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VIX continues to slide trading below 14 as equities rally

Mar 12, 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 modestly stronger and building on yesterday’s momentum this afternoon after inflation data failed to deliver any surprises. Currently, the S&P is +.4% , the Russell is +.3% and the Nasdaq +.7%. Bonds have remained bid  throughout the day (TLT +.25%, US 10 year yield down to 2.628%) ahead of the latest vote on Theresa May’s Brexit deal (expected around 1PM). In single name action, Boeing remains under pressure (-6.7%) amid further calls for the airliner to ground its 737 Max aircrafts. Biotech is outperforming today (+1.1%) while the Banks (KRE -.1%, XLF +.2%) lag the broader market on mild curve flattening. Volatilities are softer with the VIX -4% at 13.78, VXN -1.5% to 16.12, and RVX -3.5% at 16.51.

 

ETF 30D Volatility Changes

SPY:    -5%

IWM:   -3%

QQQ:  -3%

 

Directional Options Strategies

Bullish Option Strategies

NOG Seller 10,000 Jan 1.5 puts (adds to 33,000 open, ref. 2.33)

MU Seller 10,000 Mar 40.5 puts tied to stock (possibly closing, ref. 38.90)

ORCL Seller 5,000 May 45 puts tied to stock (ref. 52.86)

SIRI Buyer 16,000 May 6 calls (ref. 6.04)

QEP Seller 10,000 Sep 5 put to Buy 10,000 Sep 9 calls (ref. 7.60)

NRG 6,000 Mar 22nd 42.5 calls trade (ref. 42.38)

ON Buyer 8,500 Ma 24 calls (ref. 22.53)

 

Bearish Option Strategies

MO 2,500 Jun 52.5 – 55 call spreads trade (appears sold, ref. 56.29)

ZTO Buyer 5,000 Apr 17 puts (Earnings after the close, ref. 19.55)

GE Buyer 10,000 Apr 26th 9 puts (ref. 10.11)

ABBV Buyer 10,000 Mar – Mar 29th 77.5 put spreads (rolls out two weeks, ref. 78.80)

FOXA Buyer 14,750 Apr 50 – 45 put spreads (ref. 50.81)

 

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 14,000 May 47 – 48 call spreads trade (appears bought, ref. 44.02)

ASHR Buyer 17,000 Mar 29th 29.5 calls (ref. 28.23)

XLK Buyer 7,500 Apr 73 calls (ref. 71.57)

IEF Seller 50,000 Mar – Apr 105 call spreads tied to stock (rolls short calls out, ref. 104.73)

XLF Seller 4,000 Mar 26.5 puts to Buy 6,000 Mar 25.5 puts (ref. 26.32)

 

Bearish Option Strategies

EFA Seller 15,000 Mar 65 – Apr 66 call spreads tied to stock (appears to roll short calls up and out, ref. 64.05)

EWZ Seller 29,000 Mar 44 calls tied to stock (ref. 43.23)

IWM 5,350 May 155 – 140 1x2 put spreads trade (ref. 154.00)

QQQ 50,000 Apr 163 puts trade (appears bought, ref. 175.68)

FXI Buyer 21,800 Jun 40 puts tied to stock (ref. 44.09)

XAU Buyer 10,000 Apr 72.5 puts (ref. 76.47)

XBI Buyer 12,097 Mar 87 calls to Sell 12,097 Apr 95 calls and Buy 12,097 Apr 86 – 79 put spreads (appears to roll short calls out and buy put spread, ref. 89.94)

 

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

 

 

Finance Trades Options Strategies

BABA 5,000 Mar 140 – Apr 175 Jelly Rolls trade (ref. 180.17)

QSR 5,000 Mar 70 RevCons trade (ref. 63.05)

 

 

 

Upcoming Earnings

 

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
EVRI 3/12/2019 12.8 7.6 69.1% B 3,652
CLDR 3/13/2019 13.7 16.5 -17.2% D 4,737
MDB 3/13/2019 8.1 7.3 11.0% C 25,631
ADBE 3/14/2019 4.5 3.6 23.3% B 353,447
AVGO 3/14/2019 4.0 3.6 10.3% D 303,319
DG 3/14/2019 5.6 5.3 6.1% A 15,095
DOCU 3/14/2019 7.4 5.9 26.6% D 21,068
HEAR 3/14/2019 15.0 9.2 63.1% C 14,794
JBL 3/14/2019 6.6 6.2 6.2% C 1,845
ORCL 3/14/2019 4.9 4.8 2.3% C 53,054
ULTA 3/14/2019 7.4 6.4 16.0% B 69,940
OSTK 3/18/2019 13.0 10.5 23.2% C 8,421
DSW 3/19/2019 9.4 10.8 -13.1% F 1,871
FDX 3/19/2019 4.9 4.6 6.2% D 267,345
SMAR 3/19/2019 7.7 2.7 190.5% F 1,800
GIS 3/20/2019 4.7 4.1 14.4% C 24,883
MU 3/20/2019 6.0 5.6 7.1% D 666,146
WSM 3/20/2019 7.7 7.2 6.3% B 2,420
CAG 3/21/2019 8.7 5.7 51.1% C 42,539
CCL 3/21/2019 3.9 4.2 -5.7% D 27,288
CTAS 3/21/2019 4.7 3.9 20.2% B 5,451
GIII 3/21/2019 11.8 11.2 5.0% C 4,747
JEF 3/21/2019 2.6 2.3 12.4% D 3,988
KBH 3/21/2019 3.9 5.1 -24.4% C 29,542
LE 3/21/2019 10.4 14.5 -28.8% D 8,928
NKE 3/21/2019 5.0 4.8 3.4% C 340,968
TIF 3/22/2019 6.2 7.1 -12.0% C 26,536
WGO 3/25/2019 9.9 7.9 25.1% D 1,928
FDS 3/26/2019 5.6 4.3 31.1% A 1,696
LULU 3/26/2019 8.8 12.2 -27.6% A 272,146
MKC 3/26/2019 3.8 4.7 -18.5% B 19,748
OLLI 3/26/2019 8.1 4.8 70.8% B 4,474
FIVE 3/27/2019 8.3 7.4 12.3% B 27,643
PAYX 3/27/2019 2.3 1.9 21.6% A 15,974
PVH 3/27/2019 4.5 4.4 1.2% B 3,105
RH 3/27/2019 12.9 19.5 -33.9% C 23,491
KMX 3/29/2019 5.7 4.9 16.5% C 56,094

 

Volatility Standouts

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
CARS 69.52% B -1.22% 89.64 6,394
ADT 69.17% B 1.27% 51.39 474
HEAR 65.59% C -3.17% 47.24 14,794
SKX 63.08% C 3.58% 71.31 9,631
CAG 59.58% C -1.26% 97.21 42,539
KAR 58.97% C -5.26% 91.63 727
RCII 58.41% C -0.51% 59.76 5,802
TTGT 56.37% C 0.77% 33.47 31
NCS 53.82% B 1.43% 99.60 344
CL 47.42% B -2.36% 49.80 57,215
LAUR 46.48% C -2.22% 52.19 40
FDP 44.80% D 1.93% 85.26 299
EVRI 44.03% B -1.70% 62.55 3,652
ISBC 43.08% A 4.94% 31.08 3,859
SIRI 42.94% C 0.00% 46.22 1,449
ARRY 42.55% D -1.14% 56.97 10,208
BMY 42.19% C 1.36% 96.81 288,852
OLLI 38.53% B -0.01% 78.88 4,474
CTXS 37.93% C -2.32% 35.46 22,716
TIF 37.81% C 0.98% 70.12 26,536
DOCU 37.45% D -1.77% 10.80 21,068
VSAT 36.57% D 0.26% 13.55 1,336
HIG 36.05% B 1.63% 39.44 4,498
GRA 35.17% B 0.00% 8.76 2,903
Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
ELLI -69.81% D -1.22% 5.58 139,486
VSM -69.75% C 1.27% 0.00 7,818
RHT -66.96% B -3.17% 10.36 166,977
OZK -61.58% C 3.58% 74.50 692
PVTL -58.02% D -1.26% 27.40 354
PCG -53.87% B -5.26% 72.51 90,297
FDC -37.23% C -0.51% 9.16 74
ZUO -31.89% D 0.77% 18.81 1,300
EAF -30.64% C 1.43% 41.46 2,916
DHR -30.52% B -2.36% 51.39 12,321
GWRE -2.93E-01 D -2.22% 29.48 1,144
HAIN -29.28% F 1.93% 49.00 30,553
BID -29.21% C -1.70% 27.49 61
NRZ -29.14% D 4.94% 43.43 5,858
UNH -28.34% A 0.00% 81.27 203,599
ALGN -27.96% C -1.14% 58.96 133,608
AAOI -27.36% D 1.36% 31.87 9,063
SGH -27.10% B -0.01% 62.43 618
NTGR -26.70% C -2.32% 30.80 11,964
SWCH -25.17% D 0.98% 90.04 38
ANTM -25.11% B -1.77% 83.27 77,407
CTL -24.98% D 0.26% 68.13 37,559
NLS -24.29% F 1.63% 85.66 1,974
IEP -24.23% F 0.00% 41.04 2,542
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE