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VIX unchanged as intra day volatility continues to be muted

Jan 24, 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 are slightly stronger this afternoon led higher by strong earnings from Chip-makers. Currently, the S&P is +.10%, the Russell +.70%, and the Nasdaq +.60%. Despite the measured risk-on feel in equities, bonds are communicating a bit of caution with TLT stronger (+.47%) and the 10-year yield is down 4 basis points to 2.716%. In single name news, Lam Research is up 15% after reporting impressive quarterly earnings – the positive news has Semiconductors outperforming today (SMH +6%). Meanwhile, Consumer Staples are lagging the broader market with both Pepsi and Coke down more than 1%. Volatilities are softer with the VIX -1.3% to 19.27, VXN -4% to 23.53, and RVX -3.6% at 22.61.

 

ETF 30D Volatility Changes

SPY:    -4%         

IWM:   -3%   

QQQ:  -4%       

 

Directional Options Strategies

Bullish Option Strategies

SYMC Buyer 3,200 Jan 25th 20.5 calls (ref. 19.99)

TSM Buyer 3,500 Mar 37 calls (ref. 37.28)

LVS Buyer 4,497 Jan20 55 calls (ref. 56.09)

CL Seller 5,000 Feb 59 puts (Earnings 1/25, ref. 61.46)

GE Seller 123,000 Mar 8th 8.5 puts to Buy 123,000 Mar 8th 9 calls tied to stock (ref. 8.79)

PBR Seller 10,000 Mar 14 puts (ref. 15.45)

LVS Seller 17,446 Mar 45 puts (likely closing, ref. 56.86)

EOG Buyer 6,600 Jun 105 calls (ref. 96.32)

MU Seller 5,500 Jan20 30 puts to Buy 5,500 Jan20 40 calls tied to stock (ref. 36.76)

 

Bearish Option Strategies

F Seller 16,000 Jan20 10 calls tied to stock (ref. 8.61)

AKS Seller 29,000 Jan20 3 puts to Buy 46,000 Jan21 2 puts (rolls out and down, ref. 2.65)

PAH Buyer 9,500 Feb 10 puts (ref. 11.08)

SM Buyer 1,900 Mar 12.5 puts (Earnings 2/21, ref. 19.03)

KO Buyer 4,200 Feb 22nd 46 puts (Earnings 2/14, ref. 47.72)

 

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

EFA Buyer 5,200 Jan 25th 57 puts and 3619 Jan 25th 56 puts to Sell 8,790 Feb 22nd 61 puts (rolls write up, ref. 61.54)

QQQ Buyer 6,298 Mar 179 calls (ref. 162.51)

 

Bearish Option Strategies

QQQ Seller 80,000 Apr 163 calls (ref. 162.58)

EWZ Buyer 5,000 Jan 25th 43 puts (ref. 43.32)

XOP Buyer 5,000 Feb 29 – 27 1x2 put spreads (ref. 29.53)

EEM Buyer 10,000 Sep 40 puts tied to stock (ref. 41.55)

SPY Buyer 20,000 Feb 230 puts (ref. 263.45)

XLF Seller 10,000 Jan20 27 puts to Buy 10,000 Jan21 27 puts tied to stock (rolls out, ref. 25.84)

 

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

 

 

Finance Trades Options Strategies

LLY 4,000 Apr 150 RevCons trade (ref. 117.24)

XOP 14,000 Feb 33 RevCons trade (ref. 29.75)

SIRI 4,000 Feb 8 RevCons trade (ref. 5.71)

 

 

 

Upcoming Earnings

 

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
ALK 1/24/2019 4.1 5.4 -22.9% F 19,769
ETFC 1/24/2019 4.4 2.1 113.5% C 23,139
INTC 1/24/2019 4.8 4.5 6.4% B 388,422
ISRG 1/24/2019 3.7 4.1 -10.2% C 201,601
NSC 1/24/2019 3.6 3.5 2.7% B 53,355
RMD 1/24/2019 6.3 6.6 -4.2% A 2,989
SBUX 1/24/2019 4.5 4.2 7.2% B 216,556
SIVB 1/24/2019 7.3 7.5 -2.6% C 12,790
WAL 1/24/2019 5.3 2.6 104.3% C 2,078
WDC 1/24/2019 7.3 7.6 -3.6% D 87,243
ABBV 1/25/2019 4.5 4.1 9.0% A 144,767
APD 1/25/2019 3.0 2.1 44.1% A 17,090
CL 1/25/2019 4.3 2.5 68.9% A 60,121
DHI 1/25/2019 5.5 4.6 19.4% C 16,638
LEA 1/25/2019 4.0 2.7 47.7% D 11,206
AKS 1/28/2019 11.1 10.7 3.6% D  
CAT 1/28/2019 4.7 4.4 7.8% C 336,253
CE 1/28/2019 3.5 2.7 28.7% B 1,721
IDTI 1/28/2019 4.3 5.3 -18.3% C 1,430
WHR 1/28/2019 6.3 7.1 -10.6% F 14,037
AAPL 1/29/2019 4.1 4.6 -10.5% A 4,632,404
AGN 1/29/2019 3.7 3.4 6.6% C 65,564
ALGN 1/29/2019 7.7 9.2 -15.8% A 72,619
AMD 1/29/2019 11.4 13.5 -16.2% C 390,342
AMGN 1/29/2019 3.1 2.0 54.0% C 156,176
AOS 1/29/2019 4.5 3.2 41.2% B 2,015
BIIB 1/29/2019 4.5 2.5 77.3% C 130,365
BXP 1/29/2019 2.2 2.1 5.9% D 3,256
CHRW 1/29/2019 2.6 3.8 -32.6% B 18,883
CIT 1/29/2019 2.9 1.3 117.9% F 4,055
COHR 1/29/2019 8.3 11.1 -24.9% D 5,802
DHR 1/29/2019 2.6 3.1 -16.1% B 17,818
DOV 1/29/2019 3.1 2.6 19.5% D 3,800
EAT 1/29/2019 5.4 3.8 41.1% B 2,561
EBAY 1/29/2019 6.4 6.8 -6.0% B 80,090
EQR 1/29/2019 1.5 1.8 -14.2% C 2,439
GLW 1/29/2019 4.6 5.2 -11.8% C 16,799
GPK 1/29/2019 6.5 5.2 24.5% D 2,889
HCA 1/29/2019 4.3 3.3 30.3% B 19,480
HOG 1/29/2019 6.4 4.4 45.2% D 5,658
HRS 1/29/2019 2.7 5.5 -50.7% A 15,249
ILMN 1/29/2019 5.1 6.0 -15.9% B 47,154
JNPR 1/29/2019 6.8 5.5 23.9% B 4,737
KLAC 1/29/2019 1.0 4.2 -76.4% B 6,812
KNX 1/29/2019 3.4 5.3 -35.3% C 12,711
LLL 1/29/2019 3.1 4.1 -24.0% B 3,156
LMT 1/29/2019 2.8 2.5 12.6% B 108,794
MMM 1/29/2019 3.5 3.4 2.8% B 98,869
MXIM 1/29/2019 2.4 3.2 -27.3% C 2,677
NUE 1/29/2019 2.8 2.0 37.8% A 14,511
PCAR 1/29/2019 4.1 3.6 15.7% B 7,785
PFE 1/29/2019 2.8 1.8 51.0% B 158,760
PFG 1/29/2019 2.3 3.4 -31.7% D 2,350
PHM 1/29/2019 4.1 3.0 38.1% B 6,115
PII 1/29/2019 6.7 7.1 -5.0% D 2,564
PKG 1/29/2019 3.8 3.2 17.6% B 3,708
ROK 1/29/2019 3.8 3.2 17.9% C 11,035
SYK 1/29/2019 1.1 2.7 -57.4% B 17,111
VZ 1/29/2019 2.6 2.6 -0.8% B 188,980
XRX 1/29/2019 7.0 3.7 87.8% C 19,764

 

Volatility Standouts

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
MDCO 69.18% F 1.98% 60.71 6,568
EVRI 66.18% C -1.40% 69.44 572
ELAN 66.05% D -2.56% 58.67 3,840
MKC 61.21% A -11.76% 92.06 9,502
CDK 59.10% B 0.51% 72.62 1,186
GSKY 52.39% D 1.92% 90.18 1,671
FDP 49.63% C -1.16% 94.44 1,456
ISBC 49.02% D -0.28% 49.21 3,554
ANAB 48.53% F 0.12% 52.38 886
MHK 47.75% C -0.36% 88.49 12,638
KHC 45.90% C -0.55% 75.40 74,214
CNDT 44.73% D -0.53% 96.03 1,495
HAIN 44.23% F -6.05% 83.73 19,656
MSG 41.69% C 1.25% 90.08 3,438
BIG 41.67% F 1.22% 88.89 2,215
PDCO 41.48% C -0.58% 50.00 1,153
MPAA 40.42% F -0.60% 80.95 1,043
XRAY 40.29% C -4.98% 80.16 11,541
PDCE 40.23% F -0.01% 65.87 1,789
TIVO 40.18% C -2.49% 76.98 1,265
ETM 39.42% D 1.47% 79.37 312
CL 38.58% A 0.87% 91.27 60,121
VSAT 38.51% B 4.25% 94.05 10,011
CTXS 37.55% A -26.48% 50.40 45,292

 

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
FDC -74.22% C 1.98% 7.94 23,656
DNB -71.02% B -1.40% 1.59 3,355
IDTI -67.85% C -2.56% 37.70 1,430
RHT -62.54% D -11.76% 11.51 43,819
VHC -52.36% D 0.51% 45.63 3,329
CASA -50.58% C 1.92% 95.38 405
EFII -49.31% C -1.16% 61.51 537
IMMU -48.79% C -0.28% 77.78 23,805
UNFI -47.68% F 0.12% 95.63 4,175
ARNC -45.96% F -0.36% 85.71 80,169
SNAP -45.83% D -0.55% 60.71 39,209
PVTL -42.98% F -0.53% 55.08 1,900
QEP -42.43% F -6.05% 2.38 4,560
FISV -39.92% A 1.25% 77.38 23,554
TTD -37.70% C 1.22% 79.37 30,765
MO -35.28% C -0.58% 84.13 123,785
LE -34.90% D -0.60% 44.84 1,511
M -31.49% B -4.98% 55.56 146,802
EW -31.22% A -0.01% 83.73 33,773
CWH -30.60% D -2.49% 74.60 2,437
FNSR -29.85% F 1.47% 15.87 5,913
GT -29.36% F 0.87% 79.76 13,121
P -29.24% D 4.25% 5.16 854
DPZ -29.10% B -26.48% 57.94 43,571

 

OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE