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VIX down -3% as equities rally on low volume trading day

Mar 21, 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 rallying powerfully this afternoon as we see follow through on the Fed’s dovish message. Currently, the S&P is +.65%, the Russell is +1.4% and the Nasdaq is +.8%. Bonds are stronger this afternoon (TLT +.3%, US 10 year yield down to 2.517%) as the 2 – 10 spread narrows to just over 11 basis points. In single name news, Biogen is down nearly 30% after the biotech firm halted its Phase 3 trials of its Alzheimer’s drug. Emerging markets are softer today (EEM -.5%) as the dollar gains strength (+.75%) while Real Estate (IYR +1.5%) outperforms as rates move toward year-to-date lows. It’s also worth noting that the Pound remains under pressure (-1.2%) as a no-deal Brexit no longer seems like an impossibility. Volatilities are lower with the VIX -3% at 13.53, VXN -0.5% to 16.59, and RVX -2% at 17.14.

 

ETF 30D Volatility Changes

SPY:    -2%

IWM:    -2%

QQQ:  -1%

 

Directional Options Strategies

Bullish Option Strategies

KR Buyer 5,100 Jan 30 calls (appears to be closing, ref. 23.98)

STAY Buyer 2,500 Apr 20 calls (ref. 18.11)

JWN Seller 4,600 Apr 38.5 puts (opens write, ref. 43.10)

T 9,095 May 30 calls trade (appears bought, possibly closing,  ref. 30.92)

CTXS 4,440 Jun 105 – 115 call spreads trade (possibly closing, ref. 100.88)

MRVL Buyer 12,900 Apr 20.5 calls (ref. 20.58)

SQ Buyer 1,450 Apr 5th 77.5 calls (ref. 76.36)

 

Bearish Option Strategies

BCS Buyer 2,500 Apr 8 puts (ref. 8.42)

CX Buyer 4,500 May 4 puts (paid $.03, ref. 4.98)

BP 5,500 Apr 44 puts trade (appears bought, ref. 44.59)

 

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

TBT Buyer 5,100 May 34 calls (paid $1.20, expresses bearish view on longer-dated bonds, ref. 34.14)

EEM Buyer 62,400 Apr 40 puts to Sell 60,000 May 42 puts (appears to roll short puts up and out, collects $2.835m, ref. 43.50)

SPY Buyer 12,000 Apr 281 straddles to Sell 122,188 Apr 5th 261 puts (closing) to Sell 4,525 May 3rd 281 straddles and Buy 48,500 May 3rd 261 puts (rolls short straddle vs. long puts strategy out, ref. 282.10)

HYG Seller 3,000 Sep 84 puts (ref. 86.15)

QQQ 15,000 May 3rd 195 – 197.5 call spreads trade (ref 181.18)

 

Bearish Option Strategies

EFA Buyer 8,000 Apr 64.5 puts tied to stock (ref. 65.32)

XLF Buyer 9,000 Apr 5th 25 puts (ref. 25.82)

XLF Buyer  10,000 May 25 puts (ref. 25.91)

IWM Buyer 12,000 Apr 147 – 143 put spreads (ref. 155.34)

IWM 9,500 May 151 – 142 put spreads trade (ref. 154.66)

XOP Seller 27,500 Apr 34 calls trade tied to stock (ref. 31.39)

 

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

 

 

Finance Trades Options Strategies

MU 10,000 May 43 RevCons trade (ref. 43.97)

PFE 4,000 Apr 42 RevCons trade (ref. 42.47)

MS 4,300 Apr 43 RevCons trade (ref. 42.81)

 

 

 

Upcoming Earnings

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
CTAS 3/21/2019 4.2 3.9 8.2% B 5,451
JEF 3/21/2019 2.2 2.3 -4.3% D 3,988
NKE 3/21/2019 4.9 4.8 2.5% C 340,968
TIF 3/22/2019 6.0 7.4 -18.3% C 26,536
WGO 3/25/2019 8.9 7.9 12.4% D 1,928
CCL 3/26/2019 4.6 4.2 11.1% D 27,288
FDS 3/26/2019 4.2 4.3 -1.8% A 1,696
KBH 3/26/2019 5.4 5.1 6.0% C 29,542
MKC 3/26/2019 4.5 4.7 -4.8% B 19,748
OLLI 3/26/2019 7.0 4.8 48.0% B 4,474
FIVE 3/27/2019 8.1 7.4 10.5% B 27,643
LEN 3/27/2019 5.2 4.4 19.6% A 32,643
LULU 3/27/2019 10.4 12.2 -14.8% A 272,146
PAYX 3/27/2019 2.7 1.9 40.1% A 15,974
PVH 3/27/2019 5.4 4.4 21.9% B 3,105
RH 3/27/2019 13.1 19.5 -33.0% C 23,491
KMX 3/29/2019 6.0 4.9 21.9% C 56,094
GME 4/2/2019 7.7 6.4 20.0% C 7,329
LW 4/2/2019 4.1 4.0 1.3% C 1,698
WBA 4/2/2019 3.4 3.9 -13.7% B 35,610
AYI 4/3/2019 6.8 9.2 -26.9% D 19,172
STZ 4/4/2019 5.6 5.8 -3.9% B 66,685
BBBY 4/10/2019 13.7 12.7 7.8% D 14,532
FAST 4/10/2019 5.0 5.9 -14.4% B 62,745
MSM 4/10/2019 4.7 4.6 1.3% B 1,899
BLK 4/11/2019 2.0 2.3 -11.7% B 48,314
DAL 4/11/2019 3.5 2.0 68.5% B 78,651
JPM 4/12/2019 2.6 1.2 123.2% C 473,762
PNC 4/12/2019 1.9 1.6 15.6% C 17,680
WFC 4/12/2019 2.9 1.7 64.6% C 328,345
C 4/15/2019 3.6 1.9 89.3% C 215,942
CE 4/15/2019 3.6 2.5 42.7% D 2,684
JBHT 4/15/2019 1.6 3.0 -47.1% C 1,524
NBEV 4/15/2019 13.8 9.2 49.8% F 6,041
BAC 4/16/2019 2.6 2.3 12.9% C 440,466
CMA 4/16/2019 1.7 2.5 -32.3% A 4,443
CSX 4/16/2019 3.3 3.7 -11.6% B 38,344
GS 4/16/2019 3.3 3.2 4.3% D 396,891
IBM 4/16/2019 4.6 5.8 -20.5% C 233,659
JNJ 4/16/2019 1.1 2.4 -54.7% C 350,746
LRCX 4/16/2019 2.4 5.7 -57.3% C 144,836
NFLX 4/16/2019 7.8 6.9 12.3% D 3,540,152
OMC 4/16/2019 3.3 4.0 -16.5% B 18,842
PACW 4/16/2019 2.8 1.8 51.4% A 1,548
PGR 4/16/2019 2.4 2.6 -6.2% B 33,034
PLD 4/16/2019 1.9 1.9 4.6% C 14,699
SCHW 4/16/2019 2.8 2.5 11.1% C 16,402
AA 4/17/2019 4.7 5.4 -13.4% F 7,919
ABT 4/17/2019 1.6 1.9 -14.4% C 106,509
BK 4/17/2019 2.9 3.4 -12.4% D 36,742
CCI 4/17/2019 3.2 1.5 119.6% A 54,836
CCK 4/17/2019 4.4 2.0 116.6% C 1,565
KMI 4/17/2019 2.7 1.7 60.5% C 39,656
KSU 4/17/2019 3.3 2.8 16.6% C 8,854
MS 4/17/2019 4.0 2.7 50.8% D 140,201
NTRS 4/17/2019 0.2 3.1 -94.1% C 7,537
PEP 4/17/2019 1.7 1.7 -5.0% C 113,059
TXT 4/17/2019 5.1 4.5 14.0% C 2,182
UAL 4/17/2019 4.5 6.7 -32.4% D 165,240
URI 4/17/2019 4.9 5.9 -15.5% C 53,647
USB 4/17/2019 2.4 1.7 37.9% C 23,005

 

Volatility Standouts

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
ARRY 63.68% D -1.82% 35.32 10,208
CARS 63.02% B -0.76% 69.44 6,394
SCS 52.80% C -1.50% 3.57 1,928
GIII 42.62% C 0.43% 50.00 4,747
PEGA 41.59% D 2.97% 32.54 145
FLO 40.24% C -1.99% 32.14 315
EVRG 39.74% B -0.45% 61.51 633
VGR 38.45% A 2.61% 75.79 1,278
FDP 38.20% D -0.15% 98.81 299
TPX 37.94% D 2.36% 19.84 35,242
UPWK 37.45% F 0.90% 15.58 171
KAR 36.44% C -1.21% 100.00 727
CAG 34.93% C -13.47% 95.24 42,539
DRI 34.39% B -0.57% 66.67 19,545
SATS 34.34% B -1.49% 63.10 1,768
MSG 33.61% C -11.51% 46.83 767
ZIXI 31.39% D -2.29% 79.76 127
MASI 29.92% C -1.69% 82.14 15,117
LII 28.18% B -3.50% 30.95 6,864
UBNT 27.60% D -1.15% 76.19 21,586
BIIB 27.42% C 2.31% 63.49 111,306
VICI 27.37% A 0.39% 28.17 2,182
RP 26.73% C -1.49% 34.92 1,617
CTLT 26.72% D -3.26% 57.14 127
Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
MLNX -70.36% C -1.82% 2.78 38,987
ELLI -64.33% D -0.76% 9.52 139,486
RHT -61.77% B -1.50% 15.08 166,977
WP -53.00% C 0.43% 12.30 1,481
NVRO -52.71% F 2.97% 54.37 1,047
SYNA -50.52% C -1.99% 37.30 2,018
OZK -42.39% C -0.45% 74.60 692
VSM -42.04% C 2.61% 22.62 7,818
EB -40.15% D -0.15% 2.59 136
WAGE -36.41% C 2.36% 63.89 12,163
PCG -34.87% B 0.90% 73.41 90,297
ES -33.64% A -1.21% 39.68 1,035
TTD -33.47% D -13.47% 54.76 33,781
ESPR -32.27% F -0.57% 8.73 12,893
WYND -31.41% B -1.49% 45.82 597
DHR -30.30% B -11.51% 48.41 12,321
REZI -29.30% D -2.29% 27.08 344
ROKU -29.10% D -1.69% 63.10 96,804
SGH -28.65% B -3.50% 23.98 618
FFIV -25.48% B -1.15% 53.97 15,663
IDTI -24.55% C 2.31% 9.92 645
CBLK -24.54% D 0.39% 0.00 3,802
MIC -24.50% C -1.49% 61.51 2,143
NVDA -23.80% F -3.26% 56.75 1,362,666
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE