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VIX up 22% as equity markets experiencing heavy selling

Mar 04, 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 opened higher this morning but have since reversed thanks to some underwhelming economic data. December Construction Spending missed estimates (-0.6% vs. +0.1% est. ) while the New York February ISM figure came in at an 8-month low. Currently, the S&P is -.1% , the Russell is -1.3% and the Nasdaq -.75%. Bonds are stronger in sympathy with the risk-off move (TLT +.8%, US 10 year yield down to 2.72%) which reverses some of the curve steepening we saw last week. In single name news, Tesla is down 2.75% despite announcing its plan to unveil an SUV (Model Y) on March 14th. USO (Oil and Gas) is outperforming today with Crude slightly stronger while Biotech lags the broader market and is giving back some of last week’s substantial gains. Volatilities are higher across the board this afternoon with the VIX +18% at 16.13, VXN +16% to 18.80, and RVX +17% at 18.88

 

ETF 30D Volatility Changes

SPY:    +13%

IWM:   +10%  

QQQ:  +10%

 

Directional Options Strategies

Bullish Option Strategies

JD Buyer 5,000 Mar 8th 31 calls (ref. 28.93)

NFLX 4,100 Mar 8th 365 calls trade (ref. 361.96)

VALE Buyer 10,000 Mar 12.5 – 13 1x2 call spreads (ref. 12.14)

MCD Buyer 10,000 Apr 5th 190 – 195 call spreads (ref. 182.17)

SD Buyer 4,000 Jul 10 calls (Earnings after the close, ref. 8.28)

KAR Buyer 3,700 Apr 50 calls (ref. 47.85)

AAOI Buyer 1,500 Mar 8th 15 calls (ref. 13.26)

NYCB Buyer 1,500 Jun 13 – 14 1x2 call spreads (ref. 12.71)

USB Seller 3,000 Mar 8th 50.5 puts to Buy 3,000 Mar 52 puts (appears to roll out and up, ref. 52.12)

NEM Seller 10,492 May 35 puts (appears to monetize roughly half of position, ref. 33.89)

 

Bearish Option Strategies

WDAY Seller 12,500 Mar 140 – Sep 160 call spreads (monetizes, rolls out and up, ref. 183.13)

BBBY 3,500 Jan20 15 and 12.5 puts trade (ref. 16.04)

HES 7,800 Mar 8th 58 and 57.5 puts trade (ref. 58.35)

SWN 8,266 Apr 4 puts trade (appears bought, ref. 4.69)

 

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

GLD 2,000 Apr 125 – 135 – 145 call flies trade (ref. 121.34)

FXI Buyer 12,125 Apr 47 calls (ref. 44.49)

 

Bearish Option Strategies

SPX Buyer 15,000 Apr 2175 puts (ref. 2809.02)

VIX Seller 60,000 Apr 13.5 – 12.5 put spreads to Buy 120,000 Apr 24 – 27 call spreads (ref. 15.43)

VIX Seller 26,000 Mar 14 puts to Buy 26,000 Mar 16 calls (ref. 14.50)

SPY Buyer 10,025 Mar 29th 275 puts (ref. 281.18)

IWM Buyer 6,210 Mar 22nd 156 puts (ref. 157.51)

GLD Buyer 7,000 Jun 120 puts (ref. 121.46)

GDX 5,000 Mar – Apr 21 put spreads trade (appears to roll out, ref. 21.52)

XEO Buyer 15,000 Mar 1245 – 1240 put spreads (S&P 100 Index with European-style settlement, ref. 1233.71)

QQQ 30,000 Apr 136 – May 140 put spreads trade (appears to roll out and up, ref. 174.51)

 

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 Mar 150 RevCons trade (ref. 128.04)

UNP 5,000 Apr 175 RevCons trade (ref. 169.98)

 

 

 

Upcoming Earnings

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
CRM 3/4/2019 6.5 3.3 95.4% D 437,819
AMBA 3/5/2019 10.1 12.5 -19.3% F 6,188
CIEN 3/5/2019 9.3 9.1 1.2% F 7,012
GSKY 3/5/2019 13.5 28.1 -51.9% F 2,140
KSS 3/5/2019 7.1 5.9 20.4% B 22,341
ROST 3/5/2019 6.0 6.0 0.5% B 7,548
SAIL 3/5/2019 11.0 8.5 30.1% D 5,016
TGT 3/5/2019 5.9 6.3 -6.1% C 59,092
URBN 3/5/2019 8.0 5.5 47.6% A 3,247
AEO 3/6/2019 8.6 6.5 33.7% C 2,310
ANF 3/6/2019 11.4 15.8 -27.9% D 2,510
DLTR 3/6/2019 7.0 8.8 -20.4% B 43,566
HEAR 3/6/2019 14.5 9.2 58.2% C 14,794
HIIQ 3/6/2019 20.4 9.0 125.3% C 20,623
RST 3/6/2019 7.1 5.0 40.2% F 3,806
THO 3/6/2019 7.2 7.3 -1.5% D 11,550
AOBC 3/7/2019 11.3 16.0 -29.4% D 2,217
BURL 3/7/2019 6.8 5.9 14.4% B 27,879
COST 3/7/2019 3.7 4.0 -7.2% C 204,147
HRB 3/7/2019 8.2 8.0 1.9% B 2,320
KR 3/7/2019 7.3 8.1 -9.4% C 27,547
LOCO 3/7/2019 9.1 9.2 -1.5% C 1,554
OKTA 3/7/2019 13.0 10.4 25.1% D 22,288
SSYS 3/7/2019 8.8 10.1 -13.2% F 66,738
TECD 3/7/2019 8.4 13.1 -36.1% A 3,208
BIG 3/8/2019 11.1 8.4 31.1% D 18,707
CWH 3/8/2019 5.8 8.1 -28.2% D 2,062
MTN 3/8/2019 4.9 5.9 -17.3% C 12,989
NAV 3/8/2019 6.8 6.5 4.3% B 1,578
CASY 3/11/2019 6.0 5.2 16.0% C 6,022
COUP 3/11/2019 11.5 7.2 58.2% D 16,571
SFIX 3/11/2019 14.6 22.8 -35.8% D 9,369
DKS 3/12/2019 9.8 8.9 9.7% C 69,730
EVRI 3/12/2019 15.3 7.6 101.7% B 3,652
CLDR 3/13/2019 12.9 16.5 -21.9% D 4,737
MDB 3/13/2019 6.4 7.3 -12.0% C 25,631
WSM 3/13/2019 6.6 7.2 -8.1% B 2,420
ADBE 3/14/2019 4.1 3.6 12.7% B 353,447
AVGO 3/14/2019 4.2 3.6 17.6% D 303,319
DG 3/14/2019 5.5 5.4 1.4% A 15,095
DOCU 3/14/2019 7.3 5.9 24.5% D 21,068
JBL 3/14/2019 5.6 6.2 -9.2% C 1,845
OSTK 3/14/2019 11.5 10.5 9.8% C 8,421
ULTA 3/14/2019 6.7 6.4 3.7% B 69,940

 

Volatility Standouts

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
CARS 55.41% B -4.25% 49.60 6,394
ZAYO 54.57% B -1.92% 75.79 8,248
ARRY 53.52% D -2.42% 55.56 10,208
TTGT 53.00% C -3.61% 43.25 31
SKX 52.05% C 2.12% 38.49 9,631
CTXS 51.02% C -3.78% 11.51 22,716
OLLI 48.22% B -0.91% 74.60 4,474
BIG 46.37% D -0.26% 98.02 18,707
UNFI 46.16% D 0.95% 85.71 450
HEAR 45.49% C -2.33% 30.05 14,794
MOBL 45.21% D 0.46% 56.35 77
FL 44.79% C -2.15% 0.40 12,701
HIIQ 43.18% C -0.69% 98.02 20,623
EVRI 42.63% B 9.56% 31.75 3,652
TRCO 42.19% B -7.33% 6.75 0
QCOM 37.55% D 1.25% 28.97 481,831
BBBY 37.35% D -3.73% 83.73 14,532
SRCL 36.63% D -0.16% 36.11 1,089
TCS 35.83% D -0.79% 18.25 72
OKTA 35.74% D -0.72% 68.65 22,288
BERY 3.56E-01 A -1.06% 43.65 2,708
SNCR 35.56% D -0.68% 6.91 360
JNPR 35.13% D -0.89% 11.11 7,701
BGG 33.77% D -5.35% 32.54 351
Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
ELLI -71.47% D -4.25% 4.76 139,486
RHT -61.33% B -1.92% 5.16 166,977
OZK -59.98% C -2.42% 75.79 692
PCG -58.92% B -3.61% 71.03 90,297
PVTL -58.06% D 2.12% 13.62 354
VSM -51.21% C -3.78% 86.90 7,818
DHR -44.61% B -0.91% 46.43 12,321
MAT -4.25E-01 D -0.26% 36.51 24,391
UNIT -39.37% C 0.95% 97.22 2,292
FDC -37.74% C -2.33% 5.95 74
FNSR -34.91% F 0.46% 0.40 1,514
TRGP -33.53% F -2.15% 43.65 1,960
NRZ -31.02% D -0.69% 49.21 5,858
BLUE -30.92% D 9.56% 12.30 2,832
EQM -30.59% D -7.33% 34.52 3,339
ZUO -30.15% D 1.25% 17.45 1,300
SAGE -30.07% F -3.73% 28.29 4,701
MDR -29.53% F -0.16% 64.29 3,570
CXO -29.39% D -0.79% 48.02 12,551
ATVI -27.72% C -0.72% 53.17 507,733
EA -27.34% C -1.06% 69.05 1,355,191
MDSO -27.21% F -0.68% 16.67 1,405
IEP -26.89% F -0.89% 24.60 2,542
NTGR -26.69% C -5.35% 25.10 11,964
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE