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Equity markets continue to move sideways. VIX down -1%

Feb 28, 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 trading around unchanged for the third consecutive session despite Q4 GDP (2.6% vs. 2.2% est.) and Chicago PMI (64.7 vs. 57.5 est.) coming in above estimates. It’s worth noting that Personal Consumption came in a bit soft (2.8% vs. 3% est.) Currently, the S&P is +.05% , the Russell is flat and the Nasdaq is +.1%. Bonds are weaker again today in sympathy with the relatively strong economic data (TLT -.35%, US 10 year yield up to 2.71%). In single name news, shares of BOX are down nearly 20% after fourth quarter earnings and guidance failed to meet expectations. Consumer Staples are outperforming today while Home Builders (Residential fixed income -3.5% in Q4 GDP) lag the broader market. Volatilities are softer across the board this afternoon with the VIX -1% at 14.51, VXN -2% to 17.26, and RVX -1% to 17.09

 

ETF 30D Volatility Changes

SPY:    -1%

IWM:   -1%  

QQQ:  -1%

 

Directional Options Strategies

Bullish Option Strategies

JCP 13,300 Mar 1.5 calls trade (ref. 1.54)

SE Buyer 10,000 Apr 17.5 – May 22.5 call spreads (monetizes, rolls out and up, ref. 21.00)

GE1 Seller 203,000 Mar 8th 9 – 7 put spreads (closing, ref. 10.58)

FCAU Buyer 6,500 Sep 16 calls (ref. 14.72)

NWL Seller 10,500 Apr 15 puts (ref. 16.18)

KHC 9,400 Mar 32.5 calls trade (ref. 33.41)

CELG Buyer 7,500 Apr 90 – 95 call spreads (ref. 83.40)

CVS Buyer 12,000 Jan21 100 calls (adds to 12,000 open, ref. 57.70)

 

Bearish Option Strategies

SBUX Buyer 4,500 Mar 1st 69.5 puts (ref. 70.10)

GE Buyer 135,000 Mar 9.5 – 7.5 put spreads (ref. 10.52)

GE Buyer 50,000 Mar 9 puts (ref. 10.51)

SNAP 20,000 Jul 9 puts trade tied to stock (appears bought, ref. 9.69)

 

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 Seller 25,000 Mar 1st 278 – 276 put spreads (appears to close short term hedge opened yest., ref. 278.94)

ASHR Buyer 3,500 Mar 8th 28 calls (China Fund, ref. 27.52)

EEM Seller 10,000 Mar 42.5 puts tied to stock (ref. 42.57)

VIX Seller 15,000 Apr 15 puts (ref. 16.30)

HYG Seller 21,000 Mar 82 puts and 20,000 Apr 80 – 75 put spreads (ref. 85.72)

 

Bearish Option Strategies

EFA Buyer 10,000 Jun – Jan 63 put spreads (rolls out, ref. 64.32)

QQQ Seller 26,250 Mar 165 puts to Buy 20,000 Mar 29th 170 – 160 put spreads (ref. 173.09)

HYG 25,000 May 86 – 83 put spreads trade (ref. 85.73)

 

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

 

 

Finance Trades Options Strategies

LLY 3,000 Mar 150 RevCons trade (ref. 126.79)

 

 

 

Upcoming Earnings

 

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
ADSK 2/28/2019 9.2 10.1 -8.7% C 51,671
ALRM 2/28/2019 8.9 6.3 43.0% C 3,324
AMC 2/28/2019 7.6 4.1 84.1% FALSE 1,965
DDD 2/28/2019 12.9 17.4 -26.0% FALSE 3,683
EIX 2/28/2019 2.2 1.6 37.2% D 23,807
ESPR 2/28/2019 6.2 10.7 -42.0% F 12,893
GPS 2/28/2019 8.5 7.2 18.6% D 5,165
JWN 2/28/2019 8.4 8.3 1.4% C 5,157
KTOS 2/28/2019 8.1 9.8 -17.4% F 7,733
LYV 2/28/2019 5.3 5.7 -7.2% C 1,571
MAR 2/28/2019 4.1 2.8 44.2% C 14,707
MTZ 2/28/2019 6.7 4.9 37.4% C 14,885
NKTR 2/28/2019 7.3 8.6 -14.7% C 11,896
NTNX 2/28/2019 10.0 7.3 36.2% D 32,552
PSTG 2/28/2019 8.4 8.3 1.0% F 2,529
SPLK 2/28/2019 8.5 9.5 -10.7% D 67,804
SWN 2/28/2019 4.8 6.8 -29.5% F 1,818
VMW 2/28/2019 5.1 4.1 26.4% C 37,042
WDAY 2/28/2019 6.2 6.2 -0.1% D 52,804
ZS 2/28/2019 10.1 13.3 -24.2% F 17,797
FL 3/1/2019 11.3 16.0 -29.5% C 12,701
PTLA 3/1/2019 10.2 12.8 -19.9% F 2,880
AMBA 3/5/2019 10.0 12.3 -18.6% C 6,188
GSKY 3/5/2019 14.2 28.1 -49.4% D 2,140
KSS 3/5/2019 7.3 5.9 22.8% C 22,341
ROST 3/5/2019 6.0 5.8 1.9% B 7,548
TGT 3/5/2019 5.9 6.3 -7.4% C 59,092
URBN 3/5/2019 8.4 5.5 54.4% C 3,247
AEO 3/6/2019 8.7 6.7 30.7% D 2,310
ANF 3/6/2019 12.1 15.6 -22.4% F 2,510
DLTR 3/6/2019 7.4 8.6 -14.7% C 43,566
HEAR 3/6/2019 15.1 9.2 64.7% C 14,794
HIIQ 3/6/2019 18.1 9.0 99.9% C 20,623
RST 3/6/2019 6.7 5.0 33.5% C 3,806
THO 3/6/2019 7.5 7.3 2.3% F 11,550
AOBC 3/7/2019 10.0 16.0 -37.4% D 2,217
BURL 3/7/2019 7.4 5.9 24.8% B 27,879
COST 3/7/2019 3.4 3.9 -13.1% C 204,147
HRB 3/7/2019 8.3 8.2 0.7% A 2,320
KR 3/7/2019 7.0 7.9 -11.7% C 27,547
LOCO 3/7/2019 8.5 9.2 -7.6% C 1,554
MRTX 3/7/2019 7.1 5.0 41.3% D 8,083
OKTA 3/7/2019 10.6 10.4 2.0% F 22,288
SSYS 3/7/2019 8.8 9.9 -11.9% D 66,738
TECD 3/7/2019 8.1 12.6 -35.7% A 3,208
BIG 3/8/2019 10.7 8.2 31.6% F 18,707
CWH 3/8/2019 9.8 8.1 21.6% D 2,062
MTN 3/8/2019 4.8 5.9 -18.8% B 12,989
NAV 3/8/2019 6.6 6.5 1.7% B 1,578

 

Volatility Standouts

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
ELAN 69.80% D 0.04% 39.39 101,651
TTGT 64.32% C 1.64% 46.03 31
ZAYO 59.90% D -5.57% 76.19 8,248
CARS 59.34% C -0.03% 63.89 6,394
SKX 56.13% C 0.59% 34.52 9,631
EVRI 48.54% C 0.03% 33.73 3,652
HEAR 47.77% C -1.53% 30.37 14,794
ARRY 46.71% F 0.49% 47.22 10,208
CTXS 45.96% C 2.32% 6.75 22,716
LB 4.41E-01 F 0.07% 94.84 6,986
OLLI 43.11% C -1.64% 63.89 4,474
RCII 42.74% C -0.37% 22.22 5,802
QCOM 41.35% D -7.68% 28.57 481,831
GPS 38.39% D 7.98% 74.60 5,165
PLNT 3.68E-01 C -0.99% 14.68 11,239
JNPR 36.67% C -3.86% 13.10 7,701
LAUR 36.47% C 0.18% 72.62 40
XRAY 35.91% D -2.01% 74.21 1,314
TCS 35.84% F 1.60% 4.76 72
HIIQ 35.34% C -0.21% 96.83 20,623
DDS 35.12% F -1.21% 0.00 1,161
EW 35.08% C 2.54% 82.14 24,279
FIT 34.78% F 0.00% 96.83 5,691
VST 34.73% C -2.27% 0.81 6,989
Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
ELLI -71.41% F 0.04% 3.57 139,486
RHT -64.96% C 1.64% 11.11 166,977
OZK -59.54% C -5.57% 74.60 692
VSM -57.82% B -0.03% 23.41 7,818
PCG -57.55% C 0.59% 71.43 90,297
PVTL -55.68% F 0.03% 11.37 354
FNSR -47.14% F -1.53% 0.40 1,514
DHR -44.57% C 0.49% 56.35 12,321
UNIT -40.77% F 2.32% 99.21 2,292
ZS -37.69% F 0.07% 0.00 17,797
MAT -37.64% D -3.32% 46.83 24,391
SAGE -31.22% F -0.37% 41.43 4,701
NRZ -30.30% D -7.68% 48.81 5,858
TRGP -28.11% F 7.98% 45.24 1,960
BLUE -27.91% D -0.99% 11.51 2,832
VHC -27.81% F -3.86% 19.84 1,816
CXO -27.76% D 0.18% 48.02 12,551
SWCH -26.07% F -2.01% 82.14 38
EA -25.40% D 1.60% 73.02 1,355,191
SAVE -24.54% C -0.21% 20.24 8,029
RH -24.54% C -1.21% 63.10 23,491
SABR -24.13% C 2.54% 20.63 3,471
NTGR -24.02% C 0.00% 31.87 11,964
PM -23.96% C -2.27% 41.27 95,948
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE