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VIX up another 5.5% as equities continue to selloff on Global growth concerns

Mar 08, 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 been a volatile day for equities after some uneven economic data has given investors pause. Abroad, Chinese exports fell 20% during the month of February while German manufacturing orders dipped 2.6% month over month. At home, the jobs number was mixed as the headline came in well below estimates (20,000 vs. 180,000 jobs added est.) but wage growth (3.4% year over year) saw its highest annual reading since 2009. Currently, the S&P is -.7% , the Russell is -.4% and the Nasdaq -.8%. Bonds have strengthened mildly throughout the day (TLT +.2%, US 10 year yield down to 2.632%) even as the New York Fed raised its Q1 GDP forecast to 1.4% from 0.9% (citing strong ISM, housing data earlier this week). The Oil sector is under pressure this afternoon (Crude -3%) as the Chinese data sparks concerns over demand while precious metals (Gold +1%, Silver +2%) rally as the dollar takes a breather (down .35%) Volatilities are up with the VIX +5% at 17.38, VXN +4% to 20.35, and RVX +3% at 20.33.

 

ETF 30D Volatility Changes

SPY:    +4%

IWM:   +2%

QQQ:  +3%

 

Directional Options Strategies

Bullish Option Strategies

MRVL Seller 5,000 Apr 16 puts (appears closing, ref. 18.21)

CLF Buyer 4,461 Oct 10 calls (ref. 9.74)

YNDX 3,000 Mar – May 35 call spreads trade (appears to roll out, ref. 34.78)

ZTS 3,500 Apr 95 calls trade (appears bought, ref. 91.74)

WBA Buyer 4,000 March 62.5 calls (ref. 60.33)

 

Bearish Option Strategies

RIG Buyer 3,500 Apr 8 puts (ref. 7.98)

M Seller 15,000 Mar 24 puts to Buy 15,000 May 21 – 20 put stupids (rolls out and down, ref. 22.86)

TLRD Buyer 5,000 Mar 12 puts (Earnings 3/13, ref. 11.74)

GE Buyer 20,000 Mar 9 puts (ref. 9.54)

MAR Buyer 7,500 Jul 115 puts (ref. 120.67)

AMAT Seller 6,800 Mar 38 – 36.5 put spreads (monetizes, maintains bearish exposure, ref. 37.49)

MRK Buyer 10,000 Apr 80 puts tied to stock (ref. 79.31)

AES Buyer 10,000 Mar 17 puts (ref. 17.67)

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 8,000 Apr 5th 44.5 – 46 call spreads (ref. 42.61)

FXI Buyer 20,000 Apr 45 calls (ref. 42.71)

GDX 5,000 Jun 24 calls trade (appears bought, ref. 22.04)

XAU Seller 7,500 Mar 75 puts (closing, ref. 76.60)

 

Bearish Option Strategies

SPX Buyer 10,000 Mar 29th 1675 puts (ref. 2726.90)

VIX Buyer 38,300 Jun 23 calls (ref. 18.07)

XOP Seller 117,500 Jun 28 puts to Buy 117,500 Sep 25 puts (monetizes, maintains bearish exposure, rolls out and down, ref. 28.22)

ASHR Buyer 7,500 Apr 31.71 calls (appears to close part of write, ref. 26.95)

HYG 12,500 May 84 – 81 – 78 put flies trade (ref. 84.95)

 

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. 125.58)

 

 

 

Upcoming Earnings

 

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
CASY 3/11/2019 6.3 5.3 19.4% C 6,022
COUP 3/11/2019 11.4 7.2 57.9% D 16,571
SFIX 3/11/2019 15.4 22.8 -32.3% D 9,369
DKS 3/12/2019 10.2 9.0 13.9% C 69,730
EVRI 3/12/2019 12.4 7.6 63.4% B 3,652
CLDR 3/13/2019 15.0 16.5 -9.0% D 4,737
MDB 3/13/2019 7.4 7.3 1.6% C 25,631
WSM 3/13/2019 7.4 7.2 2.8% B 2,420
ADBE 3/14/2019 5.5 3.6 51.7% B 353,447
AVGO 3/14/2019 5.7 3.6 58.1% D 303,319
DG 3/14/2019 6.1 5.4 11.9% A 15,095
DOCU 3/14/2019 7.5 5.9 27.1% D 21,068
HEAR 3/14/2019 15.0 9.2 63.3% C 14,794
JBL 3/14/2019 6.6 6.2 7.0% C 1,845
ORCL 3/14/2019 5.1 4.8 6.6% C 53,054
ULTA 3/14/2019 7.7 6.4 19.2% B 69,940
HQY 3/18/2019 1.4 6.4 -78.4% A 1,725
OSTK 3/18/2019 15.1 10.5 43.8% C 8,421
DSW 3/19/2019 10.8 10.8 0.0% F 1,871
FDX 3/19/2019 5.6 4.6 19.6% D 267,345
SMAR 3/19/2019 9.2 2.7 244.6% F 1,800
GIS 3/20/2019 5.3 4.1 28.6% C 24,883
MU 3/20/2019 8.8 5.6 56.9% D 666,146
WGO 3/20/2019 10.6 7.9 34.0% D 1,928
CAG 3/21/2019 8.8 5.7 53.6% C 42,539
CCL 3/21/2019 4.5 4.2 8.4% D 27,288
CTAS 3/21/2019 4.8 3.9 22.3% B 5,451
DRI 3/21/2019 6.9 6.0 15.2% B 19,545
GIII 3/21/2019 12.8 11.2 14.2% C 4,747
JEF 3/21/2019 3.0 2.3 29.3% D 3,988
KBH 3/21/2019 6.0 5.1 17.0% C 29,542
LE 3/21/2019 12.0 14.5 -17.4% D 8,928
NKE 3/21/2019 5.4 4.8 12.1% C 340,968
TIF 3/22/2019 6.7 7.1 -5.7% C 26,536
FDS 3/26/2019 5.9 4.3 38.8% A 1,696
LULU 3/26/2019 9.4 12.2 -22.5% A 272,146
MKC 3/26/2019 4.2 4.7 -10.0% B 19,748
FIVE 3/27/2019 8.9 7.4 20.6% B 27,643
OLLI 3/27/2019 8.3 4.8 75.5% B 4,474
PAYX 3/27/2019 3.4 1.9 81.2% A 15,974
PVH 3/27/2019 5.7 4.4 28.7% B 3,105
RH 3/27/2019 13.0 19.5 -33.5% C 23,491
WBA 3/27/2019 1.4 3.9 -64.7% B 35,610
KMX 3/29/2019 6.7 4.9 37.4% C 56,094

 

Volatility Standouts

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
RCII 69.28% C 5.30% 58.73 5,802
SPWR 64.96% C 1.17% 69.44 1,076
MLNX 6.38E-01 C 5.10% 77.38 38,987
HEAR 62.46% C 2.96% 36.04 14,794
CARS 60.86% B 4.45% 90.87 6,394
SKX 60.44% C 2.16% 80.95 9,631
CAG 59.89% C 0.64% 98.02 42,539
TCS 59.05% D 5.61% 20.63 72
CTXS 57.78% C 4.37% 34.13 22,716
GRA 56.26% B 3.05% 10.32 2,903
CL 52.81% B -1.87% 67.86 57,215
FL 50.61% C 0.36% 1.59 12,701
VSAT 50.07% D 4.56% 13.89 1,336
ARRY 48.38% D -10.10% 53.17 10,208
LOCO 47.20% C 2.52% 98.81 1,554
LAUR 47.08% C 4.39% 52.78 40
NCS 47.03% B 3.03% 98.41 344
TRCO 46.29% B 7.45% 1.98 0
ADM 45.63% D -0.18% 30.56 20,057
HIG 44.81% B 2.81% 51.98 4,498
QCOM 44.49% D 4.25% 41.27 481,831
FDP 44.29% D 0.68% 84.52 299
EVRI 43.04% B 4.52% 43.65 3,652
ISBC 42.44% A 1.70% 13.10 3,859
Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
ELLI -74.28% D 5.30% 5.95 139,486
RHT -66.28% B 1.17% 15.87 166,977
VSM -60.06% C 5.10% 0.40 7,818
OZK -59.63% C 2.96% 75.79 692
PVTL -54.24% D 4.45% 31.34 354
PCG -52.66% B 2.16% 72.62 90,297
DHR -38.78% B 0.64% 64.29 12,321
EQM -28.77% D 5.61% 26.98 3,339
FDC -28.65% C 4.37% 5.16 74
ZUO -27.75% D 3.05% 24.07 1,300
EAF -27.00% C -1.87% 44.83 2,916
HAIN -24.92% F 0.36% 56.35 30,553
STI -24.22% B 4.56% 42.06 12,260
BLUE -23.45% D -10.10% 23.41 2,832
SGH -23.31% B 2.52% 66.84 618
NTGR -22.89% C 4.39% 41.43 11,964
RH -22.69% C 3.03% 79.76 23,491
GWRE -2.15E-01 D 7.45% 54.37 1,144
NLS -21.42% F -0.18% 81.75 1,974
ANTM -20.68% B 2.81% 89.29 77,407
AAOI -20.53% D 4.25% 37.70 9,063
GES -20.32% C 0.68% 76.59 364
NEM -19.74% D 4.52% 55.16 45,972
STMP -18.80% C 1.70% 93.65 6,926
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE