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VIX unchanged as equities are giving up earlier gains

Feb 05, 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 mixed this afternoon and off their highs in part due to a mixed ISM figure (new orders disappointed). Currently, the S&P is +.3% , the Russell -.2% and the Nasdaq is +7%. Bonds are stronger (TLT +.45) as the Jan ISM New Orders data fell to a one-year low. In single name news, Alphabet is slightly lower (-.65%) despite reporting impressive earnings – with the cost per click metric falling 29% year over year some investors are concerned about margin compression. The Consumer Discretionary sector is outperforming today (+.9%) and Financials are lagging (-.3%) on a flatter curve. Volatilities are slightly lower with the VIX -2% to 15.48, VXN -1% to 19.44, and RVX flat at 17.29.

 

ETF 30D Volatility Changes

SPY:    -2%         

IWM:   -2%   

QQQ:  -2%       

 

 

Directional Options Strategies

Bullish Option Strategies

VALE Seller 6,000 Mar 11 – 9 put spreads (appears closing, ref. 12.08)

ETSY Buyer 6,500 Feb 65 calls (ref. 60.45)

EBAY Seller 5,000 Apr 32 calls (closing) to Buy 10,000 Mar 22nd 35 calls (ref. 35.25)

BABA Buyer 4,000 Mar 175 – 190 call spreads (ref. 170.87)

TTWO Buyer 2,000 Feb 8th 113 calls (Earnings 2/6, ref. 107.06)

APC Seller 5,000 May 50 calls to Buy 7,500 May 55 calls (Earnings 2/5, monetizes and sizes up, ref. 49.01)

FIT Buyer 4,100 Apr 7 calls (ref. 6.46)

GILD 4,900 Feb 8th 70 calls trade (ref. 67.99)

ON Seller 6,100 Feb 21 calls to Buy 9,100 Mar 22 calls (rolls out and up, ref. 21.66)

 

Bearish Option Strategies

MDLZ Buyer 6,500 Mar 44 puts (ref. 45.92)

CARS Seller 5,000 Jun 30 calls tied to stock (ref. 26.95)

NVAX 20,000 Feb – Apr 2 put spreads trade (ref. 2.33)

AMD Buyer 10,000 Apr 15 puts (ref. 23.36)

 

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

QQQ Buyer 10,000 Mar 173 – 179 call stupids (ref. 170.66)

SPY Buyer 5,000 Mar 280 – 285 – 290 call flies (ref. 273.01)

SPY Buyer 13,256 Feb 8th 277 calls (ref. 273.62)

EEM Seller 20,000 Feb 42.5 calls to Buy 25,000 Mar 43.5 – 45.5 call spreads (monetizes and rolls, ref. 43.20)

EFA Seller 13,500 Mar 8th 61 – 65 strangles tied to stock (sells vol, ref. 63.30)

 

Bearish Option Strategies

EWZ Seller 25,000 Mar 40 – 44 call spreads (closing, ref. 45.23)

VIX Buyer 20,000 Mar 20 calls (ref. 16.85)

VIX Buyer 20,000 Apr 23 – 47 1x2 call spreads (ref. 16.80)

FXI Buyer 10,000 Feb 42 puts (ref. 43.19)

HYG Seller 50,000 Mar 77 puts to Buy 50,000 Apr 79 puts (rolls out and up, ref. 85.18)

SPY Seller 25,162 Mar 1st 247 puts to Buy 34,000 Mar 22nd 253 puts (rolls up and out, ref. 272.76)

XRT Buyer 10,000 Feb – Mar 43 put spreads (rolls out, ref. 44.83)

XBI Seller 10,000 Apr 90 calls to Buy 10,000 Apr 82 – 75 put spreads (ref. 83.96)

 

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

 

 

Finance Trades Options Strategies

LLY 5,000 Apr 130 RevCons trade (ref. 121.19)

EEM 20,000 Mar 40 RevCons trade (ref. 43.31)

HYG 14,000 Mar 95 RevCons trade (ref. 85.19)

 

 

 

Upcoming Earnings

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
ALL 2/5/2019 3.0 4.2 -27.9% C 20,596
APC 2/5/2019 4.3 3.5 24.7% D 145,307
CERN 2/5/2019 7.2 6.0 21.2% C 5,185
DATA 2/5/2019 8.7 9.6 -9.1% D 36,620
DIS 2/5/2019 2.7 2.0 33.9% C 535,407
DLR 2/5/2019 1.9 3.8 -50.6% B 10,407
DOX 2/5/2019 4.3 2.3 86.4% C 51,228
EA 2/5/2019 5.4 5.0 6.9% D 113,841
MCHP 2/5/2019 5.5 5.8 -5.8% C 73,424
MKL 2/5/2019 0.5 1.9 -71.5% C 3,118
NBIX 2/5/2019 2.8 6.6 -58.1% F 21,937
PAA 2/5/2019 3.5 5.0 -30.5% C 15,571
PAGP 2/5/2019 4.8 4.9 -3.6% C 1,529
PAYC 2/5/2019 6.9 7.9 -11.8% C 5,824
SAVE 2/5/2019 4.3 6.1 -30.4% C 3,311
SCCO 2/5/2019 1.2 2.2 -47.2% D 1,180
SFLY 2/5/2019 12.4 12.6 -1.0% B 6,043
SNAP 2/5/2019 14.0 18.0 -22.5% F 18,495
SWKS 2/5/2019 4.9 6.0 -18.3% B 24,082
UNM 2/5/2019 4.9 3.6 35.7% C 2,023
VOYA 2/5/2019 4.8 3.4 40.1% D 3,641
VRTX 2/5/2019 4.1 1.8 136.0% B 49,673
ZEN 2/5/2019 8.4 7.7 10.0% D 8,807
BSX 2/6/2019 4.1 2.2 87.9% D 11,471
BTU 2/6/2019 5.7 2.2 159.4% C 2,245
CMG 2/6/2019 7.2 9.0 -19.2% D 370,905
CMI 2/6/2019 3.9 3.5 10.7% B 66,103
CTSH 2/6/2019 4.8 4.2 14.3% C 6,410
EFX 2/6/2019 2.8 4.8 -42.5% D 11,276
FEYE 2/6/2019 9.0 8.8 1.9% D 19,939
FLT 2/6/2019 5.3 6.2 -15.6% A 1,589
FOXA 2/6/2019 0.4 1.9 -75.8% C 57,284
FTNT 2/6/2019 7.6 8.0 -4.3% B 8,088
GM 2/6/2019 3.4 3.9 -13.5% F 239,881
GPRO 2/6/2019 15.9 13.1 21.3% D 1,822
HQY 2/6/2019 6.8 6.4 6.3% B 1,844
HUM 2/6/2019 2.8 3.1 -9.2% B 55,307
IRBT 2/6/2019 13.3 14.9 -10.7% C 6,063
JEC 2/6/2019 6.2 6.6 -7.0% C 2,517
LLY 2/6/2019 2.8 3.0 -7.7% C 167,174
LNC 2/6/2019 3.4 2.6 32.5% C 10,444
MET 2/6/2019 2.8 2.8 -1.6% C 47,852
MTCH 2/6/2019 10.7 9.6 11.9% D 7,443
NEWR 2/6/2019 7.2 6.4 13.7% F 5,512
NOV 2/6/2019 5.4 4.1 32.5% C 2,974
ORLY 2/6/2019 4.8 4.5 7.3% B 13,321
PRU 2/6/2019 3.2 3.2 -0.7% C 39,474
REGN 2/6/2019 4.0 3.1 26.5% B 148,394
RGLD 2/6/2019 2.2 1.9 14.6% D 10,551
TRMB 2/6/2019 6.6 5.0 33.7% B 3,809
TTWO 2/6/2019 7.4 6.9 7.8% C 140,839
ZNGA 2/6/2019 8.1 4.1 97.4% D 2,213
ADS 2/7/2019 6.1 3.8 61.8% A 12,283
ARWR 2/7/2019 9.0 8.3 9.0% FALSE 3,560
ATEN 2/7/2019 12.6 7.1 77.5% D 894
ATHN 2/7/2019 1.4 9.7 -85.7% C 15,318
BR 2/7/2019 4.7 5.1 -8.9% A 16,100
CAH 2/7/2019 4.5 5.5 -17.6% D 15,489
CDW 2/7/2019 4.8 5.0 -4.3% A 1,460
COLM 2/7/2019 6.3 4.9 28.1% A 628
DNKN 2/7/2019 3.7 1.8 100.6% B 8,610
EEFT 2/7/2019 6.1 4.8 26.0% A 5,492
EXPE 2/7/2019 7.0 7.3 -4.2% C 32,680
FISV 2/7/2019 1.4 3.1 -53.1% A 24,784
FTV 2/7/2019 4.2 2.7 57.5% B 811
GRA 2/7/2019 3.9 3.7 7.1% B 11,012
GRUB 2/7/2019 11.9 15.4 -22.4% D 22,833
HAIN 2/7/2019 8.3 6.1 35.3% F 90,245
HBI 2/7/2019 8.5 8.8 -3.8% D 4,613
IAC 2/7/2019 6.3 4.7 34.3% D 15,597
ICE 2/7/2019 2.7 3.0 -8.4% B 11,356
K 2/7/2019 4.2 3.7 13.1% C 10,082
LGND 2/7/2019 8.8 4.5 93.5% C 17,478
LH 2/7/2019 3.9 3.8 2.8% C 12,089
MAS 2/7/2019 5.1 4.8 7.5% A 3,662
MAT 2/7/2019 10.5 6.4 65.4% D 2,285
MHK 2/7/2019 8.0 8.4 -5.1% D 25,463
MPC 2/7/2019 3.0 3.1 -4.5% D 45,207
MPLX 2/7/2019 2.4 2.5 -2.8% C 4,082
MSI 2/7/2019 3.6 3.1 18.0% A 4,938
NCR 2/7/2019 7.9 9.1 -13.2% B 3,092
ODFL 2/7/2019 4.0 4.0 -0.3% A 1,514
PM 2/7/2019 3.1 4.3 -26.6% C 81,993
PRLB 2/7/2019 6.1 5.8 5.1% C 5,965
PRO 2/7/2019 8.4 6.4 31.5% D 982
QNST 2/7/2019 9.5 12.9 -26.0% C 5,488
QRVO 2/7/2019 6.0 5.0 18.1% C 4,904
RPD 2/7/2019 6.7 7.1 -4.9% D 762
RSG 2/7/2019 2.6 2.0 26.8% A 1,457
SEE 2/7/2019 4.0 3.4 17.4% A 1,168
SGEN 2/7/2019 7.5 5.4 38.5% F 6,341
SKX 2/7/2019 11.6 17.1 -32.2% C 10,990
SNA 2/7/2019 6.1 6.5 -6.3% A 10,793
SPGI 2/7/2019 2.4 2.1 13.8% A 40,923
SYNA 2/7/2019 11.2 8.7 29.7% C 4,503
TDC 2/7/2019 6.1 5.8 4.3% C 1,260
C 4/15/2019 2.6 1.9 34.4% D 595,273
TKR 2/7/2019 3.9 4.4 -10.6% B 2,793
TMUS 2/7/2019 4.0 4.1 -1.9% F 21,252
TPR 2/7/2019 7.1 7.2 -1.0% B 13,203
TSN 2/7/2019 4.6 3.7 25.5% B 5,329
TWTR 2/7/2019 10.7 12.6 -15.2% C 279,225
VRSN 2/7/2019 2.2 1.8 23.4% A 7,039