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VIX down small as equities continue to rally into the end of month

Jan 31, 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 have carried yesterday’s momentum into this afternoon as risk assets climb higher. Currently, the S&P is +.9%, the Russell is +.8% and the Nasdaq is leading the market +1.8%. With the elimination of “gradual further rates hikes” from Fed rhetoric, bond yields are retracing with the 10-year Treasury trading around 2.64% (TLT +.7%). In single name news, Dow Dupont is the failing to participate in the risk-on move after revenues came in below expectations. On the other hand, General Electric  is up 14% as CEO Larry Culp expects revenues to grow in the “low-to-mid single digits.” WTI Crude is higher for the third consecutive session (USO +1.4%) on reports of slowing OPEC production. Homebuilders are outperforming today on an excellent home sales figure while Banks underperform on curve flattening. Volatilities are softer with the VIX -4% to 16.95, VXN -5% to 20.05, and RVX -3.7% at 19.38.

 

 

ETF 30D Volatility Changes

SPY:    -5%         

IWM:   -6%   

QQQ:  -8%       

Directional Options Strategies

Bullish Option Strategies

FCAU Buyer 80,000 Jan20 25 calls (ref. 16.93)

BAC Buyer 29,000 Aug 29 calls tied to 1.3 million shares (ref. 28.17)

FXC Buyer 4,800 Feb 11 calls (ref. 11.39)

DBX Buyer 15,000 Jan20 60 calls (ref. 24.80)

TGE Seller 5,000 Jul 22.5 puts (ref. 23.30)

GE Buyer 8,000 Sep 11 calls (ref. 10.51)

QCOM Buyer 12,500 Jun 52.5 calls (ref. 49.63)

PSTG Seller 10,000 Feb 17.5 puts (ref. 18.01)

EXEL Buyer 5,000 Feb – May 28 call spreads (rolls out and up, ref. 23.59)

TGT Buyer 8,500 Feb 75 calls (ref. 72.65)

Bearish Option Strategies

DWDP Buyer 4,700 Feb 50 calls (possibly closing) to Buy 4,700 Apr 52.5 – 47.5 put spreads (ref. 54.84)

KHC Buyer 5,800 Mar 50 puts (ref. 47.93)

NVAX Buyer 20,000 Feb – Apr 2 puts spreads (ref. 2.37)

DB Buyer 5,000 Feb 9 puts (ref. 8.85)

GE Buyer 90,000 Mar 9 – 8 put spreads (ref. 10.47)

 

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 Seller 15,000 Feb 43 calls to Buy 25,000 Mar 44 – 46 call spreads (rolls out and up, ref. 42.71)

EEM Seller 40,000 Feb 41.5 calls (closing) to Buy 64,000 Mar 8th 44.5 calls (rolls out and up, ref. 42.92)

EEM Buyer 7,500 Mar 44 calls and 10,000 Mar 45 calls (ref. 42.85)

VXXB Seller 10,000 Mar 46 calls (ref. 35.74)

VIX Seller 25,000 Feb 27 calls (ref. 17.45)

IEF Buyer 20,000 Feb 105 calls tied to stock (ref. 104.62)

BKLN Seller 20,000 Apr 22 puts (likely closing, ref. 22.51)

 

 

Bearish Option Strategies

EWZ Seller 35,000 Jan21 40 puts (closing) to Buy 30,000 Jan21 45 puts (rolls up longer dated puts, ref. 45.59)

EFA Buyer 15,745 Feb 55 – 64 strangles (closing) to Sell 15,745 Mar 59 and 58 puts and Mar 65 calls and Buy 15,745 Apr 62 puts (rolls bearish hedge financed via short strangle rolls, ref. 62.57)

SPY Buyer 14,744 May 230 puts (ref. 269.16)

SPY Buyer 14,875 Apr 262 puts (ref. 269.43)

QQQ Seller 10,000 Apr 176 calls (ref. 166.74)

 

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

 

 

Finance Trades Options Strategies

HYG 5,500 Feb 95 RevCons trade (ref. 85.17)

 

 

Upcoming Earnings

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
AFL 1/31/2019 2.6 1.9 36.1% B 92,053
AMZN 1/31/2019 5.3 4.5 16.6% C 13,707,388
DECK 1/31/2019 8.5 6.9 23.3% A 4,154
EMN 1/31/2019 3.2 2.0 62.2% C 3,704
EW 1/31/2019 5.4 6.5 -18.0% A 31,851
FBHS 1/31/2019 5.2 4.4 17.0% B 2,868
MCK 1/31/2019 4.5 4.3 6.7% D 7,436
PFPT 1/31/2019 7.3 6.8 6.9% B 3,714
POST 1/31/2019 2.3 4.2 -44.6% C 3,189
SYMC 1/31/2019 8.1 8.2 -1.8% C 20,173
BAH 2/1/2019 6.0 4.3 40.2% A 3,865
BERY 2/1/2019 5.2 4.7 10.6% C 3,642
CI 2/1/2019 3.7 1.6 129.7% A 36,389
CVX 2/1/2019 2.4 2.8 -11.8% C 183,804
D 2/1/2019 1.3 1.7 -24.5% B 21,989
HON 2/1/2019 2.7 1.8 51.8% B 54,252
IDXX 2/1/2019 6.0 5.1 18.1% A 2,846
ITW 2/1/2019 3.6 3.9 -7.2% B 14,937
KKR 2/1/2019 3.2 3.0 6.3% C 11,224
MRK 2/1/2019 2.0 1.8 12.9% A 200,507
MSG 2/1/2019 4.4 1.8 148.2% C 3,265
ROP 2/1/2019 3.5 3.0 17.1% A 2,083
SPG 2/1/2019 2.0 2.9 -32.3% C 30,599
WY 2/1/2019 3.5 3.4 4.5% D 7,029
XOM 2/1/2019 2.2 2.2 -1.2% C 217,154
ZBH 2/1/2019 3.8 5.0 -24.6% C 6,773
AEIS 2/4/2019 3.8 2.9 34.1% C 2,400
ALXN 2/4/2019 5.5 6.1 -9.4% C 24,317
ARE 2/4/2019 1.4 1.8 -21.6% D 2,604
AVB 2/4/2019 2.0 1.4 41.0% C 6,651
CLX 2/4/2019 3.7 3.1 19.0% B 22,074
GILD 2/4/2019 3.7 3.4 9.6% D 212,030
GLUU 2/4/2019 10.1 8.5 19.5% F 4,708
GOOGL 2/4/2019 4.1 3.5 17.5% C 1,539,199
HIG 2/4/2019 4.2 2.6 59.7% C 2,618
OLN 2/4/2019 4.9 3.2 52.6% D 1,734
ON 2/4/2019 1.5 4.3 -65.3% C 5,891
SYY 2/4/2019 4.3 4.8 -9.6% B 4,754
ADM 2/5/2019 3.4 3.1 9.4% C 14,586
ALL 2/5/2019 3.4 4.1 -17.9% C 23,512
APC 2/5/2019 4.4 3.5 28.4% F 154,126
ARMK 2/5/2019 6.4 4.6 38.3% C 2,124
ARRY 2/5/2019 6.6 7.4 -11.7% F 6,630
BDX 2/5/2019 2.5 2.1 18.1% C 18,507
CERN 2/5/2019 6.5 6.0 10.0% B 4,831
CNC 2/5/2019 4.5 4.1 9.8% B 9,411
CTLT 2/5/2019 7.4 6.1 20.8% F 1,175
DATA 2/5/2019 9.0 10.1 -11.0% C 27,280
DIS 2/5/2019 3.1 2.0 52.9% C 428,473
DLR 2/5/2019 2.3 3.8 -41.1% C 7,486
DOX 2/5/2019 4.3 2.3 89.3% C 30,811
EA 2/5/2019 6.7 5.0 33.2% C 152,531
EL 2/5/2019 4.0 5.0 -20.9% B 32,210
EMR 2/5/2019 2.4 2.3 6.0% C 29,839
ENR 2/5/2019 5.5 5.2 4.0% C 2,559
GSKY 2/5/2019 7.8 28.1 -72.2% D 841
IT 2/5/2019 5.2 3.8 38.3% C 2,458
LII 2/5/2019 4.0 2.4 66.2% C 11,398
LITE 2/5/2019 6.3 7.0 -9.6% B 6,241
MCHP 2/5/2019 2.9 5.6 -47.6% C 66,122
PAA 2/5/2019 3.7 5.0 -25.3% C 14,522
PAYC 2/5/2019 7.2 7.9 -8.0% B 6,278
RL 2/5/2019 7.2 6.5 10.3% C 7,936
SAVE 2/5/2019 4.8 6.1 -21.4% C 6,971
SFLY 2/5/2019 12.2 12.2 0.3% C 4,757
SNAP 2/5/2019 12.6 18.0 -30.4% D 51,599
SWKS 2/5/2019 5.3 6.0 -11.7% B 26,993
ULTI 2/5/2019 4.1 4.0 0.2% B 2,025
UNM 2/5/2019 6.3 3.5 78.6% C 2,153
VIAB 2/5/2019 6.4 5.3 21.0% D 7,351
VOYA 2/5/2019 4.5 3.4 32.7% D 4,898
VRTX 2/5/2019 4.5 1.8 158.3% C 81,071
WCG 2/5/2019 5.7 4.8 18.5% D 4,334
ZEN 2/5/2019 8.4 7.7 10.0% D 7,668

 

Volatility Standouts

 

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
KHC 74.75% C -5.39% 79.76 89,021
ISBC 7.10E-01 D -1.36% 49.60 3,432
TUP 64.42% C 2.61% 82.54 2,215
HAIN 62.27% F -2.00% 84.52 37,514
KDP 59.95% D 2.51% 63.10 629
MHK 59.87% C -0.22% 86.90 14,337
UNIT 55.44% C 3.27% 64.68 19,853
IDTI 53.19% C -2.06% 0.40 2,130
VSAT 52.87% B -3.88% 87.30 7,446
NDLS 52.56% D -17.55% 42.46 323
GPRO 50.19% F -21.15% 73.02 2,958
AMED 49.41% B -2.88% 96.43 2,249
ZAYO 48.90% C -7.74% 88.49 36,922
EVRI 46.91% C -0.24% 53.17 155
GSKY 44.38% D -2.60% 84.52 841
INGR 44.33% C -3.08% 84.52 174
CNDT 44.05% D -2.59% 92.06 269
REV 42.71% D -1.39% 71.83 936
RRD 42.19% C -4.58% 92.86 275
S 41.98% F -0.99% 68.25 12,145
TIVO 41.32% C -1.44% 58.73 1,745
SWCH 41.06% F 4.04% 78.17 661
EPC 40.75% D -2.39% 31.75 591
DISH 40.20% C -1.00% 88.10 36,582
Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
PCG -69.38% B -5.39% 92.06 107,562
RHT -67.68% D -1.36% 11.51 53,065
MB -65.48% C 2.61% 3.97 251
FDC -61.02% C -2.00% 20.24 32,289
GME -60.52% D 2.51% 70.63 24,126
PVTL -53.38% F -0.22% 28.13 1,910
NTRI -51.63% B 3.27% 2.38 3,253
VSM -46.89% B -2.06% 90.87 1,013
NVDA -46.57% B -3.88% 67.46 1,595,050
TGI -45.99% D -17.55% 82.94 295
CLF -43.01% C -21.15% 53.57 21,288
QEP -4.28E-01 F -2.88% 1.59 3,827
FNSR -42.47% F -7.74% 15.87 11,238
MO -41.90% C -0.24% 75.79 146,814
SNAP -40.48% D -2.60% 61.11 51,599
CASA -40.00% C -3.08% 82.58 556
GES -39.21% C -2.59% 42.46 483
TDG -39.06% B -1.39% 55.95 5,679
TTD -38.66% C -4.58% 74.21 37,003
FCX -38.41% D -0.99% 61.51 75,086
ADI -37.19% B -1.44% 65.08 23,093
AMAT -37.16% B 4.04% 59.13 78,110
P -37.15% D -2.39% 1.59 1,129
KLAC -36.98% B -1.00% 38.49 9,244
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE