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VIX down -8% on quiet equity rally heading into 3 day weekend

Feb 15, 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 higher this afternoon on reports that trade talks will continue in Washington D.C. next week. A strong consumer confidence figure (95.5 vs. 93.7 est.) is also boosting market sentiment. Currently, the S&P is +.80% , the Russell +1.4% and the Nasdaq is +.1%. Despite equities’ risk on stance, bonds are mildly stronger (TLT +.10%, US-10 year yield down to 2.666%) which appears to reflect concerns over slower growth. Worth noting is the New York Fed cutting its Q1 GDP forecast from 2.2% to 1.1%. In single name news, Nvidia is up more than 3% but off earlier highs after reporting earnings. The chip-maker forecasts its 2020 revenues as flat to slightly lower. Financials (+2%) are outperforming this afternoon while Utilities (+.2%) lag the broader market. Volatilities are softer today with the VIX -8% to 14.89, VXN -6% to 17.82, and RVX -6% at 16.39.

 

 

ETF 30D Volatility Changes

SPY:    -8%

IWM:   -5%   

QQQ:  -3%

 

Directional Options Strategies

Bullish Option Strategies

CBS Buyer 10,000 Jun 65 calls (on top of 10,000 Jun 60’s yest., ref. 49.99)

KO Buyer 15,000 Mar – Aug 48 call spreads (rolls calls out, ref. 45.89)

BBBY Buyer 9,400 Jan20 12.5 calls (ref. 16.74)

BKS Buyer 7,900 Apr 6 calls (ref. 6.31)

PG Buyer 40,000 Apr – Jul 95 call spreads (monetizes and rolls out, ref. 98.82)

 

Bearish Option Strategies

BAC Seller 39,000 Apr 32 calls to Buy 39,000 Apr 27 puts (ref. 29.05)

ELLI Seller 6,500 Mar 85 calls (likely closing, monetizes, ref. 98.59)

MT Seller 9,000 Mar 1st 24 calls (ref. 23.03)

MDR Buyer 10,000 Mar 6 puts (ref. 7.24)

EA Buyer 5,000 Jun 145 calls to Sell 5,000 Sep 145 calls (appears to roll write, ref. 106.51)

CTL Seller 11,712 Jul 16 calls (opens write, ref. 13.47)

STLD Buyer 5,000 Mar 35 puts (ref. 37.04)

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

SPY Buyer 10,000 Apr 295 – 300 1x2 call spreads (ref. 276.86)

EEM Seller 18,000 Mar 8th 42.5 – 43.5 call spreads to Buy 18,000 Mar 43.5 – 44.5 call spreads (rolls out and up, ref. 42.04)

XBI Buyer 3,060 Apr 90 calls (ref. 85.39)

XLE Buyer 14,898 Apr 72 calls (ref. 65.72)

FEZ Seller 11,500 Mar 36 calls (closing) to Buy 11,500 Mar 8th 36.5 calls (monetizes and rolls closer, ref. 35.55)

EWY Buyer 5,000 Apr 67 calls (ref. 63.28)

 

Bearish Option Strategies

SPY Buyer 9,000 Mar 1st 270 – 265 – 260 put flies (ref. 276.83)

SPY Buyer 17,165 Mar 29th 255 puts to Sell 21,455 Mar 29th 245 puts (ref. 276.52)

FXI Buyer 12,775 Apr 41 puts (ref. 42.58)

TLT Seller 10,000 Apr 125 calls (ref. 121.83)

IWM Buyer 10,000 Mar 152 puts (ref. 155.66)

EEM Buyer 20,000 Jan20 38 puts (ref. 42.02)

 

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. 121.19)

SPY 5,000 Mar 275 RevCons trade (ref. 276.57)

 

 

 

 

Upcoming Earnings

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
TEX 2/18/2019 7.3 6.1 18.8% D 1,714
AAP 2/19/2019 8.5 9.2 -7.4% C 12,937
AWK 2/19/2019 3.4 1.3 171.2% C 1,619
CDNS 2/19/2019 5.4 6.5 -16.5% B 3,332
CXO 2/19/2019 1.4 2.8 -51.6% D 16,069
DVN 2/19/2019 5.4 4.7 14.1% C 19,658
ECL 2/19/2019 2.8 1.1 151.0% B 8,442
EXPD 2/19/2019 4.4 5.0 -12.6% A 2,258
FANG 2/19/2019 1.6 2.4 -31.5% D 13,654
FE 2/19/2019 1.8 1.8 0.4% C 6,106
FIVN 2/19/2019 8.9 10.1 -11.1% D 2,330
GPC 2/19/2019 3.5 4.2 -17.9% A 8,748
KAR 2/19/2019 5.1 2.8 78.8% A 3,391
NBL 2/19/2019 2.5 5.1 -50.3% D 1,854
TXRH 2/19/2019 6.9 4.8 42.5% C 2,884
WBT 2/19/2019 14.8 10.5 41.3% C 4,027
WMT 2/19/2019 3.9 5.3 -25.3% B 270,893
A 2/20/2019 4.4 4.7 -5.0% C 13,524
ADI 2/20/2019 2.8 2.8 -0.1% B 36,366
ALB 2/20/2019 5.1 4.9 4.1% C 13,699
AYX 2/20/2019 9.4 8.7 8.6% D 6,458
BLUE 2/20/2019 7.5 3.6 112.6% D 6,525
CAI 2/20/2019 9.5 13.2 -28.6% D 4,095
CAR 2/20/2019 7.0 10.8 -35.3% C 12,421
CECO 2/20/2019 10.9 9.0 21.5% C 2,409
CVS 2/20/2019 4.5 4.1 10.2% C 134,911
EFX 2/20/2019 5.0 5.0 0.3% D 8,513
ET 2/20/2019 2.3 0.6 303.8% C 25,424
ETR 2/20/2019 1.7 1.3 39.4% D 5,732
GDDY 2/20/2019 5.4 5.2 4.2% F 3,757
GDOT 2/20/2019 8.3 8.6 -4.0% C 2,178
HFC 2/20/2019 4.3 5.6 -22.9% C 5,931
HSIC 2/20/2019 3.0 4.2 -28.8% A 3,807
ICPT 2/20/2019 32.2 7.1 354.7% F 73,211
JACK 2/20/2019 7.3 5.9 23.7% C 2,115
MIC 2/20/2019 4.4 7.0 -38.0% C 1,894
NDSN 2/20/2019 3.6 6.5 -45.3% B 1,545
OC 2/20/2019 6.6 6.6 -0.4% C 12,745
SAM 2/20/2019 6.7 6.8 -1.1% D 3,946
SM 2/20/2019 2.5 4.8 -48.6% C 1,302
SNPS 2/20/2019 3.8 3.9 -1.7% B 3,195
SO 2/20/2019 1.4 1.9 -26.6% C 32,988
TYL 2/20/2019 4.1 4.3 -4.1% C 2,733
UTHR 2/20/2019 6.8 6.5 4.7% B 1,639
WPX 2/20/2019 4.3 4.5 -4.4% F 2,223
WWW 2/20/2019 5.7 5.4 4.8% B 1,814
XEC 2/20/2019 4.6 5.3 -13.1% C 3,491

 

Volatility Standouts

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
ELAN 67.97% D -1.11% 30.77 19,823
KHC 67.09% D -2.58% 82.54 100,700
UNIT 61.50% F 0.44% 59.92 8,831
ZAYO 59.42% D 3.27% 80.16 49,249
NDLS 57.32% D 2.68% 63.10 285
CZR 56.30% D 0.85% 66.67 12,087
SWCH 51.91% F 0.91% 84.92 706
PRTY 48.95% D -1.90% 67.86 112
CLVS 47.70% D -3.05% 62.30 9,842
NCS 47.54% B -2.27% 94.84 355
TIVO 46.51% C -2.32% 51.98 288
LOGM 42.97% D -14.89% 92.06 4,327
AMED 42.74% C 0.92% 95.24 5,959
CNDT 42.24% D 0.39% 87.70 174
BIG 42.05% F -2.94% 86.11 4,082
VKTX 41.98% F -0.41% 54.76 3,910
HEAR 41.70% C -3.69% 17.49 6,186
RRD 41.02% C -1.09% 84.52 85
GPS 36.74% D -2.87% 94.84 10,991
EFX 36.20% D -4.27% 75.40 8,513
REV 36.11% D -0.08% 66.27 214
KDP 35.55% D -6.79% 50.40 2,759
LB 34.50% F 5.00% 90.48 15,452
BWXT 34.13% C -0.19% 83.73 357
Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
RHT -66.26% C -1.11% 12.70 145,819
PVTL -61.62% F -2.58% 18.23 1,856
FDC -59.65% C -3.00% 2.38 1,959
PCG -59.06% C 0.44% 75.00 43,626
IDTI -53.13% B 3.27% 1.19 3,277
NTRI -50.24% C 2.68% 5.16 411
ZS -48.31% F 0.85% 1.33 14,109
CASA -45.93% C -2.25% 57.67 446
NTGR -44.53% C 0.91% 46.22 2,732
FNSR -43.85% F -1.90% 6.75 715
TTD -4.17E-01 C -3.05% 75.40 46,134
COTY -39.09% F -2.27% 40.87 20,615
STI -38.26% B -2.32% 48.41 26,418
DSW -35.48% F -14.89% 50.79 1,358
EFII -34.87% C 0.92% 31.75 45
ATVI -34.44% C 0.39% 63.49 187,841
GME -33.85% D -2.94% 57.94 8,328
QEP -33.46% F -0.41% 9.52 1,989
VSM -32.16% B -3.69% 67.86 1,116
ARNC -32.15% D -1.09% 50.40 11,316
FMC -31.75% A -2.87% 25.79 6,227
TGI -31.74% D -4.27% 42.46 1,383
ENS -31.73% D -0.08% 74.60 4,019
PM -31.38% C -6.79% 57.94 88,869
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE