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VIX -2% on positive Apple earnings but stays bid awaiting Fed Announcement

Jan 30, 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 stronger this afternoon on the back of positive outlooks from Apple and Boeing. Currently, the S&P is +.1%, the Russell is +.6% flat and the Nasdaq is leading the market +1.5%. Despite what most expect to be a dovish Jay Powell, bond yields are slightly higher with the 10-year Treasury trading around 2.73% (TLT -.25%). In single name news, AMD is rallying powerfully (driven in part by short covering) as revenue guidance was strong relative to its peers. WTI Crude is higher for the second consecutive session (USO +3%) despite a modest bump in crude inventories (EIA report). Homebuilders are underperforming today on a weak home sales number (on top of a weak consumer confidence figure yesterday). Volatilities are softer with the VIX -2.6% to 18.63, VXN -6% to 22.46, and RVX -2.4% at 21.21.

ETF 30D Volatility Changes

SPY:    -6%         

IWM:   -5%   

QQQ:  -8%       

 

Directional Options Strategies

Bullish Option Strategies

FB Buyer 15,000 Feb 147 – 157.5 call spreads (Earnings after close, ref. 146.79)

CLF Buyer 2,100 Feb 1st 9.5 calls (ref. 10.29)

CMCSA Seller 8,200 Feb 1st – Mar 8th 34 put spreads (rolls write out, ref. 35.43)

EBAY Buyer 20,000 Apr 30 straddles tied to stock (ref. 33.45)

CTL Buyer 6,500 Feb 15 calls (Earnings 2/13, ref. 14.52)

VIAB Buyer 6,300 Feb 22nd 28.5 calls (Earnings 2/5, ref. 28.45)

ON Buyer 6,166 Feb 21 – 22 call spreads tied to stock (ref. 19.61)

 

Bearish Option Strategies

ZNGA Seller 10,000 Feb 4.5 calls (ref. 4.48)

KHC Buyer 10,000 Mar 50 puts (ref. 47.01)

NE Buyer 5,500 Jan20 3 puts (ref. 3.32)

F Buyer 5,00 Feb 8th 8.5 puts (ref. 8.53)

MAC Buyer 4,200 Feb 47.5 puts (Earnings 2/7, ref. 46.70)

AMD Buyer 5,000 Jul 17 puts (possibly closing, ref. 22.17)

 

 

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

EWY Buyer 6,000 Apr 69 calls (ref. 64.03)

XOP Buyer 5,000 Feb 31 – 32 1x2 call spreads (ref. 30.23)

XOP Buyer 8,000 Apr 33 – 36 call spreads (ref. 30.24)

VIX Buyer 50,000 Feb 15 puts (ref. 18.85)

Bearish Option Strategies

UUP Buyer 20,000 Feb 8th 25.5 puts (ref. 25.48)

EEM Buyer 11,550 Feb 37 puts (ref. 42.07)

FXI Buyer 5,000 Feb 42 – 41 1x2 put spreads (ref. 41.96)

GDX Buyer 9,645 Feb 21 puts (ref. 21.93)

SPY Buyer 59,923 Feb 229 puts (ref. 264.84)

XOP 26,000 Feb – Apr 31 put spreads trade (likely rolls out, ref. 30.62)

VNQ Buyer 7,500 Mar 80 – 76 1x2 put spreads (ref. 82.62)

 

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

 

 

Finance Trades Options Strategies

WB 2,000 Mar 60 RevCons trade (ref. 58.10)

OSTK 3,000 Mar 22.5 RevCons trade (ref. 21.87)

 

 

 

Upcoming Earnings

 

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
AGNC 1/30/2019 1.6 1.4 9.1% C 3,553
AMP 1/30/2019 4.5 3.6 24.2% C 4,534
CACC 1/30/2019 7.1 7.2 -0.5% D 4,591
CREE 1/30/2019 8.0 6.7 19.4% F 7,703
CRUS 1/30/2019 7.1 4.8 47.5% C 2,827
ESS 1/30/2019 2.8 2.0 40.1% D 6,855
FB 1/30/2019 6.6 6.2 6.6% B 3,001,451
HOLX 1/30/2019 5.2 4.2 25.6% C 5,486
ISBC 1/30/2019 10.0 2.2 349.3% D 3,420
MDLZ 1/30/2019 3.4 3.5 -5.3% C 45,848
MLNX 1/30/2019 5.7 3.9 46.4% A 19,782
MSFT 1/30/2019 4.2 3.0 40.9% B 1,385,182
MUR 1/30/2019 5.2 3.5 46.1% D 2,591
NOW 1/30/2019 5.9 3.3 81.5% D 88,673
PYPL 1/30/2019 5.3 5.4 -1.6% B 318,556
QCOM 1/30/2019 5.1 4.2 22.1% C 617,725
TSLA 1/30/2019 9.3 7.7 21.3% D 3,692,664
V 1/30/2019 3.1 2.6 18.5% A 351,758
WYNN 1/30/2019 6.4 7.0 -8.4% D 212,751
X 1/30/2019 8.0 8.6 -6.9% C 67,147
ABC 1/31/2019 4.5 4.3 5.0% D 26,788
ABMD 1/31/2019 8.6 7.1 20.7% B 34,609
AFL 1/31/2019 2.8 1.9 48.2% B 89,372
AMZN 1/31/2019 5.4 4.5 18.6% C 14,176,282
APO 1/31/2019 3.6 2.0 83.0% F 6,045
BAX 1/31/2019 4.5 3.7 22.2% A 16,343
BC 1/31/2019 6.9 5.4 27.4% C 7,708
BHGE 1/31/2019 4.2 2.0 110.3% D 7,944
BLL 1/31/2019 3.5 4.2 -15.1% C 13,369
CHTR 1/31/2019 6.3 5.5 16.1% C 21,795
CNX 1/31/2019 6.2 4.3 42.5% F 1,713
COP 1/31/2019 2.4 2.2 9.3% B 52,899
DECK 1/31/2019 9.0 6.9 29.2% A 3,918
DWDP 1/31/2019 3.6 3.5 2.6% C 99,259
EMN 1/31/2019 2.9 2.0 46.9% C 3,317
EPD 1/31/2019 1.7 1.5 11.2% C 24,532
EW 1/31/2019 5.9 6.5 -10.1% A 40,814
FBHS 1/31/2019 5.4 4.4 22.3% B 3,276
GE 1/31/2019 8.3 3.8 122.0% F 274,869
HSY 1/31/2019 3.6 4.0 -8.7% B 13,017
IIVI 1/31/2019 9.1 10.4 -12.8% C 11,925
IP 1/31/2019 4.0 3.3 21.8% B 28,792
KEM 1/31/2019 8.0 10.6 -24.3% A 11,865
MA 1/31/2019 3.4 2.1 56.8% A 214,585
MCK 1/31/2019 4.7 4.3 9.3% D 7,528
MDC 1/31/2019 5.3 5.2 1.9% B 1,776
MMC 1/31/2019 3.4 2.7 25.0% C 2,386
MMP 1/31/2019 1.2 0.9 37.4% C 8,101
MO 1/31/2019 3.1 1.7 78.6% C 135,048
MSCI 1/31/2019 2.5 3.6 -28.9% A 2,593
NOC 1/31/2019 4.0 3.5 14.9% A 107,807
PFPT 1/31/2019 7.3 6.8 6.7% B 3,383
PH 1/31/2019 3.5 3.1 9.9% A 8,624
POST 1/31/2019 0.4 4.2 -90.2% C 3,589
RTN 1/31/2019 2.8 2.3 25.5% B 75,488
S 1/31/2019 4.8 5.7 -15.8% F 10,366
SHW 1/31/2019 3.5 3.7 -4.7% B 34,492
SYMC 1/31/2019 9.4 8.2 14.2% C 17,859
TSCO 1/31/2019 5.4 4.8 12.6% A 6,935
UPS 1/31/2019 5.0 4.1 20.5% B 155,964
VLO 1/31/2019 3.5 2.7 30.9% F 53,515
WCC 1/31/2019 5.0 5.6 -11.8% D 1,561
WRK 1/31/2019 4.6 2.7 74.1% C 2,516
XYL 1/31/2019 4.1 3.5 17.6% B 2,473
BAH 2/1/2019 6.0 4.3 41.5% A 4,492
BERY 2/1/2019 5.2 4.7 8.9% C 3,857
CI 2/1/2019 3.6 1.6 123.2% A 60,510
CVX 2/1/2019 2.7 2.8 -3.0% C 173,420
D 2/1/2019 1.8 1.7 9.1% B 21,211
HON 2/1/2019 2.7 1.8 49.7% B 49,165
IDXX 2/1/2019 6.1 5.1 20.4% A 3,699
ITW 2/1/2019 3.9 3.9 0.0% B 14,084
KKR 2/1/2019 3.7 3.0 23.8% C 9,627
MRK 2/1/2019 2.4 1.8 34.6% A 186,447
MSG 2/1/2019 4.6 1.8 154.5% C 2,833
ROP 2/1/2019 3.4 3.0 11.8% A 1,780
SPG 2/1/2019 2.2 2.9 -25.6% C 28,897
WY 2/1/2019 3.5 3.4 2.9% D 6,634
XOM 2/1/2019 2.4 2.2 8.0% C 204,229
ZBH 2/1/2019 4.7 5.0 -5.5% C 6,381

 

Volatility Standouts

 

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
KHC 65.68% C 0.70% 71.83 81,555
KDP 65.49% D 0.51% 65.48 592
MHK 64.80% C -8.77% 86.11 13,949
NDLS 61.09% D -2.09% 32.94 273
HAIN 59.93% F -2.66% 79.76 31,421
EVRI 58.44% C -1.73% 58.73 141
VSAT 58.05% B -22.74% 94.05 8,293
CDK 56.35% B 0.47% 67.46 876
BIG 55.94% F -3.60% 85.71 1,767
AMED 55.53% B -0.51% 96.43 2,205
UNIT 54.39% C 1.22% 71.03 18,777
ISBC 54.01% D -2.44% 60.71 3,420
GSKY 50.80% D 3.24% 86.23 2,602
ZAYO 49.15% C -0.15% 86.90 31,243
USAT 46.80% F -0.41% 72.62 412
SWCH 46.56% F -1.03% 86.11 564
FDP 46.52% C -2.71% 88.89 902
DISH 44.40% C -1.46% 86.90 32,455
MPAA 44.10% F -16.13% 79.37 1,726
PDCE 43.76% F 0.27% 68.65 1,511
ARCC 43.64% C -0.80% 87.70 5,279
NXST 42.75% C -1.03% 79.37 632
BZH 42.27% D 2.25% 71.83 234
RRD 42.20% C -0.51% 97.62 249

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
IDTI -67.25% C 0.70% 1.19 1,935
PCG -64.93% B 0.51% 94.44 120,682
RHT -63.85% D -8.77% 12.30 51,568
MB -62.55% C -2.09% 3.97 245
FDC -58.94% C -2.66% 17.86 27,669
GME -57.85% D -1.73% 77.38 21,532
NTRI -55.39% B -22.74% 1.98 3,209
TGI -49.01% D 0.47% 85.32 274
PVTL -4.64E-01 F -3.60% 33.51 1,958
NVDA -43.62% B -0.51% 75.00 1,534,188
SNAP -39.92% D 1.22% 54.76 48,761
KLAC -39.56% B -2.44% 73.41 7,878
CASA -37.83% C 3.24% 88.70 517
TTD -37.58% C -0.15% 73.41 36,798
VSM -37.34% B -0.41% 90.87 1,475
CLF -36.63% C -1.03% 65.08 19,465
EFII -35.93% C -2.71% 65.08 859
GES -35.74% C -1.46% 43.25 1,111
TDG -35.20% B -16.13% 65.08 4,802
AMAT -33.83% B 0.27% 67.86 131,874
ADI -33.62% B -0.80% 70.24 21,118
ARRS -33.58% C -1.03% 13.49 364
IMMU -33.02% C 2.25% 63.49 31,085
MXIM -31.50% C -0.51% 61.90 3,357

 

OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE