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VIX down -5.5% on continued strength in equities

Jan 15, 2019

 

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

Options Market Commentary

Stocks are broadly higher this afternoon in a genuine risk-on move. Currently, the S&P is +1.2%, the Russell +.80%, and the Nasdaq +2%. With equities stronger, Bond yields are drifting higher (TLT -.43%) and the 10-year up to 2.72%. In single name news, Netflix is up 6.5% after announcing it will raise monthly subscription prices on its most popular plan.  Energy is outperforming today (USO +2.15%) led higher by WTI Crude (+2.4%). Retail (+.32%) is underperforming as the soft PPI number supports the view of a slowing US economy. Volatilities are mixed today with the VIX -4.7% to 18.17, VXN -7.4% to 23.83, and RVX -5% at 21.09.

 

ETF 30D Volatility Changes

SPY:    -7%         

IWM:   -6%        

QQQ:  -8%       

 

Directional Options Strategies

Bullish Option Strategies

NBEV 6,000 Feb 7 calls trade (ref. 7.38)

PCG Seller 5,000 Mar 10 – 6 1x2 put spreads (closing, ref. 6.26)

TTMI Buyer 2,000 Mar 12.5 calls (ref. 10.78)

ADM Buyer 6,400 Mar 44 – 46 call spreads (rolls write up, ref. 43.13)

CCJ Buyer 20,000 Jun 16 calls (ref. 12.25)

 

Bearish Option Strategies

CVS Buyer 4,300 Feb 75 calls (closing) to Sell 4,300 Mar 72.5 calls (rolls write down and out, ref. 64.18)

CYH Buyer 28,698 Jun 4 puts (ref. 4.00)

NLSN Seller 7,600 Jun 24 – 27 strangles (directionally neutral, sells vol., ref. 25.15)

TXT Buyer 6,800 Feb 45 – 40 put spreads (adds to 6,800 opened yesterday, ref. 48.24)

 

 

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

Macro Options Strategies

Bullish Option Strategies

XLP Buyer 15,000 Feb 54 calls (ref. 51.73)

XOP Buyer 6,000 Jan – Feb 31 call spreads (rolls out, ref. 30.78)

TLT Buyer 5,000 Feb 124 calls (ref. 120.09)

FXI Seller 64,024 Jan 40.5 calls (closing) to Buy 30,000 Feb 41.5 calls (rolls out and up, ref. 40.32)

XLU Buyer 4,880 Mar 55 calls (ref. 52.64)

Bearish Option Strategies

EEM Seller 13,800 Mar 1st 42 – 44 call spreads (ref. 40.75)

EEM Seller 25,000 Feb 41.5 – 43.5 call spreads (ref. 40.72)

VNQ Buyer 64998 Mar 65 puts (likely closing, ref. 78.02)

 

 

Actionable and Transparent Quantitative ResearchActionable and Transparent Quantitative Research

 

 

Finance Trades Options Strategies

SQ 14,250 Jan – Mar 65 Jelly Rolls trade (ref. 66.39)

GLD 5,500 Jan – Mar 125 Jelly Rolls trade (ref. 121.77)

BABA 10,000 Jan – Feb 150 Jelly Rolls trade (ref. 152.22)

 

 

 

Upcoming Earnings

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
HRS 1/15/2019 3.2 5.5 -41.9% A 13,488
UAL 1/15/2019 4.3 6.6 -34.7% C 123,770
AA 1/16/2019 5.2 6.0 -12.6% D 21,219
BAC 1/16/2019 2.5 1.5 71.9% C 738,905
BK 1/16/2019 3.5 3.5 -1.3% D 27,126
BLK 1/16/2019 2.8 2.1 31.3% B 59,509
CMA 1/16/2019 3.6 2.0 80.5% B 2,698
CSX 1/16/2019 4.5 4.3 5.1% A 29,222
GS 1/16/2019 2.9 2.1 42.4% D 373,917
KMI 1/16/2019 1.2 2.0 -37.8% C 31,631
PNC 1/16/2019 2.1 1.8 18.9% C 17,985
SCHW 1/16/2019 2.5 1.9 32.7% C 18,276
USB 1/16/2019 2.1 1.6 30.8% C 50,136
AXP 1/17/2019 3.3 3.4 -4.7% C 85,806
BBT 1/17/2019 2.9 2.3 26.1% C 14,045
FAST 1/17/2019 5.9 5.9 0.0% C 9,006
KEY 1/17/2019 3.4 2.8 21.0% C 10,134
MS 1/17/2019 3.2 2.3 39.4% D 142,532
MTG 1/17/2019 4.8 3.8 23.8% C 3,444
NFLX 1/17/2019 7.2 7.5 -4.2% D 3,384,862
OZK 1/17/2019 10.2 26.8 -62.0% F 3,819
PPG 1/17/2019 3.8 2.0 90.5% C 10,474
KSU 1/18/2019 3.2 2.3 41.1% B 5,685
RF 1/18/2019 4.3 2.1 105.6% C 7,347
SLB 1/18/2019 3.0 1.2 150.4% D 173,063
STI 1/18/2019 2.6 1.6 66.7% D 8,576
STT 1/18/2019 5.4 4.8 13.9% D 14,849
VFC 1/18/2019 6.1 5.4 12.2% B 10,299
AMTD 1/22/2019 3.1 2.5 22.1% B 10,961
ATI 1/22/2019 4.9 8.2 -40.0% C 2,704
COF 1/22/2019 2.8 2.5 11.2% C 17,575
FITB 1/22/2019 2.9 2.5 14.9% D 2,998
HAL 1/22/2019 3.9 3.7 6.9% D 111,235
IBKR 1/22/2019 2.2 2.2 -0.1% D 7,827
IBM 1/22/2019 3.8 5.2 -28.1% A 222,514
STLD 1/22/2019 3.1 2.7 16.0% C 2,892
SWK 1/22/2019 3.8 3.2 20.1% C 22,857
WYNN 1/22/2019 5.2 7.0 -24.7% D 247,415
ZION 1/22/2019 3.7 2.1 76.8% C 10,734
CMCSA 1/23/2019 2.8 2.6 7.5% B 150,254
CTXS 1/23/2019 5.2 2.7 92.3% A 7,015
F 1/23/2019 5.4 4.3 24.4% C 83,058
FFIV 1/23/2019 4.6 4.6 0.4% A 6,795
KMB 1/23/2019 1.4 1.8 -19.9% C 17,571
LRCX 1/23/2019 3.2 3.8 -16.0% C 98,441
LVS 1/23/2019 1.5 3.2 -54.3% D 70,227
NTRS 1/23/2019 3.4 3.5 -4.5% C 1,549
PG 1/23/2019 2.5 3.4 -28.0% B 146,467
PGR 1/23/2019 2.3 2.5 -9.1% B 10,855
PTC 1/23/2019 2.3 3.9 -41.4% D 3,207
TXN 1/23/2019 2.6 3.8 -31.9% A 106,632
URI 1/23/2019 3.9 6.0 -34.7% C 62,101
UTX 1/23/2019 1.8 1.8 -2.9% B 53,890
XLNX 1/23/2019 5.3 6.0 -10.6% B 16,582

 

Volatility Standouts

 

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
ARRS 59.06% C -4.65% 10.76 542
NDLS 58.33% D -0.31% 63.75 153
ELAN 48.40% D -2.99% 82.61 1,764
ZAYO 45.70% C -2.10% 92.03 23,868
ISBC 40.21% D 0.51% 74.10 1,429
RRGB 40.17% D -2.58% 89.64 459
ICPT 40.12% F -2.80% 100.00 16,643
MHK 39.82% C -2.44% 89.64 9,435
ADTN 39.44% D -0.29% 94.02 1,033
SRCL 38.39% F 0.29% 73.71 1,456
EVRI 38.27% C 1.26% 81.67 561
HLF 37.70% B -0.80% 83.27 18,246
HAIN 34.80% F -4.14% 92.83 2,659
AOBC 31.93% C -7.91% 33.86 1,173
CNDT 31.84% D -0.77% 94.02 1,790
CDK 30.30% B -2.81% 84.46 887
JACK 29.89% C -2.41% 91.63 2,826
WU 29.88% A -7.65% 74.10 402
UNFI 29.49% F -0.20% 95.62 821
REV 2.93E-01 D -4.77% 75.70 594
CTXS 28.96% A -1.45% 63.35 7,015
XRAY 28.16% C -3.15% 75.70 3,376
ADT 26.62% A -5.07% 94.63 221
PLCE 25.23% C 1.70% 98.80 6,567

 

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
MB -73.04% C -4.65% 1.20 1,022
QEP -72.52% F -0.31% 0.00 9,178
DNB -71.83% B -2.99% 25.50 2,049
CELG -62.69% C -2.10% 5.58 644,889
IDTI -59.18% C 0.51% 16.73 1,490
USG -58.37% C -2.58% 13.94 1,119
TSRO -54.14% D -2.80% 0.00 14,122
OZK -50.22% F -2.44% 92.83 3,819
SAGE -49.71% F -0.29% 76.80 35,286
NTRI -48.31% B 0.29% 0.40 950
IEP -40.33% C 1.26% 82.07 2,517
M -39.63% B -0.80% 84.46 107,024
UNP -37.72% B -4.14% 72.51 112,498
SNAP -36.06% D -7.91% 71.71 31,216
FOSL -34.32% C -0.77% 84.86 1,975
BMY -3.40E-01 C -2.81% 93.63 860,425
NRZ -33.73% C -2.41% 89.64 4,034
AAPL -33.46% A -7.65% 79.68 7,048,523
ISRG -33.10% C -0.20% 81.67 136,695
MTN -32.52% A -4.77% 92.43 13,323
FOXA -32.01% C -1.45% 8.76 46,342
ADBE -31.60% A -3.15% 78.49 376,058
XPER -31.51% D -5.07% 21.51 244
DXCM -31.46% C 1.70% 64.94 8,131

 

Options
Quantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE