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Volatility unchanged as equities continue to drift higher in spite of disappointing Morgan Stanley earnings

Jan 17, 2019

 

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

Options Market Commentary

Equities opened lower this morning but have since rallied modestly and are slightly into the green. Currently, the S&P is +.20%, the Russell +.42%, and the Nasdaq +.20%. In a similar fashion to yesterday, Bonds are communicating a bit of caution (TLT up +.20%) despite the mild risk on move (HYG +.20%). The Materials Sector is outperforming today in part due to sold economic data from the Philadelphia Fed while Energy is underperforming for the second consecutive session (USO -1.3%). Volatilities are mixed with the VIX -2.7% to 18.53, VXN -2.3% to 23.60, and RVX +0.6% at 22.05.

 

 

ETF 30D Volatility Changes

SPY:    -1%         

IWM:   FLAT        

QQQ:  -2%       

 

Directional Options Strategies

Bullish Option Strategies

ITB Buyer 6,000 Feb 36 calls (ref. 32.46)

EBAY Buyer 5,000 Feb 32 calls (Earnings 1/29, ref. 30.24)

DIS Buyer 3,000 Apr 115 calls (ref. 110.71)

GM Buyer 5,450 Feb 38 calls (ref. 37.91)

 

Bearish Option Strategies

GE Buyer 8,418 Feb 8 puts (ref. 8.90)

ARNC Seller 10,000 Feb 19 puts to Buy 10,000 Jan 25th 19 puts (rolls closer, ref. 20.10)

IMMU Seller 8,000 Feb 12 puts (closing) to Buy 4,500 Feb 16 – 10 put spreads (ref. 17.93)

JPM Seller 8,000 Mar 105 – 110 – 115 broken call flies (ref. 102.09)

WFC Seller 15,400 Mar 55 – 52.5 – 47.5 call flies (ref. 48.77)

SNH Buyer 5,000 Mar 12.5 puts (ref. 12.83)

 

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

Macro Options Strategies

Bullish Option Strategies

EWZ Buyer 10,000 Feb 41 – 44 call spreads tied to stock (ref. 42.44)

XLF Seller 42,900 Jun 23 puts tied to stock (likely closing, ref. 25.17)

QQQ Seller 5,000 Feb 8th 158 – 145 put spreads to Buy 5,000 Feb 8th 167.5 calls (ref. 162.45)

USO Buyer 100,000 Jan 11 straddles tied to stock (likely closing, ref. 10.83)

TLT Buyer 6,155 Jan 120 calls (ref. 120.30)

 

Bearish Option Strategies

XHB Buyer 22,000 Feb 33 puts (ref. 34.50)

VIX Buyer 30,000 Apr 24 – 27 call spreads (ref. 19.00)

SPY Buyer 13,574 Apr 221 puts (ref. 260.73)

EWW Buyer 6,000 Jun 45 puts (ref. 44.99)

 

Actionable and Transparent Quantitative ResearchActionable and Transparent Quantitative Research

 

 

Finance Trades Options Strategies

ATVI 5,000 Jan 45 – Feb 50 Jelly Rolls trade (ref. 47.03)

 

 

Upcoming Earnings

 

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
AXP 1/17/2019 4.1 3.4 19.0% C 84,187
NFLX 1/17/2019 7.7 7.5 2.9% D 3,976,888
OZK 1/17/2019 10.0 26.8 -62.5% F 4,415
FHN 1/18/2019 4.2 1.8 140.8% C 2,567
KSU 1/18/2019 3.4 2.3 49.3% B 5,111
RF 1/18/2019 3.7 2.1 78.4% C 7,780
SLB 1/18/2019 3.3 1.2 176.7% D 190,079
STI 1/18/2019 2.8 1.6 79.9% D 8,876
STT 1/18/2019 5.8 4.8 22.0% D 14,724
VFC 1/18/2019 6.5 5.4 19.0% B 9,787
AMTD 1/22/2019 2.0 2.5 -21.8% B 9,633
ATI 1/22/2019 7.3 8.2 -10.5% C 2,850
COF 1/22/2019 3.2 2.5 28.1% C 20,360
FITB 1/22/2019 1.8 2.5 -30.6% D 4,123
HAL 1/22/2019 5.1 3.7 38.2% D 98,416
IBKR 1/22/2019 3.8 2.2 70.8% D 8,202
IBM 1/22/2019 4.7 5.2 -9.2% A 224,037
JNJ 1/22/2019 2.3 2.6 -11.9% B 282,887
PETS 1/22/2019 9.1 10.9 -16.7% D 1,915
STLD 1/22/2019 5.2 2.7 95.3% C 5,170
SWK 1/22/2019 4.5 3.2 42.5% C 22,400
TRV 1/22/2019 1.8 2.7 -32.9% C 6,067
WYNN 1/22/2019 3.6 7.0 -48.6% D 232,976
ZION 1/22/2019 3.8 2.1 81.1% C 10,390
ABT 1/23/2019 1.6 1.9 -16.9% C 61,353
CCI 1/23/2019 2.3 1.5 53.1% B 15,911
CTXS 1/23/2019 5.3 2.7 94.5% A 14,376
F 1/23/2019 3.7 4.3 -14.7% C 86,237
FFIV 1/23/2019 5.7 4.6 23.4% A 8,822
KMB 1/23/2019 2.5 1.8 40.0% C 18,060
LRCX 1/23/2019 4.5 3.8 20.5% C 98,068
LVS 1/23/2019 4.1 3.2 29.4% D 57,963
NTRS 1/23/2019 3.7 3.5 4.8% C 1,535
PG 1/23/2019 2.8 3.4 -18.7% B 128,245
PGR 1/23/2019 4.0 2.5 59.8% B 11,037
PTC 1/23/2019 4.8 3.9 23.9% D 3,771
TER 1/23/2019 7.6 7.1 7.6% B 3,085
TXN 1/23/2019 3.9 3.8 2.3% A 108,278
URI 1/23/2019 6.0 6.0 -0.3% C 58,268
UTX 1/23/2019 2.9 1.8 59.8% B 55,978
VAR 1/23/2019 4.3 5.5 -21.2% C 4,334
WAT 1/23/2019 2.7 3.8 -29.9% C 2,786
XLNX 1/23/2019 6.2 6.0 3.5% B 17,881
AAL 1/24/2019 4.6 4.5 3.1% C 183,598
ALK 1/24/2019 3.1 5.3 -40.9% F 15,550
DFS 1/24/2019 3.2 3.3 -5.4% B 10,979
ETFC 1/24/2019 3.6 2.1 72.3% C 12,204
FCX 1/24/2019 5.5 6.2 -12.0% D 57,792
GWW 1/24/2019 8.2 9.6 -14.8% C 26,346
HBAN 1/24/2019 2.0 2.0 1.8% D 1,595
INTC 1/24/2019 4.5 4.5 -0.3% B 342,123
ISRG 1/24/2019 2.4 4.1 -42.4% C 144,669
JBLU 1/24/2019 4.9 3.9 27.5% C 5,000
LUV 1/24/2019 5.2 5.5 -5.8% B 20,015
MKC 1/24/2019 4.3 3.6 19.9% A 8,105
NSC 1/24/2019 3.6 3.5 1.9% B 42,031
RCL 1/24/2019 4.1 4.4 -7.5% D 48,351
RMD 1/24/2019 5.0 6.6 -24.5% A 2,984
SBUX 1/24/2019 3.8 4.1 -7.1% B 181,034
SIVB 1/24/2019 7.6 7.3 4.7% C 11,210
TXT 1/24/2019 7.0 4.3 61.7% C 11,632
UNP 1/24/2019 1.5 3.2 -54.1% B 146,294
WBS 1/24/2019 2.2 2.8 -22.9% C 1,550
WDC 1/24/2019 8.7 7.6 14.7% D 81,530

Volatility Standouts

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
ZAYO 63.22% C -3.45% 90.91 23,084
SRCL 60.92% F -15.12% 76.68 1,361
MDCO 60.71% F 2.47% 72.73 6,833
ICPT 59.44% F 1.07% 100.00 17,238
REV 58.54% D -13.09% 74.70 464
EVRI 58.42% C -5.15% 84.98 554
CNDT 56.94% D 0.97% 91.30 1,840
XRAY 54.46% C -0.07% 37.55 4,841
ADTN 54.28% D 0.27% 87.35 873
MHK 54.03% C -2.61% 88.93 9,848
CDK 50.29% B 1.69% 77.47 763
HAIN 48.70% F 0.82% 90.91 2,297
WH 48.54% F -0.52% 28.95 318
IMMR 48.45% D -1.40% 33.20 3,748
FDP 47.22% C 0.00% 94.07 1,698
NDLS 46.56% D -0.92% 33.99 153
ELAN 46.16% D 0.40% 92.96 3,395
UNIT 45.76% C 0.05% 70.36 15,649
PZZA 4.49E-01 F -0.05% 56.92 1,951
CAMP 44.65% C 0.13% 82.61 76
AOS 43.95% B -2.25% 78.26 2,352
WEN 42.00% C 2.24% 26.09 779
VSAT 40.74% B 1.60% 94.86 6,936
SLB 40.38% D -0.75% 83.40 190,079

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
IDTI -74.16% C -3.45% 17.39 1,170
VHC -62.01% D -15.12% 82.21 2,470
MB -60.68% C 2.47% 1.58 796
USG -60.27% C 1.07% 30.43 1,042
M -58.76% B -13.09% 58.10 121,799
QEP -57.57% F -5.15% 0.79 9,538
FDC -55.34% C 0.97% 73.52 14,225
MTN -52.24% A -0.07% 90.12 15,313
OZK -51.64% F 0.27% 89.72 4,415
CELG -51.35% C -2.61% 15.02 728,083
PCG -50.57% B 1.69% 98.42 145,678
TLRD -45.31% B 0.82% 41.90 790
ARNC -45.29% F -0.52% 0.00 43,180
SNAP -45.12% D -1.40% 69.96 38,662
SAGE -44.87% F 0.00% 60.32 41,455
GT -44.69% F -0.92% 86.17 10,515
NEM -42.30% D 0.40% 84.58 67,552
TSRO -39.08% D -10.34% 0.40 11,823
FOSL -37.38% C 0.05% 61.66 1,975
MDB -37.35% D -0.05% 74.70 27,230
EW -35.24% A 0.13% 81.42 39,564
UNFI -34.46% F -2.25% 99.60 1,969
WELL -31.36% C 2.24% 39.92 3,871
IEP -31.02% C 1.60% 54.55 2,564

 

Options
Quantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE