blog

Latest from the Quantamize Blog

VIX up 5.6% on weak Chinese Export numbers

Jan 14, 2019

 

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

Options Market Commentary

Equities opened lower on weak Chinese data (exports down 4.4%) but have since pared losses. Currently, the S&P is -.49%, the Russell -.72%, and the Nasdaq -.63%. Even with equities muted, Bonds remain softer this afternoon with TLT -.34% and HYG -.30%. Meanwhile, XLF (+.86%) is outperforming today after Citi (+4%) reported earnings. Utilities are lagging the market on news that PGE (-46%) will declare bankruptcy. Energy is softer (USO -.64%) with WTI Crude is a bit lower (-.64%). Also worth noting is a bid in Gold (+.15%) as the dollar is weaker (-.02%). Volatilities are mixed today with the VIX +5.4% to 19.18, VXN +2.5% to 25.40, and RVX +3.5% at 22.47.

 

ETF 30D Volatility Changes

SPY:    +1%         

IWM:   +1%        

QQQ:  -1%       

  

 

Directional Options Strategies

Bullish Option Strategies

CL Seller 2,800 Feb 22nd 60 puts to Buy 2,800 Feb 22nd 64 calls (Earnings 1/25, ref. 61.74)

KEY Buyer 10,000 Jan 25th 16.5 calls (Earnings 1/17, ref. 16.08)

PE Seller 2,500 Mar 15 puts to Buy 2,500 Mar 20 – 25 call spreads (ref. 18.74)

 

 

Bearish Option Strategies

ET Seller 7,000 Apr 17 calls (ref. 14.86)

TXN Buyer 2,000 Feb 97.5 puts (Earnings 1/23, ref. 96.47)

BBBY Buyer 10,000 Feb 15 puts (ref. 15.37)

RRC 8,000 Jun 12 puts trade tied to stock (ref. 11.70)

 

 

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

Macro Options Strategies

Bullish Option Strategies

GDX Buyer 10,000 Feb – Apr 22 call spreads (rolls out, ref. 21.12)

EEM Buyer 25,000 Feb 41.5 – 43.5 call spreads (ref. 40.36)

EEM Buyer 14,000 Mar 1st 42 – 44 call spreads (ref. 40.19)

XLU Buyer 10,000 Feb 52 calls (ref. 51.65)

 

Bearish Option Strategies

XBI Seller 7,000 Mar 88 calls to Buy 7,000 Mar 78 – 68 put spreads (ref. 81.06)

QQQ 10,000 Mar 150 puts trade (ref. 159.08)

FXI Seller 20,000 Jan 41 calls (likely closing, ref. 39.85)

FXI Buyer 21,168 Feb 38 puts (ref. 39.86)

XLF Buyer 4,000 Jan 2th 23.5 puts (ref. 24.65)

EEM Seller 42,690 Dec 41 calls to Buy 142,300 Dec 37 – 30 put spreads (ref. 40.37)

EFA 12,000 Feb 1st 60.5 puts trade (ref. 60.80)

SPX Buyer 13,350 Dec20 2100 puts (ref. 2616.12)

SMH Seller 13,500 Mar 100 calls to Buy 13,500 Mar 80 puts (ref. 89.69)

 

Actionable and Transparent Quantitative ResearchActionable and Transparent Quantitative Research

 

 

Finance Trades Options Strategies

BABA 3,900 Jan 130 – Mar 140 Jelly Rolls trade (ref. 149.05)

HYG 10,000 Mar 95 RevCons trade (ref. 83.66)

IWM 5,550 Feb 150 RevCons trade (ref. 142.31)

XLP 5,000 Feb 50 RevCons trade (ref. 51.39)

 

 

 

Upcoming Earnings

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
DAL 1/15/2019 3.2 2.4 35.4% A 135,536
HRS 1/15/2019 3.6 5.5 -34.5% A 13,097
JPM 1/15/2019 2.3 1.2 85.6% D 499,181
UAL 1/15/2019 4.2 6.6 -36.1% C 120,164
UNH 1/15/2019 2.9 3.0 -3.3% B 212,330
WFC 1/15/2019 3.3 1.8 83.7% D 305,050
AA 1/16/2019 5.8 6.0 -3.0% D 20,420
BAC 1/16/2019 2.7 1.5 86.7% C 701,887
BK 1/16/2019 3.6 3.5 2.8% D 22,630
BLK 1/16/2019 2.6 2.1 22.5% B 59,415
CMA 1/16/2019 3.5 2.0 73.5% B 5,039
CSX 1/16/2019 4.3 4.3 0.6% A 29,857
GS 1/16/2019 3.0 2.1 47.5% D 389,879
KMI 1/16/2019 1.0 2.0 -48.7% C 30,298
PNC 1/16/2019 2.7 1.8 52.6% C 17,496
SCHW 1/16/2019 2.8 1.9 49.8% C 18,160
USB 1/16/2019 2.3 1.6 41.2% C 50,886
AXP 1/17/2019 3.2 3.4 -5.7% C 96,514
BBT 1/17/2019 2.8 2.3 21.4% C 12,247
FAST 1/17/2019 5.8 5.9 -2.0% C 8,466
KEY 1/17/2019 3.1 2.8 11.0% C 5,247
MS 1/17/2019 3.6 2.3 56.1% D 148,799
MTG 1/17/2019 4.6 3.8 18.8% C 3,410
NFLX 1/17/2019 7.8 7.5 4.2% D 3,284,859
PPG 1/17/2019 3.8 2.0 89.3% C 11,376
KSU 1/18/2019 3.2 2.3 37.6% B 6,057
RF 1/18/2019 4.6 2.1 118.8% C 7,126
SLB 1/18/2019 3.3 1.2 171.0% D 174,045
STI 1/18/2019 2.7 1.6 73.2% D 9,175
STT 1/18/2019 5.2 4.8 8.1% D 14,221
VFC 1/18/2019 6.1 5.4 12.3% B 9,914
AMTD 1/22/2019 2.8 2.5 10.4% B 11,748
COF 1/22/2019 2.8 2.5 11.1% C 16,630
FITB 1/22/2019 3.1 2.5 21.9% D 2,935
HAL 1/22/2019 3.5 3.7 -4.6% D 124,707
IBKR 1/22/2019 3.4 2.2 52.8% D 6,021
IBM 1/22/2019 4.0 5.2 -24.1% A 225,443
STLD 1/22/2019 3.6 2.7 35.8% C 3,009
SWK 1/22/2019 4.0 3.2 25.4% C 24,951
TRV 1/22/2019 0.9 2.7 -67.5% C 7,272
WYNN 1/22/2019 7.1 7.0 1.3% D 249,366
ZION 1/22/2019 4.1 2.1 99.7% C 10,547
CCI 1/23/2019 1.1 1.5 -27.2% B 17,057
CMCSA 1/23/2019 3.0 2.6 15.6% B 219,803
CTXS 1/23/2019 5.6 2.7 104.0% A 6,836
F 1/23/2019 5.9 4.3 35.9% C 80,485
FFIV 1/23/2019 4.3 4.6 -6.9% A 5,431
KMB 1/23/2019 1.5 1.8 -17.6% C 19,917
LRCX 1/23/2019 3.6 3.8 -3.3% C 102,288
LVS 1/23/2019 2.4 3.2 -25.4% D 72,510
NTRS 1/23/2019 3.2 3.5 -8.5% C 3,312
PG 1/23/2019 2.3 3.4 -32.4% B 149,178
PGR 1/23/2019 2.7 2.5 7.8% B 10,532
PTC 1/23/2019 2.8 3.9 -27.0% D 2,629
ROK 1/23/2019 3.4 3.2 5.3% C 6,474
TXN 1/23/2019 2.8 3.8 -26.5% A 104,252
URI 1/23/2019 3.4 6.0 -43.3% C 62,243
UTX 1/23/2019 0.9 1.8 -48.3% B 54,394
XLNX 1/23/2019 4.8 6.0 -18.7% B 17,496

 

Volatility Standouts

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
NDLS 64.62% D -0.35% 39.29 152
EVRI 62.39% C -0.41% 82.14 565
USAT 57.98% F -3.12% 83.73 296
ADTN 53.36% D 1.83% 97.22 1,022
RRGB 50.22% D -8.62% 90.08 462
ELAN 49.44% D 0.00% 85.29 1,194
ZAYO 48.19% C 1.79% 92.46 20,365
ADT 47.42% A 0.75% 92.95 260
HLF 45.68% B -0.23% 75.40 20,065
UNFI 42.91% F 2.51% 90.48 862
JACK 42.69% C -0.28% 91.27 2,765
PCG 42.38% B 2.44% 98.81 96,111
ISBC 39.53% D 1.06% 75.79 1,118
SRCL 37.26% F 1.11% 72.22 1,420
MHK 37.09% C -16.95% 91.67 9,886
CTB 36.33% C 0.71% 53.57 2,392
AOBC 35.74% C -0.82% 47.22 1,189
ICPT 35.53% F -0.52% 99.60 15,630
WU 34.31% A -0.72% 81.35 410
XRAY 33.85% C -0.33% 71.83 3,537
REV 33.46% D -0.66% 73.81 569
HAIN 33.42% F 3.17% 92.86 2,713
PBYI 33.07% D 15.86% 75.79 2,733
CTXS 31.98% A 5.02% 84.52 6,836

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
DNB -67.77% B -0.35% 24.60 1,855
TSRO -62.72% D -0.41% 0.79 14,330
CELG -61.48% C -3.12% 6.75 625,149
QEP -60.49% F 1.83% 0.40 7,993
MB -57.82% C -8.62% 0.40 1,111
USG -55.19% C 0.00% 9.92 1,010
NTRI -50.04% B 1.79% 4.76 944
OZK -49.96% F 0.75% 93.25 2,599
SAGE -48.44% F -0.23% 79.68 31,126
IEP -47.02% C 2.51% 82.14 2,877
IDTI -40.53% C -0.28% 13.89 1,453
M -38.75% B 2.44% 88.49 76,580
BMY -3.57E-01 C 1.06% 94.05 824,912
UNP -34.15% B 1.11% 79.76 109,831
NRZ -34.11% C -16.95% 86.90 3,481
SNAP -33.77% D 0.71% 72.22 32,456
ISRG -31.02% C -0.82% 84.13 140,195
FNSR -30.57% F -0.52% 9.52 1,033
FOSL -30.03% C -0.72% 85.32 1,814
MTN -29.91% A -0.33% 95.63 13,341
AAPL -29.67% A -0.66% 81.75 6,924,051
AVGO -28.88% C 3.17% 73.41 290,550
XPER -28.69% D 15.86% 7.14 237
EIX -28.19% C 5.02% 81.35 3,339

 

Options
Quantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE