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VIX stays bid on continued equity weakens

Feb 08, 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 off this morning’s lows but remain in the red for the second consecutive session amid muted risk appetite. Currently, the S&P is -.63% , the Russell -.47% and the Nasdaq is -.61%. Bonds are stronger (TLT +.25%, US-10 year yield down to 2.63%) as investors keep an eye on a flattening yield curve. In single name news, Amazon is down 2.5% as the Jeff Bezos drama unfolds. Crude Oil is flat today as the dollar is mildly stronger (up .05%). Utilities (+.15%) are outperforming today given the risk-off stance while Financials (KRE, XLF) are  lagging the market. Volatilities are stronger today with the VIX +5% to 17.15, VXN +4% to 21.85, and RVX +4% at 19.35.

 

ETF 30D Volatility Changes

SPY:    +6%         

IWM:   +4%   

QQQ:  +6%

 

 

Directional Options Strategies

Bullish Option Strategies

RIO Buyer 4,000 Apr 55 calls (ref. 55.82)

VALE Buyer 5,100 Mar 11 calls (ref. 10.92)

YELP Seller 4,000 May 33 puts to Buy 4,000 May 40 calls tied to stock (ref. 37.15)

GE Seller 90,000 Mar 9 – 8 put spreads (ref. 9.90)

TWTR Buyer 50,000 Jan20 70 calls (ref. 29.72)

WMGI Buyer 2,000 May 32.5 calls (ref. 30.42)

EXEL Buyer 20,000 Feb 16 – Aug 18 call spreads (monetizes, rolls out and up, Earnings 2/12, ref. 20.89)

 

Bearish Option Strategies

GE Buyer 46,000 Mar 1st 8.5 puts (ref. 9.99)

GE Buyer 115,000 Mar 8th 9 – 7 put spreads (ref. 10.01)

MHK Buyer 5,000 Feb 110 puts (possibly closing, ref. 134.10)

LITE Buyer 2,500 Feb 40.5 puts (ref. 41.45)

FCAU Seller 80,000 Jan20 17 calls (closing, ref. 14.67)

X Buyer 4,950 Apr 22 – 19 put spreads (ref. 21.68)

 

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 20,000 Apr 40 puts to Buy 20,000 Apr 45 calls (ref. 42.08)

EEM Buyer 20,000 Mar – Apr 44 call spreads (roll out, ref. 42.06)

EWZ Seller 25,000 Jan21 45 – 40 put spreads (ref.

XLF Seller 38,000 Mar 22nd 24.5 puts (ref. 25.58)

Bearish Option Strategies

SPY Buyer 15145 Feb 8th 268 Puts (ref. 269.37)

SPY Buyer 10,000 Mar 22nd 250 puts (ref. 268.66)

TLT Buyer 9,000 Jan20 120 puts (ref. 122.22)

TLT Seller 8,000 Feb 122 calls (ref. 122.24)

HYG Buyer 20,000 Mar 83 – 80 put spreads (ref. 84.64)

EEM Buyer 25,750 May 38 – 34 put spreads (ref. 41.95)

EWY Seller 5,000 Apr 67 calls to Buy 5,000 Apr 58 puts (ref. 62.34)

FXI Buyer 12,500 May 37.5 puts (ref. 42.19)

GDX Seller 10,000 Jan20 27 calls (possibly closing, ref. 22.22)

XOP Seller 10,457 Mar 28 puts to Buy 18,600 Mar 26 put (rolls down, ref. 27.93)

 

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

 

 

Finance Trades Options Strategies

LLY 8,000 Mar 150 RevCons trade (ref. 120.70)

SPY 7,000 Jun 270 RevCons trade (ref. 268.35)

 

 

 

 

Upcoming Earnings

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
BHF 2/11/2019 6.4 2.9 121.5% F 2,853
CHGG 2/11/2019 10.8 10.9 -0.1% F 2,326
FMC 2/11/2019 2.4 4.5 -46.1% A 7,704
MOH 2/11/2019 8.0 8.3 -2.8% C 4,540
OHI 2/11/2019 2.7 4.2 -35.4% B 18,533
RNG 2/11/2019 5.8 4.4 30.4% D 5,752
AKAM 2/12/2019 7.4 8.6 -13.4% B 6,008
ARCC 2/12/2019 2.1 2.0 5.5% C 2,451
ATVI 2/12/2019 7.4 5.4 37.3% C 112,294
EXEL 2/12/2019 10.8 8.9 21.7% B 13,031
FIS 2/12/2019 2.9 3.0 -2.7% A 1,532
HUBS 2/12/2019 6.7 4.3 55.6% D 17,286
HUN 2/12/2019 4.6 3.3 42.1% B 3,621
IPGP 2/12/2019 9.0 9.9 -8.6% C 1,991
JLL 2/12/2019 4.2 4.5 -5.9% A  
MLM 2/12/2019 5.2 5.4 -2.4% C 32,486
NRZ 2/12/2019 2.3 2.8 -17.4% D 3,885
OMC 2/12/2019 4.0 4.7 -14.8% A 5,364
OXY 2/12/2019 4.0 3.4 19.9% B 41,992
TAP 2/12/2019 5.9 5.7 3.2% B 12,292
TRIP 2/12/2019 11.6 12.2 -5.2% C 17,244
TWLO 2/12/2019 14.0 18.0 -22.3% F 129,811
UAA 2/12/2019 12.0 14.1 -14.7% D 8,269
WEC 2/12/2019 1.2 1.3 -12.4% C 6,352
WELL 2/12/2019 3.1 4.1 -25.6% C 10,398
AIG 2/13/2019 6.0 3.9 52.1% F 84,148
AR 2/13/2019 8.2 3.6 125.2% D 1,135
CF 2/13/2019 4.8 5.9 -19.3% C 8,301
CSCO 2/13/2019 4.5 4.4 2.9% C 201,073
CTL 2/13/2019 8.3 8.0 3.9% D 28,376
DISH 2/13/2019 9.3 5.6 66.9% C 48,872
DVA 2/13/2019 6.2 5.3 16.6% C 1,421
EFX 2/13/2019 5.1 4.8 5.6% D 9,628
EQIX 2/13/2019 3.4 2.8 20.3% C 17,544
FOSL 2/13/2019 19.1 22.2 -14.0% D 3,597
FUN 2/13/2019 3.9 3.0 28.7% B 1,085
GPN 2/13/2019 3.9 3.2 22.4% B 1,388
HLT 2/13/2019 3.4 2.5 38.1% B 7,471
ICPT 2/13/2019 27.3 7.1 285.4% F 52,068
MGM 2/13/2019 5.1 4.2 20.8% F 32,505
MRO 2/13/2019 4.8 3.5 36.3% D 10,623
NLY 2/13/2019 1.4 1.1 31.1% D 3,097
NTAP 2/13/2019 7.5 7.0 6.9% B 9,420
NUS 2/13/2019 7.6 7.2 5.6% B 1,632
PS 2/13/2019 6.2 6.8 -8.8% F 1,314
PXD 2/13/2019 5.3 4.4 20.1% F 24,708
RUSHA 2/13/2019 6.3 5.4 16.6% B  
WMB 2/13/2019 2.8 2.8 1.1% D 22,653
YELP 2/13/2019 15.3 17.2 -10.9% F 25,066

 

Volatility Standouts

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
NDLS 69.83% D 0.54% 61.90 213
ZAYO 62.43% D 1.29% 89.68 56,946
HAS 62.01% C 1.74% 90.48 10,034
UNIT 6.09E-01 F 3.15% 75.79 10,085
GPRO 60.08% D 0.02% 26.19 4,315
KHC 59.81% D 0.22% 89.29 79,871
CARB 56.87% C 1.77% 96.03 396
BIG 55.81% F 0.45% 96.03 7,083
EPC 55.70% D -0.59% 9.92 3,022
RAMP 53.50% D 3.37% 64.68 1,678
RRD 53.05% C -0.81% 94.05 72
MHK 51.71% D 0.43% 97.62 45,675
CNDT 51.56% D -4.72% 87.30 134
GSKY 51.50% D 2.70% 98.85 455
WU 49.79% A -1.67% 78.97 2,666
CLVS 46.39% D 0.56% 65.08 5,151
EVRI 46.07% C 1.64% 55.56 5,385
HAIN 45.30% F -3.65% 79.76 3,524
AMED 44.52% C -0.72% 99.60 1,804
DISH 44.21% C 0.47% 87.30 48,872
HEAR 43.24% C 3.64% 20.22 3,550
EFX 43.18% D 1.15% 82.54 9,628
INGR 42.30% A 3.74% 19.44 2,227
RF 42.22% B 4.07% 67.86 3,190
Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
MB -73.70% C 0.54% 5.16 94
RHT -66.28% C 1.29% 10.71 106,960
PCG -61.84% C 1.74% 89.29 115,744
FDC -58.66% C 3.15% 0.40 2,966
PVTL -55.20% F 0.02% 35.35 1,942
NTRI -53.17% C 0.22% 7.14 535
GME -49.17% D 1.77% 77.78 15,413
VSM -44.86% B 0.45% 72.62 1,650
FNSR -44.67% F -0.59% 8.33 2,143
ZS -41.38% F 3.37% 5.43 22,850
CASA -38.77% C -0.81% 78.80 269
STI -37.53% B 0.43% 40.48 8,257
QEP -37.44% F -4.72% 6.35 336
TDG -37.14% C 2.70% 27.38 46,362
TTD -36.49% C -1.67% 83.33 40,128
NVDA -33.61% C 0.56% 67.06 2,233,963
TGI -33.15% D 1.64% 39.29 1,313
MEET -3.22E-01 D -3.65% 20.24 838
CLF -31.21% C -0.72% 71.83 27,544
LITE -30.52% C 0.47% 92.86 14,325
IEP -29.43% D 3.64% 65.48 2,617
THS -29.03% B 1.15% 49.60 11,840
MO -27.73% C 3.74% 67.46 159,435
PZZA -27.42% F 4.07% 46.03 30,089
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE