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VIX up 2% as equities finally in the red

Feb 21, 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 softer this afternoon after some weaker than expected economic data (Philly Fed, Markit PMI, Home Sales) but are climbing off their lows. Currently, the S&P is -.25% , the Russell -.50% and the Nasdaq is -.10%. There’s a bit of curve steepening for the second consecutive session (TLT -.89%, SHY -.04%) as bonds are generally weaker. In single name news, Nike is down more than 1% after Duke’s Zion Williamson broke his shoe in a loss to UNC last night. Commodities are taking a breather today with Crude Oil -.65% (US production figure came in above expectations) and precious metals also moving lower. Defensive sectors (XLP, XLU) are outperforming today while Biotech (-1.1%) lags the broader market. Volatilities are mildly stronger this afternoon with the VIX +2% to 14.25, VXN +1% to 18.04, and RVX +3% at 16.55.

 

ETF 30D Volatility Changes

SPY:    +1%

IWM:   +2%   

QQQ:  +1%

   

 

Directional Options Strategies

Bullish Option Strategies

OAS Buyer 3,700 Mar 7 calls (Earnings 2/26, ref. 6.32)

BSX Buyer 5,700 Apr 45 calls (ref. 40.45)

KR Buyer 3,900 Feb 22nd 29 calls (Earnings 3/7, ref. 28.75)

DK Buyer 6,500 Apr 42.5 calls trade (ref. 36.99)

APEI Buyer 2,500 Mar 35 – 40 call spreads (ref. 32.60)

 

Bearish Option Strategies

COUP Buyer 4,000 Apr 90 puts (Earnings 3/11, ref. 92.26)

PGR Seller 9,250 Apr 77.5 calls (ref. 72.16)

SNAP Seller 14,500 Mar 10.5 calls (ref. 9.35)

M Buyer 10,000 Mar 1st 23.5 puts and 15,000 Mar 24 puts (Earnings 2/26, ref. 24.82)

AGI Seller 15,100 Sep 5 calls (opens write, ref. 4.85)

MIC Seller 10,000 Oct 42.5 – 35 strangles (ref. 39.08)

 

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 105,000 Mar 38.5 puts to Sell 62,400 Apr 40 puts and 50,000  May 40 puts (appears to roll put write, ref. 42.49)

XOP Buyer 5,000 May 31 calls (ref. 31.02)

EWZ Seller 15,000 Mar 37 puts (appears closing, ref. 43.24)

Bearish Option Strategies

USO Buyer 10,000 May 11 puts (ref. 11.93)

IWM Buyer 21,000 May 120 puts (possibly closing, ref. 157.30)

SPY Buyer 17,165 Mar 29th 255 puts to Sell 21,455 Mar 29th 245 puts (ref. 277.27)

XRT Seller 13,000 Mar 44 puts to Buy 10,000 Apr 44 puts (appears to roll out, ref. 45.31)

 

 

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

 

 

Finance Trades Options Strategies

ELAN 5,000 Mar 40 RevCons trade (ref. 29.07)

IWM 7,500 Mar 157 RevCons trade (ref. 156.87)

 

 

 

Upcoming Earnings

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
AAOI 2/21/2019 18.1 15.5 16.5% F 7,584
ACIA 2/21/2019 10.2 10.7 -4.6% C 1,747
APPN 2/21/2019 5.5 3.9 41.4% C 6,101
ATUS 2/21/2019 6.2 5.7 8.6% F 1,725
BEAT 2/21/2019 10.9 10.2 7.5% D 6,271
BLUE 2/21/2019 7.1 3.6 99.3% D 5,161
BMRN 2/21/2019 3.7 1.6 132.1% D 4,247
CATM 2/21/2019 12.8 13.4 -4.3% C 6,714
CZR 2/21/2019 5.8 4.4 34.4% D 9,612
DBX 2/21/2019 7.4 5.3 39.9% F 14,525
DXCM 2/21/2019 7.1 10.8 -34.7% C 18,082
ED 2/21/2019 1.3 0.9 54.7% C 12,676
EXAS 2/21/2019 11.6 12.2 -5.0% D 25,821
FLR 2/21/2019 7.3 7.3 -0.6% D 18,246
FSLR 2/21/2019 6.9 9.2 -24.3% D 32,352
GMED 2/21/2019 5.4 5.2 4.2% C 2,787
HPE 2/21/2019 6.1 6.1 0.7% D 3,089
INTU 2/21/2019 2.5 2.8 -12.0% A 17,453
KEYS 2/21/2019 5.3 5.1 4.1% D 5,849
KHC 2/21/2019 5.7 4.0 42.9% D 134,680
OLED 2/21/2019 10.5 13.3 -21.5% C 21,778
PE 2/21/2019 8.0 5.8 37.6% D 2,831
ROKU 2/21/2019 13.2 19.5 -32.4% F 85,746
SBAC 2/21/2019 3.6 2.1 71.7% B 7,829
STMP 2/21/2019 11.3 11.1 2.0% C 9,844
TTD 2/21/2019 11.9 22.4 -46.9% C 38,728
Z 2/21/2019 10.8 10.1 7.3% D 11,669
AN 2/22/2019 5.1 4.4 15.8% D 2,291
COG 2/22/2019 4.6 4.4 3.9% B 21,127
W 2/22/2019 12.5 12.9 -3.2% C 23,456
CRZO 2/25/2019 3.6 7.9 -54.0% F 1,745
ETSY 2/25/2019 13.0 10.8 19.7% F 21,278
HTZ 2/25/2019 9.6 16.0 -40.0% D 4,141
IMMU 2/25/2019 2.2 6.8 -67.4% C 8,862
MEDP 2/25/2019 9.4 12.3 -23.7% B 1,497
MOS 2/25/2019 5.2 6.0 -13.5% C 10,400
OKE 2/25/2019 2.4 2.5 -1.9% B 18,036
RCII 2/25/2019 6.2 4.3 45.1% C 3,610
RRC 2/25/2019 2.3 4.4 -46.6% D 10,174
SHAK 2/25/2019 9.0 9.9 -9.1% D 6,520
TEX 2/25/2019 2.7 6.1 -55.3% D 2,234
THC 2/25/2019 9.2 12.3 -25.0% D 11,865
WAB 2/25/2019 7.3 4.4 66.5% C 2,143
AAXN 2/26/2019 9.6 13.2 -27.1% F 5,365
ACAD 2/26/2019 21.8 9.3 135.5% C 1,479
AZO 2/26/2019 4.8 5.4 -10.2% B 62,848
BGS 2/26/2019 8.2 7.3 13.2% B 5,133
CBRL 2/26/2019 4.4 4.0 11.9% C 6,667
CLVS 2/26/2019 14.7 10.0 47.0% D 12,264
CPE 2/26/2019 5.6 4.4 27.2% C 2,157
DISCA 2/26/2019 5.2 4.1 25.8% F 2,108
ENPH 2/26/2019 14.6 11.4 28.6% F 1,710
EOG 2/26/2019 3.5 2.6 34.2% C 36,000
FGEN 2/26/2019 13.4 9.4 41.8% D 16,681
FRPT 2/26/2019 9.9 7.4 33.1% C 5,546
HD 2/26/2019 2.9 1.1 164.5% B 210,515
INGN 2/26/2019 11.2 11.8 -5.5% C 31,831
LGIH 2/26/2019 5.7 8.3 -30.7% C 1,218
LNG 2/26/2019 3.4 2.9 16.6% C 31,220
M 2/26/2019 8.0 9.9 -18.6% D 28,853
MASI 2/26/2019 4.8 5.4 -9.9% A 4,228
MED 2/26/2019 10.6 17.3 -38.9% B 2,573
MELI 2/26/2019 6.9 7.6 -9.4% D 33,190
MYL 2/26/2019 5.6 4.8 16.6% B 12,157
NXST 2/26/2019 4.7 2.1 127.2% A 4,015
PANW 2/26/2019 6.6 6.8 -3.1% D 108,998
PEN 2/26/2019 9.7 8.1 19.5% C 1,496
PLNT 2/26/2019 8.8 9.2 -3.9% C 5,196
PSA 2/26/2019 2.9 3.0 -3.4% C 2,449
PZZA 2/26/2019 6.1 5.4 13.5% F 20,577
RLGY 2/26/2019 8.3 6.2 34.0% D 5,655
SERV 2/26/2019 5.7 5.4 5.5% C 1,071
SJM 2/26/2019 4.7 5.7 -17.4% C 6,453
TNDM 2/26/2019 11.5 7.9 45.8% F 9,789
TOL 2/26/2019 5.2 6.3 -17.3% D 6,029
TREE 2/26/2019 11.2 13.3 -15.3% B 4,118
VEEV 2/26/2019 5.9 7.2 -18.2% B 24,156
VICR 2/26/2019 10.8 13.6 -20.2% F 3,449
WLL 2/26/2019 6.1 8.7 -29.3% D 9,048
WP 2/26/2019 3.2 3.9 -17.2% D 16,356
WTW 2/26/2019 15.1 14.3 6.1% C 21,178

 

Volatility Standouts

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
ARRY 65.65% F -16.19% 66.27 27,997
ELAN 63.35% D -0.10% 90.43 31,417
S 62.42% F -2.11% 82.54 3,168
FDP 50.85% C 0.60% 100.00 172
FGEN 50.75% D 1.41% 89.68 16,681
SNCR 49.13% D 0.24% 74.19 208
CLVS 45.53% D 0.57% 61.90 12,264
NDLS 45.06% D -0.83% 25.40 140
TTGT 42.34% C 1.09% 63.89 786
IDCC 42.21% B 2.01% 34.13 233
ZAYO 39.34% D 0.34% 76.19 45,792
CTXS 37.68% C 2.72% 14.29 24,188
GPS 37.59% D 0.41% 71.83 13,019
KHC 35.80% D -5.92% 69.84 134,680
INGR 35.47% A 5.62% 1.98 668
EVRI 35.17% C -0.85% 41.27 1,827
KAR 34.47% A 2.33% 97.62 5,211
SKX 34.24% C -5.20% 24.21 45,543
REV 33.42% D -1.04% 53.17 206
HIIQ 32.75% C -1.95% 85.32 15,275
LB 31.88% F 0.13% 88.49 19,678
TIVO 31.56% C 0.97% 33.73 386
ETM 30.97% D -1.42% 67.46 137
WU 29.93% A -0.13% 3.97 2,516
Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
RHT -62.75% C -16.19% 19.05 58,745
PCG -62.14% C -0.10% 73.81 51,535
OZK -58.22% C -2.11% 75.00 798
PVTL -54.53% F 0.60% 7.77 985
STI -47.35% B 1.41% 15.87 38,344
NTGR -44.84% C 0.24% 27.89 4,126
MAT -41.38% D 3.21% 49.60 20,315
ATVI -39.99% C 0.57% 60.32 350,117
TTD -39.39% C -0.83% 73.41 38,728
ARNC -39.10% D 1.09% 23.81 18,834
FNSR -38.27% F 2.01% 3.17 549
ZS -36.77% F 0.34% 0.00 12,075
EA -36.71% D 2.72% 85.71 1,152,284
UNIT -36.55% F 0.41% 99.21 8,135
NRZ -35.78% D -5.92% 48.41 3,824
VSM -35.44% B 5.62% 54.76 1,667
QEP -35.14% F -0.85% 5.16 2,991
TRCO -35.03% C 2.33% 3.97 37
FDC -34.34% C -5.20% 7.54 1,443
ENS -33.18% D -1.04% 36.90 5,551
CASA -32.71% C -1.95% 48.96 587
COTY -32.58% F 0.13% 44.84 26,998
ARRS -30.99% C 0.97% 2.78 1,675
PM -30.95% C -1.42% 42.86 110,100
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE