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VIX unchanged as equities rally off lows.

Feb 27, 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 but well off their lows as a series of  Congressional testimonies (Powell, Cohen, Lighthizer) are moving markets. Currently, the S&P is -.1% , the Russell -.1% and the Nasdaq is -.25%. Bonds are notably weaker this afternoon (TLT -.9%, US 10 year yield up to 2.68%) after economic data came in mixed this morning (Pending Home Sales beat, Factory Orders missed). Furthermore, a wave of supply in the corporate debt market is helping to push Treasury yields higher. In single name news, Lowe’s is up more than 1% after its fourth quarter earnings were in line with expectations. Crude oil is bouncing today after inventories came in below expectations which reflects strong demand. Regional Banks are outperforming today while Real Estate (IYR -.6%, sensitive to higher rates) lags the broader market. Volatilities are mixed with the VIX flat at 15.13, VXN +1% to 18.29, and RVX +1% to 17.77.

 

ETF 30D Volatility Changes

SPY:    +1%

IWM:   +1%   

QQQ:  +2%

 

Directional Options Strategies

Bullish Option Strategies

COTY Buyer 9,300 Mar 11.5 calls (ref. 10.95)

STAY 5,000 Jul 17.5 – 20 call spreads  trade (ref. 17.98)

TSG Buyer 2,500 Apr 17.5 calls (ref. 16.68)

AKS Buyer 2,600 Mar 8th 3.5 calls (ref. 3.19)

BHF Buyer 10,000 May 45 calls tied to stock (ref. 40.55)

MDLZ Seller 12,666 Mar 44 puts to Buy 12,666 Mar 49 calls (appears to close part of bearish risk reversal position, ref. 47.35)

 

Bearish Option Strategies

IMGN Buyer 6,000 Mar 4 puts (ref. 5.50)

SBUX Buyer 2,600 Mar 8th 68 puts (ref. 70.73)

PZZA Buyer 3,500 Jan 47.5 puts (ref. 43.07)

SNAP 13,500 Jul 10 puts trade (ref. 9.78)

M Buyer 6,400 Mar 1st 25 puts (ref. 25.46)

BP Seller 15,000 Apr 44 calls (ref. 42.97)

TRP Seller 5,463 May 35 puts to Buy 4,750 May 40 puts (appears to roll puts up, ref. 44.56)

 

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

XLF Seller 48,401 Apr 24 puts to Buy 48,401 Apr 27 calls (ref. 26.55)

XOP Seller 45,000 Mar 42 calls to Buy 11,000 Apr 32 calls (appears to roll out, reduces size, ref. 30.14)

QQQ Seller 20,000 Mar 29th 164 puts to Buy 20,000 Mar 29th 180 calls tied to stock (ref. 172.30)

IYR 13,550 Mar 8th 84 calls trade (ref. 83.35)

 

Bearish Option Strategies

VIX Buyer 50,000 Aug 40 calls (ref. 17.18)

EEM 25,000 Apr 42 – 39 put spreads trade (ref. 42.99)

EEM 25,750 May 34 puts trade (ref. 42.98)

TLT Buyer 6,000 Mar – Apr 120 put spreads (rolls out, ref. 120.66)

SPY Buyer 16,000 Sep 258 puts (ref. 278.17)

EPI Buyer 10,500 Apr 23 puts (India Fund, ref. 23.68)

 

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

 

 

Finance Trades Options Strategies

AAPL 15,000 Jun 185 RevCons trade (ref. 173.00)

LLY 6,000 Mar 150 RevCons trade (ref. 124.73)

 

 

 

Upcoming Earnings

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
AMED 2/27/2019 10.4 7.5 39.9% C 38,122
ANSS 2/27/2019 3.5 4.1 -14.8% B 5,003
APA 2/27/2019 4.1 4.2 -0.4% F 26,351
AYX 2/27/2019 10.2 8.7 17.6% D 16,330
BKNG 2/27/2019 5.3 6.2 -15.1% A 1,935,841
BOX 2/27/2019 8.0 7.4 8.2% F 23,722
CRC 2/27/2019 13.0 11.5 12.6% F 5,634
CVNA 2/27/2019 14.3 9.0 58.1% F 251,434
ERI 2/27/2019 6.8 5.4 24.6% F 1,416
ESPR 2/27/2019 6.9 10.7 -35.5% F 12,893
FGEN 2/27/2019 13.5 9.4 42.5% D 24,251
FIT 2/27/2019 14.7 13.8 6.5% F 5,691
GPOR 2/27/2019 6.3 6.2 2.5% D 1,119
HPQ 2/27/2019 4.9 3.4 45.1% A 13,786
LB 2/27/2019 8.8 8.7 1.5% F 6,986
MNST 2/27/2019 6.4 5.4 18.0% B 7,360
PRAH 2/27/2019 1.3 3.3 -60.1% C 2,653
SQ 2/27/2019 7.2 6.3 15.5% F 257,757
SRPT 2/27/2019 6.0 8.1 -25.6% D 24,519
TDOC 2/27/2019 8.6 7.1 21.4% D 5,937
UHS 2/27/2019 4.2 4.6 -7.9% B  
WING 2/27/2019 8.1 8.6 -5.3% D 6,171
ADSK 2/28/2019 8.4 10.1 -16.3% C 51,671
ALRM 2/28/2019 8.8 6.3 41.4% C 3,324
CARS 2/28/2019 9.4 3.8 143.5% C 6,394
CROX 2/28/2019 11.4 11.9 -4.2% C 1,721
EIX 2/28/2019 2.0 1.6 24.9% D 23,807
GPS 2/28/2019 8.8 7.2 22.1% D 5,165
ICPT 2/28/2019 5.4 7.2 -24.4% F 67,923
ICUI 2/28/2019 6.5 5.5 18.8% C 1,067
JWN 2/28/2019 8.7 8.3 4.5% C 5,157
KDP 2/28/2019 4.2 2.3 84.4% D 2,094
KTOS 2/28/2019 7.8 9.8 -20.6% F 7,733
MAR 2/28/2019 3.9 2.8 40.3% C 14,707
MTZ 2/28/2019 5.9 4.9 21.6% C 14,885
NKTR 2/28/2019 6.6 8.6 -23.4% C 11,896
NRG 2/28/2019 4.0 3.8 5.3% C 4,001
NTNX 2/28/2019 9.5 7.3 30.1% D 32,552
PSTG 2/28/2019 7.9 8.3 -5.3% F 2,529
SEAS 2/28/2019 8.4 6.9 22.9% C 6,045
SPLK 2/28/2019 8.2 9.5 -13.5% D 67,804
SRCL 2/28/2019 9.0 9.2 -2.5% D 1,089
SWN 2/28/2019 4.9 6.8 -28.0% F 1,818
VMW 2/28/2019 4.8 4.1 19.0% C 37,042
VST 2/28/2019 3.7 2.4 51.8% C 6,989
WDAY 2/28/2019 5.8 6.3 -9.0% D 52,804
ZS 2/28/2019 10.0 13.3 -25.1% F 17,797
CWH 3/1/2019 8.5 8.1 5.3% D 2,062
FL 3/1/2019 10.8 16.0 -32.1% C 12,701
PTLA 3/1/2019 10.3 12.8 -19.7% F 2,880
CRM 3/4/2019 6.1 3.3 82.7% D 437,819
AMBA 3/5/2019 9.7 12.3 -20.8% C 6,188
CIEN 3/5/2019 7.9 9.4 -15.6% F 7,012
GMS 3/5/2019 9.2 7.1 29.4% A  
GSKY 3/5/2019 13.3 28.1 -52.8% D 2,140
KSS 3/5/2019 7.6 5.9 28.0% C 22,341
ROST 3/5/2019 5.8 5.8 -1.1% B 7,548
TGT 3/5/2019 5.6 6.3 -11.2% C 59,092
URBN 3/5/2019 8.4 5.5 53.8% C 3,247

 

Volatility Standouts

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
ARRS 72.18% C -0.93% 1.19 320
FGEN 62.24% D -1.33% 99.60 24,251
TTGT 61.74% C 0.23% 37.30 31
ARRY 52.05% F 1.69% 54.37 10,208
INGR 49.07% A 2.72% 3.17 1,956
UTHR 45.75% B 4.48% 0.40 713
ZAYO 45.48% D 2.82% 75.40 8,248
SKX 44.49% C 1.11% 28.57 9,631
DDS 43.35% F -18.30% 7.94 1,161
LB 42.36% F 2.59% 92.86 6,986
CLVS 42.07% D 1.83% 55.56 8,914
HIIQ 41.35% C 0.92% 88.49 20,623
IMMR 41.19% C -4.19% 25.79 1,520
GPS 39.57% D -1.44% 76.19 5,165
SBGI 39.39% B -0.65% 5.95 693
AMED 38.71% C -0.40% 96.83 38,122
WTW 38.55% C 1.55% 100.00 13,526
HEAR 37.88% C 1.20% 24.74 14,794
CTXS 37.75% C -0.22% 8.73 22,716
EVRI 36.66% C 2.31% 42.46 3,652
SNCR 35.45% D -0.72% 15.67 360
FTAI 34.77% C 1.26% 56.35 2,266
OLLI 34.29% C -2.23% 66.27 4,474
QCOM 33.82% D -0.75% 30.95 481,831
Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
RHT -66.18% C -0.93% 1.59 166,977
OZK -60.28% C -1.33% 75.40 692
PCG -56.47% C 0.23% 72.22 90,297
PVTL -55.53% F 1.69% 8.57 354
VSM -51.92% B 2.72% 77.78 7,818
DHR -45.98% C 4.48% 51.59 12,321
FNSR -45.78% F 2.82% 0.00 1,514
NTGR -44.59% C 1.11% 23.90 11,964
MDR -42.71% C -18.30% 67.06 3,570
MAT -40.28% D 2.59% 46.03 24,391
ZS -38.21% F 1.83% 0.86 17,797
UNIT -37.36% F 1.57% 98.41 2,292
COTY -3.23E-01 F 0.92% 51.59 56,061
NRZ -31.16% D -4.19% 47.22 5,858
TRGP -31.05% F -1.44% 51.19 1,960
VHC -30.69% F -0.65% 2.38 1,816
SAGE -30.38% F -0.40% 36.25 4,701
FDC -29.97% C 1.55% 2.78 74
CXO -29.42% D -0.22% 46.43 12,551
GME -29.10% D 2.31% 50.00 7,329
GES -26.64% C -0.72% 62.30 364
ARNC -26.64% D 1.26% 13.49 10,455
ATVI -26.47% C -2.23% 62.30 507,733
MMP -26.43% B -0.75% 19.44 8,160
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE