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VIX breaks below 14 on risk on equity markets

Feb 22, 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 in rally mode this afternoon as investors anticipate progress on trade talks. Currently, the S&P is +.55% , the Russell +.80% and the Nasdaq is +.65%. Bonds have regained some of yesterday’s losses (TLT +.80%) as Germany’s “current conditions” index was weaker than expected. In single name news, Kraft Heinz is down more than 25% after cutting its dividend and disclosing an SEC investigation. Crude Oil is mildly stronger today (+.5%) while Gold and Silver are both bid as the dollar sees a bit of weakness. Homebuilders are outperforming today with rates lower while Financials lag the broader market amid mild curve flattening. Volatilities are softer across the board this afternoon with the VIX -3.5% to 13.95, VXN -5% to 17.33, and RVX -3.25% at 15.80.

 

ETF 30D Volatility Changes

SPY:    -3%

IWM:   -3%   

QQQ:  -4%

   

 

Directional Options Strategies

Bullish Option Strategies

EA Buyer 6,.800 Jun 105 calls (ref. 93.22)

AMRN 8,400 Apr 20 calls trade (Earnings 2/27, ref. 19.46)

SNAP Buyer 9,595 May 10 calls (ref. 9.65)

LYB Buyer 3,100 Apr 95 calls (ref. 88.99)

NWSA Seller 71,400 Apr 13 puts tied to stock (ref. 13.03)

 

Bearish Option Strategies

BIDU Seller 10,108 Mar 170 puts to Buy 10,108 Sep 165 puts (rolls out and down, ref. 165.94)

CZR Seller 18,000 Feb 22nd 9 puts to Buy 18,000 Mar 8.5 puts (rolls down, ref. 9.19)

C Buyer 7,498 Mar 62 puts (ref. 64.29)

XRX Buyer 5,000 Apr 27 – 24 put spreads (ref. 31.40)

PLNT Seller 2,100 Mar 65 calls to Buy 2,100 Mar 60 – 55 put spreads (ref. 59.93)

 

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

XME Buyer 7,500 Apr 33 calls (ref. 31.90)

XLI Buyer 7,462 Apr 78 calls (ref. 75.98)

FXI Seller 11,000 Apr 40 puts (ref. 44.19)

VIX Seller 80,000 Mar 22 – 23 call spreads (ref. 15.40)

 

Bearish Option Strategies

SPY Buyer 10,000 Mar 270 puts (ref. 278.19)

QQQ Buyer 10,360 May 156 puts tied to stock (ref. 172.48)

QQQ Buyer 11,312 Mar 167 puts (ref. 172.33)

USO Buyer 10,000 May 11 puts (ref. 12.01)

XME Buyer 4,560 Mar 1st 31 puts (ref. 31.96)

EFA 20,500 Mar 29th 63 – 61 put spreads trade (ref. 64.14)

 

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 Apr 150 RevCons trade (ref. 124.30)

ELAN 10,000 Mar 40 RevCons trade (ref. 19.46)

 

 

 

Upcoming Earnings

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
CRZO 2/25/2019 0.8 7.9 -90.0% F 1,916
ESPR 2/25/2019 7.0 10.4 -32.3% F 6,344
ETSY 2/25/2019 12.7 11.0 15.6% F 14,968
HTZ 2/25/2019 9.2 16.0 -42.2% D 4,154
MOS 2/25/2019 5.9 6.0 -0.6% C 11,688
OKE 2/25/2019 2.5 2.5 0.3% B 21,616
RCII 2/25/2019 6.5 4.3 52.1% C 3,777
RP 2/25/2019 4.4 2.9 52.5% C 1,956
RRC 2/25/2019 3.2 4.4 -26.6% D 11,067
SHAK 2/25/2019 9.1 9.9 -7.9% D 6,616
TEX 2/25/2019 3.6 6.1 -40.5% D 2,723
THC 2/25/2019 9.5 12.3 -22.4% D 13,598
WAB 2/25/2019 7.4 4.4 68.7% C 2,540
AAXN 2/26/2019 10.0 13.2 -24.4% F 6,109
AZO 2/26/2019 4.9 5.4 -8.9% B 68,085
BGS 2/26/2019 9.2 7.3 26.2% B 1,643
CBRL 2/26/2019 4.1 3.9 6.8% C 7,594
CLVS 2/26/2019 14.5 10.0 45.1% D 12,257
CPE 2/26/2019 4.7 4.4 7.3% C 691
DISCA 2/26/2019 5.1 4.1 23.6% F 2,015
ENPH 2/26/2019 15.0 11.4 32.4% F 1,593
EOG 2/26/2019 2.9 2.6 11.5% C 38,604
FGEN 2/26/2019 14.0 9.4 47.9% D 13,999
FRPT 2/26/2019 10.2 7.4 36.7% C 6,563
HD 2/26/2019 2.7 1.1 150.0% B 234,816
INGN 2/26/2019 11.7 11.8 -1.5% C 26,131
LNG 2/26/2019 3.3 2.9 15.9% C 34,228
M 2/26/2019 8.9 9.9 -10.2% D 30,121
MASI 2/26/2019 5.2 5.3 -1.0% A 5,030
MED 2/26/2019 10.0 17.3 -42.2% B 1,194
MELI 2/26/2019 7.2 7.6 -6.3% D 35,656
MYL 2/26/2019 6.0 4.8 25.4% B 13,905
NXST 2/26/2019 4.8 2.1 131.6% A 4,850
PANW 2/26/2019 6.6 6.8 -2.9% D 97,505
PLNT 2/26/2019 8.7 9.2 -4.8% C 5,296
PSA 2/26/2019 2.2 3.0 -28.0% C 2,173
PZZA 2/26/2019 5.1 5.3 -4.4% F 10,990
RLGY 2/26/2019 8.2 6.2 32.2% D 6,466
SJM 2/26/2019 5.9 5.8 2.0% C 7,454
TNDM 2/26/2019 11.1 7.9 41.3% F 11,284
TOL 2/26/2019 5.4 6.3 -15.3% D 6,322
TREE 2/26/2019 11.4 13.3 -14.0% B 4,889
VEEV 2/26/2019 5.8 7.2 -19.5% B 20,075
VICR 2/26/2019 10.7 13.6 -20.8% F 3,191
WLL 2/26/2019 6.7 8.7 -22.5% D 10,310
WP 2/26/2019 3.2 3.9 -19.1% D 20,214
WTW 2/26/2019 14.8 14.3 3.9% C 22,766

 

Volatility Standouts

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
ARRY 69.11% F -2.52% 58.33 21,310
NDLS 68.46% D -2.31% 17.46 56
ELAN 66.86% D -3.62% 37.89 38,186
TTGT 64.51% C -1.15% 57.14 946
FGEN 53.36% D -0.69% 94.05 13,999
CLVS 5.07E-01 D -29.83% 65.08 12,257
S 50.18% F -1.07% 95.63 3,322
ARRS 48.87% C -1.44% 13.10 1,120
NLS 48.62% F -1.38% 99.21 632
TRCO 46.64% C -0.74% 0.79 47
RUBI 45.60% F 1.76% 0.79 110
GPS 43.05% D -1.37% 81.75 10,553
AMED 42.73% C -9.05% 93.65 10,064
INGR 39.83% A -1.42% 12.30 734
EVRI 38.85% C -20.12% 37.30 2,274
NVRO 38.29% D -0.05% 76.19 1,761
SKX 38.07% C -0.64% 33.73 54,980
CTXS 37.86% C 0.58% 3.57 19,753
ZAYO 37.84% D -1.64% 74.60 44,560
HIIQ 37.02% C 3.29% 84.92 17,882
ISBC 36.64% C 1.59% 48.81 2,199
CPB 35.93% C -0.98% 53.57 4,802
FDP 34.65% C 0.00% 98.81 215
HEAR 34.53% C -1.95% 13.90 9,080
Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
PCG -61.54% C -2.52% 73.02 58,706
RHT -60.63% C -2.31% 11.51 64,877
OZK -59.10% C -3.62% 75.40 910
PVTL -55.40% F -1.15% 8.21 1,156
NTGR -47.05% C -0.69% 29.48 4,247
STI -45.90% B -29.83% 19.05 45,357
MAT -39.13% D -1.07% 60.32 24,202
NRZ -3.84E-01 D -1.44% 47.22 4,195
FNSR -37.77% F -1.38% 5.16 564
EA -37.42% D 0.01% 81.75 1,245,928
ZS -37.08% F -0.74% 0.00 12,484
UNIT -36.02% F 1.76% 100.00 3,938
VSM -34.67% B -1.37% 47.22 2,020
PM -34.36% C -9.05% 46.83 108,477
WES -33.63% C -1.42% 43.25 510
TRGP -33.29% F -20.12% 52.38 11,460
ATVI -33.19% C -0.05% 62.30 309,810
ENS -33.08% D -0.64% 43.65 6,437
FDC -31.53% C 0.58% 11.11 965
COTY -30.98% F -1.64% 54.37 28,655
TGI -30.11% D 3.29% 30.95 2,474
NVDA -30.07% C 1.59% 41.67 1,321,400
GME -28.09% D 0.00% 54.76 4,193
CXO -27.46% D -1.95% 66.67 15,786
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE