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VIX up 3% in spite of small rally in Equities

Feb 11, 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 struggling to find a direction as trade hopes and growth fears neutralize one another. Currently, the S&P is +.10% , the Russell +.55% and the Nasdaq is +.05%. Bonds are weaker (TLT -.35%, US-10 year yield up to 2.663%) despite whispers of an impending earnings recession. In single name news, Electronic Arts is up 6% on analyst upgrades (citing success of Apex Legends game). Crude Oil is down 2% today as the dollar is stronger (up .41%). In sympathy with lower oil prices, USO is lagging the broader markets today (-1.5%) is outperforming today are outperforming today. Meanwhile, Biotech (XBI +.6%) and Retail (XRT +.6%) are outperforming this afternoon. Volatilities are mixed today with the VIX +3% to 16.22, VXN +1.7% to 20.39, and RVX -.20% at 18.08.

 

ETF 30D Volatility Changes

SPY:    -2%         

IWM:   -4%   

QQQ:  Flat

 

Directional Options Strategies

Bullish Option Strategies

MDCO Seller 4,500 Jan20 15 puts to Buy 4,500 Jan20 25 – 40 call spreads (ref. 23.48)

GE Buyer 10,000 Jan20 10 calls (ref. 10.00)

SNAP Buyer 3,100 Jul 10 calls (ref. 9.01)

CATM Seller 6,500 Mar 35 – 30 put spreads (monetizes and rolls down, Earnings 2/21, ref. 27.57)

DHI Buyer 4,000 Aug 42 calls (ref. 37.47)

SPOT Buyer 10,014 Apr 120 calls (closing, ref. 136.41)

 

Bearish Option Strategies

PG Seller 9,300 Jun 105 calls (ref. 97.97)

BABA Seller 6,500 Mar 180 calls (ref. 168.49)

TD Buyer 5,100 Jul 50 puts (Earnings 2/28, ref. 56.29)

CTL Buyer 10,000 Feb 13 puts (Earnings 2/13, ref. 14.10)

IPG Buyer 2,200 Feb 20 puts (Earnings 2/13, ref. 22.08)

EBAY Seller 10,000 Apr 32 calls to Buy 20,000 Mar 29th 36 calls (monetizes and rolls closer, ref. 35.69)

CL Seller 20,030 May 65 calls (closing) to Buy 20,030 Aug 67.5 calls (ref. 65.42)

LB Buyer 5,000 Mar 22.5 puts (Earnings 2/27, ref. 26.75)

 

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

Macro Options Strategies

Bullish Option Strategies

EEM Seller 63,800 Apr 39 puts (ref. 42.11)

USO Buyer 9,000 Mar 12 calls (possibly closing, ref. 10.86)

IWM Buyer 5,000 Mar 160 – Apr 162 call spreads (rolls out and up, ref. 150.61)

 

Bearish Option Strategies

EEM Buyer 40,000 Mar 41.5 puts tied to 1.48 million shares (ref. 42.16)

SPY Buyer 14,761 Feb 11 269 puts (ref. 270.97)

HYG Buyer 25,000 Jun 82 – 80 put spreads (ref. 84.72)

USO Buyer 4,940 Mar 10.5 puts (ref. 10.83)

VXXB Seller 14,000 Mar 22nd 45 calls (ref. 34.21)

 

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

 

 

Finance Trades Options Strategies

FXI 20,000 Mar 43 RevCons trade (ref. 42.68)

SPY 5,000 Mar 8th 272 RevCons trade (ref. 270.77)

 

 

 

Upcoming Earnings

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
BHF 2/11/2019 6.5 2.9 124.0% F 2570
CHGG 2/11/2019 10.2 10.9 -6.3% F 1843
FMC 2/11/2019 2.8 4.4 -36.7% A 7989
MOH 2/11/2019 8.1 8.3 -2.3% C 3240
OHI 2/11/2019 2.9 4.2 -31.8% B 19561
PYX 2/11/2019 14.7 9.7 51.2% F 9158
RAMP 2/11/2019 7.2 8.2 -12.5% D 2185
RNG 2/11/2019 6.0 4.4 35.6% D 6089
SCCO 2/11/2019 2.0 2.3 -11.3% D 1711
VNO 2/11/2019 1.5 1.7 -12.9% B 8343
VRNS 2/11/2019 8.2 7.0 17.6% C 2072
AKAM 2/12/2019 7.4 8.6 -13.1% B 6372
ARCC 2/12/2019 2.3 2.0 11.1% C 1534
ATVI 2/12/2019 8.6 5.4 58.9% C 124269
EXEL 2/12/2019 10.6 8.9 18.9% B 14541
FIS 2/12/2019 2.9 3.0 -3.3% A 10479
GTES 2/12/2019 5.8 7.2 -18.9% C 1909
HUBS 2/12/2019 6.4 4.1 57.7% D 14918
HUN 2/12/2019 4.7 3.3 43.3% B 3130
IPGP 2/12/2019 9.1 10.1 -9.8% C 1980
MLM 2/12/2019 5.3 5.4 -1.8% C 38053
MPWR 2/12/2019 5.3 2.7 97.0% B 1910
NRZ 2/12/2019 2.1 2.8 -26.2% D 3938
OMC 2/12/2019 3.9 4.7 -16.4% A 5489
OXY 2/12/2019 4.0 3.4 19.4% B 38446
QLYS 2/12/2019 7.4 5.6 30.8% C 2480
RRR 2/12/2019 8.0 4.0 101.9% C 4322
TAP 2/12/2019 5.9 6.0 -1.8% B 14834
TRIP 2/12/2019 11.0 12.4 -11.1% C 16731
TWLO 2/12/2019 13.2 18.0 -26.5% F 129178
UAA 2/12/2019 12.4 14.1 -12.3% D 9606
WEC 2/12/2019 1.3 1.3 -5.6% C 4504
WELL 2/12/2019 2.3 4.1 -45.1% C 10187
AIG 2/13/2019 5.8 3.9 50.2% F 92622
AR 2/13/2019 15.8 3.6 334.6% D 5364
ARRS 2/13/2019 5.6 6.7 -16.3% C 1974
CF 2/13/2019 4.7 5.9 -21.1% C 7248
CFX 2/13/2019 7.2 4.4 64.0% C 3429
CRL 2/13/2019 4.6 5.0 -6.9% B 1823
CSCO 2/13/2019 4.3 4.3 -0.8% C 189560
CTL 2/13/2019 9.0 8.0 11.8% D 28121
DISH 2/13/2019 9.5 5.6 71.6% C 48441
DVA 2/13/2019 5.8 5.4 6.7% C 1490
EQIX 2/13/2019 3.5 2.8 23.5% C 14196
FOSL 2/13/2019 19.0 22.2 -14.1% D 3550
HCP 2/13/2019 2.7 1.4 100.5% D 2357
HLT 2/13/2019 3.5 2.5 38.8% B 6487
ICPT 2/13/2019 26.4 7.1 272.1% F 50301
LPX 2/13/2019 4.2 3.6 18.5% C 2224
MGM 2/13/2019 5.6 4.2 32.8% F 31899
MRO 2/13/2019 4.6 3.5 30.6% D 11585
NLY 2/13/2019 1.7 1.1 65.2% D 2555
NTAP 2/13/2019 7.9 7.0 12.9% B 8521
NUS 2/13/2019 7.4 7.2 1.9% B 2066
PXD 2/13/2019 5.4 4.4 21.3% F 23939
SKT 2/13/2019 5.2 4.2 23.6% FALSE 3281
SNBR 2/13/2019 14.2 12.3 15.4% C 3436
SPWR 2/13/2019 10.0 8.2 21.2% D 2049
WH 2/13/2019 4.6 4.1 11.4% D 2830
WMB 2/13/2019 2.8 2.8 -0.5% D 18655
YELP 2/13/2019 14.6 17.2 -15.3% F 16653
AMAT 2/14/2019 5.1 4.1 25.4% B 104186
ANET 2/14/2019 8.4 9.8 -14.8% C 44978
BEAT 2/14/2019 10.1 10.3 -2.0% D 7768
BWA 2/14/2019 3.5 3.1 15.0% C 2193
CBS 2/14/2019 3.9 3.1 25.9% B 10969
CC 2/14/2019 8.5 4.5 89.8% B 15770
CGNX 2/14/2019 8.8 7.0 25.0% D 3121
CME 2/14/2019 2.7 2.0 38.3% B 61869
DGX 2/14/2019 3.3 3.5 -4.8% C 3288
DUK 2/14/2019 0.6 0.9 -31.3% C 39171
ELLI 2/14/2019 8.3 9.0 -7.7% F 14817
EPAM 2/14/2019 4.8 4.7 1.1% A 2378
EQM 2/14/2019 3.3 2.1 57.7% D 5930
EQT 2/14/2019 4.8 6.4 -25.6% D 1750
HII 2/14/2019 5.5 5.8 -5.4% A 1608
INCY 2/14/2019 3.9 2.5 52.6% C 15137
IQV 2/14/2019 4.2 2.7 55.9% D 5135
IRM 2/14/2019 2.9 1.8 60.9% C 14210
KO 2/14/2019 2.0 1.5 36.0% C 119498
LOGM 2/14/2019 10.4 9.8 6.3% D 5909
NVDA 2/14/2019 5.7 9.4 -39.6% C 2123647
PBF 2/14/2019 3.6 2.1 67.6% F 2565
POOL 2/14/2019 4.4 3.6 22.1% C 2351
PPL 2/14/2019 1.0 0.9 12.2% B 14557
R 2/14/2019 6.3 6.7 -6.8% C 2284
SIX 2/14/2019 6.0 6.1 -1.1% D 2714
THS 2/14/2019 8.5 11.7 -26.8% B 10671
TPX 2/14/2019 7.4 5.8 28.5% D 20228
VICI 2/14/2019 3.6 1.2 193.4% C 2150
VMC 2/14/2019 5.7 6.8 -15.1% C 13670
WM 2/14/2019 2.0 2.8 -28.4% A 33266
WST 2/14/2019 6.1 6.2 -1.7% D 1616
XPO 2/14/2019 6.9 4.2 64.2% C 10925
ZBRA 2/14/2019 8.2 9.8 -16.9% B 12415
ZTS 2/14/2019 3.9 4.7 -16.9% B 4537

 

Volatility Standouts

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
ZAYO 74.36% D -2.50% 85.32 50782
UNIT 6.76E-01 F -2.12% 72.22 9858
KHC 62.97% D -3.67% 90.48 92625
NDLS 60.63% D -2.12% 69.44 234
GSKY 51.50% D -0.26% 98.86 488
BIG 51.27% F -0.73% 97.62 7820
ELAN 51.16% D 0.33% 59.77 1251
RAMP 50.72% D -2.66% 71.03 2185
CNDT 48.04% D -2.93% 90.08 140
HEAR 47.90% C 0.81% 17.88 4745
HAIN 47.28% F -1.39% 82.14 43411
EVRI 47.17% C -3.20% 52.78 6389
DISH 46.87% C 10.85% 87.70 48441
GPRO 46.53% D 0.90% 25.40 6267
AMED 44.26% C -2.74% 98.81 1692
EPC 43.99% D 0.87% 11.51 1639
CARB 43.70% C -1.55% 45.24 1019
TCS 43.61% F -4.67% 18.25 366
ETM 43.41% D -2.41% 81.35 527
EFX 42.92% D -3.05% 84.13 11543
CLVS 41.81% D -3.72% 68.25 5730
TIVO 41.78% C -0.56% 65.87 284
SWCH 41.67% F -2.64% 86.90 759
RRD 41.43% C -1.94% 85.32 63
Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
MB -72.57% C -2.50% 2.78 71
PCG -65.38%