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VIX up 12% as equities sell off on Global Growth Concerns.

Jan 22, 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

Equities are making a steady move lower this afternoon as the IMF cut its global growth outlook on weak Chinese data. Furthermore, uncertainty over Brexit is  weighing on markets. Currently, the S&P is -1.3%, the Russell -1.5%, and the Nasdaq -1.6%. In sympathy with the risk-on move, the 10-year yield is down 4 basis points to 2.745% (TLT +.67%). In single name news, J&J is softer (-2%) despite beating quarterly earnings estimates as investors await further clarity on guidance. Notably, USO (-2.3%, WTI Crude -3%) is underperforming amid concerns over growth. Utilities (XLU -.10%) are outperforming in tandem with the risk-off move. Volatilities are meaningfully higher with the VIX +9% to 19.36, VXN +11% to 24.26, and RVX +9% at 22.58.

 

ETF 30D Volatility Changes

SPY:    +2%         

IWM:   +2%   

QQQ:  +3%       

  

 

Directional Options Strategies

Bullish Option Strategies

JD Buyer 8,000 Mar 28 calls (possibly closing, ref. 22.52)

C Seller 10,000 Jun 55 puts to Buy 10,000 Jun 70 calls (ref. 62.05)

WFC Buyer 6,000 Apr 50 calls (ref. 49.80)

ARNC Seller 12,500 Jan 25th 19 puts (closing, ref. 16.54)

FCAU to Buy 70,000 Feb 15 puts (closing) to Sell 70,000 Feb 16.5 puts (monetizes, rolls write up, ref. 16.53)

TWTR Buyer 5,800 Jan 25th 32.5 calls (ref. 32.78)

AAL Seller 38,000 Mar 33 puts to Buy 38,000 Mar 34 calls tied to stock (ref. 33.51)

SYF Buyer 4,000 Feb 27 calls (Earnings 1/23, ref. 26.47)

UPS Buyer 6,300 Feb 103 calls (Earnings 1/31, ref. 102.29)

 

Bearish Option Strategies

EBAY 2,300 Jan 25th 33.5 puts trade (ref. 33.88)

AFL Seller 19,000 Mar 50 calls to Buy 19,000 Mar 40 puts (ref. 47.74)

STX Buyer 12,200 Feb 1st 37.5 puts (Earnings 2/4, ref. 39.35)

F Buyer 20,000 Mar 8 puts tied to stock (ref. 8.50)

F Buyer 15,000 Jan20 7 puts (ref. 8.52)

IIVI Seller 3,000 Jul 55 calls (ref. 33.44)

CRON Buyer 4,000 Apr 15 puts (ref. 15.57)

 

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

QQQ Buyer 11,200 Jun 180 calls (ref. 163.22)

EWJ Buyer 16,400 Jan 25th 54 calls (ref. 52.46)

 

Bearish Option Strategies

QQQ 80,000 Jun 28th 185 calls trade tied to stock (Appears sold, ref. 163.41)

SPY Buyer 10,000 Feb 6th 252 – 246 put spreads (ref. 264.91)

SPY Buyer 7,800 Feb 8th 250 – 245 put spreads (ref. 264.01)

SPY Buyer 10,619 Mar 219 puts (ref. 263.63)

SPY Buyer 11,243 Feb 229 puts (ref. 263.75)

IWM Buyer 10,459 May 130 – 120 put spreads (ref. 146.24)

EEM Buyer 140,000 Mar 36 puts (closing) to Sell 28,460 Dec 42 calls (closes put write, opens call write, ref. 40.99)

EEM Buyer 20,000 Sep 37 puts tied to stock (ref. 41.07)

EEM Buyer 82,000 Feb 33.5 puts (ref. 40.98)

XOP Seller 25,000 Mar 25 puts (closing) to Buy 37,500 Apr 28 puts (rolls out and up, ref. 30.79)

FXI Buyer 24,600 Feb 39 puts (ref. 40.62)

GDX Buyer 5,034 Feb 20 puts (ref. 20.35)

 

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

 

 

Finance Trades Options Strategies

EEM 20,000 Mar 42 RevCons trade (ref. 41.05)

 

 

 

Upcoming Earnings

 

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
AMTD 1/22/2019 2.7 2.5 5.0% B 9,120
COF 1/22/2019 3.5 2.5 40.7% C 21,892
IBKR 1/22/2019 2.6 2.2 17.9% D 9,206
IBM 1/22/2019 4.8 5.3 -9.2% A 231,152
ZION 1/22/2019 3.0 2.1 45.9% C 9,326
ABT 1/23/2019 2.7 1.9 43.0% C 49,864
AZPN 1/23/2019 3.9 4.1 -4.1% C 3,592
CCI 1/23/2019 2.5 1.5 70.1% B 15,436
CMCSA 1/23/2019 3.7 2.6 39.5% B 158,808
CTXS 1/23/2019 4.6 2.7 70.5% A 18,304
F 1/23/2019 2.1 4.3 -51.3% C 94,292
FFIV 1/23/2019 5.3 4.6 15.9% A 10,789
KMB 1/23/2019 2.6 1.8 44.5% C 21,550
LRCX 1/23/2019 4.4 3.8 17.9% C 104,941
LVS 1/23/2019 4.2 3.2 33.8% D 50,103
NTRS 1/23/2019 3.5 3.5 -1.6% C 2,605
PG 1/23/2019 2.9 3.4 -17.2% B 124,817
PGR 1/23/2019 3.7 2.5 47.1% B 14,933
PTC 1/23/2019 5.8 3.8 54.5% D 4,627
SYF 1/23/2019 5.5 3.8 44.1% D 16,503
TCBI 1/23/2019 6.0 5.6 6.8% D 1,542
TER 1/23/2019 7.7 7.1 9.5% B 6,006
TXN 1/23/2019 4.4 3.8 15.4% A 100,211
URI 1/23/2019 5.6 6.0 -5.8% C 57,253
UTX 1/23/2019 2.7 1.8 48.2% B 54,770
VAR 1/23/2019 6.0 5.5 8.1% C 5,120
WAT 1/23/2019 2.6 3.8 -32.3% C 3,732
XLNX 1/23/2019 6.4 6.1 5.3% B 19,798
AAL 1/24/2019 5.6 4.5 23.8% C 182,152
ALK 1/24/2019 4.4 5.4 -18.8% F 16,037
BMY 1/24/2019 3.7 2.8 34.8% C 581,943
DFS 1/24/2019 3.2 3.3 -2.8% B 12,675
ETFC 1/24/2019 3.6 2.1 75.3% C 19,833
FCX 1/24/2019 4.7 6.2 -24.1% D 61,030
GWW 1/24/2019 7.4 9.6 -22.9% C 35,922
INTC 1/24/2019 4.7 4.5 5.0% B 345,705
ISRG 1/24/2019 2.6 4.1 -36.2% C 170,283
JBLU 1/24/2019 5.0 3.9 28.8% C 5,192
LUV 1/24/2019 4.6 5.5 -17.1% B 18,897
MKC 1/24/2019 4.4 3.6 20.8% A 7,006
NSC 1/24/2019 3.3 3.5 -6.1% B 46,727
RCL 1/24/2019 4.6 4.4 3.8% D 47,506
RMD 1/24/2019 5.7 6.6 -13.6% A 3,181
SBUX 1/24/2019 4.2 4.2 -0.5% B 169,418
SIVB 1/24/2019 7.8 7.5 4.6% C 11,919
TXT 1/24/2019 6.9 4.3 59.1% C 13,042
UNP 1/24/2019 2.3 3.2 -26.6% B 149,011
WBS 1/24/2019 1.1 2.8 -60.6% C 1,601
WDC 1/24/2019 7.7 7.6 1.6% D 88,422
WYNN 1/24/2019 4.8 7.0 -30.8% D 261,272
ABBV 1/25/2019 3.9 4.1 -6.3% A 95,304
APD 1/25/2019 2.2 2.1 6.8% A 10,539
CL 1/25/2019 3.5 2.5 35.8% A 46,682
DHI 1/25/2019 4.8 4.5 6.9% C 14,094
LEA 1/25/2019 4.0 2.7 47.0% D 11,387

 

Volatility Standouts

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
HCP 74.98% C 0.00% 35.57 3,497
GLPI 71.23% B 2.86% 49.41 2,779
CDK 69.66% B 0.00% 83.40 901
CLDR 63.89% D 0.65% 59.68 2,513
UNIT 63.34% C -0.94% 80.63 15,547
ELAN 62.44% D -0.63% 68.49 3,726
OLN 61.91% D 0.19% 70.75 1,886
DSW 60.75% F -0.80% 43.87 1,629
NRZ 60.27% C 0.00% 75.10 3,869
PDCO 59.96% C 0.00% 19.76 824
EVRI 56.28% C 2.26% 69.57 520
HAIN 52.20% F 0.00% 90.51 1,805
ACIA 51.55% C 14.49% 26.09 2,476
CONN 51.53% F 4.24% 47.83 2,298
XPER 48.73% D 0.00% 10.28 186
NCR 47.72% B 1.22% 90.12 4,799
MLNX 47.14% A 2.93% 92.49 28,552
MHK 45.11% C -2.87% 86.96 8,230
RRD 44.27% C 2.60% 87.75 169
FDP 41.93% C 0.00% 94.07 1,454
ETM 41.84% D 0.84% 81.82 381
MYL 41.59% B 0.00% 73.52 13,290
CMCSA 40.43% B 0.00% 29.64 158,808
PETS 40.11% D 0.00% 83.40 1,654

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
FDC -65.33% C 0.00% 32.02 15,962
RHT -64.24% D 2.86% 15.02 44,677
VHC -62.00% D 0.00% 60.87 2,902
IDTI -60.26% C 0.65% 5.53 1,300
USG -59.74% C -0.94% 24.90 989
QEP -57.21% F -0.63% 1.19 10,855
PCG -53.29% B 0.19% 98.81 171,892
UNFI -52.95% F -0.80% 91.70 2,636
CASA -51.81% C 0.00% 91.23 249
GT -51.74% F 0.00% 74.31 11,887
SNAP -47.37% D 2.26% 52.17 42,883
TRCO -46.73% B 0.00% 8.30 2,147
PVTL -45.92% F 14.49% 33.51 2,327
NEM -45.23% D 4.24% 46.25 68,688
SAGE -43.86% F 0.00% 56.75 33,864
EW -40.67% A 1.22% 80.24 37,343
TLRD -40.60% B 2.93% 34.39 840
ESIO -38.23% C -2.87% 0.00 465
FISV -37.91% A 2.60% 72.73 15,725
HOME -36.13% C 0.00% 37.55 1,523
IMMU -35.96% C 0.84% 80.24 22,430
LE -35.08% D 0.00% 47.04 1,158
M -32.60% B 0.00% 39.13 138,713
R -30.95% C 0.00% 85.38 10,998

 

OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE