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VIX briefly trades above 17 as equities continue to rollover

Mar 07, 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 came under pressure this morning (but are off lows) after the ECB lowered Eurozone growth forecasts (2019 GDP cut to 1.1% from 1.7%) and Mario Draghi ruled out the possibility a 2019 rate hike. Currently, the S&P is -.65% , the Russell is -.45% and the Nasdaq -.75%. Bonds are stronger (TLT +.65%, US 10 year yield down to 2.646%) for a second consecutive session as investors head for safety. Outside the US, both Emerging Markets (EEM -1.4%) and China (FXI -1.8%) are meaningfully lower as the dollar reaches 2-month highs (+.62%). Real Estate is outperforming today with rates lower while Financials lag the markets as the yield curve sees flattening (2-10 spread down to 17 bps.) Volatilities are up with the VIX +5% at 16.56, VXN +4% to 18.88, and RVX +2% at 19.31

 

ETF 30D Volatility Changes

SPY:    +6%

IWM:   +1%

QQQ:  +3%

   

 

Directional Options Strategies

Bullish Option Strategies

SLB Seller 5,000 Apr 40 puts (collects $.60, ref. 42.72)

SCHW Seller 3,000 Mar 45.5 – 44 put spreads (monetizes and rolls down, ref. 44.39)

OKTA Seller 4,000 Apr 70 puts (Earnings after close, collects $2.50, ref. 80.08)

CAG Buyer 20,000 Jan21 20 calls (appears to add to position, ref. 22.21)

MELI Seller 12,400 Mar 290 calls to Buy 12,400 Sep 30 calls (monetizes, rolls out and up, ref. 457.50)

GPRE Seller 10,000 Apr 18 calls to Buy 12,000 Jun 18 calls (rolls out, adds units, ref. 15.75)

TEVA 10,000 Jun 16 – 20 call spreads trade (appears bought, ref. 15.99)

QSR Buyer 9,600 Jul 65 calls (ref. ref. 61.36)

CVS Buyer 18,000 Jan21 90 calls (ref. 52.85)

RCII 30,000 Apr 20 – 23 call spreads trade (appears bought, ref. 20.30)

 

Bearish Option Strategies

KR 3,500 May 22 puts trade (ref. 24.90)

CZR Buyer 13,000 Mar 8.5 – Jun 8 put spreads trade (rolls out and down, ref. 8.46)

ANF Buyer 4,000 Apr 30 puts (ref. 25.62)

EIX Buyer 7,500 Jun 55 – 47.5 put spreads to Sell 6,250 Oct 50 – 40 put spreads (ref. 61.87)

OSTK Seller 19,000 Mar 15 puts to Buy 5,700 Mar 19 puts (rolls up, reduces size, Earnings 3/14, ref. 20.86)

IGT 10,000 Jul 16 calls trade (appears sold, ref. 14.76)

 

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 15,000 Mar 29th 279 – 286 call spreads trade (ref. 275.04)

GDX 5,300 Apr 23 calls trade (appears bought, ref. 21.67)

EFA Buyer 50,000 Mar 22nd 64.5 calls (ref. 63.66)

FXI Buyer 10,000 Mar 43.5 calls to Sell 15,000 Mar 45 calls tied to stock (ref. 43.65)

ASHR Buyer 2,000 Apr 29.71 – 32.71 call spreads (ref. 28.07)

 

Bearish Option Strategies

SMH Buyer 10,000 Mar 29th 101 - 96 - 93 broken put flies (ref. 101.17)

XLF Buyer 15,000 Mar 26 – 25 – 24 put flies trade (ref. 25.92)

FXI Buyer 22,800 Apr 42 puts (ref. 43.70)

HYG 7,500 May 83 – 80 put spreads trade (appears bought, ref. 85.12)

IWM Buyer 7,500 Apr 150 – 140 put spreads (ref. 152.05)

QQQ Seller 20,000 Mar 29th 170 – 160 put spreads to Buy 20,000 Apr 165 – 155 1x1.5 put spreads (ref. 171.75)

QQQ Buyer 25,000 Apr 135 puts (ref. 172.36)

EEM Buyer 20,000 May 38 puts tied to stock (ref. 42.15)

 

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

 

 

Finance Trades Options Strategies

LLY 62,000 Mar 150 RevCons trade (ref. 125.63)

 

 

 

Upcoming Earnings

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
AOBC 3/7/2019 11.7 16.0 -27.0% D 2,217
COST 3/7/2019 3.2 4.0 -20.7% C 204,147
CWH 3/7/2019 8.3 8.1 3.3% D 2,062
LOCO 3/7/2019 9.5 9.2 3.0% C 1,554
OKTA 3/7/2019 9.7 10.4 -7.1% D 22,288
BIG 3/8/2019 11.5 8.4 36.1% D 18,707
MTN 3/8/2019 6.2 5.9 5.8% C 12,989
NAV 3/8/2019 7.1 6.5 8.6% B 1,578
CASY 3/11/2019 6.3 5.3 20.0% C 6,022
COUP 3/11/2019 10.7 7.2 47.6% D 16,571
SFIX 3/11/2019 15.1 22.8 -33.5% D 9,369
DKS 3/12/2019 10.1 8.9 12.6% C 69,730
EVRI 3/12/2019 14.7 7.6 94.1% B 3,652
CLDR 3/13/2019 13.7 16.5 -16.7% D 4,737
HEAR 3/13/2019 21.0 9.2 128.2% C 14,794
MDB 3/13/2019 7.4 7.3 2.1% C 25,631
WSM 3/13/2019 7.3 7.2 1.4% B 2,420
ADBE 3/14/2019 4.6 3.6 28.0% B 353,447
AVGO 3/14/2019 5.7 3.6 57.8% D 303,319
DG 3/14/2019 5.9 5.4 9.3% A 15,095
DOCU 3/14/2019 6.9 5.9 17.3% D 21,068
JBL 3/14/2019 6.2 6.2 0.4% C 1,845
ORCL 3/14/2019 4.6 4.8 -4.8% C 53,054
OSTK 3/14/2019 12.5 10.5 18.7% C 8,421
ULTA 3/14/2019 7.5 6.4 15.8% B 69,940
DSW 3/19/2019 10.5 10.8 -3.1% F 1,871
FDX 3/19/2019 5.1 4.6 9.2% D 267,345
SMAR 3/19/2019 8.9 2.7 233.5% F 1,800
GIS 3/20/2019 5.0 4.1 20.7% C 24,883
MU 3/20/2019 8.1 5.6 44.0% D 666,146
WGO 3/20/2019 11.0 7.9 38.8% D 1,928
CAG 3/21/2019 8.0 5.7 40.1% C 42,539
CTAS 3/21/2019 4.3 3.9 10.0% B 5,451
DRI 3/21/2019 6.8 6.0 13.3% B 19,545
GIII 3/21/2019 12.4 11.2 10.7% C 4,747
JEF 3/21/2019 2.9 2.3 23.0% D 3,988
KBH 3/21/2019 5.6 5.1 10.3% C 29,542
LE 3/21/2019 10.8 14.5 -25.7% D 8,928
NKE 3/21/2019 5.0 4.8 4.8% C 340,968
TIF 3/22/2019 6.3 7.1 -11.5% C 26,536
FDS 3/26/2019 6.0 4.3 40.8% A 1,696
LULU 3/26/2019 9.2 12.2 -24.5% A 272,146
MKC 3/26/2019 3.4 4.7 -27.0% B 19,748

 

Volatility Standouts

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
TRCO 72.65% B 1.70% 2.78 0
CARS 68.38% B 1.49% 90.08 6,394
SKX 57.90% C 6.51% 40.48 9,631
HEAR 56.79% C 4.84% 40.82 14,794
CTXS 56.49% C 4.66% 31.35 22,716
BERY 55.16% A -1.01% 50.40 2,708
BIG 55.13% D 3.65% 100.00 18,707
TTGT 51.52% C 6.36% 50.40 31
FL 50.73% C 1.87% 0.40 12,701
KN 50.47% C -0.31% 27.38 43
CL 50.35% B 1.05% 46.83 57,215
GRA 49.75% B 3.03% 5.16 2,903
FDP 49.63% D 3.10% 89.29 299
NCS 49.02% B -11.00% 96.83 344
CAG 48.80% C -2.34% 96.43 42,539
MLNX 47.71% C -0.59% 71.83 38,987
RCII 47.68% C 2.26% 37.70 5,802
ELAN 4.76E-01 C 1.90% 32.69 101,651
SPWR 45.36% C 6.42% 73.81 1,076
NDLS 45.33% D 3.40% 73.81 6
TCS 45.28% D 2.43% 11.90 72
OLLI 43.50% B 0.83% 75.40 4,474
ARRY 40.21% D 1.03% 46.03 10,208
SNCR 39.97% D -2.85% 0.46 360
Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
ELLI -72.46% D 1.70% 6.35 139,486
RHT -70.94% B 1.49% 1.19 166,977
VSM -65.49% C 6.51% 0.79 7,818
OZK -59.09% C 4.84% 73.81 692
PVTL -55.24% D 4.66% 24.07 354
PCG -54.19% B -1.01% 71.43 90,297
DHR -42.76% B 3.65% 55.95 12,321
EQM -32.79% D 6.36% 25.40 3,339
FDC -28.53% C 1.87% 3.17 74
ZUO -28.33% D -0.31% 23.26 1,300
NTGR -27.58% C 1.05% 39.84 11,964
BLUE -27.46% D 3.03% 20.63 2,832
NLS -26.49% F 3.10% 84.52 1,974
UNIT -26.45% C -11.00% 96.43 2,292
HAIN -25.00% F -2.34% 43.25 30,553
TRGP -24.81% F -0.59% 55.56 1,960
STI -24.34% B 2.26% 31.75 12,260
SAGE -24.03% F 1.90% 45.02 4,701
BTU -23.76% D 6.42% 42.86 341
CXO -23.69% D 3.40% 61.51 12,551
SGH -23.63% B 2.43% 66.13 618
PBI -23.36% C 0.83% 45.63 2,400
NEM -23.14% D 1.03% 48.41 45,972
FWONK -23.09% C -2.85% 26.19 2,450
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE