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VIX continues to weaken on light equity trading

Feb 06, 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 mildly softer this afternoon as the rally searches for more fuel. Currently, the S&P is -.2% , the Russell -.2% and the Nasdaq is -.4%. Bonds are mildly stronger (TLT +.2%) for the second consecutive session. In single name news, Electronic Arts is down 13% after reporting disappointed earnings. Meanwhile, Snap is up 26% after impressive cost cutting and a smaller loss than expected. The Healthcare sector is outperforming today (+.25%) while Retail lags the broader market (-1%). Crude Oil is slightly stronger (+.75%) after a smaller than expected inventory build-up according to an EIA report. Volatilities are slightly lower with the VIX -2% to 15.30, VXN +3% to 20.05, and RVX -2% at 17.53.

 

ETF 30D Volatility Changes

SPY:    -4%         

IWM:   -6%   

QQQ:  flat

 

Directional Options Strategies

Bullish Option Strategies

F Buyer 7,000 Feb 22nd 8 calls (ref. 8.80)

F Buyer 10,000 Mar 9 calls (ref. 8.74)

BMY Seller 11,465 to Buy 14,500 Mar 55 calls (rolls out and up, ref. 50.60)

I Buyer 2,800 Jun 29 calls (ref. 24.63)

ON Seller 6,166 Feb 22 calls to Buy 6,166 Mar 23 calls tied to stock (rolls out and up, ref. 23.11)

APC Seller 5,000 May 40 puts (ref. 46.11)

NIO 11,200 Mar 9 calls trade (ref. 8.08)

 

Bearish Option Strategies

TTM Buyer 10,000 Jul 11 puts (ref. 12.63)

EBAY Seller 5,000 Apr 32 calls (closing) to Buy 10,000 Mar 22nd 35 calls (monetizes and rolls closer, ref. 35.38)

USB Buyer 3,000 Feb 8th 51 – 50.5 put spreads and 3,000 Feb 22nd 51 puts (ref. 51.45)

CC Buyer 10,500 Feb 35 – 33 put spreads (appears to roll puts up, ref. 37.61)

ZAYO Buyer 3,000 Jun 22.5 puts tied to stock (26.80)

 

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

EEM Buyer 15,000 Sep 42 straddles tied to stock (long vol, ref. 43.01)

VIX Seller 20,000 Mar 17 – 21 1x2 call spreads (ref. 16.90)

SPY Buyer 13,235 Feb 280 calls (ref. 272.74)

FXI Buyer 5,000 Mar 44 – 47 1x2 call spreads tied to stock (ref. 42.96)

 

Bearish Option Strategies

IWM Buyer 5,000 Mar 1st 147.5 puts (ref. 151.19)

IWM 10,000 Feb 150 – 145 – 140 put flies trade (ref. 150.51)

EEM Seller 90,000 Apr 46 calls (appears to quickly close calls opened yest., ref. 43.18)

XLF Buyer 38,000 Mar 26 puts (ref. 26.00)

XLP Seller 10,000 Feb 54 calls (possibly closing, ref. 53.59)

EWZ Seller 10,000 Mar 45 calls tied to stock (ref. 44.05)

 

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

 

 

Finance Trades Options Strategies

LLY 6,000 Apr 150 RevCons trade (ref. 118.37)

 

 

 

Upcoming Earnings

 

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
CMG 2/6/2019 7.0 9.0 -22.0% D 340,940
EFX 2/6/2019 2.8 4.8 -41.0% D 8,044
FEYE 2/6/2019 9.2 8.8 4.4% D 23,266
FLT 2/6/2019 4.9 6.2 -22.2% A 2,022
FTNT 2/6/2019 7.9 8.0 -0.9% B 5,163
GPRO 2/6/2019 19.8 13.1 51.6% D 942
HQY 2/6/2019 4.8 6.4 -23.9% B 2,150
IRBT 2/6/2019 12.9 14.9 -13.5% C 3,589
LNC 2/6/2019 3.3 2.6 27.9% C 17,377
MET 2/6/2019 2.4 2.8 -15.4% C 50,529
MTCH 2/6/2019 10.5 9.6 9.6% D 4,384
NEWR 2/6/2019 7.1 6.4 11.3% F 5,428
NOV 2/6/2019 5.3 4.1 29.3% C 1,919
ORLY 2/6/2019 4.7 4.5 4.5% B 13,097
PRU 2/6/2019 3.3 3.2 1.1% C 39,609
RGLD 2/6/2019 2.1 1.9 8.2% D 7,690
TRMB 2/6/2019 6.4 5.0 29.6% B  
ZNGA 2/6/2019 9.0 4.1 119.8% D 2,119
ADS 2/7/2019 6.3 3.8 65.7% A 4,099
ALNY 2/7/2019 1.4 5.9 -76.4% D 1,866
BR 2/7/2019 4.9 5.1 -3.4% A 30,622
CAH 2/7/2019 4.5 5.5 -18.4% D 20,227
DNKN 2/7/2019 3.0 1.8 63.5% B 10,313
DXC 2/7/2019 6.7 7.5 -11.1% B 7,317
EEFT 2/7/2019 5.8 4.8 21.2% A  
EXPE 2/7/2019 6.4 7.3 -11.9% C 24,022
FISV 2/7/2019 1.4 3.1 -52.9% A 36,498
GRA 2/7/2019 3.8 3.7 3.3% B 17,129
GRUB 2/7/2019 12.5 15.4 -18.5% D 30,903
HAIN 2/7/2019 7.3 6.1 19.2% F  
HBI 2/7/2019 8.8 8.8 -0.2% D 3,248
IAC 2/7/2019 6.2 4.7 32.1% D 8,692
ICE 2/7/2019 2.4 3.0 -18.7% B 7,805
K 2/7/2019 4.4 3.7 18.2% C 9,312
LGND 2/7/2019 8.4 4.5 84.5% C 12,258
LH 2/7/2019 3.9 3.8 1.2% C 22,874
MAS 2/7/2019 5.1 4.8 7.0% A 3,834
MAT 2/7/2019 10.3 6.4 62.3% D 3,086
MHK 2/7/2019 8.8 8.4 3.9% D 12,293
MPC 2/7/2019 3.0 3.1 -5.3% D 31,593
MPLX 2/7/2019 2.4 2.5 -3.0% C 4,010
MSI 2/7/2019 3.6 3.1 17.7% A 5,326
NCR 2/7/2019 8.4 9.1 -7.6% B 4,836
ODFL 2/7/2019 3.6 4.0 -9.1% A 981
PM 2/7/2019 3.2 4.3 -25.6% C 81,657
PRLB 2/7/2019 6.3 5.8 8.6% C  
QNST 2/7/2019 9.6 12.9 -25.2% C 7,671
QRVO 2/7/2019 5.4 5.0 7.4% C 2,003
SGEN 2/7/2019 7.3 5.4 34.2% F 11,501
SKX 2/7/2019 12.0 17.1 -30.1% C 7,173
SNA 2/7/2019 6.1 6.5 -7.1% A 3,383
SPGI 2/7/2019 2.4 2.1 14.0% A 61,913
SYNA 2/7/2019 10.9 8.7 25.5% C 1,519
TKR 2/7/2019 4.2 4.4 -5.2% B 5,166
TMUS 2/7/2019 3.6 4.1 -13.0% F 34,226
TPR 2/7/2019 8.2 7.2 13.2% B 17,272
TSN 2/7/2019 4.9 3.7 32.7% B 3,720
TWTR 2/7/2019 12.1 12.6 -4.2% C 220,335
VRSN 2/7/2019 2.4 1.8 34.9% A 1,548
VSAT 2/7/2019 7.4 7.0 6.0% C 10,284
WWE 2/7/2019 7.0 3.9 81.0% B 3,438
YUM 2/7/2019 4.1 3.9 3.5% C 29,788
ZAYO 2/7/2019 8.8 7.2 21.1% D 19,476
ARNC 2/8/2019 5.6 7.6 -26.6% D 91,531
BPL 2/8/2019 3.0 2.1 40.5% F 3,974
CBOE 2/8/2019 2.6 2.0 31.2% B 26,359
CLF 2/8/2019 5.5 8.3 -33.0% C 10,595
EXC 2/8/2019 0.7 0.9 -21.6% C 49,203
GT 2/8/2019 4.9 5.3 -9.1% D 8,233
HAS 2/8/2019 7.1 7.7 -7.7% C 12,031
PSX 2/8/2019 3.0 1.8 67.1% C 15,932
UBNT 2/8/2019 9.4 10.1 -6.3% C 7,945
VTR 2/8/2019 1.5 2.3 -32.8% B 9,470

 

Volatility Standouts

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
GPRO 74.01% D -1.73% 89.29 942
ZAYO 65.29% D -0.51% 88.89 19,476
MHK 60.64% D 0.44% 88.10 12,293
UNIT 58.53% F -1.41% 61.90 7,751
EVRI 53.13% C 2.53% 59.52 248
NDLS 51.29% D 0.83% 55.95 300
GSKY 45.35% D -0.70% 91.28 305
BIG 44.15% F 0.80% 93.25 1,833
VSAT 42.86% C -0.12% 89.68 10,284
AMED 42.72% C -2.83% 99.60 1,240
EPC 41.41% D 1.05% 40.08 148
RAMP 40.62% D -0.95% 67.06 263
TCS 40.23% F 1.95% 94.84 319
HAIN 39.83% F 1.92% 86.51 497
REV 39.44% D 2.58% 68.25 730
KHC 36.86% D -6.17% 73.81 27,244
HEAR 36.53% C 1.14% 8.52 2,002
TIVO 35.21% C -0.46% 55.16 6,307
RRD 34.93% C -1.85% 88.89 68
ETM 33.90% D 0.81% 75.00 86
CNDT 32.90% D 1.33% 88.49 261
INGR 32.43% A -0.34% 27.78 499
BMY 30.98% C -0.25% 98.41 746,516
MDR 30.87% C 0.28% 89.29 964
Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
PCG -68.84% C -1.73% 90.08 44,500
RHT -63.67% C -0.51% 5.16 38,025
IDTI -60.80% B 0.44% 2.38 314
MB -58.22% C -1.41% 1.98 400
FDC -57.82% C 2.53% 0.40 6,709
PVTL -56.58% F 0.83% 14.29 998
NTRI -54.71% C -0.70% 4.37 7,802
QEP -53.23% F 0.80% 3.97 1,936
VSM -51.72% B -0.12% 83.73 44
GME -50.47% D -2.83% 68.65 6,380
FNSR -48.13% F 1.05% 8.73 1,063
NVDA -42.77% C -0.95% 58.33 1,272,055
SAGE -42.51% F 1.95% 54.98 4,845
ZS -40.69% F 1.92% 2.74 12,954
TGI -40.03% D 2.58% 77.38 155
TTD -39.27% C -6.17% 65.48 23,986
TDG -38.73% C 1.14% 26.59 1,791
CASA -38.15% C -0.46% 57.14 386
IEP -36.50% D -1.85% 53.57 1,419
MO -36.34% C 0.81% 52.78 144,520
CLF -35.60% C 1.33% 43.65 10,595
V -34.57% A -0.34% 21.03 227,385
ABT -33.87% C -0.25% 35.71 64,231
PFE -33.24% C 1.10% 53.57 192,693
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE