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Deal or No Deal? Stocks Snap Winning Streak

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
ETF 30D IV 30D IV
Percentile
90D IV 90D IV
Percentile
90D/30D IV 90D/30D IV
Percentile
30D IV-
20D HV
30D IV-20D HV
Percentile
90D IV-
60D HV
90D IV-60D HV
Percentile
SPY 12.75 50.4% 14.57 59.92% 1.14 68.25% 0.88 67.86% -8.16 4.37%
QQQ 18.45 53.57% 18.46 55.36% 1 47.42% 0.1 62.7% -11.56 3.97%
IWM 15.82 56.35% 16.46 59.92% 1.04 54.76% 3.38 80.36% -8 1.98%
FEZ 14.7 41.27% 15.51 52.78% 1.06 73.61% 2.16 72.62% -2.79 14.68%
EEM 18.11 40.87% 18.53 35.71% 1.02 54.17% 1.61 77.38% -2.14 31.75%

 

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

Equities approached their 200-day moving average this week but failed to break through that level as uncertainty over trade talks with China gave investors pause. Although the “Varsity team” of Mnuchin and Lighthizer head to Beijing next week, Larry Kudlow stated that the two sides have a “pretty sizable distance to go.”  The S&P is set to lose roughly 1% on the week while the VIX caught a bid and will close the week slightly higher. Also worth noting was consistent strength in bonds (TLT +2% this week) and a mild flattening of the yield curve. Next week will be jam-packed with economic data (CPI, Real Wage Growth, Consumer Sentiment) – if inflation data in particular exceeds expectations, keep an eye on rates.

Bullish: EEM Seller 72,900 Mar 44 calls to Buy 90,000 Apr 46 calls (rolls out and up, adds units, ref. 43.42)

Bullish: SPY 10,000 Jun 305 – 315 – 325 call flies trade (ref. 271.99)

Bullish: HYG Seller 50,000 Mar 76 – Apr 78 put spreads (rolls put write out and up, ref. 84.83)

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

Bearish: SPY Seller 25,162 Mar 1st 247 puts to Buy 70,000 Mar 22nd 253 puts (rolls out and up, ref. 272.76)

Bearish: VIX Seller 10,000 Mar 15 puts to Buy 20,000 Mar 20 – 30 call spreads (ref. 16.70)

Bearish: XRT Buyer 10,000 Feb – Mar 43 put spreads (Retail Sales next week, rolls out, ref. 44.83)

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

 

Outside of trade, the other catalyst moving markets this week was worries over growth. On Thursday, the EU revised its growth forecast for the Eurozone down to 1.3% from 1.9%. With Brexit hanging over Europe’s head and the Mar 29th deadline quickly approaching, some investors appear to be preparing for the worst. European ETFs saw a number of large bearish positions opened this week.

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

Bearish: EUFN Buyer 15,500 Mar 17 puts (Euro Financials ETF, ref. 17.82)

 

OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE