blog

Latest from the Quantamize Blog

VIX unchanged as equity markets try to find a direction

Mar 05, 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 muted this afternoon on relatively light volumes despite strong ISM data and positive retail earnings. February Non-Manufacturing ISM beat (59.7 v 57.4 est.) and December home sales came in above estimates (621K v 600K est.) Currently, the S&P is -.1% , the Russell is -.1% and the Nasdaq +.1%. Bonds are a bit weaker (TLT -.1%, US 10 year yield up to 2.739%) as the US economy continues to show strength. In single name news, Target is up 4.8% after reporting fourth quarter earnings and providing forward guidance that came in above estimates. The firm expects same-store sales to grow by ‘low-to-mid single’ digits. Emerging Markets (EEM +.9%) are outperforming today despite a stronger dollar (+.4%) while Financials lag the broader market. Volatilities are mixed with the VIX +1% at 14.76, VXN -0.5% to 17.29, and RVX +0.5% at 17.58

 

ETF 30D Volatility Changes

SPY:    FLAT

IWM:   FLAT

QQQ:  -1%

 

 

Directional Options Strategies

Bullish Option Strategies

YNDX Buyer 20,000 Jan 45 – 50 call spreads (ref. 35.81)

HAL Seller 4,500 Apr 27.5 puts (ref. 30.66)

GSKY Buyer 3,000 Sep 20 calls (post earnings, ref. 12.66)

CVS Seller 6,000 Aug 50 puts to Buy 5,600 Aug 60 calls (2m Skew -1.71 Std Devs below trailing one-year mean, ref. 55.00)

CVS Buyer 15,000 Jan21 90 calls (ref. 54.59)

FEYE Buyer 2,500 Mar 16.5 calls (ref. 16.28)

CVE Seller 20,000 Mar 9 calls to Buy 13,000 Apr 9 calls (appears to roll out, ref. 8.55)

 

Bearish Option Strategies

GLW Buyer 4,000 May 34 puts (ref. 34.86)

HES Buyer 5,000 Mar 8th 58 puts (2m Skew +2.39 Std Devs above trailing one-year mean, ref. 59.53)

SWN Buyer 10,000 Apr 4 puts (adds to open position, ref. ref. 4.69)

GPS 5,000 Mar 27 puts trade (ref. 27.22)

TXN Seller 18,000 May 115 calls (opens write, ref. 106.82)

F Seller 50,000 Apr 9 calls (85,000 trade on the day, ref. 8.74)

EBAY Buyer 5,000 Apr 35 puts tied to stock (ref. 37.38)

LYB Buyer 4,900 Apr 80 – 75 put spreads tied to stock (ref. 84.22)

 

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

FXI Buyer 13,000 Apr 45 calls (ref. 44.62)

SPY Buyer 13,375 Mar 284 calls (ref. 279.07)

QQQ Buyer 8,000 May 185 calls (ref. 174.09)

GLD 16,000 Apr 128 calls trade (ref. 121.23)

SLV 32,000 May 14 calls trade (ref. 14.13)

VXXB 16,500 Apr 43 calls trade (appears sold, ref. 30.84)

 

Bearish Option Strategies

XBI Buyer 10,000 Apr 88 – 82 put spreads to Sell 10,000 Apr 80 – 75 put spreads (bearish condor, ref. 91.01)

EWW Seller 12,000 Sep 43 calls tied to stock (opens write, ref. 43.09)

EWC Buyer 6,000 Jun 26 puts (ref. 27.61)

SPY Buyer 10,829 Mar 6th 273 puts (ref. 278.56)

USO Buyer 10,000 Apr 11 puts (ref. 11.92)

ASHR Seller 11,500 Apr 31.71 calls (ref. 28.52)

FXI Buyer 29,000 May 37 puts (ref. 44.76)

VXXB Buyer 7,500 Apr 45 – 56 call spreads (ref. 31.15)

 

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

 

 

Finance Trades Options Strategies

LLY 10,500 Mar 150 RevCons trade (ref. 54.59)

SPY 8,000 Mar 270 RevCons trade (ref. 279.31)

 

 

 

Upcoming Earnings

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
AMBA 3/5/2019 11.1 12.5 -11.0% F 6,188
HEAR 3/5/2019 14.8 9.2 61.0% C 14,794
ROST 3/5/2019 6.3 6.0 6.4% B 7,548
SAIL 3/5/2019 10.2 8.5 20.2% D 5,016
URBN 3/5/2019 8.9 5.5 62.5% A 3,247
AEO 3/6/2019 8.7 6.5 34.2% C 2,310
ANF 3/6/2019 12.7 15.8 -19.5% D 2,510
DLTR 3/6/2019 6.4 8.8 -27.8% B 43,566
HIIQ 3/6/2019 21.0 9.0 131.9% C 20,623
RST 3/6/2019 7.1 5.0 40.4% F 3,806
THO 3/6/2019 7.6 7.3 4.2% D 11,550
AOBC 3/7/2019 10.5 16.0 -34.4% D 2,217
BURL 3/7/2019 6.4 5.9 8.3% B 27,879
HRB 3/7/2019 8.6 8.0 7.5% B 2,320
KR 3/7/2019 6.9 8.1 -14.2% C 27,547
LOCO 3/7/2019 9.2 9.2 0.2% C 1,554
OKTA 3/7/2019 10.8 10.4 3.5% D 22,288
SSYS 3/7/2019 10.3 10.1 2.2% F 66,738
TECD 3/7/2019 8.2 13.1 -37.0% A 3,208
BIG 3/8/2019 10.8 8.4 28.2% D 18,707
CWH 3/8/2019 6.1 8.1 -24.0% D 2,062
MTN 3/8/2019 5.1 5.9 -13.3% C 12,989
NAV 3/8/2019 7.2 6.5 10.5% B 1,578
CASY 3/11/2019 6.0 5.2 16.1% C 6,022
COUP 3/11/2019 12.4 7.2 70.8% D 16,571
SFIX 3/11/2019 14.8 22.8 -35.1% D 9,369
DKS 3/12/2019 9.8 8.9 9.3% C 69,730
EVRI 3/12/2019 13.0 7.6 71.8% B 3,652
CLDR 3/13/2019 13.7 16.5 -17.2% D 4,737
MDB 3/13/2019 6.7 7.3 -8.0% C 25,631
WSM 3/13/2019 7.4 7.2 3.1% B 2,420
ADBE 3/14/2019 4.5 3.6 25.3% B 353,447
AVGO 3/14/2019 4.8 3.6 33.1% D 303,319
DG 3/14/2019 5.6 5.4 3.9% A 15,095
DOCU 3/14/2019 7.1 5.9 21.4% D 21,068
JBL 3/14/2019 5.6 6.2 -9.1% C 1,845
OSTK 3/14/2019 9.5 10.5 -10.0% C 8,421
ULTA 3/14/2019 7.1 6.4 10.0% B 69,940
DSW 3/19/2019 9.2 10.8 -14.4% F 1,871
FDX 3/19/2019 4.6 4.6 -0.3% D 267,345
ORCL 3/19/2019 4.3 4.8 -10.4% C 53,054
SMAR 3/19/2019 9.0 2.7 236.6% F 1,800
FIVE 3/20/2019 8.1 7.4 10.4% B 27,643
GIS 3/20/2019 4.2 4.1 0.9% C 24,883
MU 3/20/2019 7.2 5.6 28.3% D 666,146
WGO 3/20/2019 10.0 7.9 26.6% D 1,928
CAG 3/21/2019 6.6 5.7 15.5% C 42,539
CCL 3/21/2019 3.4 4.2 -19.1% D 27,288
CTAS 3/21/2019 4.7 3.9 20.7% B 5,451
DRI 3/21/2019 6.7 6.0 10.5% B 19,545
GIII 3/21/2019 12.2 11.2 8.4% C 4,747
JEF 3/21/2019 2.1 2.3 -10.2% D 3,988
KBH 3/21/2019 4.8 5.1 -5.6% C 29,542
LE 3/21/2019 10.6 14.5 -26.8% D 8,928
NKE 3/21/2019 4.5 4.8 -5.3% C 340,968

 

Volatility Standouts

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
TRCO 68.62% B -1.51% 17.93 0
REV 64.43% F 0.47% 44.62 35
ARRY 60.42% D -1.65% 50.60 10,208
ZAYO 60.09% B 0.05% 75.30 8,248
SKX 56.72% C 0.85% 39.84 9,631
HIIQ 50.79% C -0.40% 99.60 20,623
BIG 47.82% D -0.66% 97.61 18,707
ELAN 47.72% C -1.68% 13.73 101,651
CTXS 47.46% C -1.30% 11.95 22,716
CL 46.52% B -0.43% 41.43 57,215
BERY 4.63E-01 A -1.77% 45.42 2,708
HEAR 46.11% C -2.78% 29.90 14,794
FL 44.73% C 0.90% 0.00 12,701
RCII 43.87% C -5.99% 26.69 5,802
UNFI 43.34% D -2.97% 87.25 450
EVRI 42.79% B -0.77% 43.43 3,652
JNPR 41.99% D -0.94% 14.74 7,701
TTGT 41.94% C -0.79% 42.23 31
QCOM 40.84% D -3.43% 36.25 481,831
CHS 38.90% D -0.38% 99.20 62
MLNX 38.82% C -0.12% 72.51 38,987
SNCR 36.78% D -1.03% 10.65 360
FDP 36.51% D -0.57% 89.24 299
OLLI 35.92% B 2.67% 77.69 4,474
Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
RHT -70.44% B -1.51% 1.59 166,977
VSM -61.33% C 0.47% 0.00 7,818
OZK -59.25% C -1.65% 74.50 692
PCG -58.92% B 0.05% 70.52 90,297
PVTL -56.96% D 0.85% 17.29 354
UNIT -42.67% C -0.40% 97.61 2,292
DHR -42.54% B -0.66% 60.16 12,321
FDC -38.54% C -1.68% 12.35 74
NRZ -33.12% D -1.30% 38.65 5,858
TRGP -31.86% F -0.43% 48.61 1,960
SAGE -29.05% F -1.77% 41.20 4,701
VHC -28.85% F -2.78% 25.50 1,816
BLUE -28.58% D 0.90% 15.54 2,832
EQM -28.07% D -5.99% 27.89 3,339
EA -27.90% C -2.97% 72.91 1,355,191
ZUO -27.65% D -0.77% 25.35 1,300
NTGR -27.10% C -0.94% 26.00 11,964
MDR -2.69E-01 F -0.79% 66.14 3,570
ATVI -26.59% C -3.43% 61.35 507,733
CXO -25.97% D -0.38% 50.20 12,551
SNBR -25.16% B -0.12% 27.89 245
SGH -25.07% B -1.03% 34.24 618
MAS -24.80% A -0.57% 33.86 11,005
MAT -24.71% D 2.67% 43.82 24,391
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE