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VIX unchanged in listless trading session

Feb 26, 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 off their lows but are struggling to find momentum after some mixed economic data this morning. December housing starts came in soft (1.077M vs. 1.256M est.) while the February Consumer Confidence figure beat expectations (131.4 vs 124.9 est.). Currently, the S&P is +.1% , the Russell -.4% and the Nasdaq is +.1%. Bonds are mildly stronger (TLT +.23%, US 10 year yield down to 2.648%) as the Atlanta Fed cut its Q4 GDP forecast from 1.9% to 1.8%. In single name news, Home Depot is down 2% after earnings came in slightly below expectations. The firm also announced a $15 billion share buyback and a 32% boost of its dividend. Retail is outperforming today (positive Macy’s earnings, XRT +.4%), while Utilities lag the broader market. Volatilities are mixed with the VIX -1% to 14.70, VXN +1% to 18.00, and RVX +3% at 17.18

 

ETF 30D Volatility Changes

SPY:    FLAT

IWM:   +3%   

QQQ:  FLAT

 

 

Directional Options Strategies

Bullish Option Strategies

EA Buyer 4,000 Apr 100 calls (ref. 98.52)

GM Buyer 7,300 Mar 42 calls (20,000 trade total, ref. 40.22)

INFN Buyer 7,800 Apr 5 calls (ref. 5.47)

CVS Buyer 10,000 Jan21 100 calls (ref. 60.90)

 

Bearish Option Strategies

CTL Seller 8,000 Jun 12 puts (opens put write, 16,400 trade total, ref. 12.99)

MNK Buyer 4,000 Jan 30 – 17.5 put spreads (rolls puts up, ref. 26.19)

CPB Buyer 2,700 Mar 1st 31.5 puts (Earnings 2/27, ref. 32.84)

LB Buyer 15,000 May 20 puts (ref. 27.40)

CGC Seller 5,850 Mar – Apr 35 call spreads (appears to roll short calls out, ref. 44.47)

 

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 10,905 May 300 calls (ref. 279.63)

EEM Buyer 30,000 Mar 44 calls tied to stock (ref. 43.38)

TLT Buyer 9,382 Sep 127 calls (ref. 121.39)

FXI Seller 11,500 Jun 47 – 40 strangles tied to stock (ref. 44.55)

 

Bearish Option Strategies

SPY 15,000 Sep 270 puts trade (ref. 279.19)

SPY Buyer 12,729 Mar 8th 265 puts (ref. 279.72)

SPY 11,000 Mar20 225 puts trade (ref. 279.60)

HYG Buyer 20,000 Apr 83 puts (ref. 85.81)

XAU Buyer 10,000 Mar 77.5 puts (ref. 77.82)

IWM Buyer 8,704 Apr 156 puts (ref. 157.61)

EFA 20,000 Mar20 55 puts trade (ref. 64.58)

VIX Buyer 56,000 Apr 25 calls to Sell 66,000 Apr 35 calls (ref. 16.23)

 

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

 

 

Finance Trades Options Strategies

FXI 5,000 Apr 44 RevCons trade (ref. 44.52)

ELAN 4,500 Mar 40 RevCons trade (ref. 29.03)

NIO 3,000 Apr 9 RevCons trade (ref. 10.27)

 

 

 

Upcoming Earnings

 

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
AAXN 2/26/2019 9.2 13.2 -29.8% F 5,201
ACAD 2/26/2019 23.4 9.3 152.2% C 1,999
BGS 2/26/2019 8.0 7.0 14.8% B 2,568
EOG 2/26/2019 3.7 2.6 40.1% C 44,785
ESPR 2/26/2019 6.0 10.7 -44.4% F 7,700
FRPT 2/26/2019 10.0 7.4 34.7% C 10,162
INGN 2/26/2019 12.0 11.8 1.2% C 19,371
MASI 2/26/2019 6.3 5.3 19.4% A 8,565
MELI 2/26/2019 6.6 7.7 -14.4% D 38,355
MYL 2/26/2019 5.5 4.8 14.2% B 8,110
PANW 2/26/2019 6.5 6.4 1.3% D 98,664
PEN 2/26/2019 9.4 8.1 16.7% C 3,721
PLNT 2/26/2019 9.1 9.2 -0.3% C 7,018
PSA 2/26/2019 2.5 3.0 -18.2% C 2,259
PZZA 2/26/2019 5.9 5.3 10.7% F 8,765
TNDM 2/26/2019 10.8 7.7 39.6% F 20,395
TOL 2/26/2019 5.8 6.3 -8.4% D 10,615
VEEV 2/26/2019 6.3 7.2 -12.2% B 18,660
VICR 2/26/2019 12.5 14.3 -12.7% F 712
WLL 2/26/2019 7.3 8.8 -18.0% D 7,403
WTW 2/26/2019 15.3 14.3 6.9% C 11,749
AES 2/27/2019 3.4 3.9 -13.0% C 1,934
AMED 2/27/2019 10.9 7.5 46.5% C 19,538
AMT 2/27/2019 2.3 2.3 -0.1% B 12,734
ANSS 2/27/2019 3.8 4.1 -7.5% B 3,085
APA 2/27/2019 4.0 4.2 -2.6% F 18,008
AYX 2/27/2019 10.9 8.7 26.4% D 12,065
BBY 2/27/2019 7.8 7.2 7.8% C 41,428
BKNG 2/27/2019 5.4 6.2 -13.7% A 1,343,799
BOX 2/27/2019 7.2 7.4 -2.6% F 15,769
CHK 2/27/2019 8.4 7.7 9.7% D  
CPB 2/27/2019 6.3 5.9 6.1% C 7,493
CRC 2/27/2019 13.0 11.5 12.7% F 5,517
CVNA 2/27/2019 11.9 9.0 31.2% F 131,272
ERI 2/27/2019 6.4 5.4 17.2% F 2,610
FGEN 2/27/2019 12.5 9.4 31.9% D 18,069
FIT 2/27/2019 13.8 13.8 -0.3% F 5,272
GPOR 2/27/2019 5.7 6.2 -8.1% D 2,753
HGV 2/27/2019 3.7 5.4 -31.8% C  
HIIQ 2/27/2019 18.1 9.0 100.5% C 18,396
HPQ 2/27/2019 4.6 3.4 38.1% A 10,662
IONS 2/27/2019 5.3 4.7 12.5% F 21,432
LB 2/27/2019 8.4 8.7 -3.3% F 12,095
LOW 2/27/2019 5.1 5.6 -9.4% D 52,996
MNST 2/27/2019 6.4 5.4 18.2% B 6,092
PEG 2/27/2019 2.2 1.7 30.3% D 638
SQ 2/27/2019 6.3 6.3 0.5% F 327,140
SRPT 2/27/2019 13.2 8.1 64.0% D 40,999
TDOC 2/27/2019 8.2 7.1 16.9% D 4,364
TJX 2/27/2019 4.6 3.8 22.3% C 9,368
UHS 2/27/2019 3.8 4.6 -16.1% B 2,545
WATT 2/27/2019 14.6 7.4 98.4% D 2,897
WING 2/27/2019 7.7 8.6 -9.9% D 4,600
ADSK 2/28/2019 8.5 10.1 -15.5% C 55,962
ALRM 2/28/2019 8.7 6.3 39.0% C 3,011
CARS 2/28/2019 9.6 3.8 148.3% C 9,192
EIX 2/28/2019 2.5 1.6 56.3% D 31,932
GPS 2/28/2019 8.9 7.2 24.0% D 8,152
ICPT 2/28/2019 6.9 7.2 -3.5% F 121,241
ICUI 2/28/2019 7.7 5.5 40.0% C 1,689
JWN 2/28/2019 8.0 8.3 -3.6% C 6,762
KTOS 2/28/2019 7.6 9.8 -22.8% F 9,214
LKQ 2/28/2019 5.9 5.4 8.1% B  
LYV 2/28/2019 5.3 5.7 -6.7% C 1,037
MAR 2/28/2019 3.7 2.8 31.5% C 14,957
MTZ 2/28/2019 5.8 4.9 19.7% C 9,885
NKTR 2/28/2019 6.6 8.6 -23.3% C 10,018
NRG 2/28/2019 4.0 3.8 4.5% C 6,244
NTNX 2/28/2019 9.5 7.3 30.3% D 22,929
PSTG 2/28/2019 8.1 8.3 -2.2% F 2,131
SEAS 2/28/2019 8.9 6.9 30.3% C 3,870
SPLK 2/28/2019 7.8 9.5 -17.5% D 72,698
SRCL 2/28/2019 8.8 9.2 -4.7% D 1,808
SWN 2/28/2019 3.9 6.8 -42.9% F 2,816
VMW 2/28/2019 4.8 4.1 18.2% C 35,562
VST 2/28/2019 4.4 2.4 81.2% C 4,540
WDAY 2/28/2019 5.6 6.3 -11.1% D 58,615
ZS 2/28/2019 9.8 13.3 -26.0% F 15,549

Volatility Standouts

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
ELAN 67.52% D 1.09% 35.05 58,084
S 63.48% F -0.75% 94.82 4,798
KHC 61.71% D 0.29% 95.62 77,345
FGEN 58.73% D -0.79% 95.62 18,069
NTRI 52.98% C -2.01% 20.32 1,421
ARRS 48.70% C 1.28% 0.80 199
ZAYO 47.84% D -1.89% 73.71 27,571
ARRY 46.11% F -0.49% 56.97 16,331
TTGT 45.14% C -1.67% 51.00 23
CLVS 43.28% D 0.37% 58.96 6,653
FDP 43.08% C 0.56% 88.45 161
FTAI 43.04% C 2.89% 63.35 1,187
INGR 41.98% A 0.66% 10.76 1,227
GPS 41.27% D -2.63% 75.30 8,152
HIIQ 40.46% C 3.12% 86.45 18,396
RLGY 40.12% D 1.35% 78.09 12,376
EVRI 40.07% C -2.20% 42.23 1,879
SKX 39.36% C -0.24% 29.08 41,055
NDLS 39.10% D 4.76% 43.43 97
CTXS 38.56% C 0.08% 10.76 27,013
AMED 38.12% C -0.47% 94.82 19,538
HEAR 36.57% C 0.06% 28.57 8,287
QCOM 32.84% D -2.21% 33.86 339,029
ACHC 32.74% C 1.49% 70.52 159
Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
RHT -70.65% C 1.09% 4.38 90,251
OZK -58.40% C -0.75% 75.30 917
PCG -56.54% C 0.29% 72.11 52,199
PVTL -55.48% F -0.79% 8.61 1,185
NTGR -46.84% C -2.01% 23.60 6,552
DHR -45.04% C 1.28% 54.18 7,443
MDR -42.00% C -1.89% 74.50 2,567
MAT -41.19% D -0.49% 54.58 21,624
FNSR -39.63% F -1.67% 4.38 880
NRZ -39.62% D 0.37% 45.02 4,119
UNIT -38.86% F 0.56% 98.80 2,952
ZS -38.02% F 2.89% 0.43 15,549
VSM -37.67% B 0.66% 49.00 3,909
ATVI -33.70% C -2.63% 59.76 483,368
FDC -32.01% C 3.12% 16.33 640
WES -31.32% C 1.35% 42.23 676
ENS -30.65% D -0.24% 33.47 3,511
GME -30.28% D 4.76% 50.20 5,615
TRGP -29.92% F 0.08% 48.21 20,703
CXO -29.36% D -0.47% 45.82 13,223
PM -28.61% C 1.24% 39.04 94,786
SAGE -28.48% F 0.06% 28.00 8,128
COTY -2.84E-01 F -2.21% 53.78 34,778
BLUE -28.16% D 1.49% 8.37 4,207
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE