blog

Latest from the Quantamize Blog

VIX up 5.5% on Global growth fears

Mar 06, 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

It’s a risk-off day on Wall Street as equities have grinded lower throughout the day. The U.S.’s growing trade deficit (largest since Oct 2008 at -$59.8B) is illustrative of the divergence between domestic and international growth. Currently, the S&P is -.55% , the Russell is -1.3% and the Nasdaq -.5%. Bonds are stronger (TLT +.45%, US 10 year yield down to 2.688%) thanks to a safety bid. In single name news, shares of NIO are down about 20% after reporting fourth quarter earnings. Vehicle deliveries came in below expectations for the Chinese EV automaker. Utilities are outperforming today while Biotech has carried yesterday’s negative momentum (FDA chief Gottlieb resigned) into today’s session (-2.6%). Volatilities are up with the VIX +4% at 15.30, VXN +5% to 17.86, and RVX +6% at 18.44

ETF 30D Volatility Changes

SPY:    +7%

IWM:   +7%

QQQ:  +5%

   

 

Directional Options Strategies

Bullish Option Strategies

BABA Buyer 4,000 Mar 8th 192.5 calls (ref. 185.14)

CAT Buyer 4,000 Mar 8th 141 calls (ref. 137.18)

BAC Seller 13,500 Apr 27 puts (appears to close part of position, ref. 28.93)

NIO 9,500 Mar 11 calls and 8,400 Apr 9 calls trade (ref. 8.49)

HRB Buyer 4,280 Mar 25 – 28 call spreads (Earnings 3/7, ref. 23.89)

QCOM Seller 12,500 May 50 puts to Buy 12,500 May 60 calls tied to stock (ref. 54.80)

MDR 5,100 May and Aug 9 calls trade (ref. 8.71)

SE Seller 30,900 Apr 20 puts (collected $.47, ref. 23.29)

JD 22,412 Mar – Jun 26 call spreads trade (appears to roll out, ref. 29.23)

Bearish Option Strategies

TGT Buyer 5,100 Oct 80 puts (ref. 77.00)

S Buyer 9,900 Mar 29th 6 puts (ref. 6.18)

F 16,953 May 8 puts trade (appears bought, ref. 8.65)

GE Buyer 23,150 Apr 10 puts (ref. 9.37)

 

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

QQQ Seller 20,000 Jun 163 puts to Buy 20,000 Jun 184 calls tied to stock (ref. 173.74)

EFA Seller 10,000 Mar 63 puts tied to stock (ref. 64.41)

EEM Seller 20,000 Mar 41.5 puts tied to stock (ref. 42.87)

 

Bearish Option Strategies

QQQ Buyer 15,000 Jun 165 puts to Sell 15,000 Jun 155 puts and 10,000 Jun 150 puts (ref. 174.50)

IWM Buyer 10,500 May 145 – 135 puts spreads to Sell 21,000 May 130 puts (ref. 155.27)

DIA Buyer 11,000 Jun 220 puts (ref. 257.08)

FXI Buyer 10,000 Mar 8th 44.5 – 44 puts spreads (ref. 44.85)

FXI Seller 55,000 Apr 47 calls (ref. 44.82)

FXI Seller 15,000 Aug 48 calls tied to stock (ref. 44.80)

SLV Buyer 20,000 Sep 30th 12 puts tied to stock (ref. 14.16)

IYR 15,000 Mar 82 puts trade (appears closing, ref. 84.54)

XLV 8,000 Mar 89 puts and 5,000 Apr 88 puts trade (appears to roll out, reduce size, ref. 90.41)

BKLN Buyer 10,855 Apr – Jul 23 put spreads (appears to roll out, ref. 22.80)

HYG Seller 2,500 Apr 86 – 87 and May 86 – 87 call spreads (collects .43, ref. 85.36)

 

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

 

 

Finance Trades Options Strategies

LLY 11,500 Mar 150 RevCons trade (ref. 127.04)

ELAN 6,600 Mar 40 RevCons trade (ref. 29.95)

 

 

 

Upcoming Earnings

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
AEO 3/6/2019 8.8 6.5 35.3% C 2,310
HEAR 3/6/2019 14.2 9.2 55.0% C 14,794
HIIQ 3/6/2019 19.8 9.0 118.9% C 20,623
RST 3/6/2019 7.1 5.0 41.2% F 3,806
AOBC 3/7/2019 11.3 16.0 -29.6% D 2,217
BURL 3/7/2019 6.1 5.9 3.1% B 27,879
COST 3/7/2019 3.0 4.0 -24.3% C 204,147
CWH 3/7/2019 7.6 8.1 -5.7% D 2,062
HRB 3/7/2019 9.0 8.0 12.6% B 2,320
KR 3/7/2019 7.0 8.1 -12.9% C 27,547
LOCO 3/7/2019 8.9 9.2 -3.9% C 1,554
OKTA 3/7/2019 9.9 10.4 -4.8% D 22,288
SSYS 3/7/2019 10.4 10.1 2.9% F 66,738
TECD 3/7/2019 8.6 13.1 -34.0% A 3,208
BIG 3/8/2019 11.3 8.4 34.4% D 18,707
MTN 3/8/2019 5.9 5.9 0.8% C 12,989
NAV 3/8/2019 7.4 6.5 13.7% B 1,578
CASY 3/11/2019 6.0 5.2 16.5% C 6,022
COUP 3/11/2019 11.0 7.2 52.4% D 16,571
SFIX 3/11/2019 15.4 22.8 -32.5% D 9,369
DKS 3/12/2019 9.6 8.9 7.1% C 69,730
EVRI 3/12/2019 12.6 7.6 66.5% B 3,652
CLDR 3/13/2019 13.5 16.5 -18.2% D 4,737
MDB 3/13/2019 5.7 7.3 -21.3% C 25,631
WSM 3/13/2019 7.2 7.2 -0.6% B 2,420
ADBE 3/14/2019 4.3 3.6 19.8% B 353,447
AVGO 3/14/2019 5.1 3.6 41.1% D 303,319
DG 3/14/2019 5.8 5.4 7.3% A 15,095
DOCU 3/14/2019 6.9 5.9 17.5% D 21,068
JBL 3/14/2019 5.9 6.2 -4.5% C 1,845
ORCL 3/14/2019 4.3 4.8 -11.0% C 53,054
OSTK 3/14/2019 12.9 10.5 23.0% C 8,421
ULTA 3/14/2019 7.1 6.4 10.0% B 69,940
DSW 3/19/2019 9.8 10.8 -9.6% F 1,871
FDX 3/19/2019 4.7 4.6 1.6% D 267,345
SMAR 3/19/2019 8.0 2.7 201.9% F 1,800
FIVE 3/20/2019 8.5 7.4 15.1% B 27,643
GIS 3/20/2019 4.4 4.1 7.2% C 24,883
MU 3/20/2019 8.2 5.6 46.9% D 666,146
WGO 3/20/2019 9.9 7.9 24.7% D 1,928
CCL 3/21/2019 3.8 4.2 -9.1% D 27,288
CTAS 3/21/2019 4.5 3.9 14.4% B 5,451
GIII 3/21/2019 12.1 11.2 7.6% C 4,747
JEF 3/21/2019 1.9 2.3 -17.5% D 3,988
KBH 3/21/2019 4.8 5.1 -6.8% C 29,542
LE 3/21/2019 11.2 14.5 -22.7% D 8,928
NKE 3/21/2019 4.7 4.8 -2.4% C 340,968
TIF 3/22/2019 6.3 7.1 -11.1% C 26,536

 

Volatility Standouts

 

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
CARS 71.69% B 0.78% 89.68 6,394
ARRY 61.76% D 2.61% 50.00 10,208
NTRI 58.06% B 1.30% 17.06 8
ELAN 5.30E-01 C -0.73% 32.04 101,651
NCS 5.23E-01 B 0.72% 94.44 344
SKX 51.51% C -1.98% 38.89 9,631
CTXS 51.40% C 1.52% 25.00 22,716
BIG 51.20% D 3.21% 98.41 18,707
HEAR 4.96E-01 C -0.18% 26.15 14,794
HIIQ 48.65% C 0.71% 99.21 20,623
TTGT 48.19% C 2.98% 50.00 31
BERY 46.94% A 2.98% 50.40 2,708
FL 44.50% C 1.23% 0.00 12,701
CL 44.49% B 1.05% 40.87 57,215
CAG 43.63% C 4.13% 96.43 42,539
SPWR 43.28% C 1.18% 64.68 1,076
ISBC 42.26% A -0.63% 27.38 3,859
RCII 40.10% C 2.30% 43.25 5,802
EVRI 39.70% B -1.33% 61.90 3,652
QCOM 38.79% D 0.33% 32.54 481,831
MLNX 37.71% C 0.62% 57.14 38,987
VSAT 37.30% D 0.31% 6.35 1,336
NDLS 36.49% D 1.31% 67.46 6
FDP 35.54% D 3.85% 88.49 299
Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
ELLI -74.98% D 0.78% 5.56 139,486
RHT -71.30% B 2.61% 5.95 166,977
OZK -59.76% C 1.30% 75.00 692
VSM -57.13% C -0.73% 2.78 7,818
PVTL -56.21% D 0.72% 13.02 354
PCG -53.41% B -1.98% 71.83 90,297
DHR -43.07% B 1.52% 54.76 12,321
FDC -35.92% C 3.21% 2.78 74
NRZ -32.03% D -0.18% 42.86 5,858
ZUO -29.61% D 0.71% 21.50 1,300
EQM -29.10% D 2.98% 36.11 3,339
BLUE -27.89% D 2.98% 15.48 2,832
ATVI -27.77% C 1.23% 54.76 507,733
TRGP -27.52% F 1.05% 48.81 1,960
EA -26.98% C 4.13% 70.63 1,355,191
SAGE -26.68% F 1.18% 37.05 4,701
VHC -26.25% F -0.63% 27.78 1,816
NTGR -25.78% C 2.30% 28.29 11,964
CXO -25.78% D -1.33% 48.02 12,551
EAF -25.41% C 0.33% 37.31 2,916
PKG -25.07% B 0.62% 43.25 8,060
EXR -25.05% B 0.31% 0.40 228
NLS -24.84% F 1.31% 80.16 1,974
SGH -24.70% B 3.85% 57.30 618
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE