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SPY Breaks Above 2815 Level, VIX Falls to 2019 Lows

Mar 15, 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
ETF 30D IV 30D IV
Percentile
90D IV 90D IV
Percentile
90D/30D IV 90D/30D IV
Percentile
30D IV-
20D HV
30D IV-20D HV
Percentile
90D IV-
60D HV
90D IV-60D HV
Percentile
SPY 10.8 35.71% 12.69 43.25% 1.17 71.43% 1.95 75.0% -6.49 22.22%
QQQ 13.88 17.46% 15.63 23.02% 1.13 87.1% 3.77 81.75% -8.6 20.24%
IWM 14.34 46.83% 15.07 47.62% 1.05 58.93% 0.93 48.41% -5.26 19.64%
FEZ 13.78 35.32% 15.45 56.35% 1.12 81.35% 2.92 83.33% 0.33 67.06%
EEM 15.08 2.78% 17.02 15.28% 1.13 98.81% 1.19 66.47% 0.28 69.84%

 

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

 

Risk on (in equities, at least) was back in a big way this week even as US economic came in mixed at best. To recap, Retail Sales, Construction Spending and Consumer Confidence all surprised to the upside while Industrial Production and Empire Manufacturing came in soft. While bonds strengthened mildly on the week equities found momentum as the middling data should (in theory) keep the Fed on the sidelines. The slow but steady rally in stocks (SPY +1.5% roughly on the week) resulted in volatility grinding lower (Cash VIX down more than 25% this week ref. 12.86). Next week will likely bring more Brexit drama (speculation of a 3rd vote on PM May’s deal) and an FOMC Meeting (Tuesday and Wednesday).

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

Bullish: HYG Seller 20,000 Jul 86 puts tied to stock (ref. 85.77)

Bullish: FXI Buyer 60,000 Apr 12th 45.5 – 47 call spreads (ref. 44.43)

Bullish: EFA Buyer 50,000 Apr 12th 65.5 calls (paid $.58, ref. 65.02)

Bearish: VIX Seller 270,000 Apr 13-12.5 put spreads to Buy 270,000 May 25 - 27 call spreads (ref. 15.03 (Apr) and 15.73 (May))

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

Bearish: HYG Buyer 53,000 May 84 – 81 put spreads trade (paid $.25, ref. 85.81)

Bearish: SPY Buyer 25,000 Mar 20th 272.5 - 270 - 267.5 put spreads (ref. 281.98)

 

Let’s take a look at one of the biggest trades of the week which came via the VIX product. In three separate tranches (i.e. 90,000 each) one customer Sold 270,000 Apr 13 – 12.5 put spreads to Buy 270,000 May 25 - 27 call spreads. The four leg spread resulted in a credit on all three tranches and uses two different VIX expirations. In selling the April 13 – 12.5 put spread, the investor’s max loss is capped at $.50 and can make up to $2 on the May 25 – 27 call spread. If the VIX stays somewhere in between the trade will profit because it was put on for a credit. With the Fed in play next week, even the slightest hawkish reversal could put markets on edge.    

Bearish: VIX Seller 270,000 Apr 13 – 12.5 put spreads to Buy 270,000 May 25 – 27 call spreads (ref. 15.03 (Apr) and 15.73 (May))

 

OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE