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VIX trades at lowest levels since October 2018 on equity rally

Feb 04, 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

Stocks are modestly stronger this afternoon as the risk-on bent continues to drive stocks higher. Currently, the S&P is +.3% , the Russell +.8% and the Nasdaq is +1%. Bonds are weaker as the curve steepens slightly (SHY flat, TLT -.6%). In single name news, Pizza Hut is up 10% on after activist hedge fund Starboard took a $200 million stake in the firm. The energy sector is underperforming as a political resolution in Venezuela could boost oil supply in the long run. Meanwhile, KRE (Regional Banks)  is outperforming today on a mild steepening in the 2-10 curve. Volatilities are mixed with the VIX -2% to 15.88, VXN +3% to 19.86, and RVX -3% at 17.92.

ETF 30D Volatility Changes

SPY:    -12%         

IWM:   -10%   

QQQ:  -9%       

 

Directional Options Strategies

Bullish Option Strategies

AIG Seller 44,850 Mar 43 puts to Buy 44,850 Mar 45 calls (Earnings 2/13, ref. 43.99)

MAT Buyer 5,000 Feb 8th 13 calls (Earnings 2/7, ref. 12.22)

NVDA Buyer 5,000 Mar 140 – Sep 150 call spreads (rolls out and up, ref. 146.86)

BAC Buyer 50,000 Jun 35 calls (ref. 28.77)

GM Buyer 7,500 Sep 40 calls (ref. 38.62)

ETFC Buyer 10,000 Jul 50 calls tied to stock (ref.  47.47)

CTXS Buyer 4,300 Mar 110 calls (ref. 105.34)

 

Bearish Option Strategies

PBI Buyer 6,400 Feb 6 puts (Earnings 2/5, ref. 6.68)

EBAY Seller 20,000 Apr 30 calls to Buy 40,000 Apr 36 calls (monetizes, rolls up, ref. 34.49)

AAL Seller 38,000 Mar 37 calls to Buy 38,000 Mar 36 puts tied to stock (ref. 36.55)

GM Buyer 5,000 Feb – Mar 38 put spreads (rolls out, ref. 38.62)

PAGB Seller 12,000 Feb 24 calls (opens write, Earnings 2/5, ref. 22.96)

 

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

XLF Buyer 7,000 Jun 28 calls (ref. 25.94)

QQQ Buyer 10,000 Mar 174 – 180 call spreads (ref. 168.98)

SPY Buyer 8,000 Mar 283 calls (ref. 270.58)

 

Bearish Option Strategies

SPY Buyer 37,188 Mar 223 puts (ref. 269.75)

SPY Buyer 12,726 Mar 240 puts (ref. 270.67)

FXI Seller 10,000 Feb 43 calls tied to stock (ref. 42.70)

XOP 20,000 Jun – Sep 26 put spreads trade (ref. 30.47)

 

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

 

 

Finance Trades Options Strategies

EWZ 9,500 Jun 45 RevCons trade (ref. 45.25)

AMD 8,200 Apr 25 RevCons trade (ref. 24.35)

AMZN 1,000 Mar 1550 RevCons trade (ref. 1647.70)

 

 

 

Upcoming Earnings

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
AEIS 2/4/2019 3.5 2.9 21.6% C 2,428
ARE 2/4/2019 1.7 1.8 -5.9% C 2,229
AVB 2/4/2019 1.7 1.4 20.6% B 3,106
GILD 2/4/2019 3.6 3.2 12.9% D 252,328
GLUU 2/4/2019 11.8 8.2 43.1% F 6,188
GOOGL 2/4/2019 3.7 3.5 7.5% C 1,466,227
HIG 2/4/2019 3.3 2.6 28.0% B 3,248
SCCO 2/4/2019 1.8 2.1 -12.1% D 1,696
ADM 2/5/2019 2.9 3.0 -1.4% C 16,332
ALL 2/5/2019 3.0 4.2 -27.6% C 28,634
APC 2/5/2019 4.7 3.5 35.9% D 164,960
ARMK 2/5/2019 5.6 4.6 22.0% B 1,585
ARRY 2/5/2019 8.6 7.4 15.8% F 7,428
BDX 2/5/2019 2.4 2.1 14.8% D 19,054
CERN 2/5/2019 7.4 6.0 24.6% C 4,205
CNC 2/5/2019 4.5 4.1 11.0% B 8,573
DATA 2/5/2019 8.9 9.6 -7.8% D 35,204
DIS 2/5/2019 2.6 2.0 30.1% C 493,985
DLR 2/5/2019 2.2 3.8 -43.0% B 10,981
DOX 2/5/2019 4.3 2.3 83.7% C 43,939
EA 2/5/2019 6.4 5.0 26.9% D 120,120
EL 2/5/2019 4.1 5.1 -19.2% C 17,366
EMR 2/5/2019 2.1 2.3 -5.0% B 37,442
ENR 2/5/2019 5.0 5.2 -4.0% D 2,999
IT 2/5/2019 4.9 3.7 29.9% C 2,308
LII 2/5/2019 3.5 2.4 45.6% C 10,948
LITE 2/5/2019 6.9 7.1 -2.5% C 6,923
MCHP 2/5/2019 5.1 5.8 -12.0% C 68,166
MKL 2/5/2019 0.4 1.9 -79.6% C 3,278
NBIX 2/5/2019 2.9 6.6 -55.9% F 15,424
PAA 2/5/2019 3.9 5.0 -21.9% C 14,330
PAGP 2/5/2019 4.7 4.9 -3.9% C 1,995
PAYC 2/5/2019 7.4 7.9 -5.5% C 8,014
RL 2/5/2019 6.6 6.3 4.4% C 5,369
SAVE 2/5/2019 4.2 6.1 -31.5% C 4,322
SFLY 2/5/2019 12.3 12.6 -1.8% B 5,084
SNAP 2/5/2019 14.4 18.0 -20.3% F 34,539
SWKS 2/5/2019 4.7 6.0 -20.8% B 29,130
UNM 2/5/2019 5.8 3.6 59.2% C 2,695
VIAB 2/5/2019 5.8 5.3 9.8% D 9,034
VOYA 2/5/2019 4.6 3.4 35.6% D 5,839
VRTX 2/5/2019 4.5 1.8 154.1% B 84,746
WCG 2/5/2019 6.4 4.8 34.6% D 3,227
ZEN 2/5/2019 8.5 7.7 11.2% D 9,653
BSX 2/6/2019 3.1 2.2 44.9% D 13,933
CMG 2/6/2019 7.3 9.0 -18.3% D 362,850
CMI 2/6/2019 3.7 3.5 4.3% B 71,781
CTSH 2/6/2019 4.8 4.2 13.4% C 7,825
EFX 2/6/2019 2.2 4.8 -53.5% D 9,851
FEYE 2/6/2019 9.2 8.8 4.4% D 21,179
FLT 2/6/2019 5.2 6.2 -17.1% A 2,868
FTNT 2/6/2019 7.3 8.0 -8.2% B 12,897
GM 2/6/2019 3.7 3.9 -4.8% F 215,748
GPRO 2/6/2019 16.5 13.1 26.0% D 2,130
HQY 2/6/2019 5.4 6.4 -15.6% B 6,114
HUM 2/6/2019 3.0 3.1 -3.7% B 46,198
IRBT 2/6/2019 12.8 14.9 -14.3% C 44,361
JEC 2/6/2019 6.0 6.6 -9.4% C 3,419
LLY 2/6/2019 2.4 3.0 -20.8% C 205,108
LNC 2/6/2019 3.4 2.6 31.8% C 14,124
MET 2/6/2019 2.9 2.8 2.4% C 50,033
MTCH 2/6/2019 10.9 9.6 13.1% D 7,580
NEWR 2/6/2019 6.9 6.4 8.5% F 6,685
NOV 2/6/2019 5.4 4.1 31.3% C 4,301
ORLY 2/6/2019 5.1 4.5 12.8% B 15,048
PRU 2/6/2019 3.3 3.2 0.9% C 43,809
REGN 2/6/2019 4.0 3.1 27.2% B 120,900
RGLD 2/6/2019 2.5 1.9 28.5% D 10,529
TRMB 2/6/2019 6.5 5.0 31.1% B 2,615
TTWO 2/6/2019 7.5