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Equity markets move sideways in quiet trading

Feb 20, 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 mostly muted this afternoon as investors await further clarity on the Fed’s balance sheet via the FOMC minutes. Currently, the S&P is +.17% , the Russell +.40% and the Nasdaq is +.25%. There’s a bit of curve steepening this afternoon (TLT -.41%, SHY +.07%) ahead of the minutes. In single name news, CVS is down more than 7% after reporting earnings. The firm is continuing its integration with Aetna and its full year forecasts came in below expectations ($6.68 vs. $7.41 est.). Materials (+1.5%) are outperforming today while Consumer Staples (-.3%) lags the broader market. Volatilities are softer this afternoon with the VIX -4% to 14.32, VXN -1.5% to 17.83, and RVX -2% at 16.21.

 

ETF 30D Volatility Changes

SPY:    -4%

IWM:   -3%   

QQQ:  -4%

 

Directional Options Strategies

Bullish Option Strategies

BAC Seller 15,000 Mar 27.5 puts (ref. 29.03)

KO Seller 25,000 Jun 42 puts (open write, ref. 45.03)

ETM Buyer 3,800 Mar 8 calls (Earnings 2/22, ref. 7.68)

MLCO Buyer 6,100 Apr 25 calls (ref. 23.15)

F Buyer 20,000 Jan20 10 calls (ref. 8.91)

 

Bearish Option Strategies

F Buyer 10,000 Jan20 7 puts (appears to add to position, ref. 8.94)

TSLA 8,600 Feb 22nd 295 puts trade (ref. 305.39)

FITB Buyer 4,095 Mar 27 puts (ref. 27.44)

SNAP Buyer 15,000 Apr 8 puts (ref. 9.21)

AAOI Buyer 5,000 Feb 22nd 14 – 12 put spreads (Earnings 2/21, ref. 15.00)

DATA Buyer 10,000 Apr – Oct 120 call spreads (monetizes, maintains bullish exposure, ref. 127.91)

ZNGA Seller 22,000 Apr 6 calls to Buy 22,000 Apr 5 – 4.5 put spreads (ref. 5.09)

 

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 17,275 Feb 20th 279 calls (paid $.15, ref. 277.91, end of day upside play)

GDX Buyer 5,000 Apr 23 – 25 1x2 call spreads (ref. 23.38)

GLD 5,000 Mar 29th 127 – 130 – 133 call flies trade (appears to monetize spread and roll up, ref. 127.06)

EEM Buyer 10,680 Mar 29th 44 calls (ref. 42.86)

FEZ Seller 10,000 May 30 puts (ref. 35.97)

 

Bearish Option Strategies

SPY Buyer 12,500 Feb 22nd 275 – 273 put spreads (ref. 277.98)

SPY Buyer 24,000 Sep 249 puts (ref. 277.92)

SPY Buyer 13,500 Mar 8th 266 – 264 put spreads (ref. 278.27)

EWZ Seller 9,000 Feb 22nd 44 calls (ref. 44.08)

EEM Buyer 20,000 Mar 42 puts (ref. 42.77)

EEM Buyer 10,848 Mar20 32 puts (ref. 42.86)

IYR Buyer 11,934 Mar 1st 82 puts (possibly closing, ref. 84.46)

XBI Buyer 7,500 Mar 85 – 80 put spreads (ref. 85.83)

QQQ Seller 30,000 Jun 180 – Jun 28th 185 call spreads (monetizes part of position, ref. 172.73)

 

 

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

 

 

Finance Trades Options Strategies

AAPL 3,000 Apr 160 RevCons trade (ref. 172.58)

SPY 15,000 Sep 280 RevCons trade (ref. 278.16)

 

 

 

 

Upcoming Earnings

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
A 2/20/2019 4.0 4.7 -13.9% C 17,847
ALB 2/20/2019 4.9 4.9 -0.3% C 16,985
BLUE 2/20/2019 6.5 3.6 83.9% D 6,126
CAI 2/20/2019 9.4 13.2 -29.2% D 5,446
CAR 2/20/2019 7.0 10.8 -35.3% C 14,224
EFX 2/20/2019 4.5 5.0 -10.0% D 9,184
ESPR 2/20/2019 4.9 10.4 -53.3% F 4,719
ET 2/20/2019 3.3 0.6 489.4% C 27,711
GDDY 2/20/2019 7.0 5.2 34.6% F 4,530
GDOT 2/20/2019 7.5 8.6 -12.7% C 2,379
JACK 2/20/2019 6.9 5.6 22.0% C 2,695
MIC 2/20/2019 4.1 7.0 -41.9% C 1,756
O 2/20/2019 1.0 1.5 -36.0% B 11,885
SAM 2/20/2019 6.7 6.8 -0.6% D 4,515
SNPS 2/20/2019 3.7 3.9 -5.6% B 2,513
TYL 2/20/2019 4.5 4.2 6.4% C 2,539
WPX 2/20/2019 3.0 4.5 -32.1% F 1,950
XEC 2/20/2019 4.1 5.3 -22.6% C 2,358
AAOI 2/21/2019 18.0 15.5 16.1% F 6,797
ACIA 2/21/2019 10.1 10.7 -4.9% C 1,730
APPN 2/21/2019 5.3 3.9 36.3% C 5,176
ATUS 2/21/2019 5.6 5.7 -2.1% F 2,135
BEAT 2/21/2019 11.2 10.2 10.2% D 7,865
BG 2/21/2019 5.6 5.6 1.1% C 12,961
BMRN 2/21/2019 4.0 1.6 152.4% D 4,053
CATM 2/21/2019 12.5 13.4 -6.7% C 5,597
CZR 2/21/2019 5.9 4.4 36.5% D 9,449
DBX 2/21/2019 7.6 5.3 42.9% F 16,085
DIN 2/21/2019 7.2 4.6 55.8% C 1,972
DPZ 2/21/2019 3.7 4.6 -19.9% B 27,774
DXCM 2/21/2019 7.1 10.8 -34.3% C 19,772
ED 2/21/2019 1.1 0.9 30.3% C 11,389
EXAS 2/21/2019 11.9 12.2 -2.1% D 29,030
FLR 2/21/2019 7.1 7.3 -2.9% D 15,837
FND 2/21/2019 11.8 14.3 -17.8% D 7,095
FSLR 2/21/2019 7.6 9.2 -17.5% D 28,730
GMED 2/21/2019 5.7 5.2 11.5% C 2,333
GOGO 2/21/2019 12.8 11.4 12.4% F 1,854
HPE 2/21/2019 5.9 6.1 -3.7% D 3,356
HRL 2/21/2019 4.1 2.9 44.8% C 5,295
IART 2/21/2019 10.3 6.9 50.1% C 2,139
INTU 2/21/2019 1.9 2.8 -31.0% A 19,886
KEYS 2/21/2019 5.1 5.1 -0.1% D 6,060
KHC 2/21/2019 6.0 4.0 51.2% D 123,026
NCLH 2/21/2019 2.8 4.2 -32.6% B 2,341
NEM 2/21/2019 3.1 3.2 -3.2% D 78,206
OLED 2/21/2019 10.8 13.3 -19.3% C 23,599
PE 2/21/2019 8.0 5.8 38.6% D 2,466
ROKU 2/21/2019 13.1 19.5 -33.0% F 87,697
SBAC 2/21/2019 3.1 2.1 48.2% B 6,812
SFM 2/21/2019 7.2 5.8 24.2% C 6,987
SGMS 2/21/2019 13.9 11.9 16.8% D 5,134
STMP 2/21/2019 11.5 11.1 3.4% C 9,288
TFX 2/21/2019 4.3 5.9 -27.7% C  
TTD 2/21/2019 13.2 22.4 -41.2% C 39,774
WEN 2/21/2019 5.3 3.1 70.7% C 4,101
Z 2/21/2019 11.5 10.1 14.0% D 11,035
AN 2/22/2019 4.8 4.4 9.3% D 2,388
W 2/22/2019 11.7 12.9 -9.6% C 29,068
ETSY 2/25/2019 12.4 10.8 14.4% F 37,287
HTZ 2/25/2019 9.3 16.0 -42.0% D 3,961
ICPT 2/25/2019 7.7 7.1 8.3% F 62,483
MEDP 2/25/2019 10.0 12.3 -19.1% B 2,016
MOS 2/25/2019 4.8 6.0 -20.2% C 9,928
OKE 2/25/2019 1.7 2.5 -31.4% B 22,399
RCII 2/25/2019 6.7 4.3 58.3% C 3,331
RRC 2/25/2019 2.1 4.4 -53.1% D 9,305
SHAK 2/25/2019 8.3 9.9 -16.1% D 6,623
TEX 2/25/2019 1.5 6.1 -75.2% D 1,929
THC 2/25/2019 9.0 11.9 -24.4% D 10,544
WAB 2/25/2019 7.7 4.4 76.4% C 2,366

 

Volatility Standouts

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
ELAN 53.93% D -0.27% 54.84 26,402
ARRY 53.61% F -1.77% 80.48 27,539
FGEN 48.77% D 1.37% 79.68 14,227
TRCO 45.50% C 1.53% 6.77 32
NDLS 45.05% D 0.82% 49.00 148
KHC 39.33% D -0.33% 63.35 123,026
FTAI 38.87% C -0.88% 62.55 582
EXR 37.73% B -0.56% 12.75 1,282
AMED 37.22% C -0.57% 83.67 7,454
REV 36.97% D 2.09% 53.39 185
CLVS 3.55E-01 D 2.49% 62.15 11,100
EVRI 35.48% C -0.10% 49.40 1,524
EFX 34.51% D 0.00% 78.09 9,184
GPS 34.08% D -0.68% 71.31 12,749
ZAYO 33.68% D -3.19% 76.10 50,105
INGR 33.56% A 1.32% 2.79 646
CTXS 29.92% C -8.03% 1.20 31,116
SKX 29.89% C -1.16% 23.11 39,141
EXEL 29.88% B 0.85% 9.96 27,396
BMY 29.56% C -2.47% 98.41 366,970
LB 27.77% F -0.12% 84.46 17,416
DMRC 27.22% D 1.92% 75.30 1,457
AJRD 26.96% C -1.71% 67.73 2,109
MLNX 26.56% C 2.10% 83.67 18,210
Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
RHT -63.94% C -0.27% 4.78 75,374
PCG -60.20% C -1.77% 76.89 49,953
OZK -58.20% C 1.37% 74.90 742
PVTL -52.88% F 1.53% 0.98 1,876
STI -50.68% B 0.82% 39.44 32,872
UNIT -46.44% F 0.69% 100.00 9,012
NTGR -43.70% C -0.33% 23.60 3,562
IDTI -41.41% B -0.88% 0.80 3,748
ATVI -40.44% C -0.56% 56.97 318,523
FDC -39.96% C -0.57% 12.75 2,026
ARNC -38.23% D 2.09% 22.71 16,864
FNSR -38.14% F 2.49% 3.59 632
EA -3.81E-01 D -0.10% 85.66 1,056,455
MAT -3.75E-01 D -13.24% 49.80 17,581
QEP -37.41% F 0.00% 5.98 2,517
ZS -36.64% F -0.68% 0.44 11,995
WES -36.19% C -3.19% 57.77 420
TTD -35.73% C 1.32% 68.92 39,774
PM -35.09% C -8.03% 39.44 98,656
COTY -34.83% F -1.16% 45.82 25,855
ENS -34.75% D 0.85% 38.25 4,848
CASA -34.70% C -2.47% 42.41 563
ARRS -33.67% C -0.12% 0.40 1,486
VSM -30.90% B 0.09% 60.56 1,423
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE