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VIX unchanged as equities trade sideways in light volume

Mar 14, 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 mixed this afternoon as the S&P struggles to break through the 2815 level. Currently, the S&P is +.1%, the Russell is -.1% and the Nasdaq +.1%. Bonds are weaker (TLT -.6%, US 10 year yield up to 2.639%) as the threat of a no-deal Brexit has been taken off the table (*vote to extend Article 50 (delay March 29th deadline) this afternoon). In single name news, shares of Snap are up more than 10% after BTIG upgraded the stock. Homebuilders (XHB -.50%) are lagging the broader market after January new home sales came in a bit soft (607,000 vs. 622,000 expected). Also worth noting is the weakness in precious metals (GLD -1.15%, SLV -1.7%) as the dollar sees strength (+.25%). Volatilities are mixed with the VIX -.4% at 13.36, VXN +.6% to 15.48, and RVX -.8% at 15.77.

 

ETF 30D Volatility Changes

SPY:    -1%

IWM:   -1%

QQQ:  -1%

 

Directional Options Strategies

Bullish Option Strategies

ET 12,600 Apr 16 calls trade (appears closing, ref. 15.23)

MYL Buyer 6,700 Mar 28 calls (ref. 27.89)

BAC Buyer 4,000 Sep 33 calls (ref. 29.53)

KO Seller 12,000 Mar – Apr 47 put spreads (appears to roll short puts out, ref. 46.03)

 

Bearish Option Strategies

GDS Seller 3,900 Apr 35 – 30 put spreads (closing, ref. 34.29)

GM Buyer 5,000 May 38 – 34 put spreads (ref. 38.41)

DVN Seller 10,000 Apr 28 – Jul 33 call spreads (monetizes, rolls out, maintains bullish exposure, ref. 29.61)

CZR Buyer 13,200 Mar – Mar 22nd 8 put spreads (rolls puts out a week, ref. 8.01)

M 3,500 May 19 puts trade (ref. 23.48)

SNAP 6,582 Oct 11 calls trade (appears to open write, ref. 11.04)

 

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 6,000 Mar 29th 286 – Apr 26th 290 call spreads trade (appears to roll out, ref. 281.08)

QQQ Buyer 25,000 Jun 188 calls (ref. 176.90)

FXI Buyer 7,500 Aug 44 calls (ref. 43.67)

 

Bearish Option Strategies

SPY Buyer 10,000 May 240 puts (ref. 281.45)

SPY Seller 7,000 Mar 270 – 267.5 put spreads to Buy 7,000 Mar 22nd Mar 265 – 260 – 255 put flies (ref. 281.18)

HYG Buyer 10,000 Apr 83 puts (ref. 85.70)

HYG 10,000 Jul 83 – 81 put spreads trade (ref. 85.69)

EEM Seller 142,300 Dec 37 – 30 put spreads to Buy 142,300 Dec 39 – 35 put spreads (rolls up, ref. 42.34)

EEM 50,000 Jan 37 puts trade (ref. 42.37)

VIX Seller 90,000 Apr 13 – 12.5 put spreads to Buy 90,000 May 25 – 27 call spreads (ref. 15.88)

VXXB Seller 8,000 Mar 29 puts to Buy 12,000 Mar 38 calls (possibly closing, ref. 29.14)

 

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

 

 

Finance Trades Options Strategies

COTY 5,000 May RevCons trade (ref. 10.99)

COTY 8,000 Apr 15 RevCons trade (ref. 10.97)

W 4,000 Apr 170 RevCons trade (ref. 166.10)

TWTR 15,000 Mar – May 30 Jelly Rolls trade (ref. 31.13)

SPY 33,000 Mar 290 RevCons trade (ref. 281.64)

 

 

 

Upcoming Earnings

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
ADBE 3/14/2019 4.1 3.6 13.3% B 353,447
AVGO 3/14/2019 4.9 3.6 36.6% D 303,319
DOCU 3/14/2019 7.7 5.9 30.6% D 21,068
HEAR 3/14/2019 14.8 9.2 60.9% C 14,794
JBL 3/14/2019 6.6 6.2 6.5% C 1,845
ORCL 3/14/2019 4.6 4.8 -3.7% C 53,054
ULTA 3/14/2019 7.0 6.4 10.2% B 69,940
OSTK 3/18/2019 13.8 10.5 31.7% C 8,421
DSW 3/19/2019 9.7 10.8 -10.3% F 1,871
FDX 3/19/2019 5.1 4.6 10.3% D 267,345
SCS 3/19/2019 0.6 7.7 -92.7% C 1,928
SMAR 3/19/2019 7.3 2.7 175.7% F 1,800
WAGE 3/19/2019 20.7 5.5 273.8% C 12,163
GIS 3/20/2019 4.3 4.1 5.2% C 24,883
MU 3/20/2019 6.6 5.6 18.0% D 666,146
WSM 3/20/2019 7.5 7.2 4.5% B 2,420
CAG 3/21/2019 8.6 5.7 50.7% C 42,539
CCL 3/21/2019 4.0 4.2 -3.7% D 27,288
CTAS 3/21/2019 4.2 3.9 8.1% B 5,451
DRI 3/21/2019 6.3 6.0 4.8% B 19,545
GIII 3/21/2019 11.8 11.2 4.9% C 4,747
JEF 3/21/2019 1.3 2.3 -45.5% D 3,988
KBH 3/21/2019 3.8 5.1 -25.9% C 29,542
LE 3/21/2019 11.0 14.5 -24.2% D 8,928
NKE 3/21/2019 4.7 4.8 -1.2% C 340,968
TIF 3/22/2019 6.0 7.1 -15.5% C 26,536
WGO 3/25/2019 9.7 7.9 22.0% D 1,928
FDS 3/26/2019 5.6 4.3 30.7% A 1,696
MKC 3/26/2019 3.9 4.7 -17.9% B 19,748
OLLI 3/26/2019 7.4 4.8 55.9% B 4,474
FIVE 3/27/2019 8.6 7.4 16.4% B 27,643
LULU 3/27/2019 10.0 12.2 -17.6% A 272,146
PAYX 3/27/2019 2.1 1.9 13.2% A 15,974
PVH 3/27/2019 4.5 4.4 3.3% B 3,105
RH 3/27/2019 13.3 19.5 -32.0% C 23,491
KMX 3/29/2019 5.9 4.9 19.3% C 56,094
GME 4/2/2019 7.8 6.4 21.5% C 7,329
LW 4/2/2019 4.3 4.0 6.7% C 1,698
LEN 4/3/2019 3.5 4.4 -19.6% A 32,643
AYI 4/4/2019 7.0 9.2 -23.8% D 19,172
STZ 4/4/2019 5.5 5.8 -6.0% B 66,685
BBBY 4/10/2019 14.0 12.7 10.4% D 14,532
FAST 4/10/2019 5.3 5.9 -9.3% B 62,745

 

Volatility Standouts

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
S 72.34% F -1.33% 98.02 6,904
NDLS 71.05% D 1.16% 81.35 6
SKX 65.31% C -0.16% 69.84 9,631
CAG 63.97% C -2.49% 98.41 42,539
RUBI 61.40% F 5.41% 0.79 236
HEAR 60.53% C 1.39% 53.23 14,794
RCII 60.29% C 0.19% 45.63 5,802
DG 58.35% A -0.86% 25.79 15,095
CARS 56.66% B -0.98% 83.33 6,394
IMMR 56.05% C -0.76% 34.13 1,520
OZK 49.30% C 1.35% 75.79 692
ADT 47.88% B 2.16% 84.13 474
GHDX 46.34% B 0.58% 45.24 253
ISBC 46.21% A 11.39% 40.87 3,859
TTGT 45.82% C -2.79% 39.68 31
DOCU 43.10% D -2.94% 13.49 21,068
KAR 42.46% C 1.18% 95.24 727
FDP 42.41% D 0.95% 80.95 299
DIS 42.19% C -2.68% 36.90 379,341
TVTY 41.63% A -1.68% 84.92 72
TIF 40.53% C -2.24% 69.44 26,536
BMY 39.67% C -3.42% 93.25 288,852
FIVE 38.05% B -1.34% 66.67 27,643
CTXS 37.77% C -0.90% 43.65 22,716
Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
ELLI -71.46% D -1.33% 7.54 139,486
RHT -69.53% B 1.16% 9.13 166,977
PVTL -52.32% D -0.16% 34.84 354
PCG -51.31% B -2.49% 73.02 90,297
EAF -38.47% C 5.41% 31.88 2,916
VSM -38.26% C 1.39% 0.40 7,818
FDC -36.84% C 0.19% 0.79 74
FFIV -35.64% B -0.86% 60.32 15,663
FWONK -35.26% C -0.98% 5.56 2,450
GWRE -34.15% D -0.76% 13.89 1,144
DHR -33.54% B 1.35% 44.44 12,321
SGH -32.71% B 2.16% 55.50 618
ZUO -31.85% D 0.58% 21.36 1,300
NTGR -31.81% C 11.39% 39.44 11,964
ALGN -31.61% C -2.79% 51.98 133,608
MAN -30.53% C -2.94% 1.19 10,737
NRZ -30.39% D 1.18% 46.43 5,858
UNH -30.15% A 0.95% 71.43 203,599
ANTM -29.32% B -2.68% 73.81 77,407
HAIN -29.25% F -1.68% 36.11 30,553
AAOI -29.23% D -2.24% 28.57 9,063
SWCH -27.48% D -3.42% 51.19 38
NEM -27.42% D -1.34% 34.13 45,972
BID -27.20% C -0.90% 30.56 61
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE