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VIX holding 15.50 level in spite of equities breaking out above short term resistance

Feb 12, 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 in rally mode as lawmakers are making progress on a deal to avoid another shutdown. Currently, the S&P is +1.2% , the Russell +1.1% and the Nasdaq is +1.3%. Bonds are weaker (TLT -.45%, US-10 year yield up to 2.69%) after a record-high job openings number this mornings. In single name news, Under Armour is up 6% after a strong earnings report and an affirmation of revenue guidance. Crude Oil is up 2.4% today as the EIA cut its 2019 oil demand forecast and is also being supported by a weaker dollar (down .2%). In sympathy with stronger oil prices, USO is outperforming the broader market today (+2.1%). Meanwhile, Homebuilders (XHB +2.5%) is also outperforming today as fears of a recession recede while Consumer Staples (XLP +.5%) underperforms. Volatilities are mixed today with the VIX -2.4% to 15.59, VXN -5.9% to 18.90, and RVX -1.8% at 17.36.

 

ETF 30D Volatility Changes

SPY:    -6%         

IWM:   -3%   

QQQ:  -5%

 

Directional Options Strategies

Bullish Option Strategies

VOYA Seller 2,500 May 40 calls (closing) to Buy 12,100 May 55 calls (monetizes, rolls up, ref. 48.91)

EA Buyer 3,200 Jun 130 calls (ref. 101.93)

WMT Buyer 6,600 Feb 22nd 100 calls (Earnings 2/19, ref. 96.87)

CVNA Buyer 6,000 Jan21 50 – 80 call spreads (rolls down, ref. 33.05)

TPX Seller 5,000 Feb 50 puts to Buy 5,000 Feb 55 calls tied to stock (ref. 53.28)

 

Bearish Option Strategies

AMTD Buyer 3,000 Feb 22nd 54 puts (ref. 54.90)

TXN Seller 7,500 Apr 115 calls (ref. 106.29)

GE Buyer 50,000 Mar 9 – 7 put spreads tied to stock (ref. 10.08)

BAC Buyer 7,000 Jun 29 puts (ref. 28.74)

 

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

EFA Buyer 82,500 Mar 1st 63.5 calls (ref. 62.56)

EWZ 15,000 Apr 46 – Sep 48 call spreads trade (appears to roll out and up, ref. 43.54)

 

 

Bearish Option Strategies

EMB Buyer 3,000 Mar 106 – 105 put spreads (adds to 4,000 opened yest., ref. 107.79)

KRE Buyer 25,000 Apr 54 puts (ref. 55.54)

VIX Buyer 50,000 Mar 47.5 – Apr 45 call spreads (appears to roll out and down, ref. 16.80)

EEM Buyer 15,000 Apr 36 – Sep 37 puts spreads tied to stock (ref. 42.42)

GDX Buyer 5,000 Jul 21 puts (ref. 21.98)

FXI Buyer 17,000 Mar 36 puts (ref. 42.63)

 

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

 

 

Finance Trades Options Strategies

PYPL 3,500 Apr 95 RevCons trade (ref. 93.62)

LLY 7,500 Mar 150 RevCons trade (ref. 118.56)

 

 

 

Upcoming Earnings

 

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
AKAM 2/12/2019 7.5 8.6 -12.9% B 6,627
ATVI 2/12/2019 9.4 5.4 74.7% C 133,704
CSOD 2/12/2019 5.6 4.3 31.3% D 3,154
EXEL 2/12/2019 10.3 8.9 15.5% B 27,505
GTES 2/12/2019 6.2 7.2 -13.7% C 1,908
HUBS 2/12/2019 6.2 4.1 52.4% D 12,578
MPWR 2/12/2019 4.4 2.7 63.6% B 1,959
OXY 2/12/2019 3.8 3.4 14.4% B 36,058
QLYS 2/12/2019 7.4 5.6 31.1% C 2,697
RRR 2/12/2019 6.1 4.0 54.0% C 3,491
TRIP 2/12/2019 11.1 12.4 -10.7% C 19,615
TWLO 2/12/2019 12.2 18.0 -32.4% F 141,732
AIG 2/13/2019 4.7 3.9 21.3% F 94,079
AR 2/13/2019 12.5 3.6 245.0% D 5,418
CF 2/13/2019 4.7 5.9 -21.5% C 9,128
CFX 2/13/2019 6.6 4.4 51.4% C 2,079
CRL 2/13/2019 4.9 5.0 -2.0% B 1,848
CSCO 2/13/2019 4.1 4.3 -5.7% C 195,626
CTL 2/13/2019 8.8 8.0 9.6% D 28,340
DISH 2/13/2019 9.5 5.6 71.7% C 20,006
EFX 2/13/2019 4.3 5.0 -13.6% D 10,321
EQIX 2/13/2019 3.5 2.8 24.3% C 13,268
FOSL 2/13/2019 17.6 22.2 -20.6% D 3,656
HCP 2/13/2019 2.8 1.4 105.2% D 3,327
HLT 2/13/2019 3.6 2.5 44.1% B 6,327
IPG 2/13/2019 5.6 5.6 0.1% C 1,639
LPX 2/13/2019 4.0 3.6 11.6% C 2,391
MGM 2/13/2019 5.4 4.2 26.9% F 29,855
MRO 2/13/2019 4.2 3.5 19.2% D 11,977
NLY 2/13/2019 1.2 1.1 11.1% D 2,215
NTAP 2/13/2019 8.0 7.0 14.8% B 9,100
NUS 2/13/2019 7.4 7.2 2.4% B 2,255
PXD 2/13/2019 5.1 4.4 15.6% F 22,576
SNBR 2/13/2019 11.6 12.3 -5.3% C 3,422
SPWR 2/13/2019 9.7 8.2 18.5% D 2,081
WH 2/13/2019 5.0 4.1 22.4% D 3,075
WMB 2/13/2019 2.6 2.8 -6.2% D 18,901
YELP 2/13/2019 14.0 17.2 -18.7% F 26,288
AMAT 2/14/2019 5.2 4.1 27.5% B 96,846
ANET 2/14/2019 8.1 9.8 -17.6% C 41,829
BWA 2/14/2019 3.5 3.1 14.4% C 2,233
CBS 2/14/2019 3.4 3.1 11.0% B 9,366
CC 2/14/2019 7.5 4.5 68.2% B 14,144
CGNX 2/14/2019 8.3 7.0 18.4% D 3,819
CME 2/14/2019 2.6 2.0 29.5% B 65,055
DGX 2/14/2019 3.3 3.5 -6.1% C 3,516
DUK 2/14/2019 0.9 0.9 -2.8% C 41,718
EPAM 2/14/2019 4.7 4.7 -0.9% A 2,265
EQM 2/14/2019 3.1 2.1 51.4% D 6,109
EQT 2/14/2019 4.7 6.4 -25.9% D 1,295
HII 2/14/2019 5.4 5.8 -7.3% A 1,632
INCY 2/14/2019 4.0 2.5 57.9% C 13,829
IQV 2/14/2019 3.4 2.7 24.2% D 5,857
IRM 2/14/2019 2.9 1.8 62.3% C 9,303
KO 2/14/2019 2.1 1.5 42.5% C 117,901
LOGM 2/14/2019 10.3 9.8 4.7% D 6,429
NVDA 2/14/2019 5.3 9.4 -43.3% C 1,719,630
PBF 2/14/2019 3.4 2.1 57.6% F 2,146
POOL 2/14/2019 4.9 3.6 36.5% C 2,323
PPL 2/14/2019 1.4 0.9 63.8% B 14,280
R 2/14/2019 5.9 6.7 -12.4% C 2,327
SIX 2/14/2019 6.5 6.1 6.4% D 3,153
THS 2/14/2019 8.4 11.7 -27.9% B 9,128
TPX 2/14/2019 7.6 5.8 31.2% D 12,469
VICI 2/14/2019 3.8 1.2 204.4% C 2,272
VMC 2/14/2019 5.6 6.8 -17.3% C 14,309
WM 2/14/2019 2.1 2.8 -27.6% A 28,987
WST 2/14/2019 5.9 6.2 -5.2% D 1,623
XPO 2/14/2019 6.7 4.2 59.0% C 13,223
ZBRA 2/14/2019 8.3 9.8 -15.9% B 11,971
ZTS 2/14/2019 4.2 4.7 -10.0% B 11,774
AXL 2/15/2019 7.7 9.0 -14.6% F 3,258
DAN 2/15/2019 5.9 5.4 8.9% C 1,596
DE 2/15/2019 4.4 4.5 -1.7% B 97,819
MCO 2/15/2019 3.3 3.7 -9.8% A 19,592
NWL 2/15/2019 8.6 10.1 -14.7% C 17,902
PEP 2/15/2019 2.0 1.5 34.0% C 112,641

 

Volatility Standouts

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
ELAN 72.28% D -1.96% 34.09 4,968
ATHN 69.16% C -2.55% 0.40 10,033
UNIT 65.78% F -8.09% 63.75 9,271
NDLS 63.81% D -3.09% 66.53 236
ZAYO 63.09% D -1.27% 82.87 55,925
KHC 60.87% D -1.27% 90.44 95,864
DISH 46.59% C -3.90% 88.45 20,006
HEAR 45.59% C -0.55% 19.44 5,042
BIG 44.57% F 1.40% 97.21 8,221
RRD 44.23% C -3.20% 87.65 54
CLVS 43.05% D 0.59% 64.54 8,534
ETM 41.43% D -2.62% 89.64 526
FTAI 40.75% C -2.90% 92.83 146
AMED 38.49% C -1.27% 90.44 1,650
EPC 38.34% D 1.80% 7.97 1,398
CNDT 37.84% D -2.15% 86.45 144
SABR 37.19% C -3.81% 78.49 29
SWCH 36.99% F -3.67% 77.69 761
EVRI 36.55% C -4.52% 53.39 6,417
INGR 35.69% A -3.53% 12.75 2,140
EFX 35.56% D -1.62% 84.06 10,321
TCS 35.21% F -0.33% 12.75 366
REV 34.64% D -0.88% 66.53 190
GSKY 34.10% D -0.76% 92.61 469
Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
PCG -66.94% C -1.96% 79.28 62,269
RHT -62.66% C -2.55% 9.16 119,413
PVTL -58.81% F -8.09% 17.00 2,013
FDC -56.39% C -3.09% 0.80 1,948
GME -55.57% D -1.27% 69.32 14,022
IDTI -52.19% B -1.27% 15.54 5,505
NTRI -50.77% C -3.90% 8.76 601
FNSR -50.56% F -0.55% 4.78 2,040
CASA -44.63% C 1.40% 58.06 371
ZS -42.74% F -3.20% 9.87 19,895
TTD -39.45% C 0.59% 79.28 43,974
TDG -39.42% C -2.62% 27.09 74,705
STI -39.29% B -2.90% 58.57 22,720
CLF -37.94% C 0.86% 30.28 45,176
QEP -35.12% F -1.27% 11.55 443
TGI -35.11% D 1.80% 41.04 1,285
LITE -33.75% C -2.15% 97.21 18,197
MO -31.68% C -3.81% 57.37 118,465
AMZN -31.43% D -3.67% 29.48 14,715,912
ABMD -31.18% C -4.52% 32.27 47,364
VSM -30.78% B -3.53% 74.10 812
PM -30.64% C -1.62% 60.56 79,126
DSW -30.63% F -0.33% 48.61 1,248
MSFT -30.36% B -0.88% 39.44 1,770,826
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE