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VIX stays bid in spite of continued equity rally

Feb 13, 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 inching higher this afternoon as investors await further developments on trade talks. Currently, the S&P is +.3% , the Russell +.05% and the Nasdaq is +.2%. Bonds are mildly weaker (TLT -.23%, US-10 year yield up to 2.699%) after inflation data didn’t offer any surprises. In single name news, Teva is down close to 9% after earnings missed expectations and guidance disappointed. Crude Oil is up powerfully (+2.5%) for the second consecutive session despite a stronger dollar (+.35%) on speculation of larger than expected production cuts out of OPEC. Financials (+.45%) are outperforming today even as the 2-10 curve flattens a bit while Utilities are underperforming (-.5%). Volatilities are bid today with the VIX +2% to 15.75, VXN +2.3% to 19.15, and RVX +1.4% at 17.16.

 

ETF 30D Volatility Changes

SPY:    FLAT

IWM:   +1%   

QQQ:  +2%

 

Directional Options Strategies

Bullish Option Strategies

BMY Buyer 6,300 Feb 52.5 puts (closing) to Sell 6,300 Mar 52.5 puts (rolls put write, ref. 50.43)

NXPI Buyer 3,500 Feb 22nd 94 calls (ref. 92.64)

ZNGA Buyer 20,000 Sep 3.5 puts to Sell 35,000 Sep 4.5 calls (closes risk-reversal) to Buy 39,000 Sep 5 calls and Sell 20,000 Sep 4 puts (monetizes, rolls ratio risk reversal up, ref. 4.91)

ASGN Buyer 6,500 Mar 75 calls (Earnings after the close, ref. 65.74)

MRO Seller 5,000 Mar 15 puts to Buy 5,000 Mar 16 calls (Earnings after the close, ref. 15.78)

ITUB Buyer 18,000 Apr 10 calls tied to 810,000 shares (ref. 9.88)

FCX Buyer 11,100 Apr 13 calls (ref. 12.22)

AA Buyer 19,900 Feb 30 – Mar 35 call spreads (ref. 29.28)

NLSN Buyer 5,000 Mar 27 – 30 call spreads (ref. 25.99)

CVE Seller 27,500 Mar 8 calls to Buy 12,000 Feb 8 calls and 80,000 Mar 9 calls (ref. 8.39)

CRC Buyer 10,000 Feb 19 – Mar 21 call spreads (rolls out and up, Earnings 2/27, ref. 18.65)

 

Bearish Option Strategies

PG Buyer 9,700 Mar 100 – Apr 105 call spreads (appears to roll write up and out, ref. 99.32)

F Buyer 50,863 Apr 7 puts (ref. 8.49)

PM Seller 9,990 Apr 85 calls (opens write, ref. 81.06)

 

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 60,000 Mar 8th 64 calls (on top of 60,000 Mar 1st 63.5 calls yest., ref. 63.00)

FXI Buyer 13,285 Mar 44 – 47 call spreads (ref. 43.30)

XLU Buyer 5,000 Mar 57 calls (ref. 55.61)

XLI Buyer 6,600 Feb 74.5 – Mar 75 call spreads (rolls out and up, ref. 75.00)

SPY Buyer 10,000 Mar 280 calls (ref. 275.00)

VXXB Seller 7,900 Mar 1st 39 – Mar 22nd 41 call stupids (ref. 33.23)

EWJ Buyer 5,000 Mar 1st 55 calls (ref. 53.92)

Bearish Option Strategies

HYG Buyer 10,000 Mar 82 puts (ref. 85.29)

EEM Buyer 10,000 Jun 37 puts tied to stock (ref. 42.42)

SPY Buyer 17,100 Feb 13th 274 puts (ref. 274.91)

SPY Buyer 10,000 Mar 252 puts (ref. 275.77)

SPY Buyer 15,000 Mar 4th 245 puts (ref. 275.69)

EWW Buyer 3,640 Jun 38 puts (ref. 42.98)

EFA Buyer 12,500 Feb 22nd 63.5 – 61 strangles tied to stock (long vol, ref. 62.90)

IWM Buyer 8,607 Mar 1st 147 puts (ref. 153.08)

 

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

 

 

Finance Trades Options Strategies

LLY 4,000 Feb – Mar 150 Jelly Rolls trade (ref. 119.22)

SQ 4,000 Feb – Mar 75 Jelly Rolls trade (ref. 76.84)

SBUX 2,000 Jun 50 RevCons trade (ref. 70.11)

 

 

 

Upcoming Earnings

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
AIG 2/13/2019 4.0 3.9 1.7% F 97,269
AR 2/13/2019 12.2 3.6 236.6% D 5,537
CF 2/13/2019 4.6 5.9 -22.8% C 8,969
CSCO 2/13/2019 4.2 4.3 -3.9% C 187,463
CTL 2/13/2019 9.7 8.0 20.9% D 30,621
DVA 2/13/2019 5.3 5.4 -2.9% C 1,558
EFX 2/13/2019 4.4 5.0 -12.4% D 9,751
EQIX 2/13/2019 3.4 2.8 19.3% C 15,459
FOSL 2/13/2019 16.0 22.2 -27.9% D 4,272
HCP 2/13/2019 2.7 1.4 103.1% D 3,308
MGM 2/13/2019 5.2 4.2 21.8% F 30,544
MRO 2/13/2019 4.1 3.5 16.3% D 11,065
NLY 2/13/2019 1.4 1.1 35.6% D 1,490
NTAP 2/13/2019 8.1 7.0 15.7% B 11,269
NUS 2/13/2019 7.7 7.2 6.6% B 2,305
PXD 2/13/2019 4.4 4.4 -1.3% F 28,374
SNBR 2/13/2019 11.5 12.3 -5.9% C 3,577
SPWR 2/13/2019 9.6 8.2 16.5% D 1,746
WMB 2/13/2019 2.4 2.8 -13.4% D 18,588
YELP 2/13/2019 12.6 17.2 -26.6% F 29,918
AMAT 2/14/2019 5.1 4.1 26.6% B 105,382
ANET 2/14/2019 7.6 9.8 -22.8% C 39,338
BWA 2/14/2019 3.9 3.1 28.5% C 2,207
CBS 2/14/2019 3.4 3.1 9.4% B 10,682
CC 2/14/2019 6.9 4.5 53.9% B 7,352
CME 2/14/2019 2.5 2.0 26.9% B 61,343
DGX 2/14/2019 3.1 3.5 -10.8% C 3,799
DUK 2/14/2019 1.1 0.9 19.8% C 45,579
EPAM 2/14/2019 5.1 4.7 7.5% A 2,552
EQM 2/14/2019 2.9 2.1 40.5% D 6,128
HII 2/14/2019 5.7 5.8 -2.6% A 1,450
INCY 2/14/2019 3.9 2.5 53.6% C 14,419
IQV 2/14/2019 3.7 2.7 37.2% D 6,328
IRM 2/14/2019 2.6 1.8 43.0% C 12,447
KO 2/14/2019 2.2 1.5 48.3% C 125,636
LOGM 2/14/2019 8.9 9.8 -9.1% D 6,678
NVDA 2/14/2019 6.0 9.4 -36.5% C 1,604,435
PBF 2/14/2019 3.0 2.1 39.2% F 2,486
POOL 2/14/2019 4.6 3.6 30.1% C 3,072
PPL 2/14/2019 1.6 0.9 79.4% B 14,658
R 2/14/2019 6.0 6.7 -10.5% C 2,312
SIX 2/14/2019 6.5 6.1 6.6% D 3,984
THS 2/14/2019 8.3 11.7 -28.9% B 11,753
TPX 2/14/2019 8.3 5.8 42.9% D 13,279
VICI 2/14/2019 3.7 1.2 199.6% C 2,339
VMC 2/14/2019 5.0 6.8 -25.8% C 23,811
WATT 2/14/2019 17.8 7.4 141.4% D 1,736
WM 2/14/2019 2.0 2.8 -29.8% A 29,080
WST 2/14/2019 5.9 6.2 -4.8% D 1,401
XPO 2/14/2019 6.4 4.2 51.7% C 14,649
ZBRA 2/14/2019 7.6 9.8 -23.1% B 12,186
ZTS 2/14/2019 4.3 4.7 -7.5% B 14,094
AXL 2/15/2019 7.5 9.0 -17.0% F 3,351
DAN 2/15/2019 5.7 5.4 6.0% C 1,745
DE 2/15/2019 4.2 4.5 -5.7% B 94,559
MCO 2/15/2019 3.2 3.7 -13.0% A 19,319
NWL 2/15/2019 8.7 10.1 -14.6% C 18,508
PEP 2/15/2019 2.0 1.5 30.2% C 115,612

 

Volatility Standouts

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
UNIT 62.10% F 0.25% 58.73 8,757
ZAYO 60.60% D 3.45% 81.35 60,138
NDLS 56.73% D -4.76% 42.86 253
ELAN 56.32% D 0.65% 31.46 6,572
KHC 54.02% D -1.04% 81.75 104,074
BIG 46.70% F -0.11% 94.44 2,174
CLVS 44.77% D 0.88% 64.29 8,778
TIVO 41.55% C -4.35% 52.38 305
AMED 40.00% C -1.72% 97.62 1,730
CZR 39.90% D -1.45% 68.25 13,279
EFX 38.73% D 1.53% 75.00 9,751
CTL 37.51% D 5.03% 93.65 30,621
EVRI 37.35% C 0.71% 46.43 6,428
SWCH 37.08% F -3.55% 76.98 769
CNDT 37.00% D -0.97% 88.89 145
RRD 36.89% C -0.31% 90.87 79
SEAS 35.72% C -3.46% 83.33 3,266
REV 35.16% D -1.35% 63.89 232
ETM 34.91% D -1.49% 82.54 530
CHS 34.82% D -1.09% 87.70 221
HEAR 34.19% C 1.29% 14.92 5,028
GPS 33.90% D -7.61% 88.49 12,295
FTAI 33.07% C -1.37% 93.65 141
BLMN 31.51% C 2.04% 74.60 1,238
Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
RHT -62.88% C 0.25% 11.51 119,157
PVTL -5.97E-01 F 3.45% 14.93 2,110
PCG -58.66% C -4.76% 75.79 41,115
FDC -52.78% C 0.65% 0.40 1,987
FNSR -4.86E-01 F -1.04% 3.17 2,027
NTRI -47.96% C 3.40% 13.10 377
ZS -46.15% F -0.11% 2.68 20,765
CASA -44.68% C 0.88% 50.27 424
STI -42.23% B -4.35% 28.17 23,045
NTGR -41.83% C -1.72% 71.31 1,130
TTD -41.05% C -1.45% 77.78 46,341
COTY -3.78E-01 F 1.53% 86.11 12,693
QEP -37.25% F 5.03% 20.24 1,860
ATVI -36.70% C 0.71% 96.83 180,802
GME -36.50% D -3.55% 58.73 8,919
PM -36.31% C -0.97% 37.30 84,513
TROW -34.91% C -0.31% 19.44 13,017
LITE -33.87% C -3.46% 99.21 19,249
EA -33.50% D -1.35% 93.25 605,476
EFII -33.47% C -1.49% 19.84 231
TGI -33.37% D -1.09% 40.48 1,371
DSW -33.31% F 1.29% 44.84 1,090
VSM -32.95% B -7.61% 65.08 211
IEP -32.57% D -1.37% 55.95 3,107
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE