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Stocks stays bid on market reversal

Jan 23, 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

Stocks opened higher on strong earnings from United Technologies, P&G, and IBM. However, the market has moved steadily lower on a soft Richmond Manufacturing figure that has the market in risk-off mode. Currently, the S&P is -.68%, the Russell -.94%, and the Nasdaq -.82%. After opening lower, Treasuries have strengthened steadily into the afternoon with the 10-year yield is down to 2.744% (TLT +.07%). In single name news, Tesla is down 5% after announcing production cuts for the Model S and X. Biotech (XBI -2%) is underperforming the broader market today while Utilities have strengthened (+0.77) in tandem with the risk-off move. Volatilities are higher with the VIX +3% to 21.41, VXN +5% to 26.23, and RVX +4% at 24.38.

 

ETF 30D Volatility Changes

SPY:    +6%         

IWM:   +4%   

QQQ:  +6%       

 

Directional Options Strategies

Bullish Option Strategies

CSCO Buyer 7,400 Feb 1st 48 calls (ref. 45.67)

BB Buyer 1,000 Apr 10 calls (ref. 7.71)

SYMC Seller 25,000 Feb 1st 17.5 puts (opens write, Earnings 19.69)

APC Seller 18,118 Mar 45 puts to Buy 18,118 Mar 47.5 calls (ref. 45.76)

INTC Buyer 5,000 July – Apr 52.5 call spreads (rolls out, Earnings 1/24, ref. 47.87)

 

Bearish Option Strategies

QSR Seller 25,567 Apr 55 calls tied to stock (closing, ref. 60.95)

JBLU Buyer 3,400 Mar 14 puts (Earnings 1/24, ref. 17.47)

PG Seller 14,000 Mar 100 calls (opens write, ref. 95.85)

TGT Seller 9,600 Mar 77.5 calls (opens write, ref. 70.46)

MCHP 10,000 Mar 80 calls trade (appears to open write, ref. 75.05)

PAA Seller 7,000 (ref. 23.17)

F Buyer 14,930 Jan21 5 puts (Earnings 1/23, ref. 8.31)

 

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

EWZ Buyer 10,000 Feb 22nd 47 calls tied to stock (ref. 42.89)

SPY Buyer 13,300 Feb 270 – 277 call spreads (ref. 262.42)

 

Bearish Option Strategies

EWZ Seller 10,000 Mar 44 – 46 – 48 call flies (ref. 42.84)

SPY Buyer 10,000 Feb 8th 250 – 244 put spreads (ref. 264.27)

SPY Buyer 15,000 Mar 225 – 215 put spreads (ref. 263.39)

EEM Buyer 44,000 Sep 40 puts tied to stock (ref. 41.27)

IWM Seller 14,200 Feb 135 – 120 put spreads to Buy 14,400 Mar 138 – 123 put spreads (rolls out and up, ref. 145.51)

XBI Seller 5,000 Mar 85 calls to Buy 10,000 Mar 81 – 69 put spreads (ref. 81.55)

XOP Seller 25,000 Mar 24 puts (closing) to Buy 25,000 Jun 28 puts (rolls out and up, ref. 29.69)

FXI Buyer 13,750 Mar 38 – 36 put spreads (ref. 40.91)

QQQ Buyer 5,000 Feb 1st 155 puts (ref. 160.87)

 

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

 

 

Finance Trades Options Strategies

HYG 5,000 Feb 95 RevCons trade (ref. 84.19)

 

 

Upcoming Earnings

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
AZPN 1/23/2019 4.3 4.1 4.2% C 3,527
CCI 1/23/2019 2.0 1.5 33.7% B 20,149
CTXS 1/23/2019 4.8 2.7 74.5% A 19,711
F 1/23/2019 4.7 4.3 9.2% C 118,270
FFIV 1/23/2019 5.7 4.6 25.1% A 19,253
LRCX 1/23/2019 4.7 3.8 24.0% C 119,893
LVS 1/23/2019 5.2 3.2 64.5% D 60,343
PTC 1/23/2019 6.4 3.8 70.9% D 7,313
TCBI 1/23/2019 5.5 5.6 -2.2% D 1,139
TER 1/23/2019 7.8 7.1 10.7% B 6,216
TXN 1/23/2019 4.7 3.8 24.2% A 106,019
URI 1/23/2019 6.0 6.0 0.7% C 62,773
VAR 1/23/2019 6.2 5.5 12.4% C 7,941
XLNX 1/23/2019 6.4 6.1 6.2% B 26,414
AAL 1/24/2019 6.4 4.5 41.4% C 228,049
ALK 1/24/2019 4.5 5.4 -16.3% F 18,448
BMY 1/24/2019 2.6 2.8 -4.3% C 605,345
DFS 1/24/2019 3.6 3.3 8.0% B 13,735
ETFC 1/24/2019 4.0 2.1 92.9% C 20,265
FCX 1/24/2019 5.1 6.2 -17.1% D 63,631
GWW 1/24/2019 9.1 9.6 -4.5% C 39,824
HBAN 1/24/2019 1.9 1.9 -3.2% D 1,903
INTC 1/24/2019 4.9 4.5 8.5% B 352,821
ISRG 1/24/2019 3.5 4.1 -13.3% C 192,612
JBLU 1/24/2019 5.5 3.9 40.9% C 5,371
LUV 1/24/2019 5.2 5.5 -6.6% B 19,835
MKC 1/24/2019 4.7 3.6 29.8% A 7,149
NSC 1/24/2019 3.5 3.5 0.8% B 54,324
RMD 1/24/2019 6.2 6.6 -5.7% A 3,275
SBUX 1/24/2019 4.3 4.2 2.5% B 215,671
SIVB 1/24/2019 7.4 7.5 -0.1% C 12,856
TXT 1/24/2019 7.8 4.3 81.8% C 16,276
UNP 1/24/2019 2.7 3.2 -13.2% B 184,594
WBS 1/24/2019 1.9 2.8 -32.7% C 1,863
WDC 1/24/2019 7.6 7.6 0.3% D 92,572
ABBV 1/25/2019 4.3 4.1 3.8% A 151,294
APD 1/25/2019 2.9 2.1 38.8% A 12,252
CL 1/25/2019 4.2 2.5 66.8% A 55,479
DHI 1/25/2019 5.3 4.5 17.6% C 15,832
LEA 1/25/2019 4.7 2.7 73.0% D 11,508
AKS 1/28/2019 11.9 10.7 11.2% D  
ASH 1/28/2019 4.5 4.0 14.3% C 1,741
CAT 1/28/2019 5.1 4.4 16.0% C 370,124
RCL 1/28/2019 5.4 4.4 21.4% D 33,437
WHR 1/28/2019 7.2 7.1 2.4% F 13,798

 

Volatility Standouts

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
MDCO 72.34% F 3.84% 75.00 7,461
ELAN 71.14% D -1.65% 68.92 3,748
UNIT 69.33% C 0.78% 76.19 19,441
ADTN 65.36% D 2.03% 83.33 769
ANAB 55.56% F -0.25% 50.40 1,021
CDK 55.07% B -2.21% 63.89 1,172
TIVO 50.32% C 0.91% 90.48 752
FDP 50.03% C -0.01% 93.25 1,434
MHK 47.95% C 0.13% 86.90 11,641
GSKY 45.91% D 3.11% 82.10 1,735
CNDT 45.28% D 2.04% 94.44 1,467
EVRI 44.66% C -1.71% 54.76 518
ETM 43.75% D -0.76% 84.13 613
CAMP 41.67% C 0.31% 88.89 62
VSAT 41.51% B -1.63% 90.87 8,042
HAIN 38.94% F 2.26% 77.78 20,183
BIG 38.64% F 0.54% 93.65 2,041
EROS 38.57% F -0.70% 71.03 1,245
MLNX 37.61% A 0.06% 90.08 30,106
KHC 37.59% C -0.04% 75.40 97,934
SRPT 37.53% C -1.08% 74.21 32,428
MPAA 37.34% F -0.74% 81.35 1,048
PDCE 36.55% F 0.00% 67.06 1,237
CL 36.31% A 2.78% 86.90 55,479

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
DNB -72.68% B 3.84% 0.79 3,549
FDC -70.79% C -1.65% 17.86 25,397
VHC -64.76% D 0.78% 50.00 3,503
RHT -64.75% D 2.03% 15.87 41,379
EFII -54.47% C -0.25% 67.86 563
GT -49.35% F -2.21% 78.17 11,233
IMMU -48.35% C 0.91% 1.98 23,148
UNFI -48.15% F -0.01% 98.81 4,194
CASA -47.47% C 0.13% 97.09 303
SNAP -47.01% D 3.11% 58.33 41,680
ARNC -46.63% F 2.04% 78.57 71,792
QEP -43.41% F -1.71% 1.19 4,611
PVTL -42.17% F -0.76% 40.32 2,658
EW -40.32% A 0.31% 83.73 35,892
TTD -38.20% C -1.63% 76.98 29,470
USG -36.39% C 2.26% 32.94 1,033
FISV -36.37% A 0.54% 77.78 17,718
MO -3.58E-01 C -0.70% 86.51 107,397
R -32.35% C 0.06% 84.52 11,161
M -32.33% B -0.04% 55.56 146,754
PCG -30.81% B -1.08% 99.21 168,130
P -30.58% D -0.74% 3.97 759
SAGE -30.32% F 0.00% 56.18 29,001
CWH -29.84% D 2.78% 72.22 2,772

 

OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE