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VIX up 2% in spite of equity rally due to China trade talk uncertainty

Mar 19, 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 got off to an uneven start this morning but have seemingly found their footing and are rallying ahead of the FOMC meeting. On the economic data front, January Durable Goods Orders (0.3% vs. 0.4% est.) and Factory Orders (0.1% vs . 0.3% est.) came in a bit soft. Currently, the S&P is +.6%, the Russell is +.25% and the Nasdaq +.75%. Bonds are slightly weaker (TLT -.15%, US 10 year yield up to 2.609%) but it’s worth noting that they’ve gained ground since the open (perhaps anticipating an incrementally dovish Fed.) Utilities (.7%) are lagging the broader market today as investors lean toward putting more risk on. Volatilities are mixed with the VIX -1% at 12.95, VXN +.3% to 16.24, and RVX +.3% at 16.03.

 

 

ETF 30D Volatility Changes

SPY:    +1%

IWM:    FLAT

QQQ:  -1%

 

Directional Options Strategies

Bullish Option Strategies

DWDP Buyer 11,000 Apr 57 calls (ref. 55.79)

BHC Buyer 4,500 Mar 22nd 26 calls (ref. 25.33)

CX Buyer 4,800 Jul 5 calls (ref. 4.92)

MIK Seller 5,000 Apr 12.5 puts (appears closing, ref. 13.46)

NXPI Buyer 2,000 May 100 calls tied to stock (ref. 93.02)

S Buyer 10,000 Apr 7 calls (ref. 6.42)

GIS 15,000 Apr 47.5 – Oct 50 call spreads trade (appears to roll up and out, Earnings 3/20, ref. 47.35)

BKS Buyer 5,500 May 5 calls (ref. 5.70)

VMC Buyer 4,300 Apr 120 calls tied to stock (ref. 114.92)

Bearish Option Strategies

EA Seller 6,800 Jun 105 calls (possibly closing, ref. 99.63)

MNST 2,200 May 50 puts trade (ref. 58.54)

CVS 2,000 No 50 puts trade (ref. 57.04)

RCII Seller 30,000 Apr 20 – 23 call spreads (closing, ref. 20.16)

JCI Buyer 9,000 Apr 37 calls to Sell 9,000 May 39 call spreads (rolls write out and up, ref. 36.57)

KSS Buyer 5,000 Jul 60 puts tied to stock (ref. 69.63)

 

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

EEM Buyer 63,800 Apr 39 puts to Sell 61,000 May 41 puts (rolls write out and up, ref. 43.59)

XLF Buyer 20,000 Apr 28.5 calls trade tied to stock (ref. 27.04)

SPY Seller 10,000 Apr 295 – 300 1x2 call spreads to Buy 10,000 Apr 26th 294 – 298 1x2 calls spreads (appears to roll 1x2 out and down, ref. 283.27)

XLE Buyer 5,000 Jun 31 calls (ref. 30.11)

VXX Buyer 7,000 Mar 22nd 27 puts (ref. 28.59)

 

Bearish Option Strategies

QQQ Buyer 17,000 Apr 26th 165 – 155 put spreads tied to stock (ref. 179.42)

IWM Buyer 6,250 May 145 – 140 put spreads (ref. 155.96)

XLP 10,000 Apr 55 puts trade (appears bought, ref. 54.82)

EEM Seller 5,000 Apr 18th 44 – 45 – 45.5 call stupids (sold all three) to Buy 20,000 Apr 18th 41 – 40 put stupids (collected 20,000, ref. 43.56)

XOP 20,000 Jun – Jul 30 put spreads trade (appears to roll out, ref. 30.56)

UNG Buyer 15,000 Apr 24 puts (appears to close short leg of a risk reversal, ref. 25.16)

VIX Buyer 33,000 Apr 18 – 22 – 26 call flies (paid $.04, ref. 15.00)

HYG Seller 12,000 May 85 puts to Buy 36,000 May 83 puts (possibly closing, slightly bearish if opening, ref. 85.93)

HYG Buyer 7,500 Jul 84 puts (ref. 85.92)

 

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

 

 

Finance Trades Options Strategies

EWZ 7,000 Apr 44 RevCons trade (ref. 44.47)

COTY 5,000 May 15 RevCons trade (ref. 11.34)

 

 

 

Upcoming Earnings

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
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