blog

Latest from the Quantamize Blog

VIX up 14% on renewed trade tensions with China

Feb 07, 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 under pressure this afternoon amid renewed uncertainty over trade talks with China. According to White House economic advisor Larry Kudlow, the negotiations have a “pretty sizable distance to go.” Currently, the S&P is -1.5% , the Russell -1.3% and the Nasdaq is -1.9%. Bonds are stronger (TLT +.3%) with investors in risk-off mode. In single name news, Twitter is down 11% despite a strong earnings report. The company will discontinue disclosing its monthly-active user data after Q1. Crude Oil is down 3% today as the dollar is mildly stronger (up .10%). The Regional Banks are outperforming today on news of a $66 billion merger between Suntrust and BB&T.  Meanwhile, Industrials (-2%) and Biotech (-3%) are lagging the market. Volatilities are stronger today with the VIX +15% to 17.73, VXN +10% to 21.69, and RVX +12% at 19.53.

 

ETF 30D Volatility Changes

SPY:    +13%         

IWM:   +11%   

QQQ:  +11%

Directional Options Strategies

Bullish Option Strategies

HAIN Buyer 17,000 Jan21 20 – 23 call spreads (rolls calls down, ref. 14.61)

BBD 11,000 Feb 12 – Mar 13 call spreads trade (ref. 11.62)

MHK Buyer 3,300 Feb 140 calls (Earnings 2/7, ref. 128.20)

GM 25,000 Mar 40 calls trade (ref. 38.99)

MS Buyer 2,000 Apr 44 – 50 1x2 call spreads (ref. 41.16)

EXP Seller 2,500 Jul 60 – 80 call spreads to Buy 2,500 Jul 72.5 – 85 call spreads (monetizes and rolls up, ref. 70.88)

 

 

Bearish Option Strategies

VALE Buyer 10,000 Mar 10 puts tied to stock (ref. 11.23)

CLF Seller 10,000 Feb 8th 12.5 calls to Buy 10,000 Feb 8th 10.5 puts (Earnings 2/8, ref. 10.69)

NXPI Buyer 22,500 Mar 80 puts tied to stock (ref. 89.13)

GE Seller 24,600 Mar 11 calls (closing, ref. 10.32)

BAC Buyer 5,000 Apr 28 puts (ref. 28.40)

F Buyer 12,000 Feb 8.5 puts (ref. 8.48)

CELG Buyer 9,000 Mar 75 puts (ref. 87.68)

 

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 Seller 17,500 Apr 40 – 45 strangles tied to stock (sells vol, ref. 42.41)

EEM Buyer 13,885 Mar 46.5 calls (ref. 42.13)

XOP Seller 11,000 Jan20 35 puts (closing, ref. 29.56)

 

 

Bearish Option Strategies

SPY Buyer 14,069 Feb 11th 261 puts (ref. 270.72)

SPY 10,000 Feb 27th 265 puts trade (ref. 268.97)

SPX Buyer 11,800 Mar 1st 1500 puts (ref. 2692.81)

VGK Buyer 11,100 Mar 50 puts (ref. 51.60)

EEM Buyer 10,000 Feb 22nd 42 – 41.5 put spreads (ref. 46.62)

EEM 15,000 Sep 42 – 38 put spreads trade (ref. 42.42)

XLF Buyer 7,126 Apr 24 – 22 1x2 put spreads (ref. 25.71)

GLD Seller 7,990 Apr 124 – 130 call spreads (ref. 123.73)

OIH Seller 4,000 Mar 18 puts to Buy 5,500 Mar 18 puts (monetizes and roll up, ref. 16.98)

XOP Buyer 11,250 Feb 27.5 puts (ref. 28.80)

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

 

 

Finance Trades Options Strategies

HYG 10,000 Feb 95 RevCons trade (ref. 84.74)

LLY 4,000 Apr 150 RevCons trade (ref. 118.01)

 

 

 

Upcoming Earnings

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
ALNY 2/7/2019 3.3 5.9 -44.5% D 1,866
DXC 2/7/2019 6.9 7.5 -7.3% B 7,317
EXPE 2/7/2019 6.7 7.3 -8.0% C 24,022
FISV 2/7/2019 2.1 3.1 -30.3% A 36,498
IAC 2/7/2019 5.4 4.7 13.4% D 8,692
LGND 2/7/2019 7.8 4.5 72.5% C 12,258
MAT 2/7/2019 9.9 6.4 54.6% D 3,086
MHK 2/7/2019 9.2 8.4 9.3% D 12,293
MSI 2/7/2019 3.6 3.1 16.0% A 5,326
NCR 2/7/2019 8.4 9.1 -7.9% B 4,836
QNST 2/7/2019 9.6 12.9 -25.2% C 7,671
QRVO 2/7/2019 5.7 5.0 12.3% C 2,003
SGEN 2/7/2019 7.2 5.4 31.5% F 11,501
SKX 2/7/2019 13.5 17.1 -21.3% C 7,173
SYNA 2/7/2019 9.0 8.7 4.3% C 1,519
VRSN 2/7/2019 3.0 1.8 71.4% A 1,548
VSAT 2/7/2019 6.6 7.0 -5.9% C 10,284
WU 2/7/2019 3.8 2.9 30.4% A 1,778
ZAYO 2/7/2019 9.0 7.2 24.5% D 19,476
ARNC 2/8/2019 4.6 7.6 -39.0% D 91,531
BPL 2/8/2019 3.5 2.1 67.1% F 3,974
CBOE 2/8/2019 2.9 2.0 46.0% B 26,359
CLF 2/8/2019 7.5 8.3 -9.0% C 10,595
EXC 2/8/2019 0.7 0.9 -20.9% C 49,203
GT 2/8/2019 5.1 5.3 -4.2% D 8,233
HAS 2/8/2019 7.0 7.8 -9.6% C 12,031
PSX 2/8/2019 3.2 1.8 80.4% C 15,932
UBNT 2/8/2019 9.0 10.1 -10.9% C 7,945
VTR 2/8/2019 1.5 2.3 -33.1% B 9,470
BHF 2/11/2019 6.2 2.9 112.6% F 5,018
CHGG 2/11/2019 10.4 10.9 -4.5% F 8,290
FMC 2/11/2019 2.0 4.5 -54.4% A 1,896
MOH 2/11/2019 7.6 8.3 -7.8% C 4,075
OHI 2/11/2019 2.5 4.2 -41.1% B 10,617
RNG 2/11/2019 5.6 4.4 25.2% D 3,808
AKAM 2/12/2019 7.5 8.8 -14.5% B 1,805
ARCC 2/12/2019 2.4 2.0 17.3% C 14,408
ATVI 2/12/2019 7.7 5.4 42.8% C 138,039
EXEL 2/12/2019 9.5 8.9 7.2% B 16,750
FIS 2/12/2019 2.7 3.0 -11.3% A 3,776
HUBS 2/12/2019 5.8 4.3 35.1% D 14,996
HUN 2/12/2019 3.9 3.3 18.2% B 2,242
IPGP 2/12/2019 8.4 9.9 -15.1% C 10,217
JLL 2/12/2019 3.7 4.5 -16.5% A 3,360
MLM 2/12/2019 5.1 5.3 -3.9% C 75,395
NRZ 2/12/2019 1.9 2.8 -33.1% D 2,887
OMC 2/12/2019 2.6 4.5 -43.3% A 4,709
OXY 2/12/2019 3.5 3.4 4.2% B 53,171
TAP 2/12/2019 5.5 5.7 -2.9% B 5,681
TRIP 2/12/2019 11.1 12.2 -8.9% C 7,975
TWLO 2/12/2019 12.9 18.0 -28.3% F 96,396
UAA 2/12/2019 11.0 14.1 -21.9% D 10,446
WEC 2/12/2019 1.0 1.3 -28.3% C 81,113
WELL 2/12/2019 1.3 4.1 -69.1% C 10,434

 

Volatility Standouts

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
MHK 73.67% D 1.58% 88.49 12,293
ZAYO 66.83% D 0.58% 87.30 19,476
NDLS 64.52% D 1.24% 49.21 300
UNIT 59.81% F 0.83% 69.44 7,751
GPRO 58.14% D -0.85% 95.63 942
HAIN 56.89% F -2.33% 74.60 497
ELAN 52.87% D 2.74% 91.76 254
KHC 48.67% D -0.14% 73.81 27,244
EVRI 47.83% C 0.51% 54.37 248
GSKY 47.43% D -3.12% 94.22 305
EPC 46.56% D 4.60% 27.78 148
BIG 46.51% F 3.48% 94.44 1,833
RRD 45.24% C -12.04% 88.10 68
RAMP 42.42% D 3.57% 63.10 263
AMED 41.62% C 0.08% 99.60 1,240
CNDT 39.27% D 10.66% 86.51 261
HEAR 39.16% C 2.44% 14.69 2,002
TTMI 38.06% B 2.74% 80.56 9
TIVO 37.87% C 2.62% 54.37 6,307
CLVS 37.40% D -0.09% 67.86 2,963
REV 36.68% D -15.62% 66.67 730
TCS 35.33% F 1.20% 17.86 319
DISH 35.13% C 1.77% 82.94 5,998
MDR 34.31% C 1.37% 89.29 964
Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
PCG -69.55% C 1.58% 89.29 44,500
ATHN -68.97% C 0.58% 0.79 22,963
MB -67.62% C 1.24% 0.79 400
RHT -64.26% C 0.83% 5.56 38,025
NTRI -60.41% C -0.85% 3.97 7,802
FDC -56.80% C -2.33% 0.40 6,709
PVTL -56.74% F 2.74% 19.29 998
GME -52.15% D -0.14% 57.54 6,380
VSM -48.40% B 0.51% 67.86 44
TGI -47.70% D -3.12% 79.37 155
FNSR -4.48E-01 F 4.60% 15.48 1,063
QEP -40.84% F 3.48% 4.37 1,936
ZS -40.28% F -12.04% 4.09 12,954
CASA -38.97% C 3.57% 67.21 386
NVDA -38.28% C 0.08% 60.71 1,272,055
TDG -37.84% C 10.66% 21.83 1,791
TTD -36.94% C 2.44% 77.78 23,986
MO -35.06% C 2.74% 51.98 144,520
EFII -32.45% C 2.62% 32.54 36
CLF -31.55% C -0.09% 57.54 10,595
PZZA -31.48% F -15.62% 46.43 21,245
GES -31.10% C 1.20% 38.49 164
ABMD -31.05% C 1.77% 29.76 38,229
ISRG -30.99% D 1.37% 40.48 195,479
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE