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Volatility continues to come in as equities rally on trade news

Jan 18, 2019

 

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

Options Market Commentary

It’s a risk-on day as equities continue their bullish run thanks to speculation over trade progress. Reportedly, the Chinese are open to reducing the trade imbalance by buying $1 Trillion of goods over the next six years. Currently, the S&P is +1.45%, the Russell +1.3%, and the Nasdaq +1.42%. In sympathy with the risk-on move, the 10-year yield is up 4 basis points today to 2.79%. In single name news, Netflix is softer (-2%) on a small revenue miss while Tesla is down 9% after announcing it will cut 7% of its workforce. Notably, both Healthcare (XLV +.9%) and Utilities (+.10) are underperforming today. Volatilities are down with the VIX -3.7% to 17.39, VXN -7% to 21.70, and RVX -2.1% at 21.00.

 

ETF 30D Volatility Changes

SPY:    -3%         

IWM:   -4%   

QQQ:  -5%       

 

Directional Options Strategies

Bullish Option Strategies

CL Buyer 11,000 Jan 62.5 puts (closing) to Sell 11,000 Feb 62.5 puts (rolls put write, ref. 63.59)

CRM Buyer 4,000 Feb 150 calls (ref. 151.72)

APC Buyer 5,300 May 50 calls (Earnings 2/5, ref. 48.62)

 

Bearish Option Strategies

IRBT Seller 2,000 Feb 77.5 puts (closing) to Buy 2,000 Mar 90 puts (Earnings 2/6, ref. 90.49)

CLDR Seller 5,000 Feb 12.5 calls (opens write, ref. 12.53)

WYNN Seller 8,000 Mar 100 – 105 call spreads (monetizes and rolls up, Earnings 1/22, ref. 115.63)

RDFN Buyer 6,800 Mar 18 puts tied to stock (ref. 18.39)

GME Buyer 13,200 Apr 13 puts (ref. 16.24)

 

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

Macro Options Strategies

Bullish Option Strategies

SPY Buyer 10,220 Jan 25th 270 calls (ref. 264.70)

SPY Buyer 11,981 Jan 25th 271 calls (ref. 266.25)

SPY Seller 38,750 Mar 1st 247 puts (opening, ref. 266.01)

SPY Seller 18,350 Feb 22nd 238 puts (likely closing, ref. 266.24)

QQQ Buyer 10,000 Feb 165 – 170 call spreads (ref. 164.30)

QQQ Buyer 12,500 Jun 28th 180 calls (ref. 164.24)

XLP Buyer 10,000 Feb 54 calls (ref. 52.23)

VIX Buyer 10,000 Mar 19 puts (ref. 18.73)

Bearish Option Strategies

IWM Buyer 14,500 Mar 1st 144 – 134 put spreads (ref. 146.25)

EWZ Buyer 10,000 Jan21 40 puts (ref. 43.43)

SPY Buyer 26,696 Feb 258 – 242 put spreads tied to stock (ref. 264.42)

SPY Buyer 11,489 Sep 185 puts (ref. 264.99)

SPY Buyer 11,798 Jun 196 puts (ref. 266.46)

VXXB Seller 5000 Mar 39 - 43 1x2 call spreads (ref. 37.25)

EEM Buyer 14,200 Feb 42 – 39 put spreads (ref. 41.46)

HYG Buyer 10,000 Mar 83 – 81 1x2 put spreads (ref. 84.48)

TLT Buyer 5,000 Mar 119 – 117 1x2 puts spreads (ref. 119.50)

 

Actionable and Transparent Quantitative ResearchActionable and Transparent Quantitative Research
Actionable and Transparent Quantitative ResearchActionable and Transparent Quantitative Research

 

 

Finance Trades Options Strategies

C Jan – Mar 65 Jelly Rolls trade (ref. 62.66)

TLT 8,000 Jan 120 RevCons trade (ref. 119.78)

SPY 10,000 Feb 270 RevCons trade (ref. 265.54)

 

 

 

Upcoming Earnings

 

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
AMTD 1/22/2019 2.8 2.5 9.9% B 9,925
ATI 1/22/2019 7.7 8.2 -6.3% C 3,515
COF 1/22/2019 3.3 2.5 31.4% C 21,951
FITB 1/22/2019 0.6 2.5 -75.7% D 4,735
GATX 1/22/2019 6.5 4.1 57.4% C 1,879
HAL 1/22/2019 4.5 3.7 22.0% D 96,474
IBKR 1/22/2019 3.4 2.2 56.7% D 8,868
IBM 1/22/2019 4.8 5.3 -10.3% A 227,148
JNJ 1/22/2019 2.4 2.6 -8.0% B 288,169
PETS 1/22/2019 10.5 10.9 -3.4% D 1,379
STLD 1/22/2019 5.3 2.7 97.9% C 5,165
SWK 1/22/2019 3.6 3.2 14.4% C 19,743
TRV 1/22/2019 2.5 2.7 -6.5% C 6,343
WYNN 1/22/2019 3.4 7.0 -50.5% D 233,195
ZION 1/22/2019 3.2 2.1 52.6% C 10,652
ABT 1/23/2019 3.4 1.9 79.6% C 52,943
AZPN 1/23/2019 4.3 4.1 4.2% C 3,460
CCI 1/23/2019 2.6 1.5 77.3% B 21,101
CMCSA 1/23/2019 3.2 2.6 21.9% B 157,700
CTXS 1/23/2019 5.4 2.7 97.0% A 17,226
F 1/23/2019 3.3 4.3 -24.5% C 89,526
FFIV 1/23/2019 5.1 4.6 10.2% A 9,276
KMB 1/23/2019 2.3 1.8 26.2% C 18,783
LRCX 1/23/2019 4.2 3.8 12.8% C 96,333
LVS 1/23/2019 4.2 3.2 32.6% D 55,468
NTRS 1/23/2019 3.7 3.5 6.1% C 1,629
PG 1/23/2019 2.7 3.4 -22.1% B 123,774
PGR 1/23/2019 4.2 2.5 67.6% B 12,039
PTC 1/23/2019 5.6 3.9 43.9% D 4,615
TER 1/23/2019 8.0 7.1 13.5% B 3,749
TXN 1/23/2019 4.0 3.8 6.1% A 105,136
URI 1/23/2019 5.9 6.0 -2.0% C 55,847
UTX 1/23/2019 2.5 1.8 38.2% B 53,516
VAR 1/23/2019 6.0 5.5 9.9% C 6,316
WAT 1/23/2019 2.7 3.8 -29.8% C 2,959
XLNX 1/23/2019 6.4 6.0 7.1% B 17,763
AAL 1/24/2019 5.4 4.5 20.0% C 167,110
ALK 1/24/2019 5.1 5.3 -4.2% F 15,777
BMY 1/24/2019 3.5 2.8 26.2% C 748,353
DFS 1/24/2019 3.3 3.3 -0.4% B 12,568
ETFC 1/24/2019 3.7 2.1 79.3% C 13,289
FCX 1/24/2019 5.0 6.2 -19.0% D 56,450
GWW 1/24/2019 7.8 9.6 -18.5% C 29,399
HBAN 1/24/2019 3.3 2.0 65.1% D 1,735
INTC 1/24/2019 4.7 4.5 4.4% B 328,094
ISRG 1/24/2019 2.8 4.1 -32.0% C 152,580
JBLU 1/24/2019 5.1 3.9 31.1% C 5,437
LUV 1/24/2019 4.9 5.5 -10.5% B 18,957
MKC 1/24/2019 4.2 3.6 15.1% A 8,292
NSC 1/24/2019 3.4 3.5 -3.7% B 43,402
RCL 1/24/2019 4.7 4.4 7.1% D 47,413
RMD 1/24/2019 5.8 6.6 -13.1% A 3,174
SBUX 1/24/2019 4.1 4.1 1.3% B 168,028
SIVB 1/24/2019 7.6 7.3 4.7% C 11,295
TXT 1/24/2019 6.5 4.3 51.6% C 11,675
UNP 1/24/2019 2.0 3.2 -39.0% B 145,024
WBS 1/24/2019 1.3 2.8 -53.3% C 1,535
WDC 1/24/2019 6.9 7.6 -8.7% D 87,371

 

Volatility Standouts

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
IMMR 72.21% D -14.07% 55.73 3,153
ZAYO 70.07% C -6.78% 90.91 22,217
PDCO 67.58% C 9.78% 37.94 841
ACHC 65.97% D -3.24% 80.63 2,778
ICPT 64.45% F 6.82% 99.60 17,809
TIVO 63.57% C -4.70% 62.85 855
CDK 61.90% B -1.02% 73.91 924
STMP 61.67% C -1.88% 98.42 8,031
SBRA 61.44% D -5.49% 96.44 404
MHK 59.41% C 4.84% 88.93 9,983
SRCL 58.09% F -1.16% 71.94 1,352
UNIT 57.93% C -4.54% 73.91 15,104
ADTN 56.97% D 0.00% 89.33 806
CNDT 55.50% D -0.44% 91.30 1,848
CMCSA 54.92% B -5.69% 32.02 157,700
FHN 54.39% C -4.82% 86.17 3,527
RRGB 54.25% D -11.67% 87.35 324
VSAT 53.06% B -3.01% 93.28 7,911
HAIN 52.97% F -0.13% 90.91 1,687
PTCT 51.91% F -3.53% 87.75 767
NDLS 50.66% D -1.18% 66.01 155
EROS 50.36% F 0.00% 64.43 1,156
S 48.88% F -0.36% 58.50 3,143
CAMP 48.56% C -2.66% 91.70 77

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
DNB -74.54% B -14.07% 0.40 3,255
FDC -69.67% C -6.78% 70.36 14,306
MB -65.39% C 9.78% 1.58 697
VHC -61.41% D -3.24% 50.59 2,730
USG -51.30% C 6.82% 17.79 1,040
CASA -50.86% C -4.70% 7.65 128
SNAP -48.95% D -1.02% 65.22 40,291
UNFI -48.24% F -1.88% 98.02 2,532
PCG -48.03% B -5.49% 98.81 154,412
NEM -47.65% D 4.84% 77.08 68,171
GT -47.45% F 0.52% 80.63 11,711
SAGE -46.49% F -1.16% 63.89 40,848
EFII -46.18% C -4.54% 20.55 519
IMMU -45.59% C 0.00% 92.89 15,970
ARNC -43.92% F -0.44% 94.47 79,945
TLRD -42.83% B -5.69% 37.94 838
EW -39.27% A -4.82% 91.70 37,704
SYK -39.15% B -11.67% 57.71 12,148
QEP -37.46% F -3.01% 1.98 10,830
COUP -34.77% D -0.13% 77.87 13,102
BEAT -33.03% C -3.53% 62.45 3,458
M -32.28% B -1.18% 48.62 123,490
SSYS -31.53% C 0.00% 63.24 2,580
FOSL -31.51% C -2.21% 75.10 2,950

 

OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE