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VIX down -5% as equities continue to move higher

Jan 25, 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 stronger this afternoon in part due to speculation that the Fed may leave the balance sheet at higher levels than originally thought (dovish). Currently, the S&P is +1%, the Russell +1.2%, and the Nasdaq +1.3%. In contrast to yesterday, this appears to be a genuine risk on move with Treasury yields higher and HYG catching a bid (+.28%). In single name news, Intel is down 6.5% after reporting quarterly earnings – the chip-maker offered conservative guidance amid slowing iPhone sales. Meanwhile, Utilities are underperforming given the risk-on move. Volatilities are softer  with the VIX -6.7% to 17.62, VXN -6% to 22.08, and RVX -5% at 21.38.

 

ETF 30D Volatility Changes

SPY:    -4%         

IWM:   -3%   

QQQ:  -4%       

 

Directional Options Strategies

Bullish Option Strategies

WDC Buyer 4,058 Mar 45 calls (ref. 44.07)

NOK Buyer 5,000 Apr 6 calls (Earnings 1/31, ref. 6.48)

CL Buyer 20,000 Mar 62.5 – May 65 call spreads tied to stock (rolls out and up, ref. 62.95)

AMD Buyer 11,000 Feb 1st 23.5 – 25.5 call spreads (ref. 21.03)

AAL 9,400 Mar 38 calls trade (appears bot, ref. 35.22)

VALE Seller 10,000 Mar 13 puts (ref. 14.30)

 

Bearish Option Strategies

FL Buyer 3,000 Feb 55 – 51.5 put spreads (ref. 56.96)

F Buyer 25,000 Jan20 7 puts tied to stock (possibly closing, ref. 8.94)

AHL Buyer 2,000 Mar 40 – 35 put spreads (ref. 41.88)

 

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

FXI Buyer 7,226 Feb 22nd 43 – 45 call spreads (ref. 42.04)

GLD Buyer 10,000 Mar 125 calls (ref. 122.31)

VNQ Buyer 30,000 Mar 74 puts (closing) to Sell 15,000 Mar 77 puts (rolls write up, ref. 84.45)

FXI Buyer 10,000 Apr 44 – 47 call spreads tied to stock (ref. 42.25)

EEM 106,000 Mar 44 calls trade (possibly closing, ref. 42.22)

 

Bearish Option Strategies

XAU Buyer 10,000 Feb 65 puts (ref. 72.15)

XOP Seller 40,000 Mar 24 puts (closing) to Buy 25,000 Jun 27 puts (rolls out and up, ref. 30.50)

HYG Seller 30,000 Feb 79 and 78 puts and 9,000 Feb 77 and 76 puts to Buy 7,000 Apr 82 and 79 puts (rolls out and sizes down, ref. 84.47)

IYR Seller 13,500 Mar 83 calls to Buy 13,500 Mar 79 – 76 put spreads (ref. 80.49)

XLF Buyer 100,000 Jan21 25 puts tied to stock (ref. 25.98)

INDA Buyer 7,500 Jun 32 – 30 put spreads to Sell 7,500 Jun 29 – 27 put spreads (ref. 32.63)

 

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

 

 

Finance Trades Options Strategies

SIRI 15,000 Feb 8 RevCons trade (ref. 5.84)

MU 9,000 Mar 50 RevCons trade (ref. 38.76)

 

 

Upcoming Earnings

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
AKS 1/28/2019 11.1 10.9 2.1% D  
CAT 1/28/2019 4.4 4.4 1.1% C 338,072
WHR 1/28/2019 6.0 7.1 -15.6% F 13,450
AAPL 1/29/2019 4.0 4.6 -13.2% A 4,098,598
AGN 1/29/2019 3.5 3.4 1.6% C 62,151
ALGN 1/29/2019 8.4 9.2 -8.4% A 69,066
AMD 1/29/2019 11.5 13.5 -14.8% C 346,294
AMGN 1/29/2019 3.3 2.0 62.6% C 155,585
AOS 1/29/2019 4.3 3.2 36.6% B 1,771
BIIB 1/29/2019 4.4 2.5 74.7% C 129,407
BXP 1/29/2019 2.7 2.1 32.5% D 3,852
CHRW 1/29/2019 2.5 3.8 -34.4% B 20,217
CIT 1/29/2019 3.5 1.3 158.4% F 4,026
COHR 1/29/2019 6.5 11.1 -41.5% D 6,196
DHR 1/29/2019 1.9 3.2 -39.9% B 16,645
DOV 1/29/2019 3.0 2.6 15.8% D 3,744
EAT 1/29/2019 5.7 3.8 47.5% B 2,801
EBAY 1/29/2019 5.5 6.8 -19.1% B 82,829
EQR 1/29/2019 1.9 1.8 9.8% C 2,133
GLW 1/29/2019 4.7 5.2 -9.6% C 16,645
GPK 1/29/2019 6.4 5.2 22.1% D 2,935
HCA 1/29/2019 4.2 3.3 26.6% B 21,530
HOG 1/29/2019 6.0 4.4 35.4% D 5,642
HRS 1/29/2019 2.8 5.5 -49.3% A 15,012
ILMN 1/29/2019 5.2 6.0 -14.7% B 47,918
JNPR 1/29/2019 7.0 5.5 27.8% B 5,033
KNX 1/29/2019 2.8 5.3 -46.6% C 16,980
LLL 1/29/2019 2.7 4.1 -33.8% B 3,204
LMT 1/29/2019 2.8 2.5 11.3% B 107,953
MMM 1/29/2019 3.3 3.4 -3.8% B 100,320
NUE 1/29/2019 2.6 2.0 29.4% A 14,205
PCAR 1/29/2019 3.8 3.6 6.6% B 8,316
PFE 1/29/2019 2.3 1.8 23.3% B 169,744
PFG 1/29/2019 2.8 3.4 -18.2% D 2,709
PHM 1/29/2019 4.2 3.0 38.3% B 6,380
PII 1/29/2019 6.7 7.2 -6.5% D 2,780
PKG 1/29/2019 4.0 3.2 22.7% B 3,575
ROK 1/29/2019 3.8 3.2 19.1% C 10,848
SYK 1/29/2019 0.6 2.7 -77.0% B 16,964
VZ 1/29/2019 2.5 2.6 -3.0% B 179,991
XRX 1/29/2019 7.3 3.7 96.6% C 21,005
ADP 1/30/2019 3.9 3.7 4.1% B 27,154
AGNC 1/30/2019 1.3 1.4 -11.9% C 3,208
ALLY 1/30/2019 4.3 3.1 38.0% C 6,163
AMP 1/30/2019 4.2 3.6 17.1% C 5,349
ANTM 1/30/2019 2.6 3.5 -27.0% C 33,523
BA 1/30/2019 3.6 3.4 5.9% A 957,961
BEN 1/30/2019 3.9 2.0 95.0% C 3,598
CACC 1/30/2019 6.6 7.2 -8.4% D 5,618
CREE 1/30/2019 7.6 6.7 14.0% F 8,401
CRUS 1/30/2019 6.9 5.2 31.0% C 3,387
ESS 1/30/2019 2.8 2.0 39.8% D 5,066
FB 1/30/2019 6.5 6.2 4.7% B 2,729,644
GD 1/30/2019 3.4 3.9 -13.8% A 27,417
HES 1/30/2019 3.6 2.7 30.3% F 28,132
HOLX 1/30/2019 5.0 4.3 18.0% C 4,937
ISBC 1/30/2019 8.0 2.2 263.3% D 2,600
IVZ 1/30/2019 3.9 2.3 70.1% D 3,924
MCD 1/30/2019 3.4 3.7 -7.3% A 185,343
MDLZ 1/30/2019 3.5 3.5 -2.0% C 43,211
MLNX 1/30/2019 6.4 4.1 56.3% A 28,051
MSFT 1/30/2019 3.6 3.0 17.9% B 1,235,052
MUR 1/30/2019 4.9 3.6 36.9% D 1,973
NDAQ 1/30/2019 2.2 1.5 44.5% C 2,294
NOW 1/30/2019 5.2 3.6 43.9% D 87,631
NTCT 1/30/2019 7.4 7.4 0.1% B 2,902
PYPL 1/30/2019 5.4 5.4 -0.9% B 323,524
QCOM 1/30/2019 4.9 4.1 19.4% C 508,121
RCL 1/30/2019 5.6 4.4 27.2% D 37,894
SFLY 1/30/2019 11.4 12.2 -6.4% C 4,878
SIRI 1/30/2019 4.0 3.1 29.0% A 3,424
T 1/30/2019 3.5 4.6 -23.4% C 257,118
TMO 1/30/2019 3.2 2.8 12.2% A 32,502
TROW 1/30/2019 2.5 3.0 -15.3% B 8,866
TSLA 1/30/2019 6.4 7.7 -16.6% D 3,332,611
TUP 1/30/2019 8.6 9.8 -12.4% C 2,774
V 1/30/2019 3.0 2.6 16.7% A 328,954
WYNN 1/30/2019 7.4 7.0 5.6% D 184,510
X 1/30/2019 7.4 8.6 -13.3% C 60,901

Volatility Standouts

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
ELAN 62.42% D -4.56% 77.63 3,876
NDLS 61.08% D -1.06% 48.02 174
MKC 5.27E-01 A 1.24% 91.27 22,331
MDCO 51.54% F -3.28% 57.94 5,801
FDP 49.49% C -0.77% 92.06 1,416
RMD 48.62% A 2.86% 72.22 6,396
ISBC 48.16% D -4.43% 52.78 2,600
EVRI 47.33% C 0.81% 71.03 234
IONS 46.86% F -9.28% 46.22 11,271
RRD 46.52% C -2.44% 95.63 209
VSAT 46.06% B -1.29% 94.05 8,509
DMRC 45.45% C -4.37% 88.89 450
USAT 44.03% F -7.75% 70.63 1,030
CDK 43.25% B -3.76% 77.78 1,366
GSKY 42.70% D -1.07% 80.49 1,678
HAIN 42.12% F -0.05% 78.97 19,992
ETM 41.82% D -4.55% 79.76 263
GPRO 41.74% F -0.52% 75.79 3,281
CNDT 4.14E-01 D -2.17% 97.22 503
MHK 41.15% C -3.86% 86.11 18,181
TWOU 40.23% C -2.04% 81.75 912
BIG 39.72% F -3.56% 91.67 2,092
PDCE 38.85% F -4.28% 69.84 1,638
TIVO 37.80% C -9.05% 63.10 1,225

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
MB -66.40% C -4.56% 0.00 604
NLS -65.96% D -1.06% 97.22 408
RHT -65.74% D 1.24% 11.11 42,761
FDC -61.57% C -3.28% 13.10 22,796
DNB -53.43% B -0.77% 0.79 3,239
IMMU -51.82% C 2.86% 69.44 25,132
CASA -51.12% C -4.43% 87.36 351
PCG -51.01% B 0.81% 99.60 187,806
ARNC -48.78% F -9.28% 83.73 82,225
TGI -46.65% D -2.44% 94.44 722
PVTL -46.49% F -1.29% 35.64 1,745
QEP -45.06% F -4.37% 1.98 3,862
SNAP -43.60% D -7.75% 51.19 38,397
USG -41.51% C -3.76% 20.24 1,193
VHC -41.50% D -1.07% 44.05 3,227
UNFI -37.41% F -0.05% 99.21 4,255
ADI -3.71E-01 B -4.55% 68.25 30,131
TTD -36.77% C -0.52% 74.60 31,019
AMAT -36.73% B -2.17% 73.41 125,826
MO -36.55% C -3.86% 92.06 148,963
FISV -35.63% A -2.04% 91.27 30,864
EFII -34.80% C -3.56% 69.05 546
FNSR -34.39% F -4.28% 16.27 5,866
M -32.45% B -9.05% 52.38 147,275

 

OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE