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VIX is -9% as the selloff in equities found support late Friday and the rally has continued throughout the day

Mar 11, 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

Risk-on is in back en vogue this afternoon as equities march higher on a better than expected January Retail sales figure (0.2% vs. 0% est.) Currently, the S&P is +1.1%, the Russell is +1.2% and the Nasdaq +1.7%. Bonds have weakened mildly (TLT -.4%, US 10 year yield up to 2.645%) even as the New York Fed cut its Q1 GDP forecast to 0.2% from 0.5%. In single name action, Apple is bid today (+3.2%) thanks to an upgrade from BofA. Crude oil is recovering some of Friday’s losses (+1.2%) as the dollar softens a bit (-0.1%). Volatilities are meaningfully lower with the VIX -9% at 14.62, VXN -11% to 16.98, and RVX -8% at 17.62.

 

ETF 30D Volatility Changes

SPY:    -12%

IWM:   -10%

QQQ:  -11%

 

Directional Options Strategies

Bullish Option Strategies

DAL Buyer 2,200 Mar 29th 52 – 53 call spreads (ref. 50.41)

USB Buyer 2,500 Apr 26th 52.5 calls (ref. 51.11)

BTG 5,500 Mar – Apr 2.5 call spreads trade (appears to roll out, Earnings 3/12, ref. 3.06)

KAR Buyer 5,000 Apr 50 calls tied to stock (ref. 47.71)

CNAT Buyer 5,000 Apr 2 calls (ref. 2.13)

Bearish Option Strategies

JD 12,000 Jan 20 puts trade tied to stock (appears bought, ref. 27.40)

RLGY Seller 11,700 Mar 17.5 puts to Buy 11,900 Sep 10 puts (monetizes, rolls out and down, ref. 12.39)

MU Buyer 5,000 Jun 35 puts tied to stock (ref. 39.30)

BGS Buyer 7,500 Mar 25 – May 22.5 put spreads (rolls out and down, ref. 23.69)

TLRD Seller 5,000 Mar 12 puts to Buy 11,000 Mar 13 puts (rolls up, adds units, Earnings 3/12, ref. 11.71)

 

 

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

TLT Buyer  10,000 Apr 122 puts to Sell 10,000 Sep 122 puts (both legs opening, collects $2.26, ref. 121.18)

VXXB Seller 10,000 Apr 37 calls tied to stock (ref. 32.58)

EWZ Seller 13,500 Mar 41 puts tied to stock (ref. 42.48)

XOP Buyer 13,000 Apr 31 calls to Sell 18,000 Apr 32 calls (ref. 28.17)

SPY Buyer 13,129 Mar 29th 284 calls (ref. 277.69)

QQQ 10,000 Mar 175 – Apr 178 call spreads trade (appears to roll out and up, ref. 173.79)

GLD 7,000 Mar – May 125 call spreads trade (appears to roll out, ref. 122.16)

EFA Seller 7,500 Mar 64 – 63.5 strangles tied to stock (sells premium, directionally neutral, ref. 63.75)

 

Bearish Option Strategies

EEM 54,214 Mar 41.5 puts trade tied to stock (possibly closing, ref. 42.24)

XLI Seller 4,000 Mar 74.5 – 70 put spreads to Buy 4,000 Mar 22nd 73 puts (rolls out, ref. 73.67)

SPY Buyer 12,240 Mar 18th 275 – 270 put spreads (ref. 276.73)

IWM 10,500 Dec 130 – 105 1x2 put spreads trade (ref. 152.90)

 

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

 

 

Finance Trades Options Strategies

NIO 3,400 Mar 12 RevCons trade (ref. 6.79)

ELAN 11,000 Mar 40 RevCons trade (ref. 30.51)

 

 

 

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 19.8% C 6,022
COUP 3/11/2019 11.3 7.2 56.8% D 16,571
SFIX 3/11/2019 17.7 22.8 -22.3% D 9,369
DKS 3/12/2019 10.6 9.0 17.9% C 69,730
EVRI 3/12/2019 14.3 7.6 88.4% B 3,652
CLDR 3/13/2019 14.6 16.5 -11.4% D 4,737
MDB 3/13/2019 7.4 7.3 2.2% C 25,631
WSM 3/13/2019 7.7 7.2 7.4% B 2,420
ADBE 3/14/2019 4.8 3.6 34.1% B 353,447
AVGO 3/14/2019 4.5 3.6 24.8% D 303,319
DG 3/14/2019 5.9 5.3 10.9% A 15,095
DOCU 3/14/2019 7.0 5.9 18.3% D 21,068
HEAR 3/14/2019 15.5 9.2 69.1% C 14,794
JBL 3/14/2019 6.4 6.2 3.8% C 1,845
ORCL 3/14/2019 6.4 4.8 33.4% C 53,054
ULTA 3/14/2019 7.4 6.4 17.0% B 69,940
OSTK 3/18/2019 15.3 10.5 45.8% C 8,421
DSW 3/19/2019 9.6 10.8 -11.5% F 1,871
FDX 3/19/2019 5.5 4.6 18.0% D 267,345
SMAR 3/19/2019 7.9 2.7 195.7% F 1,800
GIS 3/20/2019 4.9 4.1 20.1% C 24,883
MU 3/20/2019 6.7 5.6 19.0% D 666,146
CAG 3/21/2019 8.9 5.7 54.6% C 42,539
CCL 3/21/2019 4.2 4.2 0.8% D 27,288
CTAS 3/21/2019 4.6 3.9 17.0% B 5,451
DRI 3/21/2019 6.7 6.0 11.1% B 19,545
GIII 3/21/2019 11.8 11.2 5.3% C 4,747
JEF 3/21/2019 2.4 2.3 3.6% D 3,988
KBH 3/21/2019 5.1 5.1 -0.8% C 29,542
LE 3/21/2019 11.1 14.5 -23.7% D 8,928
NKE 3/21/2019 4.9 4.8 3.2% C 340,968
TIF 3/22/2019 6.4 7.1 -9.2% C 26,536
WGO 3/25/2019 10.2 7.9 29.4% D 1,928
FDS 3/26/2019 5.8 4.3 35.3% A 1,696
LULU 3/26/2019 9.2 12.2 -24.3% A 272,146
MKC 3/26/2019 3.7 4.7 -21.0% B 19,748
FIVE 3/27/2019 8.4 7.4 14.3% B 27,643
OLLI 3/27/2019 7.7 4.8 62.7% B 4,474
PAYX 3/27/2019 3.0 1.9 57.9% A 15,974
PVH 3/27/2019 4.9 4.4 11.3% B 3,105
RH 3/27/2019 13.3 19.5 -31.9% C 23,491
KMX 3/29/2019 6.4 4.9 30.2% C 56,094

 

Volatility Standouts

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
RCII 73.30% C -2.82% 55.56 5,802
NDLS 70.87% D -1.87% 78.97 6
HEAR 64.44% C -5.85% 52.02 14,794
ARRY 63.10% D -1.95% 38.49 10,208
CAG 61.89% C 0.75% 98.02 42,539
SKX 60.22% C -1.51% 78.57 9,631
CARS 59.93% B -4.39% 92.06 6,394
SPWR 58.73% C -9.19% 82.14 1,076
TCS 57.96% D -3.11% 17.06 72
CL 54.10% B -2.10% 65.87 57,215
TTGT 53.49% C -1.68% 36.11 31
LAUR 53.33% C -0.52% 57.14 40
GRA 52.82% B -4.21% 16.27 2,903
NCS 49.76% B -9.51% 99.60 344
BA 48.88% B 0.51% 55.95 1,356,662
NWSA 48.58% D -4.88% 53.57 7
CTXS 47.37% C -4.82% 34.52 22,716
VSAT 46.32% D -2.96% 17.46 1,336
TIF 45.66% C -4.22% 72.62 26,536
HXL 44.30% A -3.48% 37.70 184
BMY 43.18% C -3.51% 94.44 288,852
HIG 42.48% B -6.34% 48.81 4,498
SNCR 42.08% D -3.44% 8.76 360
FDP 41.85% D 4.51% 85.71 299
Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
ELLI -70.65% D -2.82% 4.76 139,486
VSM -69.80% C -1.87% 6.75 7,818
OZK -59.47% C -5.85% 75.40 692
MLNX -5.77E-01 C -1.95% 82.54 38,987
PVTL -5.61E-01 D 0.75% 31.19 354
PCG -53.61% B -1.51% 72.62 90,297
DHR -42.10% B -4.39% 59.13 12,321
FDC -30.37% C -9.19% 6.75 74
ZUO -30.01% D -3.11% 22.12 1,300
EAF -29.25% C -2.10% 39.22 2,916
EQM -28.24% D -1.68% 26.59 3,339
SGH -28.20% B -0.52% 71.28 618
HAIN -2.73E-01 F -4.21% 50.40 30,553
GWRE -26.80% D -9.51% 49.60 1,144
BLUE -2.57E-01 D 0.51% 23.02 2,832
STI -24.62% B -4.88% 46.03 12,260
NTGR -24.30% C -4.82% 40.24 11,964
AAOI -23.77% D -2.96% 38.10 9,063
STMP -22.69% C -4.22% 94.44 6,926
GES -2.21E-01 C -3.48% 80.56 364
SNBR -22.01% B -3.51% 40.87 245
RH -21.97% C -6.34% 80.95 23,491
BID -20.33% C -3.44% 50.40 61
GT -20.18% F 4.51% 80.95 3,458
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE