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VIX up small as equities roll over on China rumors and the Fed Policy Meeting

Mar 20, 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 striking a cautious tone ahead of Chair Powell’s speech even as most investors expect the Fed to maintain its neutral stance. Currently, the S&P is -.4%, the Russell is -1% and the Nasdaq is -.1%. Bonds are stronger this afternoon (TLT +.4%, US 10 year yield up to 2.589%) in sympathy with what’s been a risk-off morning so far. In single name activity, FedEx is down 5% after earnings came in below expectations and guidance was revised lower. The firm’s CFO highlighted “slowing international macroeconomic conditions and weaker global trade growth” as trends causing weaker revenues. Regional Banks (KRE -1.7%) are under pressure for the second consecutive session while Oil ETFs (USO +1.5%) outperform on a larger than expected inventory draw. Volatilities are bid with the VIX +3% at 13.92, VXN +1% to 16.88, and RVX +4.5% at 17.74.

 

ETF 30D Volatility Changes

SPY:    +2%

IWM:    +3%

QQQ:  +1%

 

Directional Options Strategies

Bullish Option Strategies

S Buyer 5,000 Apr 7 calls (ref. 6.34)

GRUB Seller 7,000 Apr 60 puts (ref. 70.04)

VALE Seller 10,000 Apr 13 puts (possibly closing, ref. 13.52)

CAG Buyer 11,000 Jan21 13 calls (Earnings 3/21, ref. 22.72)

QCOM Buyer 8,200 Mar 29th 60.5 calls (ref. 56.92)

ITUB Buyer 8,000 May 11 calls (ref. 9.40)

SPG Seller 10,000 Oct 160 – 140 1x2 put spreads (closing, ref. 172.94)

ALLY Buyer 25,000 Jan 35 calls (ref. 26.55)

FIS Buyer 13,000 Apr 105 – 110 call spreads (ref. 105.50)

Bearish Option Strategies

DB Seller 10,000 Jul 11 calls to Buy 10,000 Jul 8 – 6 put spreads (ref. 8.91)

EXPD Buyer 2,500 Apr 75 – 70 put spreads (ref. 75.10)

VALE Buyer 23,663 Jan 10 puts tied to 355,000 shares (delta neutral, possibly closing, ref. 13.50)

AZN Buyer 5,600 Apr 42.5 puts (ref. 42.93)

 

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 Buyer 3,225 Mar 22nd 283 – 285 – 287 call flies (paid $.83, ref. 281.59)

QQQ 20,000 Sep 175 puts trade (appears sold, ref. 178.71)

 

Bearish Option Strategies

GLD Buyer 10,500 May 118 puts trade (ref. 123.55)

IWM Buyer 12,500 Apr 152 – 140 put spreads to 375,000 shares (ref. 154.18)

EEM Buyer 15,000 May 43 puts to Sell 15,000 May 42 – 41 put stupids tied to stock (ref. 43.36)

EWZ Seller 10,000 May 50 – 52 call spreads to Buy 10,000 May 42 – 40 put spreads (ref. 43.96)

SPY Buyer 10,888 Mar 20th 278 puts (paid $.08, ref. 281.40)

VNQ Seller 60,000 Apr 77 puts to Buy 40,500 Jun 81 puts (rolls out and up , ref. 84.62)

KRE Seller 34,500 Apr 53 – 46 put spreads to Buy 42,000 Jun 52 – 46 puts spreads (paid $.985, rolls out, adjusts upper strike, ref. 53.92)

XLV 5,000 Apr 91 – 88 1x2 put spreads trade (ref. 91.74)

 

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

 

 

Finance Trades Options Strategies

COTY 10,000 May 15 RevCons trade (ref. 11.39)

EMB 10,000 Apr 155 RevCons trade (ref. 109.11)

AAPL 16,5000 Apr 185 RevCons trade (ref. 186.44)

 

 

 

Upcoming Earnings

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
MU 3/20/2019 6.7 5.6 19.8% D 666,146
WSM 3/20/2019 8.6 7.5 14.8% B 2,420
CAG 3/21/2019 9.2 5.7 60.5% C 42,539
CTAS 3/21/2019 3.6 3.9 -8.1% B 5,451
DRI 3/21/2019 5.9 6.0 -1.6% B 19,545
GIII 3/21/2019 10.8 11.2 -3.6% C 4,747
JEF 3/21/2019 2.2 2.3 -7.6% D 3,988
LE 3/21/2019 10.8 15.1 -28.5% D 8,928
NKE 3/21/2019 4.9 4.8 2.1% C 340,968
TIF 3/22/2019 6.4 7.4 -12.6% C 26,536
WGO 3/25/2019 9.1 7.9 14.6% D 1,928
FDS 3/26/2019 4.2 4.3 -1.1% A 1,696
KBH 3/26/2019 5.3 5.1 2.9% C 29,542
MKC 3/26/2019 4.1 4.7 -11.9% B 19,748
OLLI 3/26/2019 7.0 4.8 47.6% B 4,474
FIVE 3/27/2019 8.4 7.4 14.4% B 27,643
LEN 3/27/2019 4.4 4.4 -0.5% A 32,643
LULU 3/27/2019 9.6 12.2 -20.9% A 272,146
PAYX 3/27/2019 2.6 1.9 39.4% A 15,974
PVH 3/27/2019 5.3 4.4 21.4% B 3,105
RH 3/27/2019 13.1 19.5 -33.0% C 23,491
KMX 3/29/2019 6.2 4.9 26.4% C 56,094
GME 4/2/2019 7.3 6.4 14.3% C 7,329
LW 4/2/2019 3.7 4.0 -8.4% C 1,698
WBA 4/2/2019 3.3 3.9 -16.6% B 35,610
AYI 4/3/2019 7.1 9.2 -23.4% D 19,172
STZ 4/4/2019 5.6 5.8 -3.4% B 66,685
BBBY 4/10/2019 13.6 12.7 6.8% D 14,532
FAST 4/10/2019 5.0 5.9 -15.5% B 62,745
MSM 4/10/2019 4.4 4.6 -4.6% B 1,899
BLK 4/11/2019 2.5 2.3 11.1% B 48,314
DAL 4/11/2019 3.1 2.0 52.4% B 78,651
JPM 4/12/2019 2.2 1.2 92.3% C 473,762
PNC 4/12/2019 1.7 1.6 4.1% C 17,680
WFC 4/12/2019 2.4 1.7 36.9% C 328,345
C 4/15/2019 3.2 1.9 67.5% C 215,942
CE 4/15/2019 3.0 2.5 19.0% D 2,684
JBHT 4/15/2019 0.7 3.0 -77.9% C 1,524
MTB 4/15/2019 2.2 2.9 -23.2% A 31,521
NBEV 4/15/2019 12.8 9.2 38.8% F 6,041
BAC 4/16/2019 2.7 2.3 13.4% C 440,466
CMA 4/16/2019 2.5 2.5 0.6% A 4,443
CSX 4/16/2019 2.9 3.7 -21.1% B 38,344
GS 4/16/2019 3.9 3.2 22.7% D 396,891
IBM 4/16/2019 4.6 5.8 -20.4% C 233,659
JNJ 4/16/2019 1.6 2.4 -35.2% C 350,746
LRCX 4/16/2019 3.6 5.7 -36.5% C 144,836
NFLX 4/16/2019 8.2 6.9 18.7% D 3,540,152
OMC 4/16/2019 3.9 4.0 -3.2% B 18,842
PACW 4/16/2019 3.5 1.8 89.8% A 1,548
PGR 4/16/2019 2.2 2.6 -13.3% B 33,034
PLD 4/16/2019 1.8 1.9 -0.9% C 14,699
SCHW 4/16/2019 1.8 2.5 -28.9% C 16,402
SNV 4/16/2019 3.1 2.8 8.8% B 2,795

 

Volatility Standouts

 

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
SCS 67.95% C -3.11% 65.87 1,928
CARS 55.97% B 1.48% 88.49 6,394
EVRG 52.26% B 1.75% 53.57 633
ARRY 4.92E-01 D 0.72% 48.81 10,208
STOR 43.46% A 4.56% 49.21 1,590
ISBC 43.16% A 0.07% 57.94 3,859
UNM 40.34% C -0.58% 55.56 1,951
FLO 40.06% C 0.02% 59.13 315
TPX 39.65% D 0.60% 17.46 35,242
ZIXI 39.34% D 1.06% 71.83 127
UPWK 38.02% F -0.08% 15.79 171
SATS 36.72% B -0.05% 62.30 1,768
CAG 36.04% C 0.00% 95.63 42,539
CTXS 34.05% C -0.36% 43.25 22,716
VGR 33.85% A 0.29% 76.98 1,278
LII 31.99% B -9.01% 23.41 6,864
NHTC 31.70% D -4.58% 40.08 711
CALM 31.67% B -1.16% 18.25 1,267
MASI 30.99% C -3.93% 67.86 15,117
LSCC 30.89% C 1.09% 62.70 470
PEGA 30.45% D -1.41% 30.16 145
LZB 30.16% C 1.55% 0.40 576
TIVO 29.76% C -3.29% 31.35 220
GIS 29.70% C -0.62% 56.75 24,883
Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
MLNX -74.41% C -3.11% 1.19 38,987
ELLI -65.40% D 1.48% 9.52 139,486
RHT -60.69% B 1.75% 17.06 166,977
VSM -60.13% C 0.72% 20.63 7,818
WP -53.22% C 4.56% 16.27 1,481
SYNA -49.17% C 0.07% 32.54 2,018
NVRO -46.88% F -0.58% 64.68 1,047
OZK -45.61% C 0.02% 67.06 692
WAGE -43.24% C 0.60% 61.90 12,163
EB -39.84% D 1.06% 0.00 136
PCG -35.75% B -0.08% 72.22 90,297
TTD -33.95% D -0.05% 51.98 33,781
CBLK -33.10% D 0.00% 0.00 3,802
SGH -31.86% B -0.36% 26.15 618
VHC -30.65% F 0.29% 68.65 1,816
DHR -29.87% B -9.01% 43.25 12,321
ROKU -29.72% D -4.58% 56.75 96,804
WYND -29.18% B -1.16% 43.43 597
IDTI -28.86% C -3.93% 4.76 645
REZI -28.85% D 1.09% 22.11 344
ESPR -28.12% F -1.41% 9.92 12,893
IEP -26.17% F 1.55% 58.33 2,542
NVDA -24.59% F -3.29% 54.37 1,362,666
PVTL -24.27% D -0.62% 0.44 354
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE