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VIX up 13% as equities sell off on bad earnings in CAT and NVDA

Jan 28, 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

Stock are under pressure this afternoon amid disappointing guidance from Caterpillar and Nvidia. Currently, the S&P is -1.3%, the Russell -1.2%, and the Nasdaq -1.9%. Despite the risk-off move, bonds are only modestly stronger as the 10-year Treasury yield is down to 2.73% (TLT +.23%). In single name news, Nvidia is down 14% after cutting its full-year revenue forecast by 20%. Given concerns over global growth (mainly China, Europe) WTI Crude is down 4%, dragging USO lower (-3.64%). Consumer Staples, XLP, is outperforming today (-.15%). Volatilities are higher with the VIX +15% to 20.10, VXN +12% to 24.46, and RVX +12% at 23.34.

ETF 30D Volatility Changes

SPY:    +11%         

IWM:   +8%   

QQQ:  +9%       

 

Directional Options Strategies

Bullish Option Strategies

CVX Buyer 2,100 Feb 1st 115 calls (Earnings 2/1, ref. 111.98)

WP Seller 2,700 May 80 puts to Buy 2,700 May 87.5 calls (ref. 83.02)

ZAYO 2,500 Mar 32.5 calls trade (takeover rumors, ref. 27.59)

AMRN Seller 10,000 Mar 14 puts to Buy 10,000 Mar 18 calls (ref. 16.68)

LUV Seller 20,000 Mar 55 puts tied to stock (ref. 55.68)

CELG 10,000 Jan20 70 – 60 put spreads (ref. 87.48)

Bearish Option Strategies

F Buyer 15,000 Apr 8 puts (ref. 8.76)

F Buyer 8,500 Jan 21 5 puts (ref. 8.71)

VALE Seller 30,000 Jan20 15 calls tied to stock (ref. 11.37)

SNAP Buyer 2,000 Apr 4 – 3 put spreads (ref. 6.27)

GE Buyer 4,500 Feb 8 puts (Earnings 2/1, ref. 8.82)

 

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

TLT Buyer 8,00 Feb 121 calls (ref. 120.73)

EWZ Seller 15,000 Jun 45 puts to Buy 15,000 Mar 45 puts (ref. 42.65)

SPY 10,000 Mar 1st 278 – 280 call spreads trade (ref. 262.50)

 

Bearish Option Strategies

QQQ Buyer 10,726 Feb 145 puts (ref. 162.41)

QQQ Seller 19,000 Feb 168 – 175 call spreads (ref. 162.54)

SPY Buyer 12,324 Feb 6th 246 puts (ref. 263.18)

SPY Buyer 8,850 Feb 8th 250 – 245 puts spreads (ref. 262.52)

SPY Buyer 10,000 Feb 260 – 250 put spreads (ref. 263.00)

SPY Seller 60,000 Mar 225 puts to Buy 60,000 Jun 241 puts (rolls out and up, ref. 263.02)

IWM Buyer 10,000 Mar 135 puts (ref. 145.78)

IWM Seller 14,250 Feb 130 – 120 put spreads to Buy 14,250 May 133 – 123 put spreads (rolls out and up, ref. 146.79)

EEM Seller 35,575 Dec 44 calls (ref. 41.53)

KRE Buyer 39,000 Apr 51 – 46 puts spreads (ref. 53.63)

INDA 5,000 Jun 32 – 29 – 26 put flies trade (ref. 31.97)

USO Buyer 19,800 Feb 1st 10.5 puts (ref. 10.87)

HYG Buyer 11,750 May 83 puts (ref. 84.10)

 

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

 

 

Finance Trades Options Strategies

EEM 5,000 Jun 45 RevCons trade (ref. 41.62)

SPY 6,500 Mar 275 RevCons trade (ref. 262.22)

 

 

 

Upcoming Earnings

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
AKS 1/28/2019 11.4 10.9 5.2% D  
CE 1/28/2019 4.4 2.7 59.0% B 1,972
WHR 1/28/2019 6.2 7.2 -14.5% F 14,056
AAPL 1/29/2019 4.2 4.6 -9.5% A 3,945,050
AGN 1/29/2019 3.7 3.4 7.9% C 65,295
ALGN 1/29/2019 8.6 9.4 -8.0% A 73,487
AMD 1/29/2019 11.9 13.5 -12.4% C 309,573
AMGN 1/29/2019 3.7 1.9 87.9% C 144,425
AOS 1/29/2019 5.0 3.2 54.0% B 2,082
BIIB 1/29/2019 4.4 2.4 85.2% C 133,977
BXP 1/29/2019 2.0 2.1 -5.0% D 3,906
CHRW 1/29/2019 3.7 3.8 -3.6% B 21,706
CIT 1/29/2019 3.7 1.3 172.7% F 4,978
COHR 1/29/2019 7.4 10.9 -31.9% D 6,295
DHR 1/29/2019 3.3 3.2 5.0% B 17,177
DOV 1/29/2019 3.8 2.6 44.2% D 3,790
EAT 1/29/2019 6.3 3.8 63.2% B 2,929
EBAY 1/29/2019 5.1 6.7 -23.8% B 83,344
EQR 1/29/2019 2.6 1.8 47.9% C 2,665
EXP 1/29/2019 2.1 5.0 -57.7% C 4,223
GLW 1/29/2019 5.3 5.2 2.3% C 17,201
GPK 1/29/2019 6.7 5.2 27.4% D 3,532
HA 1/29/2019 4.0 6.0 -33.1% C 3,943
HCA 1/29/2019 4.0 3.4 15.1% B 19,361
HOG 1/29/2019 6.3 4.5 40.9% D 6,564
HRS 1/29/2019 3.8 5.5 -31.1% A 11,664
ILMN 1/29/2019 5.0 6.0 -16.7% B 45,841
JNPR 1/29/2019 6.8 5.4 26.6% B 4,620
KNX 1/29/2019 7.1 5.4 29.8% C 14,916
LLL 1/29/2019 3.2 4.2 -23.2% B 3,885
LMT 1/29/2019 3.4 2.5 32.8% B 106,873
MMM 1/29/2019 3.9 3.4 13.0% B 108,031
NUE 1/29/2019 2.8 2.0 41.0% A 15,000
PCAR 1/29/2019 4.7 3.6 30.9% B 8,336
PFE 1/29/2019 3.4 1.8 86.6% B 165,213
PFG 1/29/2019 3.4 3.4 0.2% D 2,860
PHM 1/29/2019 4.1 3.0 35.1% B 5,167
PII 1/29/2019 7.5 7.2 4.5% D 2,553
PKG 1/29/2019 4.7 3.2 45.9% B 3,646
ROK 1/29/2019 4.0 3.3 24.0% C 12,498
SYK 1/29/2019 2.6 2.7 -1.6% B 17,774
VZ 1/29/2019 3.0 2.6 15.9% B 193,326
XRX 1/29/2019 6.9 3.6 92.3% C 21,777
ADP 1/30/2019 3.9 3.7 5.5% B 28,297
AGNC 1/30/2019 1.3 1.4 -11.1% C 3,418
ALLY 1/30/2019 4.6 3.1 47.3% C 7,364
AMP 1/30/2019 4.0 3.6 10.6% C 5,438
ANTM 1/30/2019 2.9 3.5 -18.7% C 31,885
AVY 1/30/2019 4.5 5.1 -11.8% C 1,233
BA 1/30/2019 3.6 3.3 9.8% A 915,511
BEN 1/30/2019 4.1 2.0 105.0% C 4,511
CACC 1/30/2019 7.3 7.2 1.3% D 4,312
CREE 1/30/2019 8.4 6.7 26.7% F 7,890
CRUS 1/30/2019 7.0 4.8 45.6% C 3,030
ESS 1/30/2019 2.9 2.0 44.1% D 6,068
FB 1/30/2019 6.4 6.2 3.3% B 2,755,639
GD 1/30/2019 3.7 4.1 -10.0% A 24,281
HES 1/30/2019 4.0 2.7 49.1% F 24,744
HOLX 1/30/2019 5.8 4.2 40.1% C 5,753
ISBC 1/30/2019 10.7 2.2 378.7% D 3,691
IVZ 1/30/2019 4.3 2.3 87.0% D 4,825
MCD 1/30/2019 3.4 3.7 -6.8% A 186,300
MDLZ 1/30/2019 3.5 3.5 -0.3% C 40,350
MLNX 1/30/2019 6.1 3.9 56.3% A 25,881
MSFT 1/30/2019 4.0 3.0 37.0% B 1,270,544
MUR 1/30/2019 5.1 3.5 44.7% D 2,172
NDAQ 1/30/2019 2.6 1.5 75.1% C 2,564
NOW 1/30/2019 5.5 3.3 67.4% D 88,476
NTCT 1/30/2019 7.3 7.3 0.1% B 501
OSK 1/30/2019 4.2 6.4 -33.8% C 1,327
PYPL 1/30/2019 5.6 5.4 3.6% B 294,230
QCOM 1/30/2019 5.2 4.2 24.5% C 503,908
RCL 1/30/2019 5.9 4.4 34.6% D 37,994
SIRI 1/30/2019 4.5 3.1 46.1% A 2,942
T 1/30/2019 3.7 4.6 -19.9% C 249,115
TMO 1/30/2019 4.0 2.8 42.6% A 32,776
TROW 1/30/2019 3.4 3.0 15.2% B 7,355
TSLA 1/30/2019 8.1 7.7 5.9% D 3,274,470
TUP 1/30/2019 9.0 10.0 -10.1% C 3,270
V 1/30/2019 3.3 2.6 29.6% A 329,017
WYNN 1/30/2019 7.3 7.0 4.7% D 193,840
X 1/30/2019 8.5 8.6 -0.7% C 59,033

 

Volatility Standouts

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
ZAYO 72.22% C 2.57% 88.89 37,252
ELAN 64.92% D 1.60% 68.83 3,778
TIVO 58.72% C 2.94% 56.75 1,409
VSAT 58.25% B 0.04% 94.05 10,701
KDP 55.91% D 0.81% 65.48 600
MHK 54.47% C 0.45% 85.32 11,257
FDP 52.27% C 4.56% 91.27 931
SBGI 51.58% C -0.35% 38.49 2,522
HAIN 50.84% F 2.69% 77.38 23,935
MSG 50.81% C 2.69% 87.30 3,141
ISBC 50.22% D 0.99% 7.94 3,691
KHC 49.74% C 6.59% 69.44 74,001
RMD 47.78% A 3.29% 77.78 2,913
EVRI 46.38% C -0.80% 78.17 121
NDLS 46.09% D 0.34% 2.78 210
CDK 45.33% B 4.26% 71.43 686
RRD 44.40% C 2.67% 91.67 219
BIG 44.28% F 2.44% 84.92 2,314
PDCE 43.94% F -1.45% 67.46 1,990
OZK 43.46% F 0.36% 73.41 7,239
CNDT 42.62% D 1.75% 95.24 288
INGR 42.26% C 1.09% 86.90 620
GSKY 41.65% D 0.43% 74.55 2,006
CZR 41.65% F 0.93% 75.40 18,853

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
DNB -73.70% B 2.57% 31.75 3,264
RHT -65.99% D 1.60% 10.32 49,023
FDC -57.68% C 2.94% 21.03 27,186
PCG -57.51% B 0.04% 96.43 178,915
NVDA -48.34% B 0.81% 74.21 1,564,790
MB -48.05% C 0.45% 5.95 568
ARNC -47.64% F 4.56% 84.52 92,631
PVTL -47.14% F -0.35% 49.74 1,917
TGI -46.89% D 2.69% 92.46 314
QEP -42.46% F 2.69% 2.78 4,491
USG -42.11% C 0.99% 3.97 1,490
VHC -39.42% D 6.59% 40.08 3,815
SNAP -39.05% D 3.29% 47.62 42,698
TTD -37.18% C -0.80% 73.02 32,596
CASA -37.11% C 0.34% 86.29 441
MO -37.06% C 4.26% 85.71 126,213
ADI -36.87% B 2.67% 62.30 24,719
AMAT -35.39% B 2.44% 60.71 113,246
EFII -33.81% C -1.45% 71.03 649
FNSR -32.22% F 0.36% 11.11 7,246
IMMU -31.81% C 1.75% 66.27 25,416
P -3.03E-01 D 1.09% 6.35 890
EBAY -30.31% B 0.43% 63.89 83,344
MXIM -29.01% C 0.93% 60.71 2,966

 

OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE