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VIX up 2% in spite of equity rally. Brexit vote looms over all markets

Mar 18, 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 opened higher this morning but have since pared gains amid further uncertainty over Brexit. UK Parliament Speaker Bercow has blocked a potential third “meaningful vote” on PM May’s deal citing no new changes to the agreement. Currently, the S&P is +.1%, the Russell is +.1% and the Nasdaq -.1%. Bonds are flat (TLT +.04%, US 10 year yield down to 2.594%) as the NAHB housing index came in just below expectations (62 v 63 est.) In single name action, Boeing (-2.5%) remains under pressure after receiving a subpoena from Federal prosecutors. Emerging markets are outperforming today (EEM +.72%) with the dollar slightly softer (-.07%) while Healthcare (-.45%) and Utilities (-.6%) lag the broader market. Volatilities are bid this afternoon with the VIX +4% at 13.40, VXN +11% to 16.80, and RVX +9% at 16.66.

 

ETF 30D Volatility Changes

SPY:    +2%

IWM:   +1%

QQQ:  +3%

   

 

Directional Options Strategies

Bullish Option Strategies

MU Buyer 3,800 Mar 22nd 41 – 45 call spreads (ref. 40.27)

AA Buyer 3,000 May 31 calls trade (ref. 28.31)

ACB 5,300 Mar 22nd 10 calls trade (ref. 10.06)

MIK Buyer 6,500 May 12.5 calls (Earnings 3/19, ref. 11.66)

STNG Buyer 7,600 Apr 20 calls (ref. 19.30)

PFE 7,500 May 44 calls trade (appears bought, ref. 41.91)

 

Bearish Option Strategies

UST Seller 12,00 Jun 5 calls (ref. 3.92)

WSM Seller 5,000 Apr 62.5 calls and 6,000 Apr 47.5 puts (Sells strangle ahead of Earnings 3/20, ref. 56.38) 

GM Seller 50,000 Apr 39 calls (collects $.51, ref. 37.95)

 

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

HYG Seller 15,000 May 81 puts tied to stock (ref. 85.74)

VIX Buyer 22,000 Mar 12.5 puts (ref. 13.57)

EFA Buyer 5,000 Mar 29th 66 calls (ref. 65.25)

Bearish Option Strategies

XLU 5,833 Apr 59 calls trade (appears sold, ref. 58.23)

XLU 5,000 Apr 57.5 puts trade (appears bought, ref. 58.10)

XLF 7,000 Jun 24 puts trade (appears bought, ref. 26.92)

FXI Seller 108,000 Apr 47 calls (possibly closing, ref. 44.89)

SPY Buyer 10,193 Mar 22nd 272 puts (paid $.06, ref. 282.11)

SPY Buyer 15,191 Mar 29th 276 puts (ref. 282.64)

QQQ Buyer 10,000 Apr 172 puts to Sell 20,000 Apr 165 puts and Buy 15,000 Apr 155 puts (ref. 177.97)

QQQ Seller 50,000 Jun 188 – 192 call spreads (ref. 177.73)

VIX Buyer 17,000 Apr 25 calls (ref. 15.03)

HYG 8,000 Jul 80 – 79 put spreads trade (ref. 85.71)

 

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

 

 

Finance Trades Options Strategies

GLD 6,500 Jun 123 RevCons trade (ref. 123.36)

COTY 16,000 May 15 RevCons trade (ref. 11.13)

XBI 6,000 Apr 95 RevCons trade (ref. 91.68)

EWW 5,000 Apr 43 RevCons trade (ref. 43.54)

 

 

 

Upcoming Earnings

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
DSW 3/19/2019 10.2 11.0 -7.4% F 1,871
FDX 3/19/2019 5.4 4.6 16.0% D 267,345
SCS 3/19/2019 2.1 7.7 -73.0% C 1,928
SMAR 3/19/2019 6.4 2.7 139.9% F 1,800
GIS 3/20/2019 4.0 4.1 -3.0% C 24,883
MU 3/20/2019 6.4 5.6 13.5% D 666,146
WSM 3/20/2019 8.3 7.5 9.6% B 2,420
CAG 3/21/2019 8.3 5.7 44.1% C 42,539
CCL 3/21/2019 4.2 4.2 -0.5% D 27,288
CTAS 3/21/2019 3.6 3.9 -6.8% B 5,451
DRI 3/21/2019 6.0 6.0 -0.8% B 19,545
GIII 3/21/2019 11.1 11.2 -1.3% C 4,747
JEF 3/21/2019 1.4 2.3 -38.9% D 3,988
LE 3/21/2019 10.3 15.1 -31.5% D 8,928
NKE 3/21/2019 5.0 4.8 4.0% C 340,968
TIF 3/22/2019 6.3 7.4 -14.8% C 26,536
WGO 3/25/2019 8.8 7.9 10.5% D 1,928
FDS 3/26/2019 4.8 4.3 13.8% A 1,696
KBH 3/26/2019 3.8 5.1 -24.6% C 29,542
MKC 3/26/2019 3.8 4.7 -18.6% B 19,748
OLLI 3/26/2019 7.2 4.8 50.3% B 4,474
FIVE 3/27/2019 8.3 7.4 12.6% B 27,643
LEN 3/27/2019 3.5 4.4 -19.3% A 32,643
LULU 3/27/2019 10.2 12.2 -16.4% A 272,146
PAYX 3/27/2019 1.8 1.9 -2.8% A 15,974
PVH 3/27/2019 4.6 4.4 5.5% B 3,105
RH 3/27/2019 13.0 19.5 -33.2% C 23,491
KMX 3/29/2019 6.1 4.9 24.0% C 56,094
GME 4/2/2019 6.6 6.4 3.2% C 7,329
LW 4/2/2019 3.5 4.0 -13.7% C 1,698
AYI 4/4/2019 6.9 9.2 -25.0% D 19,172
STZ 4/4/2019 5.4 5.8 -6.9% B 66,685
BBBY 4/10/2019 13.3 12.7 4.6% D 14,532
FAST 4/10/2019 4.9 5.9 -17.3% B 62,745
BLK 4/11/2019 0.7 2.3 -70.7% B 48,314
DAL 4/11/2019 1.5 2.0 -27.3% B 78,651
JPM 4/12/2019 1.4 1.2 18.1% C 473,762
PNC 4/12/2019 1.7 1.6 5.4% C 17,680
WFC 4/12/2019 2.5 1.7 43.8% C 328,345
C 4/15/2019 2.3 1.9 21.8% C 215,942
JBHT 4/15/2019 2.0 3.0 -35.4% C 1,524
BAC 4/16/2019 2.0 2.3 -16.0% C 440,466
CMA 4/16/2019 1.3 2.5 -45.6% A 4,443
CSX 4/16/2019 3.4 3.7 -8.7% B 38,344
GS 4/16/2019 3.6 3.2 13.5% D 396,891
IBM 4/16/2019 4.2 5.8 -27.5% C 233,659
LRCX 4/16/2019 3.0 5.7 -47.7% C 144,836
NBEV 4/16/2019 13.4 9.2 44.9% F 6,041
NFLX 4/16/2019 7.5 6.9 8.7% D 3,540,152
PGR 4/16/2019 1.7 2.6 -32.3% B 33,034
PLD 4/16/2019 1.5 1.9 -19.7% C 14,699
SNV 4/16/2019 2.9 2.8 3.9% B 2,795
AA 4/17/2019 2.3 5.4 -57.7% F 7,919
ABT 4/17/2019 0.8 1.9 -56.9% C 106,509
AXP 4/17/2019 2.4 3.0 -17.9% C 108,538
BK 4/17/2019 2.0 3.4 -40.2% D 36,742
CCI 4/17/2019 2.6 1.5 78.8% A 54,836
KMI 4/17/2019 3.6 1.7 111.4% C 39,656
MS 4/17/2019 2.7 2.7 2.5% D 140,201
PEP 4/17/2019 1.1 1.7 -38.3% C 113,059
UAL 4/17/2019 3.1 6.7 -53.2% D 165,240
URI 4/17/2019 5.3 5.9 -8.8% C 53,647
USB 4/17/2019 1.5 1.7 -13.4% C 23,005

 

Volatility Standouts

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
LAUR 72.93% C -2.60% 96.83 40
SSP 72.80% B -2.87% 7.54 46
HCP 72.18% C -1.57% 10.32 1,089
CARS 68.59% B -2.92% 60.71 6,394
YRCW 66.32% C 1.03% 39.29 955
S 65.61% F 3.91% 94.84 6,904
XPER 64.37% C 0.00% 2.38 21
FDP 63.21% D -0.28% 76.59 299
VSH 62.24% C 0.00% 20.63 653
EQR 61.47% C -0.02% 7.94 4,300
IPG 59.81% C 0.21% 30.16 560
UCTT 54.38% C 0.00% 23.41 508
NDLS 53.67% D 4.55% 51.98 6
CAG 52.06% C 0.00% 94.84 42,539
EROS 51.40% F 0.00% 1.19 345
ELAN 51.08% C 5.38% 8.11 101,651
RL 51.04% B 0.00% 9.92 13,378
PRTY 50.73% D -0.31% 53.97 42
SLM 49.18% D 0.00% 26.98 1,239
RRD 47.84% C 0.00% 35.71 92
BTU 47.02% D -3.89% 63.89 341
TIVO 45.24% C 0.00% 3.17 220
NCR 44.10% C 0.00% 26.19 2,475
KEM 43.34% A -2.49% 27.78 9,374
Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
OZK -55.93% C -2.60% 68.25 692
RHT -55.71% B -2.87% 3.97 166,977
ELLI -55.09% D -1.57% 0.40 139,486
VSM -42.31% C -2.92% 3.17 7,818
PCG -39.21% B 1.03% 73.41 90,297
TTD -39.16% D 3.91% 43.65 33,781
SWCH -39.07% D 0.00% 56.75 38
SNAP -38.05% F -0.28% 40.48 78,172
FDC -36.39% C 0.00% 7.54 74
ARNC -35.72% D -0.02% 32.94 10,455
CASA -32.61% C 0.21% 26.79 274
GWRE -32.56% D 0.00% 9.52 1,144
BID -29.91% C 4.55% 32.54 61
UNH -29.55% A 0.00% 60.71 203,599
ANTM -29.02% B 0.00% 57.94 77,407
ZUO -26.61% D 5.38% 15.32 1,300
NVDA -26.40% F 0.00% 50.40 1,362,666
UNIT -25.83% C -0.31% 92.86 2,292
THS -24.88% D 0.00% 28.57 12,635
ROKU -24.87% D 0.00% 48.81 96,804
AOBC -24.72% D -3.89% 4.37 2,217
IMMU -24.65% D 0.00% 12.70 2,121
FSLR -2.42E-01 F 0.00% 17.46 45,369
FFIV -24.20% B -2.49% 35.32 15,663
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE