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VIX unchanged as equities continue rally

Feb 19, 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 opened lower this morning but have since rebounded and are firmly in the green. Currently, the S&P is +.25% , the Russell +.35% and the Nasdaq is +.40%. As has been the case of late, bonds are slightly stronger (TLT +.20%, US-10 year yield down to 2.645%) even as NAHB’s Index came in above expectations (62 vs. 59 est.). In single name news, Walmart is up close to 4% after reporting earnings – the retailer’s record quarter comes only a week after a disappointing Retail Sales data point. Home Builders (+.75%) are outperforming today on the strong NAHB figure while Biotech (-.45%) lags the broader market. Volatilities are bid this afternoon but well off their morning highs with the VIX +1% to 15.04, VXN +1.5% to 17.97, and RVX +3% at 16.50.

 

 

ETF 30D Volatility Changes

SPY:    -3%

IWM:   -2%   

QQQ:  -3%

 

 

Directional Options Strategies

Bullish Option Strategies

CAT Buyer 2,000 Feb 22nd 140 calls (ref. 135.79)

AG Buyer 5,500 Mar 6 calls (ref. 6.42)

JPM Buyer 6,500 Sep 105 calls (ref. 104.33)

MLNX Buyer 3,000 Apr 110 – 125 call spreads (ref. 99.62)

AU Seller 14,574 Jul 13 puts to Buy 11,388 Jul 14 calls (ref. 14.61)

KMB 10,000 Apr 125 – Jul 130 call spreads trade (appears to roll calls up and out, ref. 118.43)

 

Bearish Option Strategies

CCJ Buyer 6,900 Mar 12 puts (ref. 12.05)

YETI Buyer 3,000 May 25 – 22.5 put spreads (rolls up, ref. 24.02)

TGT Seller 20,000 Apr 80 calls (Earnings 3/5, ref. 73.18)

EBAY Seller 10,000 Apr 35 calls to Buy 15,000 Apr 38 calls (appears to monetize part of ratio spread, ref. 36.80)

SO 10,000 Apr 49 calls trade (appears sold, Earnings 2/20, ref. 48.58)

 

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

EEM Buyer 10,000 Mar 43 calls (ref. 42.17)

FEZ Seller 10,000 Mar 35 puts tied to stock (possibly closing, ref. 35.61)

VXXB Seller 11,900 Mar 8th 40 calls and 11,900 Mar 29th 42 calls (ref. 32.58)

 

Bearish Option Strategies

GLD Buyer 10,000 Jun 115 puts (ref. 126.03)

GLD 32,000 Mar 122 puts trade (ref. 126.42)

XAU Buyer 10,000 Mar 75 – 72.5 put spreads (ref. 78.48)

FXI Buyer 13,000 Mar 42 puts (ref. 42.89)

EWZ Seller 10,000 Apr 50 – 52 call spreads to Buy 10,000 Apr 42 – 40 put spreads (ref. 44.40)

EFA Buyer 20,000 Jan20 62 puts (ref. 63.70)

EEM Buyer 79,000 Apr 33.5 puts (paid .035, ref. 42.31)

 

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

 

 

Finance Trades Options Strategies

LLY 10,000 Mar 150 RevCons trade (ref. 122.38)

 

 

 

