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Market Brushes Off Mixed Data. VIX Breaks Below 15

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

 

ETF 30D IV 30D IV
Percentile
90D IV 90D IV
Percentile
90D/30D IV 90D/30D IV
Percentile
30D IV-
20D HV
30D IV-20D HV
Percentile
90D IV-
60D HV
90D IV-60D HV
Percentile
SPY 13.52 57.14% 13.39 45.24% 0.99 23.41% 1.77 78.17% -8.96 1.59%
QQQ 16.82 44.05% 18.01 51.98% 1.07 68.85% -0.49 57.74% -11.06 6.75%
IWM 15.69 57.14% 16.06 56.94% 1.02 47.02% 3.75 85.12% -7.76 3.97%
FEZ 15.07 48.61% 14.14 27.38% 0.94 22.02% 2.21 73.41% -3.68 10.12%
EEM 16.63 18.25% 18.15 32.34% 1.09 93.25% 0.56 63.1% -1.46 46.23%

 

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

Highlights from the past week

  • Equities had a generally positive week after receiving some mixed data points:

The Good

  • The Job Openings number beat expectations and reached a record high of 7.3 openings

  • Consumer Confidence is strong (95.5 vs. 93.7 est.)

The Bad

  • Retail Sales disappointed (-1.2% vs. 0.1% est.) the biggest monthly drop since 2009

  • Both the Atlanta and New York Fed revised their Q1 GDP estimates lower (NY from 2.2% to 1.1% and ATL to 1.5% from 2.7%)

The Boring

  • CPI was unchanged for the third consecutive month (0.2%)

 

  • The S&P is set to gain roughly 2.75% for the week as the market gains confidence in the likelihood of a trade deal. Chinese officials will visit Washington D.C. next week in an effort to maintain momentum between negotiators. With the threat of an escalating trade war fading, the VIX saw quite a bit of selling pressure and has broken below 15. Despite the risk-on move in equities, bond traders aren’t as optimistic as TLT (20+ Yr. Treasury Bond ETF) is up for the week. This likely has more to do with concerns over growth and markets will receive further data next week (PMI, Home Sales) which should help offer further clarity.

Bullish: EEM Seller 63,800 Apr 39 put options (ref. 42.11)

Bullish: SPY Buyer 10,000 Jan21 420 call options (ref. 276.74)

Bullish: EFA Buyer 82,500 Mar 1st 63.5 call options (ref. 62.56)

Bullish: FEZ Seller 11,500 Mar 36 call options (closing) to Buy 11,500 Mar 8th 36.5 call options (ref. 35.55)

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

Bearish: KRE Buyer 25,000 Apr 54 put options (ref. 55.54)

Bearish: IEF Buyer 40,000 Mar 103 put options (ref. 104.08)

Bearish: TLT Seller 10,000 Apr 125 call options (ref. 121.83)

  • With the bullish move in stocks over the last month and a half, we’ve seen a number of call writing  strategies employed. When sentiment becomes increasingly one-sided options traders are able to leverage this by selling out of the money options for attractive premiums. For example, if the majority of investors are buying calls, the price gets bid up and can become an attractive sale. Here are a few “writes” that caught our eye.

Bearish: PG Seller 9,300 Jun 105 call options (opens call options write, ref. 97.97)

Bearish: CZR Buyer 20,000 Feb 9 call options to Sell 20,000 Mar 10 calls (rolls write, ref. 9.34)

Bearish: BABA Seller 6,500 Mar 180 call options (ref. 168.49)

OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE