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Strong Week of Earnings Sends Equities 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
ETF 30D IV 30D IV
Percentile
90D IV 90D IV
Percentile
90D/30D IV 90D/30D IV
Percentile
30D IV-
20D HV
30D IV-20D HV
Percentile
90D IV-
60D HV
90D IV-60D HV
Percentile
SPY 15.38 67.86% 16.16 73.02% 1.05 43.25% -8.28 13.69% -7.25 7.14%
QQQ 20.25 64.29% 20.62 69.84% 1.02 53.57% -10.27 13.89% -10.57 2.78%
IWM 19.18 73.02% 18.84 75.0% 0.98 34.33% -4.37 18.25% -6.39 3.17%
FEZ 14.21 34.92% 15.35 48.21% 1.08 76.59% -3.77 15.48% -2.92 10.71%
EEM 17.71 35.52% 18.83 41.27% 1.06 80.36% -0.77 46.83% -3.67 11.9%

 

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

Strong Week of Earnings Sends Equities Higher

Equity markets started the week on their heels after the IMF cut its 2019 Global Growth forecast (from 3.7% to 3.5%). Despite worries over growth, sentiment has mostly recovered this week thanks to strong earnings from P&G, IBM and broadly speaking, the Semiconductor space. The S&P is set to gain more than 1% on the week while the VIX is set to close toward its 2019 lows.

Next week will give investors some important data points as we receive economic data (Consumer Confidence, GDP, Jobs) and a Jay Powell press conference. Furthermore, earnings from Apple, Microsoft, Facebook and Amazon could provide more information about the strength of the economy.

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

Bullish: EWU: Sold 50,000 Feb 30 puts (closing, rumor DUP supports May’s deal)

Bullish: SPY Buyer 17,447 Feb 268 – 275 call spreads (ref. 262.48)

Bullish: IEF Buyer 10,000 Feb 104 calls tied to stock (ref. 104.06)

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

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

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

Bearish: XOP Buyer 37,500 Apr – Jun 28 put spreads (rolls out, ref. 30.68)

 

One of the most exciting (perhaps controversial) trades this week came via the much-beleaguered PG&E. Yesterday, one trader bought 10,000 Feb 8th 12 calls for $0.20 … Only 30 minutes later, the State of California cleared the company of causing a 2017 wildfire. Although the trader has yet to monetize the trade, the calls closed the day worth $3.75, a theoretical $3.5M profit on a $200,000 bet. In options trading, this phenomena is often referred to as “convexity.”

Bullish: PCG Buyer 10,000 Feb 8th 12 calls (ref. 7.34)