Upcoming Earnings

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
AWK 2/19/2019 3.1 1.3 148.9% C 2,106
CDNS 2/19/2019 5.2 6.5 -19.2% B 2,943
DVN 2/19/2019 5.2 4.7 10.9% C 21,138
FANG 2/19/2019 1.8 2.4 -25.5% D 13,263
FIVN 2/19/2019 8.6 10.1 -14.6% D 2,525
KAR 2/19/2019 5.1 2.7 87.4% A 3,766
TXRH 2/19/2019 7.5 4.8 55.6% C 2,787
A 2/20/2019 4.0 4.7 -14.0% C 16,027
ADI 2/20/2019 3.0 2.8 7.6% B 48,328
ALB 2/20/2019 5.3 4.9 8.7% C 17,311
BDC 2/20/2019 8.5 5.8 46.4% C 1,857
BLUE 2/20/2019 6.5 3.6 84.0% D 6,272
CAI 2/20/2019 9.4 13.2 -29.0% D 4,678
CAR 2/20/2019 6.6 10.8 -39.1% C 14,066
CECO 2/20/2019 10.4 9.0 15.3% C 2,752
CVS 2/20/2019 4.2 4.1 3.2% C 105,849
EFX 2/20/2019 5.0 5.0 -0.7% D 8,464
ESPR 2/20/2019 2.1 10.4 -79.7% F 4,470
ET 2/20/2019 2.4 0.6 320.2% C 25,884
ETR 2/20/2019 1.5 1.2 20.4% D 4,668
GDDY 2/20/2019 6.0 5.2 15.5% F 4,134
GDOT 2/20/2019 7.9 8.6 -7.9% C 2,078
HFC 2/20/2019 4.5 5.6 -18.2% C 6,145
HSIC 2/20/2019 3.4 4.2 -17.9% A 3,327
JACK 2/20/2019 7.1 5.6 26.8% C 2,349
MIC 2/20/2019 4.0 7.0 -43.5% C 1,847
OC 2/20/2019 6.3 6.6 -3.9% C 5,827
SAM 2/20/2019 6.6 6.8 -2.1% D 4,132
SNPS 2/20/2019 4.0 3.9 2.3% B 2,804
SO 2/20/2019 1.5 1.9 -23.3% C 30,522
TYL 2/20/2019 4.3 4.2 1.6% C 2,431
WPX 2/20/2019 2.2 4.5 -51.8% F 2,400
WWW 2/20/2019 4.9 5.4 -9.1% B 2,073
XEC 2/20/2019 4.7 5.3 -12.3% C 3,816
AAOI 2/21/2019 17.1 15.5 10.0% F 6,718
ACIA 2/21/2019 10.8 10.7 1.1% C 1,663
AJRD 2/21/2019 8.2 11.2 -26.4% C 1,960
APPN 2/21/2019 4.9 3.9 27.8% C 4,521
ATUS 2/21/2019 5.8 5.7 2.8% F 2,415
BEAT 2/21/2019 9.5 10.2 -6.2% D 9,229
BG 2/21/2019 5.5 5.6 -1.8% C 11,811
BMRN 2/21/2019 4.7 1.6 195.6% D 3,629
CATM 2/21/2019 13.3 13.4 -0.6% C 4,821
CZR 2/21/2019 6.4 4.4 46.8% D 9,951
DBX 2/21/2019 7.4 5.3 40.5% F 19,025
DIN 2/21/2019 7.8 4.6 67.9% C 1,766
DPZ 2/21/2019 3.3 4.6 -29.0% B 24,846
DXCM 2/21/2019 7.3 10.8 -32.5% C 17,830
ED 2/21/2019 1.1 0.9 27.7% C 10,380
EXAS 2/21/2019 12.4 12.2 1.4% D 26,990
FLR 2/21/2019 7.7 7.3 5.1% D 13,748
FND 2/21/2019 10.4 14.3 -27.2% D 6,108
FSLR 2/21/2019 7.5 9.2 -17.8% D 27,321
GMED 2/21/2019 5.9 5.2 13.9% C 2,045
GOGO 2/21/2019 11.9 11.4 4.6% F 1,642
HPE 2/21/2019 5.9 6.1 -2.8% D 3,103
HRL 2/21/2019 4.1 2.9 42.5% C 6,540
IART 2/21/2019 11.5 6.9 66.7% C 2,126
INTU 2/21/2019 1.2 2.8 -57.4% A 22,752
KEYS 2/21/2019 4.5 5.1 -12.0% D 5,731
KHC 2/21/2019 6.0 4.0 51.7% D 108,360
NCLH 2/21/2019 2.7 4.2 -35.0% B 2,426
NEM 2/21/2019 2.9 3.2 -8.6% D 69,916
OLED 2/21/2019 10.6 13.3 -20.1% C 22,579
PE 2/21/2019 8.4 5.8 45.5% D 2,223
ROKU 2/21/2019 12.7 19.5 -34.7% F 120,676
SBAC 2/21/2019 2.9 2.1 37.9% B 6,320
SFM 2/21/2019 6.9 5.8 19.3% C 6,436
SGMS 2/21/2019 14.1 11.9 18.7% D 6,058
STMP 2/21/2019 11.2 11.1 0.6% C 8,520
TFX 2/21/2019 3.8 5.9 -35.9% C 1,526
TTD 2/21/2019 12.5 22.4 -44.4% C 48,653
WEN 2/21/2019 4.8 3.1 54.1% C 5,472
Z 2/21/2019 11.5 10.1 14.8% D 10,241

 

Volatility Standouts

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
ARRY 69.04% F 0.00% 72.22 35,974
CARS 67.44% C -1.38% 69.84 20,321
PINC 66.95% B -2.64% 45.24 880
MTG 66.24% C -2.14% 25.40 581
DMRC 63.18% D 0.00% 69.05 1,256
EROS 62.79% F 0.00% 55.56 255
HXL 60.61% A 0.00% 32.94 499
NCS 56.48% B -2.55% 89.68 404
GNTX 54.80% A 0.00% 28.97 433
LL 54.34% F 0.30% 86.90 559
ELAN 5.30E-01 D 0.00% 96.74 22,650
BOOT 52.62% C 0.00% 15.87 1,231
ATSG 52.02% C 0.00% 64.68 340
SNV 49.67% B 0.00% 40.48 3,210
CLVS 46.08% D 0.00% 66.27 9,938
WATT 41.83% D -0.58% 91.27 2,303
PTLA 41.63% F 0.00% 44.84 4,748
HEES 39.97% C 0.00% 57.14 649
FGEN 38.88% D 0.00% 73.41 12,375
ACHC 38.61% C 0.00% 79.76 789
MYGN 37.83% D -0.35% 52.78 4,793
CZR 37.57% D 0.00% 70.24 9,951
CASA 37.52% C 0.00% 58.95 501
SYNA 37.33% C 0.00% 6.75 1,787
Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
PCG -59.43% C 0.00% 75.00 46,104
RHT -56.32% C -1.38% 13.10 71,203
PVTL -48.21% F -2.64% 14.22 1,883
FDC -46.86% C -2.14% 1.98 2,155
NTGR -46.76% C 0.00% 41.43 3,101
STI -45.52% B 0.00% 21.03 29,191
IDTI -43.54% B 0.00% 1.59 3,615
ATVI -38.23% C -2.55% 63.49 285,016
TTD -37.65% C 0.00% 69.44 48,653
MDR -37.58% C 0.30% 89.68 3,908
FNSR -36.85% F 0.00% 4.76 655
QEP -35.57% F 0.00% 10.71 2,191
MAT -35.04% D 0.00% 73.81 18,305
ARNC -34.22% D 0.00% 43.25 15,516
COTY -34.22% F 0.00% 54.37 22,594
ENS -34.14% D 0.00% 59.52 4,382
EA -32.81% D 0.00% 87.30 931,967
PM -32.60% C -0.58% 51.19 89,512
OZK -32.22% C 0.00% 64.68 840
GME -31.81% D 0.00% 53.17 8,202
ITW -30.68% B 0.00% 17.86 24,405
WES -30.42% C -0.35% 42.86 399
NVDA -30.21% C 0.00% 44.44 1,450,135
ZS -30.04% F 0.00% 0.88 14,720
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE