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Stocks Wrap up Record January, Fed Confirms it’s Move to the Sidelines

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
ETF 30D IV 30D IV
Percentile
90D IV 90D IV
Percentile
90D/30D IV 90D/30D IV
Percentile
30D IV-
20D HV
30D IV-20D HV
Percentile
90D IV-
60D HV
90D IV-60D HV
Percentile
SPY 13.78 56.35% 15.09 63.1% 1.1 59.33% -4.43 24.6% -8.03 2.78%
QQQ 18.43 52.78% 18.74 57.94% 1.02 53.57% -7.09 23.41% -11.91 1.59%
IWM 16.65 59.72% 17.36 64.68% 1.04 55.75% -2.52 25.79% -7.25 1.59%
FEZ 13.97 31.15% 14.77 38.49% 1.06 73.21% -2.48 26.39% -3.54 9.13%
EEM 18.53 44.44% 19.06 43.25% 1.03 61.71% -0.73 47.22% -2.12 30.56%

 

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

Stocks Wrap up Record January, Fed Confirms it’s Move to the Sidelines

The story this week was a dovish Fed – with the elimination of “gradual further hikes” from FOMC language, Equities have re-discovered their runway and are prepared for takeoff. The S&P is set to gain roughly 2.5% on the week while the VIX has receded into the mid-teens (~16.50). Earnings were mixed this week as Nvidia and Caterpillar disappointing while Facebook and Boeing exceeded expectations. Looking ahead, it appears as though trade tensions and a slowing Europe present the most significant immediate risks. Surely, however, if US economic data continues to remain strong “Patient” Jay could again transform his tone.

Bullish: QQQ Buyer 50,000 Apr 189 – 191 call spreads (ref. 161.91)

Bullish: VXXB Buyer 14,000 Feb 8th 34 puts (ref. 38.65)

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

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

Bearish: SPY Seller 80,000 Mar 225 puts to Buy 80,000 Jun 241 puts (adjusts hedge, ref. 263.02)

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

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

Bearish: FEZ Buyer 19,700 Mar 34 puts (ref. 35.21)

 

When the Fed zigs, the data zags – with the Fed tightening late in 2018, economic data came in softer than expected. This week, with the Fed pivoting into super-dovish mode, home sales, the jobs report and ISM manufacturing data all came in above expectations. The future direction of interest rates will be at the center of equity market performance which was reflected in mixed bets on interest-rate sensitive sectors.

Bullish: IYR Seller 25,000 Mar 82 puts (ref. 83.50)

Bearish: IYR Buyer 40,000 Mar 1st 82 puts (ref. 83.35)

Bearish: VNQ Seller 85,000 Mar 70 puts (closing) to Buy 60,000 Apr 77 puts (rolls out and up, ref. 82.10)

 

OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE