blog

Latest from the Quantamize Blog

Markets Have a Quiet Week, Volatility Recedes

Jan 11, 2019

 

Diverse Option Strategies for All Risk LevelsDiverse Option Strategies for All Risk Levels
ETF 30D IV 30D IV
Percentile
90D IV 90D IV
Percentile
90D/30D IV 90D/30D IV
Percentile
30D IV-
20D HV
30D IV-20D HV
Percentile
90D IV-
60D HV
90D IV-60D HV
Percentile
SPY 16.7 75.2% 17.69 85.32% 1.06 45.44% -13.38 1.19% -6.91 4.37%
QQQ 24.13 80.16% 23.15 86.51% 0.96 31.75% -13.02 2.78% -10.47 0.4%
IWM 21.07 81.55% 21.22 89.68% 1.01 42.26% -10.1 0.4% -6.04 0.79%
FEZ 17.78 73.02% 17.7 82.54% 1 47.62% -3.7 14.29% -2.22 13.1%
EEM 18.46 46.43% 20.4 64.88% 1.11 96.43% -1.98 27.38% -4.37 7.14%

 

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

Highlights from the past week

  • If you enjoy zero realized volatility … then this was the week for you. Markets seemingly took a deep breath ahead of Earnings as we receive mixed signals regarding the strength of the consumer:
  • Good – Mastercard reported a 5.1% boost in retail sales, the best holiday season in six years[i]
  • Bad – Macy’s cut its 2019 guidance and the stock had its worst day ever
  • Is Macy’s a canary in a coal mine or is the firm’s weakness department store specific? Investors are waiting for more data points and the relatively quiet week has allowed the VIX (down 20% this week) to come in significantly.

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

Bullish: EWZ Seller 30,000 Feb 44 call options to Buy 60,000 Mar 44 – 46 call options spreads (ref. 42.95)

Bullish: EEM Seller 140,000 Mar 36 put options (ref. 39.64)

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

Bearish: XLF Buyer 30,000 Mar 29th 22 put options (ref. 24.43)

Bearish: VIX Seller 60,000 Feb 17 – 16 put options spreads to Buy 60,000 Feb 30 call options (ref. 20.52)

Bearish: HYG Buyer 30,000 Apr 79 put options to Sell 60,000 Apr 76 puts (ref. 83.97)

Bearish: SPY Buyer 29,100 Feb 8th 222.5 put options (ref. 256.33)

 

  • A number of the big banks report quarterly earnings early next week including Wells Fargo, Citi and JP Morgan. The latter made some headlines Friday after announcing that it will increase its bonus pool for traders and bankers – an indicator of strong revenues. On the options front, trading in Wells Fargo (reporting Tuesday morning) was particularly active on Friday as flow is mixed ahead of earnings.

Bullish: WFC Buyer 10,000 Apr 50 call options (ref. 47.85)

Bearish: WFC Seller 22,300 Feb 50 call options (ref. 47.85)

 

 

 

Options
Quantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE