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VIX unchanged in directionless market

Feb 14, 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 were under a bit of pressure this morning after the December Retail Sales figure came in well below expectations (-1.2% v. 0.1% est.) but are well off their lows and fighting to turn green. Furthermore, the WSJ reported that the US and China are still “far apart” on trade negotiations. Currently, the S&P is +.05% , the Russell +.4% and the Nasdaq is +.3%. Bonds are stronger today (TLT +.4%, US-10 year yield down to 2.663%) in sympathy with weaker data. In single name news, Amazon is down more than 1% amid reports that it will not move forward with its plan to build HQ2 in New York City. Oil and Gas (XOP +1.2%) is outperforming this afternoon with Crude Oil slightly higher while Financials (-1%) and Consume Staples (-.9%) underperform. Volatilities are bid today with the VIX +2.5% to 16.04, VXN +1.6% to 19.30, and RVX +2.4% at 17.59.

 

ETF 30D Volatility Changes

SPY:    +1%

IWM:   +3%   

QQQ:  +2%

Directional Options Strategies

Bullish Option Strategies

CSCO Buyer 4,483 Feb 22nd calls (ref. 49.00)

INTC Seller 15,000 Mar 1st 48 calls (closing) to Buy 30,000 Mar 1st 50 calls (rolls and sizes up, ref. 50.60)

AMD Buyer 4,272 Feb 22nd 23.5 calls (ref. 23.14)

BOX Buyer 3,000 Mar 23 calls (ref. 24.21)

EA Buyer 5,000 Feb 22nd 100 calls (ref. 102.47)

DO Seller 8,000 Jan21 5 puts (ref. 9.45)

CBS Buyer 9,900 Jun 60 calls (ref. 49.09)

 

Bearish Option Strategies

GE Buyer 26,000 Mar 8th 9 – 7 put spreads (appears to add to large position, ref. 10.07)

BMY Seller 60,000 Feb 48 calls to Buy 60,000 Feb 46 puts (closing, monetizes risk-reversal, ref. 50.62)

MDLZ Seller 15,567 Mar 49 calls to Buy 15,567 Mar 44 puts (ref. 47.34)

F Buyer 10,000 Apr 8 puts (ref. 8.45)

CX Buyer 5,000 Jan20 4 puts tied to 110,000 shares (adds to 15,000 open, ref. 4.87)

 

 

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

XLP Seller 20,000 Feb 22nd 54.5 puts (monetizes hedge opened yesterday, ref. 53.67)

SPY Buyer 15,000 Feb 277 – 278 call spreads (ref. 273.83)

SPY 13,500 Mar 280 – 285 call spreads trade (ref. 273.43)

UNG Buyer 20,000 Feb – Feb 22nd 23 call spreads (rolls out and week, ref. 23.33)

EFA Seller 12,500 Mar 22nd 62 puts tied to stock (ref. 62.64)

 

Bearish Option Strategies

EWW Buyer 8,000 Mar 38 puts (possibly closing, ref. 42.61)

SPY 20,000 Feb 22nd 269 – 267 put spreads trade (ref. 274.04)

SPY Buyer 10,336 Mar 4th 256 puts (ref. 273.35)

QQQ Buyer 7,750 Mar 29th 170 puts (ref. 170.72)

KRE Buyer 5,000 Apr 53 – 49 put spreads (ref. 54.75)

XLI Buyer 5,000 Mar 1st 74 puts to Sell 5,000 Mar 1st 72 and 70.5 puts (appears to open put tree, ref. 74.65)

XLI Buyer 8,988 Apr 74 puts to Sell 8,988 Jun 65 puts (opens diagonal, ref. 74.72)

IWM Buyer 10,000 Mar 149 puts (ref. 153.533)

EEM 10,000 Sep 41 – 38 1x2 put spreads trade (ref. 41.87)

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

 

 

Finance Trades Options Strategies

LLY 5,000 Mar 150 RevCons trade (ref. 119.62)

XOP 5,000 Mar 8th 29 RevCons trade (ref. 30.02)

 

 

Upcoming Earnings

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
AMAT 2/14/2019 5.2 4.1 28.9% B 111,092
ANET 2/14/2019 7.6 9.8 -23.0% C 42,493
CBS 2/14/2019 3.4 3.1 9.4% B 11,893
CC 2/14/2019 6.9 4.5 54.5% B 7,535
CGNX 2/14/2019 8.7 7.0 23.3% D 4,474
LOGM 2/14/2019 8.6 9.8 -12.3% D 4,715
NVDA 2/14/2019 6.6 9.4 -29.5% C 1,586,559
TNET 2/14/2019 8.6 8.3 3.3% C 1,630
TREX 2/14/2019 8.2 10.6 -23.0% D 2,342
VICI 2/14/2019 4.2 1.2 241.3% C 2,578
XPO 2/14/2019 6.4 4.2 50.5% C 14,185
AXL 2/15/2019 7.5 9.0 -17.1% F 2,608
DAN 2/15/2019 5.8 5.4 7.8% C 1,737
DE 2/15/2019 4.1 4.5 -7.1% B 104,129
MCO 2/15/2019 3.2 3.7 -12.1% A 14,053
NWL 2/15/2019 9.1 10.1 -10.6% C 17,783
PEP 2/15/2019 2.4 1.5 55.0% C 116,255
CLR 2/18/2019 5.1 4.2 21.7% C 6,797
TEX 2/18/2019 7.3 5.9 23.8% D 1,683
AAP 2/19/2019 8.3 9.2 -9.8% C 14,544
AWK 2/19/2019 3.5 1.3 175.9% C 2,371
CTB 2/19/2019 6.9 9.3 -25.6% C 1,441
CXO 2/19/2019 1.0 2.8 -65.8% D 15,059
DVN 2/19/2019 5.3 4.7 12.3% C 19,035
ECL 2/19/2019 2.3 1.1 109.8% B 8,360
EXPD 2/19/2019 4.5 5.0 -9.3% A 2,007
FANG 2/19/2019 2.6 2.3 12.9% D 15,300
FIVN 2/19/2019 8.6 10.1 -14.5% D 2,481
GPC 2/19/2019 3.6 4.1 -13.2% A 8,757
KAR 2/19/2019 5.3 2.8 85.9% A 3,031
NBL 2/19/2019 2.6 5.1 -48.6% D 1,776
RCII 2/19/2019 7.9 4.3 86.1% C 3,249
TXRH 2/19/2019 7.3 4.8 51.5% C 3,510
WBT 2/19/2019 15.2 10.5 44.9% C 3,934
WMT 2/19/2019 4.4 5.3 -16.0% B 295,465
A 2/20/2019 4.2 4.5 -6.7% C 13,413
ADI 2/20/2019 3.0 2.8 7.4% B 43,830
ALB 2/20/2019 4.9 4.9 -0.7% C 19,610
AYX 2/20/2019 9.4 8.7 8.3% D 6,446
BLUE 2/20/2019 7.6 3.6 114.5% D 6,713
CAR 2/20/2019 7.1 10.8 -34.2% C 11,279
CECO 2/20/2019 11.3 9.0 25.4% C 2,189
CVS 2/20/2019 5.1 4.1 24.9% C 137,960
EFX 2/20/2019 5.0 5.0 0.3% D 8,346
ET 2/20/2019 2.1 0.6 268.2% C 26,612
GDDY 2/20/2019 5.1 5.2 -1.1% F 4,681
GDOT 2/20/2019 8.4 8.6 -2.8% C 2,599
HFC 2/20/2019 4.6 5.6 -16.4% C 5,814
HSIC 2/20/2019 3.2 4.2 -22.9% A 5,352
ICPT 2/20/2019 33.1 7.1 367.9% F 71,036
JACK 2/20/2019 7.7 5.9 30.0% C 2,048
MIC 2/20/2019 4.6 7.0 -34.7% C 1,982
NDSN 2/20/2019 3.5 6.5 -45.8% B 1,669
NUVA 2/20/2019 3.7 7.7 -52.1% C 1,220
OC 2/20/2019 6.4 6.6 -3.4% C 12,404
PI 2/20/2019 15.1 20.2 -25.2% C 729
SAM 2/20/2019 6.6 6.8 -2.7% D 3,674
SNPS 2/20/2019 4.1 3.9 6.1% B 2,919
SO 2/20/2019 1.0 1.9 -47.6% C 32,978
TRGP 2/20/2019 0.7 2.8 -76.2% F 6,622
TYL 2/20/2019 4.0 4.3 -7.2% C 2,434
UTHR 2/20/2019 7.2 6.5 11.0% B 1,937
WPX 2/20/2019 3.8 4.5 -13.9% F 2,264
WWW 2/20/2019 5.3 5.4 -2.5% B 1,619
XEC 2/20/2019 4.9 5.2 -5.2% C 4,543

 

Volatility Standouts

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
NCS 74.85% B 0.96% 96.03 317
UNIT 65.75% F 2.02% 57.14 8,800
ELAN 64.18% D 3.83% 27.78 17,842
ZAYO 61.34% D 2.52% 80.16 59,760
KHC 58.37% D -27.79% 79.37 99,811
NDLS 55.21% D 1.19% 64.29 254
BIG 46.15% F 0.43% 87.30 3,729
AMED 43.71% C -0.52% 96.43 5,457
CZR 43.18% D 0.97% 67.86 12,051
CLVS 41.22% D 2.57% 65.48 9,369
SWCH 41.17% F 5.28% 76.98 716
GPS 36.45% D 2.40% 81.35 12,358
REV 36.20% D -7.92% 66.27 227
KDP 35.82% D -2.91% 48.41 3,047
EFX 35.41% D 3.11% 78.97 8,346
TIVO 34.41% C 2.08% 47.62 317
HIIQ 33.80% C 0.67% 92.46 18,052
CNDT 33.44% D 2.14% 84.92 154
CAKE 32.83% C 2.35% 48.81 534
INGR 31.08% A -0.09% 2.38 1,459
MLNX 30.85% C 3.16% 67.46 29,387
THS 30.82% B 2.79% 44.05 12,552
PLD 30.61% C -5.27% 74.21 6,731
LB 30.34% F -1.21% 88.49 15,139
Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
RHT -68.32% C 0.96% 11.51 135,241
PVTL -60.33% F 2.02% 14.36 1,746
PCG -59.80% C 3.83% 75.40 42,784
NTRI -56.76% C 2.52% 13.49 366
FDC -56.65% C -27.79% 1.19 1,875
IDTI -53.34% B 1.19% 15.48 3,272
CASA -46.92% C -2.06% 49.47 438
ZS -46.63% F 0.43% 1.78 21,837
NTGR -44.01% C -0.52% 43.82 2,440
FNSR -43.56% F 0.97% 3.17 2,165
TTD -41.13% C 2.57% 75.79 47,138
STI -38.77% B 5.28% 22.22 24,011
COTY -38.62% F 2.40% 59.92 19,399
ATVI -37.61% C -7.92% 61.90 234,119
QEP -37.24% F -2.91% 8.33 1,793
PM -34.83% C 3.11% 32.94 89,415
EA -33.58% D 2.08% 83.33 754,566
IEP -33.56% D 0.67% 50.40 3,193
GME -33.40% D 2.14% 59.13 8,742
EFII -32.71% C 2.35% 37.70 65
LITE -32.42% C -0.09% 97.22 21,142
TROW -32.10% C 3.16% 21.03 11,408
ARNC -31.74% D 2.79% 43.65 15,765
FMC -3.16E-01 A -5.27% 24.60 5,671
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE