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Markets Rally on Apparent Trade Progress, Vol Slides to 2019 Lows

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
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 12.28 47.22% 12.55 38.69% 1.02 31.15% 2.22 81.35% -9.28 0.6%
QQQ 16.54 42.66% 16.9 38.49% 1.02 49.21% 1.35 70.44% -11.07 7.94%
IWM 14.37 47.62% 14.75 42.86% 1.03 50.0% 4.03 87.3% -8.4 3.17%
FEZ 13.39 26.98% 14.53 37.7% 1.09 79.56% 1.08 61.51% -2.92 17.26%
EEM 15.86 11.9% 17.32 17.86% 1.09 92.26% 1.32 74.21% -1.26 51.39%

 

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

 

This week’s Fed minutes and economic data failed to deliver any substantial surprises which resulted in a fairly quiet week for equity markets. The S&P is set to tack on another 1.25% in gains for the week while the VIX leaks lower below 14. Even as stocks grind higher, long term bonds are unchanged for the week which reflects some skepticism over trade talks and the belief that a slowing global economy could trickle down to the US. Next week brings a couple potential market-moving events with the March 1st tariff deadline quickly approaching and speculation that Robert Mueller could release his report. 

Bullish: EEM Buyer 105,000 Mar 38.5 puts to Sell 62,400 Apr 40 puts and 50,000 May 40 puts (rolls put write, ref. 42.49)

Bullish: EWZ Buyer 43,000 May 46 – 49 call spreads tied to stock (ref. 43.48)

Bullish: FXI Seller 25,000 Aug 35 puts to Buy 25,000 Aug 49 calls tied to stock (ref. 44.15)

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

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

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

Bearish: HYG Buyer 32,500 Dec 70 puts to Sell 97,500 Dec 60 puts (paid .05, ref. 85.45)

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

 

An interesting trend that caught our eye this week was generally bearish flow in Gold. The precious metal has had an impressive run to start to the year (+3.5% YTD) especially considering the risk-on start to 2019. Skew in GLD began the week .96 standard deviations below its trailing one-year mean (to the call) but now sits at only .67 standard deviations below reflecting a softening in bullish sentiment.

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

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

Bearish: GLD Seller 5,000 Apr 126 – 130 call spreads (ref. 126.58)

 

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