.3% B 20,986

 

Volatility Standouts

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
EVRI 73.17% C -3.00% 79.76 576
ISBC 65.93% D 0.42% 78.57 1,139
ADTN 53.84% D -5.47% 97.62 1,053
ZAYO 48.67% C 0.70% 92.86 13,183
HLF 48.47% B -8.22% 78.97 23,713
SRCL 47.81% F -1.78% 76.19 1,447
ELAN 46.13% D 0.48% 68.66 822
JACK 41.89% C -0.81% 91.67 2,913
AOBC 41.67% C -3.01% 92.46 1,460
MHK 41.43% C -1.79% 92.86 10,808
ICPT 38.74% F 0.42% 100.00 15,338
EPC 38.64% D 0.39% 78.57 1,397
WU 38.51% A -0.05% 84.92 460
XRAY 37.69% C 1.84% 83.73 3,586
CNDT 37.52% D -6.39% 95.24 1,773
CTXS 36.18% A -0.32% 85.32 5,988
HAIN 34.97% F -1.56% 94.05 2,681
NDLS 32.76% D -13.79% 96.43 150
CBRL 32.03% B -1.21% 78.97 2,826
ADT 31.93% A 0.89% 96.67 252
FDP 31.65% C 1.96% 97.62 1,361
CZR 30.99% F -5.64% 95.63 19,917
USAT 30.89% F 0.95% 88.49 317
UNM 30.06% C 13.22% 73.02 968

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
MB -73.66% C -3.00% 0.79 904
TSRO -65.52% D 0.42% 0.79 16,752
DNB -62.49% B -5.47% 27.78 1,459
CELG -62.25% C 0.70% 10.32 613,727
QEP -59.21% F -8.22% 17.86 7,972
NTRI -47.49% B -1.78% 1.59 894
OZK -47.13% F 0.48% 94.44 2,275
SAGE -47.10% F -0.81% 76.49 31,259
IDTI -44.32% C -3.01% 1.59 1,541
IEP -36.09% C -1.79% 87.30 2,836
M -35.82% B 0.42% 94.84 70,339
FNSR -34.82% F 0.39% 9.13 1,036
EIX -32.91% C -0.05% 82.14 3,210
BMY -32.77% C 1.84% 94.05 820,874
SNAP -32.25% D -6.39% 85.32 32,219
UNP -31.78% B -0.32% 88.89 107,202
NRZ -31.46% C -1.56% 89.68 3,597
BEAT -30.56% C -13.79% 70.24 4,345
AAPL -29.71% A -1.21% 85.32 7,619,110
FOSL -29.35% C 0.89% 96.43 1,713
AVGO -28.65% C 1.96% 78.97 399,090
ISRG -28.32% C -5.64% 80.95 131,088
WATT -26.82% F 0.95% 96.43 5,714
EXAS -26.79% D 13.22% 88.49 41,784

 

 

Options
Quantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE