blog

Latest from the Quantamize Blog

Market continue higher on good economic numbers

Feb 01, 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 to modestly stronger this afternoon after economic data (jobs report, ISM manufacturing) came in stronger than expected. Currently, the S&P is +.2%, the Russell +.2% and the Nasdaq is flat. Bonds are giving back some this week’s gains as yields drift higher on the positive economic data (TLT -0.6%). In single name news, Amazon is lower (-4%) despite reporting record revenues. The tech behemoth offered conservative revenue guidance and highlighted the possibility of greater investments in 2019.  The Energy sector is outperforming today (XLE +1.8%) and is being led higher by Exxon (+3.5% on earnings beat). Meanwhile, IYR is lagging the broader market thanks to higher rates. Volatilities are softer with the VIX -2% to 16.21, VXN -2% to 19.06, and RVX -2.7% at 18.58.

 

ETF 30D Volatility Changes

SPY:    -3%         

IWM:   -5%   

QQQ:  -6%       

 

Directional Options Strategies

Bullish Option Strategies

EVRI Seller 12,000 Mar 7.5 calls (closing) to Buy 15,000 Jun 7.5 – 10 call spreads (rolls out, ref. 6.71)

DHI Buyer 8,400 Mar 39 calls (ref. ref. 38.94)

SBUX Buyer 3,800 Feb 1st 69 calls (ref. 68.69)

DWDP Buyer 4,000 Mar 57.5 – 60 call spreads (ref. 52.82)

COG Seller 21,250 Feb 26 calls (likely closing) to Buy 13,500 Mar 26 calls (rolls out, ref. 25.09)

MDR Buyer 10,000 Mar 11 calls (ref. 9.22)

 

Bearish Option Strategies

MAR Seller 18,500 Apr 95 puts (closing) to Buy 10,000 Apr 110 puts (rolls puts up, Earnings 2/19, ref. 114.36)

NOV Seller 48,000 Mar 22nd 30.5 calls to Buy 48,0000 Mar 22nd 29 puts (ref. 30.33)

ZAYO Seller 5,000 Feb 27.5 calls tied stock (ref. 27.47)

GE Buyer 10,000 Jun 6 puts (ref. 10.20)

XRX Buyer 4,000 Feb 28 puts (ref. 28.44)

 

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

EWZ 6,200 Jun 45 – Mar 48 call spreads trade (ref. 45.04)

XLF Seller 10,00 Feb 1st 26 calls (closing) to Buy 10,000 Mar 27 – 28 call spreads (monetizes and rolls into a spread, ref. 26.14)

VXXB Seller 10,900 Mar 45 calls (ref. 35.36)

 

Bearish Option Strategies

IYR Buyer 25,000 Mar 1st 82 puts (ref. 83.35)

IWM Buyer 8,943 Feb 8th 145 puts (ref. 149.40)

IWM Seller 14,451 Mar 138 – 123 put spreads to Buy 14,157 Mar 142 – 127 put spreads (rolls up, ref. 149.29)

EEM Buyer 10,000 Feb 8th 42.5 puts tied to stock (ref. 42.72)

XRT Buyer 18,500 Feb 42 – Mar 43 put spreads (ref. 43.87)

 

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 Feb 43 RevCons trade (ref. 42.73)

QQQ 5,000 Mar 164 RevCons trade (ref. 168.11)

NIO 1,000 Mar 10 RevCons trade (ref. 7.90)

HYG 5,000 Feb 95 RevCons trade (ref. 84.61)

 

 

Upcoming Earnings

 

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
SCCO 2/1/2019 0.5 2.1 -76.1% D 1,672
AEIS 2/4/2019 4.0 2.9 39.8% C 2,450
ALXN 2/4/2019 5.7 6.1 -6.5% C 25,232
ARE 2/4/2019 1.7 1.8 -8.9% C 2,163
AVB 2/4/2019 2.2 1.4 53.9% B 6,677
CLX 2/4/2019 3.7 3.1 18.6% C 19,983
GILD 2/4/2019 3.8 3.2 16.8% D 235,674
GLUU 2/4/2019 10.0 8.5 18.1% F 5,218
GOOGL 2/4/2019 4.1 3.5 19.1% C 1,430,517
HIG 2/4/2019 4.1 2.6 57.0% B 2,767
OLN 2/4/2019 5.0 3.1 61.6% C 1,141
ON 2/4/2019 4.2 4.3 -2.7% C 1,612
SYY 2/4/2019 4.4 4.8 -8.9% B 4,539
ADM 2/5/2019 3.3 3.0 10.9% C 13,908
ALL 2/5/2019 3.1 4.1 -23.3% C 25,048
APC 2/5/2019 5.1 3.5 48.7% D 157,909
ARMK 2/5/2019 6.2 4.6 34.7% B 2,473
ARRY 2/5/2019 7.0 7.4 -5.3% F 6,210
BDX 2/5/2019 2.5 2.1 17.6% D 19,278
CERN 2/5/2019 6.7 6.0 12.9% C 5,094
CHD 2/5/2019 3.5 4.1 -14.6% B 8,116
CNC 2/5/2019 4.4 4.1 7.2% B 8,535
DATA 2/5/2019 9.0 10.1 -11.0% D 30,246
DIS 2/5/2019 2.8 2.0 39.8% C 439,084
DLR 2/5/2019 2.4 3.8 -38.3% B 8,717
DOX 2/5/2019 4.3 2.3 84.5% C 35,954
EA 2/5/2019 6.8 5.0 35.3% D 132,021
EL 2/5/2019 4.0 5.0 -19.9% C 37,870
EMR 2/5/2019 2.4 2.3 5.9% B 35,012
ENR 2/5/2019 5.4 5.2 3.2% D 2,674
IT 2/5/2019 5.1 3.8 33.7% C 2,393
LII 2/5/2019 3.5 2.4 46.5% C 11,647
LITE 2/5/2019 6.8 7.0 -2.4% C 6,591
MCHP 2/5/2019 4.7 5.6 -17.4% C 67,066
PAA 2/5/2019 4.2 5.0 -16.7% C 14,112
PAYC 2/5/2019 7.2 7.9 -8.9% C 7,089
RL 2/5/2019 6.9 6.5 6.4% C 5,043
SAVE 2/5/2019 5.1 6.1 -16.5% C 5,910
SFLY 2/5/2019 12.2 12.2 -0.2% B 5,891
SNAP 2/5/2019 14.6 18.0 -18.9% F 37,459
SWKS 2/5/2019 4.9 6.0 -18.9% B 28,214
ULTI 2/5/2019 4.3 4.0 7.8% C 2,510
UNM 2/5/2019 5.7 3.6 57.3% C 2,189
VIAB 2/5/2019 5.8 5.3 9.6% D 8,054
VOYA 2/5/2019 4.6 3.4 35.1% D 5,278
VRTX 2/5/2019 4.7 1.8 168.2% B 90,623
WCG 2/5/2019 6.0 4.8 25.6% D 3,639
ZEN 2/5/2019 8.8 7.7 15.5% D 8,396
BSX 2/6/2019 5.4 2.3 137.9% D 18,802
CMG 2/6/2019 7.5 9.0 -16.3% D 369,147
CMI 2/6/2019 3.7 3.5 3.3% B 65,980
CTSH 2/6/2019 4.5 4.2 6.9% C 7,538
EFX 2/6/2019 1.6 4.8 -67.4% D 8,562
ELAN 2/6/2019 9.1 1.7 431.1% D 970
FEYE 2/6/2019 9.3 8.8 5.4% D 17,738
FLT 2/6/2019 5.2 6.2 -15.9% A 2,999
FTNT 2/6/2019 7.4 8.0 -7.4% B 11,512
GM 2/6/2019 4.0 3.8 5.5% F 236,305
GPRO 2/6/2019 14.6 12.8 14.5% D 1,761
HQY 2/6/2019 5.7 6.4 -11.0% B 4,775
HUM 2/6/2019 3.1 3.1 0.8% B 59,952
IRBT 2/6/2019 13.4 14.9 -10.3% C 34,535
JEC 2/6/2019 5.9 6.4 -8.8% C 4,264
LLY 2/6/2019 2.0 3.0 -33.8% C 176,226
LNC 2/6/2019 3.1 2.6 16.9% C 11,349
MET 2/6/2019 3.2 2.9 8.8% C 58,720
MTCH 2/6/2019 10.6 9.6 10.8% D 10,669
NEWR 2/6/2019 5.9 6.3 -7.6% F 9,009
NOV 2/6/2019 4.9 4.2 18.7% C 3,828
ORLY 2/6/2019 5.2 4.5 14.7% B 18,233
PRU 2/6/2019 3.2 3.2 -1.2% C 43,987
REGN 2/6/2019 3.8 3.1 20.7% B 143,359
RGLD 2/6/2019 1.9 2.2 -11.1% D 10,288
TRMB 2/6/2019 6.6 5.0 33.7% B 3,067
TTWO 2/6/2019 7.5 6.8 10.8% C 86,368
ZNGA 2/6/2019 8.0 4.1 94.4% D 2,766

 

Volatility Standouts

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
ELAN 64.47% D -0.08% 96.30 970
NDLS 63.50% D 3.84% 76.19 402
ZAYO 60.03% D -4.30% 91.67 45,577
HAIN 58.93% F -4.38% 86.11 46,629
AGNC 58.80% D -1.79% 7.14 3,674
TUP 54.66% C -0.54% 75.40 2,597
GPRO 53.57% D -3.78% 72.22 1,761
UNIT 53.39% F -0.13% 63.89 10,864
EVRI 49.72% C -1.93% 79.37 177
INGR 47.97% A -2.04% 82.54 211
GSKY 47.50% D -0.99% 93.49 737
MHK 47.23% D -0.87% 88.49 16,705
AMED 46.41% C 5.97% 89.68 2,441
REV 44.78% D 4.07% 69.84 858
CNDT 44.70% D -0.80% 92.86 295
TWOU 44.61% D -3.43% 75.79 1,071
EXEL 44.10% B -5.96% 78.17 17,202
USAT 43.59% F -0.82% 70.63 384
FTAI 43.45% C -2.14% 86.51 590
RRD 43.35% C -1.19% 93.25 298
RRR 42.97% C -0.51% 71.83 1,112
NXST 41.96% A -8.04% 71.03 562
ETM 40.94% D -2.29% 82.94 435
VSAT 40.15% C -0.68% 89.68 7,215
Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
GME -61.92% D -0.08% 73.41 27,456
PCG -60.96% C 3.84% 91.67 95,542
MB -60.48% C -4.30% 1.59 262
RHT -57.14% C -4.38% 7.14 52,332
PVTL -54.32% F -1.79% 22.80 2,209
NTRI -54.18% C -0.54% 7.94 3,341
DNB -50.97% A -3.78% 0.40 4,152
FDC -49.63% C -0.13% 23.41 20,232
FNSR -48.66% F -1.93% 3.97 14,021
NVDA -47.16% C -2.04% 64.68 1,611,404
VSM -44.64% B -0.99% 91.27 1,241
QEP -43.99% F -0.87% 2.78 4,738
MO -43.52% C 5.97% 69.84 163,170
CLF -43.14% C 4.07% 31.75 25,165
TDG -40.46% C -0.80% 50.00 6,315
TTD -39.28% C -3.43% 76.59 40,010
CASA -38.92% C -5.96% 58.10 647
GES -38.08% C -0.82% 45.63 358
MIK -3.81E-01 C -2.14% 59.52 345
FCX -37.15% F -1.19% 57.94 76,540
ZS -36.19% F -0.51% 16.67 15,667
PFE -35.81% C -8.04% 61.51 221,532
ISRG -35.72% D -2.29% 48.02 207,911
P -35.44% D -0.68% 94.44 1,227
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE