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Equities continue to stay bid. VIX down small as Brexit uncertainty remains

Mar 13, 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 higher for the third consecutive session after Durable Goods Orders (+0.4% vs. -0.4% est.) and Construction Spending (1.3% vs. 0.5% est.) data came in above expectations. Currently, the S&P is +.7% (trading above 280 level), the Russell is +.5% and the Nasdaq +.9%. Bonds are slightly weaker (TLT -.15%, US 10 year yield up to 2.614%) as the Atlanta Fed revised its Q1 GDP forecast higher (0.4% from 0.2%). Crude oil is rallying today as the EIA reported an inventory decline of 3.9 million barrels (i.e. strong demand). Healthcare is outperforming today (+1%) while Utilities (XLU flat) lag the broader markets thanks to the risk-on mood. Volatilities are softer but off lows with the VIX -1.5% at 13.56, VXN -1% to 15.61, and RVX -4% at 16.04.

 

ETF 30D Volatility Changes

SPY:    -4%

IWM:   -4%

QQQ:  -3%

 

Directional Options Strategies

Bullish Option Strategies

NTNX Seller 5,000 Mar 50 – 40 put spreads (monetizes, closing, ref. 38.16)

KSU Buyer 4,200 Apr 120 – 125 call spreads (ref. 114.35)

IVZ Buyer 5,130 Jan21 25 calls (ref. 19.19)

 

Bearish Option Strategies

CFX Seller 5,000 Apr 27.5 – 30 call spreads tied to stock (monetizes and rolls up, ref. 28.40)

AKS Seller 11,700 Mar 4 puts to Buy 12,000 Jun 4 puts (rolls out, ref. 2.84)

CVS 2000 August 55 – 50 put spreads trade (appears bought, ref. 56.65)

SEDG Seller 3,000 Sep 45 calls to Buy 3,000 Sep 39 – 30 put spreads (ref. 39.50)

COG 31,000 Mar 26 calls trade (appears to close long calls, ref. 25.62)

EXP Seller 4,000 Apr 77.5 calls to Buy 4,000 Apr 72.5 – 67.5 put spreads (ref. 73.65)

GE Buyer 104,000 Mar 9 – 7 put spreads (possibly closing, ref. 9.84)

 

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

XLF Buyer 25,000 May 27 calls (ref. 26.33)

SPY Buyer 11,719 Mar 283.5 calls (ref. 281.09)

VIX Seller 90,000 Apr 13 – 12 put spreads to Buy 90,000 May 25 – 27 call spreads (ref. 15.50)

EEM Seller 10,000 Mar 42 puts tied to stock (ref. 42.68

 

Bearish Option Strategies

HYG Buyer 20,000 Apr 84 puts tied to stock (ref. 85.66)

XAU Buyer 10,000 Apr 72.5 puts (ref. 77.65)

GDX Buyer 6,000 Jun 21 puts (ref. 22.80)

EFA 7,500 Mar 29th 63 puts trade tied to stock (ref. 64.29)

EEM Buyer 9,000 Sep 35 puts tied to stock (ref. 42.69)

VIX Buyer 20,000 Mar 20 – 28 call spreads (ref. 14.18)

XOP 50,000 Jun – Sep 27 put spreads trade (appears to roll out, ref. 29.86)

 

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

 

 

Finance Trades Options Strategies

QSR 5,000 Mar 70 RevCons trade (ref. 63.11)

EEM 20,000 May 43 RevCons trade (ref. 42.66)

 

 

 

Upcoming Earnings

 

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
CLDR 3/13/2019 15.4 16.5 -6.6% D 4,737
MDB 3/13/2019 8.5 7.3 16.6% C 25,631
ADBE 3/14/2019 3.8 3.6 4.5% B 353,447
AVGO 3/14/2019 4.2 3.6 17.6% D 303,319
DG 3/14/2019 5.4 5.3 1.5% A 15,095
DOCU 3/14/2019 7.1 5.9 20.4% D 21,068
HEAR 3/14/2019 15.4 9.2 67.2% C 14,794
JBL 3/14/2019 6.4 6.2 2.9% C 1,845
ORCL 3/14/2019 4.6 4.8 -3.9% C 53,054
ULTA 3/14/2019 7.3 6.4 15.4% B 69,940
OSTK 3/18/2019 13.0 10.5 23.3% C 8,421
DSW 3/19/2019 9.4 10.8 -13.1% F 1,871
FDX 3/19/2019 5.1 4.6 10.3% D 267,345
SMAR 3/19/2019 8.7 2.7 225.4% F 1,800
GIS 3/20/2019 4.4 4.1 8.2% C 24,883
MU 3/20/2019 6.4 5.6 13.7% D 666,146
WSM 3/20/2019 7.4 7.2 3.2% B 2,420
CAG 3/21/2019 8.6 5.7 51.0% C 42,539
CCL 3/21/2019 4.0 4.2 -5.1% D 27,288
CTAS 3/21/2019 4.0 3.9 3.0% B 5,451
DRI 3/21/2019 6.1 6.0 0.4% B 19,545
GIII 3/21/2019 11.5 11.2 2.7% C 4,747
JEF 3/21/2019 1.9 2.3 -19.1% D 3,988
KBH 3/21/2019 3.7 5.1 -26.7% C 29,542
LE 3/21/2019 10.2 14.5 -29.7% D 8,928
NKE 3/21/2019 4.8 4.8 -0.6% C 340,968
TIF 3/22/2019 6.1 7.1 -13.8% C 26,536
WGO 3/25/2019 9.6 7.9 21.1% D 1,928
FDS 3/26/2019 5.3 4.3 25.9% A 1,696
MKC 3/26/2019 3.9 4.7 -18.0% B 19,748
OLLI 3/26/2019 7.7 4.8 62.8% B 4,474
FIVE 3/27/2019 8.6 7.4 16.4% B 27,643
LULU 3/27/2019 9.2 12.2 -24.4% A 272,146
PAYX 3/27/2019 2.0 1.9 5.0% A 15,974
PVH 3/27/2019 4.6 4.4 3.4% B 3,105
RH 3/27/2019 13.0 19.5 -33.3% C 23,491
KMX 3/29/2019 5.8 4.9 18.6% C 56,094
GME 4/2/2019 6.9 6.4 7.0% C 7,329
LEN 4/3/2019 3.2 4.4 -27.7% A 32,643
AYI 4/4/2019 7.2 9.2 -22.4% D 19,172
LW 4/4/2019 4.6 4.0 13.3% C 1,698
STZ 4/4/2019 5.4 5.8 -7.4% B 66,685

 

Volatility Standouts

 

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
HEAR 71.25% C -6.89% 59.50 14,794
CARS 65.98% B 1.70% 72.22 6,394
IMMR 65.98% C -1.63% 20.63 1,520
OZK 62.49% C -5.55% 75.79 692
CAG 61.39% C -0.78% 98.41 42,539
KAR 56.22% C 0.08% 97.62 727
SKX 56.17% C -1.47% 68.65 9,631
NCS 52.80% B -1.42% 98.81 344
RCII 52.63% C -0.69% 41.67 5,802
EVRI 51.39% B -2.91% 46.03 3,652
ADT 48.18% B -5.38% 52.78 474
CL 43.56% B -2.69% 46.83 57,215
LAUR 41.63% C -2.54% 51.59 40
FDP 40.60% D -5.18% 82.14 299
BBW 37.82% F -4.96% 94.84 13
TIF 37.72% C -2.31% 66.67 26,536
UNM 37.51% C 1.07% 39.29 1,951
BMY 37.02% C -4.55% 92.86 288,852
TTGT 36.44% C -2.40% 31.75 31
OLLI 35.62% B -4.84% 79.37 4,474
ISBC 35.48% A -5.94% 41.67 3,859
DOCU 35.21% D -4.24% 11.21 21,068
SPWR 35.06% C -3.10% 56.35 1,076
GHDX 34.42% B 1.96% 45.63 253
Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
RHT -70.89% B -6.89% 8.33 166,977
ELLI -70.18% D 1.70% 5.95 139,486
VSM -66.59% C -1.63% 1.59 7,818
PVTL -59.41% D -5.55% 25.45 354
PCG -51.42% B -0.78% 73.41 90,297
FDC -42.34% C 0.08% 5.56 74
EAF -36.95% C -1.47% 31.55 2,916
DHR -33.54% B -1.42% 54.76 12,321
FWONK -32.96% C -0.69% 12.30 2,450
GWRE -32.49% D -2.91% 27.78 1,144
FFIV -32.23% B -5.38% 57.94 15,663
ZUO -32.20% D -2.69% 19.18 1,300
UNH -31.29% A -2.54% 76.98 203,599
ALGN -30.74% C -5.18% 51.98 133,608
HAIN -29.92% F -4.96% 39.68 30,553
NLS -29.33% F -2.31% 89.29 1,974
BID -28.73% C 1.07% 30.95 61
AAOI -28.33% D -4.55% 25.79 9,063
NEM -28.31% D -2.40% 32.94 45,972
ANTM -28.10% B -4.84% 78.97 77,407
CTL -27.13% D -5.94% 63.10 37,559
NTGR -27.03% C -4.24% 38.25 11,964
SNBR -26.59% B -3.10% 21.43 245
MAN -26.43% C 1.96% 13.10 10,737
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE