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VIX flat as equities trade cautiously ahead of Apple earnings

Jan 29, 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

Equities are mixed this afternoon as markets digest a variety of economic data and corporate earnings. Currently, both the S&P and Russell are flat while the Nasdaq is -70%. With equities struggling to find a direction, bonds are modestly stronger as the 10-year Treasury yield is down to 2.726% (TLT +.10%). In single name news, Square is down close to 10% on a downgrade from Raymond James. Given tensions with Venezuela and the unusual cold weather hitting the Midwest, WTI Crude is up 2.5%, leading USO higher (+2%). Retail is underperforming today on the weak consumer confidence figure and Volatilities are mixed with the VIX -.3% to 18.81, VXN +.2% to 23.48, and RVX -1% at 21.87.

 

ETF 30D Volatility Changes

SPY:    +1%         

IWM:   -1%   

QQQ:  +2%       

 

Directional Options Strategies

Bullish Option Strategies

MDLZ Buyer 12,200 Mar 46 calls (Earnings after the close, ref. 43.38)

PCG Seller 4,800 Feb 12 puts (ref. 12.84)

PCG Seller 8,500 Mar 5 puts (ref. 13.98)

VIPS 12,500 Feb – May 8 call spreads trade (appears sold, ref. 7.17)

TSLA Buyer 1,000 Feb 8th 345 calls (ref. 294.06)

FCX 10,000 Jan20 12 calls trade (ref. 10.33)

 

Bearish Option Strategies

EBAY Buyer 4,000 Jul 30 puts (Earnings 1/29, ref. 34.12)

F Buyer 9,405 Jan20 5 puts (ref. 8.77)

TIF Buyer 2,600 May 85 puts (ref. 86.08)

CTSH Buyer 7,300 Mar 65 puts (ref. 68.45)

XRX 10,000 Jan20 15 puts trade (likely closes long-term hedge, ref. 26.61)

CC Buyer 9,300 Feb 33 puts to Sell 12,400 Feb 31 puts (ref. 35.04)

 

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

GLD 5,000 Mar 124 – 126 call spreads trade (ref. 123.56)

EEM Seller 23,500 Mar 40 puts (ref. 41.78)

FXI Buyer 10,000 Mar 44 calls (ref. 41.84)

IYR Seller 24,950 Jun 73 puts (ref. 81.89)

IWM Buyer 10,000 Feb 148 – 154 call spreads (ref. 146.65)

 

 

Bearish Option Strategies

QQQ Seller 6,000 Feb 166 calls (ref. 162.87)

INDA Buyer 6,000 Sep 31 – 28 – 25 put flies (ref. 32.10)

SPY Buyer 12,190 Sep 192 puts (ref. 263.58)

XLF Buyer 15,260 Jan20 20 puts tied to stock (ref. 25.88)

EEM Seller 10,500 Sep 47 calls tied to stock (ref. 41.89)

EEM Buyer 10,000 Apr 41 puts tied to stock (ref. 41.87)

XBI Seller 7,500 Feb 72 – 63 put spreads (likely closing) to Sell 2,350 Mar 87 calls and Buy 2,350 Mar 79 – 72 puts (rolls out and up, sizes down, ref. 79.47)

KRE Buyer 7,175 Apr 51 – 46 put spreads (ref. 54.11)

 

 

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

 

 

Finance Trades Options Strategies

SBUX 5,000 Apr 60 RevCons trade (ref. 66.80)

GE 4,200 Mar 12 RevCons trade (ref. 8.97)

HYG 20,000 Feb 95 RevCons trade (ref. 84.16)

 

 

 

Upcoming Earnings

 

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
AAPL 1/29/2019 4.5 4.6 -2.6% A 3,910,066
ALGN 1/29/2019 10.0 9.4 6.3% A 68,924
AMD 1/29/2019 10.2 13.5 -24.6% C 315,149
AMGN 1/29/2019 2.9 1.9 50.2% C 142,102
BXP 1/29/2019 1.4 2.1 -34.7% D 4,443
CHRW 1/29/2019 3.8 3.8 0.0% B 23,761
COHR 1/29/2019 7.8 10.9 -28.8% D 6,959
EBAY 1/29/2019 5.5 6.7 -18.4% B 90,525
EQR 1/29/2019 2.1 1.8 20.5% C 2,496
ILMN 1/29/2019 5.1 6.0 -15.5% B 48,361
JNPR 1/29/2019 7.1 5.4 31.6% B 4,259
PFG 1/29/2019 3.4 3.4 -0.2% D 3,157
PKG 1/29/2019 4.3 3.2 32.6% B 3,883
SYK 1/29/2019 2.4 2.7 -8.4% B 19,459
ADP 1/30/2019 3.6 3.7 -2.6% B 30,257
AGNC 1/30/2019 1.5 1.4 2.6% C 3,407
ALLY 1/30/2019 4.6 3.1 48.8% C 6,417
AMP 1/30/2019 4.2 3.6 16.2% C 5,791
ANTM 1/30/2019 2.7 3.5 -22.8% C 33,277
AXTA 1/30/2019 6.2 2.7 134.5% D 1,763
BA 1/30/2019 3.6 3.3 10.1% A 933,749
BEN 1/30/2019 3.7 2.0 89.3% C 3,567
CACC 1/30/2019 7.2 7.2 0.8% D 4,292
CREE 1/30/2019 8.5 6.7 26.9% F 7,421
CRUS 1/30/2019 7.1 4.8 48.2% C 2,798
ESS 1/30/2019 2.9 2.0 41.9% D 6,653
FB 1/30/2019 6.2 6.2 0.4% B 2,896,993
GD 1/30/2019 3.4 4.1 -16.9% A 24,076
HES 1/30/2019 3.9 2.7 45.9% F 20,400
HOLX 1/30/2019 5.9 4.2 41.7% C 5,364
ISBC 1/30/2019 11.5 2.2 413.2% D 3,809
IVZ 1/30/2019 3.4 2.3 47.2% D 4,816
MCD 1/30/2019 3.5 3.7 -4.2% A 190,398
MDLZ 1/30/2019 3.4 3.5 -5.2% C 43,145
MLNX 1/30/2019 6.3 3.9 62.7% A 27,074
MSFT 1/30/2019 3.9 3.0 30.4% B 1,325,269
MUR 1/30/2019 5.2 3.5 46.8% D 2,311
NDAQ 1/30/2019 2.8 1.5 84.7% C 2,757
NOW 1/30/2019 5.4 3.3 65.8% D 87,892
PYPL 1/30/2019 5.3 5.4 -1.4% B 303,950
QCOM 1/30/2019 5.0 4.2 20.5% C 552,957
RCL 1/30/2019 5.8 4.4 30.5% D 40,877
SIRI 1/30/2019 4.5 3.1 48.0% A 3,106
T 1/30/2019 3.8 4.6 -15.8% C 228,037
TMO 1/30/2019 4.1 2.8 45.4% A 29,284
TROW 1/30/2019 3.4 3.0 14.7% B 6,574
TSLA 1/30/2019 8.9 7.7 16.6% D 3,435,638
TUP 1/30/2019 8.9 10.0 -11.0% C 2,103
V 1/30/2019 3.2 2.6 22.7% A 335,993
WYNN 1/30/2019 7.2 7.0 3.2% D 205,586
X 1/30/2019 8.5 8.6 -0.4% C 63,377
ABC 1/31/2019 4.3 4.3 0.9% D 23,239
ABMD 1/31/2019 8.2 7.1 14.9% B 31,990
AFL 1/31/2019 2.7 1.9 43.8% B 87,673
AMZN 1/31/2019 5.5 4.5 21.9% C 13,855,675
APO 1/31/2019 2.3 2.0 17.5% F 6,246
BAX 1/31/2019 4.3 3.7 17.4% A 14,179
BC 1/31/2019 6.4 5.4 18.0% C 6,631
BHGE 1/31/2019 4.0 2.0 99.7% D 7,072
BLL 1/31/2019 3.8 4.2 -8.3% C 11,545
BX 1/31/2019 2.9 1.5 98.5% F 55,399
CHTR 1/31/2019 5.7 5.5 3.9% C 20,317
CNX 1/31/2019 4.7 4.3 9.1% F 1,682
COP 1/31/2019 2.2 2.2 0.7% B 50,971
DECK 1/31/2019 8.1 6.9 17.0% A 4,318
DWDP 1/31/2019 4.1 3.5 18.4% C 93,018
EMN 1/31/2019 1.8 2.0 -10.6% C 3,061
EPD 1/31/2019 1.3 1.5 -15.4% C 24,221
EW 1/31/2019 6.5 6.5 -1.1% A 38,701
FBHS 1/31/2019 4.9 4.4 12.1% B 2,920
GE 1/31/2019 7.5 3.8 99.6% F 289,396
HSY 1/31/2019 3.7 4.0 -6.8% B 11,941
IIVI 1/31/2019 7.3 10.4 -30.0% C 10,288
IP 1/31/2019 3.9 3.3 18.6% B 27,799
KEM 1/31/2019 6.5 10.6 -38.2% A 10,348
MA 1/31/2019 3.2 2.1 50.5% A 209,862
MCK 1/31/2019 4.8 4.3 13.9% D 7,847
MMC 1/31/2019 3.4 2.7 26.4% C 2,202
MO 1/31/2019 1.5 1.7 -14.7% C 127,576
MSCI 1/31/2019 1.9 3.6 -47.1% A 2,272
NOC 1/31/2019 4.1 3.5 18.4% A 102,607
PFPT 1/31/2019 7.4 6.8 8.2% B 2,981
PH 1/31/2019 3.5 3.1 12.4% A 8,354
RTN 1/31/2019 2.9 2.3 29.5% B 73,041
S 1/31/2019 4.7 5.7 -17.3% F 9,062
SHW 1/31/2019 3.6 3.7 -3.4% B 32,293
SYMC 1/31/2019 8.9 8.2 8.1% C 18,162
TSCO 1/31/2019 5.5 4.8 15.2% A 12,479
UPS 1/31/2019 4.8 4.1 16.9% B 143,893
VLO 1/31/2019 3.0 2.7 9.8% F 61,928
WRK 1/31/2019 5.9 2.7 120.4% C 2,480
XYL 1/31/2019 4.0 3.5 12.9% B 2,221

 

Volatility Standouts

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
ELAN 66.19% D -4.49% 62.82 3,772
EVRI 62.39% C -2.76% 50.20 129
UNIT 57.96% C -1.94% 68.13 16,968
KDP 57.39% D -1.88% 66.14 569
TIVO 55.68% C -0.29% 63.35 1,429
MHK 54.75% C -0.50% 85.26 12,311
ZAYO 54.02% C -2.43% 90.04 32,079
FDP 53.79% C -1.08% 90.84 867
NDLS 52.81% D -2.77% 66.14 236
HAIN 49.95% F 4.11% 85.66 27,133
MSG 49.44% C -0.40% 87.65 2,752
VSAT 49.40% B -2.64% 93.63 7,832
CDK 47.42% B -9.74% 68.13 765
KHC 46.65% C -1.88% 64.54 76,764
RRD 46.24% C -1.17% 90.44 232
CZR 43.81% F -1.19% 76.10 14,865
MPAA 43.67% F -0.09% 80.88 1,482
BZH 42.34% D -0.43% 72.51 217
CTXS 41.91% A -1.35% 14.74 55,504
AMED 41.80% B 0.22% 100.00 1,973
PHM 39.85% B -1.82% 64.94 5,260
CNDT 39.53% D -0.32% 95.22 318
BIG 39.35% F 0.82% 87.25 2,037
ETM 39.21% D 1.55% 80.08 324

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
PCG -65.70% B -4.49% 96.02 129,236
RHT -65.51% D -2.76% 10.36 48,781
FDC -57.06% C -1.94% 4.78 30,052
PVTL -50.56% F -1.88% 32.11 2,104
VSM -48.03% B -0.29% 92.03 1,308
TGI -47.19% D -0.50% 90.44 257
ARNC -46.93% F -2.43% 83.67 100,956
MB -43.98% C -1.08% 6.37 233
NVDA -43.61% B -2.77% 70.12 1,525,335
SNAP -41.40% D 4.11% 56.57 46,088
CASA -41.33% C -0.40% 88.07 474
USG