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VIX pops 23% on fears of Global Economic slowdown

Mar 22, 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 under quite a bit of pressure this afternoon as the global slowdown story reemerges. Eurozone Manufacturing PMI came in softer than expected (47.6 v 49.5 est.) while US Manufacturing PMI also missed (52.5 v 53.5). Currently, the S&P is -1.6%, the Russell is -3% and the Nasdaq is -1.65% and are near session lows. Bonds are making a major move higher (TLT +1.6%, US 10 year yield down to 2.435%) as the 3-month - 10-year curve inverted for the first time since 2007. Worth noting, the Atlanta Fed raised its Q1 GDP forecasts (ATL 1.2% vs. 0.4% prior). Utilities (+1.1%) and Consumer Staples (flat) are outperforming during this risk-off day while the Banks (KRE -4.5%, XLF -3%) underperform as the yield curves sees further flattening. Oil is also having a rough day (USO -2.5%) as slowing growth generate concerns over demand. Volatilities are up across the board with the VIX +24% at 16.93, VXN +21% to 20.03, and RVX +21% at 20.61.

 

ETF 30D Volatility Changes

SPY:    +20%

IWM:    +17%

QQQ:  +16%

 

Directional Options Strategies

Bullish Option Strategies

TME Buyer 6,000 Apr 22 calls (ref. 16.82)

BAK Buyer 14,300 May 30 – 35 call spreads trade (Brazilian petrochemical company, paid $.485, ref. 26.34)

ATVI Seller 6,000 Apr 47 calls to Buy 6,000 48 calls (monetizes, rolls up to maintain bullish exposure, ref. 47.11)

LEN 4,500 Apr 47.5 and 4,000 May 57.5 calls trade (Earnings 3/27, ref. 47.79)

 

Bearish Option Strategies

AMTD Seller 3,000 Apr 52 puts to Buy 3,000 Apr 5th 48 puts (monetizes, rolls down, ref. 49.95)

AES Buyer 2,000 Apr 18 puts (ref. 18.27)

MS Seller 3,000 Apr 5th 42 puts to Buy 3,000 Apr 5th 40.5 puts (monetizes, rolls down, ref. 41.80)

AIG Seller 3,000 Apr 5th 43 puts to Buy 3,000 Apr 5th 41.5 puts (monetizes, rolls down, ref. 42.77)

AMD 5,000 Jan 15 puts trade tied to stock (ref. 26.80)

 

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

QQQ Buyer 12,500 Jun 192 calls tied to stock (ref. 182.15)

EEM Buyer 15,000 Apr 43 calls (ref. 42.85)

SPY 10,000 Mar 27th 289 calls trade (appears bought, ref. 282.56)

VXXB Seller 5,000 Apr 5th 34 calls (collects $.75, ref. 31.05)

 

Bearish Option Strategies

XLP 5,000 Apr 26th 55 puts trade (ref. 55.32)

XLU 7,000 Mar 29th 57.5 puts trade (appears bought, ref. 58.71)

HYG Buyer 8,950 Apr 85 puts (ref. 85.91)

XLI 5,000 Mar 29th 73 – 70 put spreads trade (appears bought, ref. 73.62)

QQQ 6,000 Apr 5th 175 puts trade (ref. 180.53)

SPY Buyer 16,700 Mar 22nd 277 puts (ref. 281.22)

XLF Buyer 6,727 Apr 12 25.5 puts (ref. 25.48)

VIX Buyer 65,000 Apr 35 calls (paid $.185, ref. 16.48)

TLT Buyer 5,850 Sep 117 puts (ref. 125.01)

 

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

 

 

Finance Trades Options Strategies

SPY 5,000 May 284 RevCons trade (ref. 281.42)

 

 

 

Upcoming Earnings

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
JEF 3/25/2019 4.2 2.3 80.5% D 3,988
WGO 3/25/2019 9.0 7.9 13.4% D 1,928
CCL 3/26/2019 4.7 4.2 12.5% D 27,288
FDS 3/26/2019 4.6 4.3 7.3% A 1,696
KBH 3/26/2019 5.9 5.1 15.7% C 29,542
MKC 3/26/2019 4.2 4.7 -10.4% B 19,748
OLLI 3/26/2019 7.6 4.8 60.6% B 4,474
FIVE 3/27/2019 8.3 7.5 9.9% B 27,643
LEN 3/27/2019 5.6 4.4 28.5% A 32,643
LULU 3/27/2019 10.1 12.2 -17.1% A 272,146
PAYX 3/27/2019 2.8 1.9 45.0% A 15,974
PVH 3/27/2019 5.5 4.4 25.0% B 3,105
RH 3/28/2019 13.5 19.5 -30.7% C 23,491
KMX 3/29/2019 6.3 4.9 28.0% C 56,094
GME 4/2/2019 7.5 6.4 16.5% C 7,329
LW 4/2/2019 3.9 4.0 -3.8% C 1,698
WBA 4/2/2019 4.0 3.9 0.6% B 35,610
AYI 4/3/2019 7.2 9.2 -22.4% D 19,172
STZ 4/4/2019 5.5 5.8 -5.5% B 66,685
BBBY 4/10/2019 13.9 12.7 9.4% D 14,532
FAST 4/10/2019 5.5 5.9 -6.4% B 62,745
MSM 4/10/2019 4.7 4.6 1.7% B 1,899
BLK 4/11/2019 3.1 2.3 38.2% B 48,314
DAL 4/11/2019 3.7 2.0 78.4% B 78,651
JPM 4/12/2019 3.1 1.2 164.9% C 473,762
PNC 4/12/2019 3.1 1.6 91.4% C 17,680
WFC 4/12/2019 3.4 1.7 97.9% C 328,345
C 4/15/2019 4.5 1.9 134.3% C 215,942
CE 4/15/2019 3.9 2.5 52.7% D 2,684
JBHT 4/15/2019 2.4 3.0 -20.3% C 1,524
NBEV 4/15/2019 21.8 9.2 136.4% F 6,041
BAC 4/16/2019 3.9 2.3 67.0% C 440,466
CMA 4/16/2019 1.2 2.5 -50.4% A 4,443
CSX 4/16/2019 3.6 3.7 -1.7% B 38,344
GS 4/16/2019 4.2 3.2 30.5% D 396,891
IBM 4/16/2019 4.8 5.8 -16.9% C 233,659
JNJ 4/16/2019 1.8 2.4 -25.7% C 350,746
LRCX 4/16/2019 2.5 5.7 -55.3% C 144,836
NFLX 4/16/2019 8.6 6.9 24.2% D 3,540,152
OMC 4/16/2019 3.8 4.0 -4.7% B 18,842
PACW 4/16/2019 4.2 1.8 128.6% A 1,548
PGR 4/16/2019 2.0 2.6 -22.8% B 33,034
PLD 4/16/2019 1.6 1.9 -11.8% C 14,699
SCHW 4/16/2019 3.9 2.5 53.0% C 16,402
SNV 4/16/2019 0.1 2.8 -95.9% B 2,795
AA 4/17/2019 5.9 5.4 9.5% F 7,919
ABT 4/17/2019 2.5 1.9 34.7% C 106,509
BK 4/17/2019 3.7 3.4 9.6% D 36,742
CCI 4/17/2019 3.7 1.5 151.4% A 54,836
CCK 4/17/2019 4.4 2.0 116.0% C 1,565
KMI 4/17/2019 2.2 1.7 31.2% C 39,656
KSU 4/17/2019 3.0 2.8 6.7% C 8,854
MS 4/17/2019 4.8 2.7 79.8% D 140,201
NTRS 4/17/2019 2.8 3.1 -8.2% C 7,537
PEP 4/17/2019 1.7 1.7 -3.9% C 113,059
STLD 4/17/2019 1.1 2.4 -54.0% C 2,290
TXT 4/17/2019 5.6 4.5 25.3% C 2,182
UAL 4/17/2019 4.9 6.7 -26.3% D 165,240
URI 4/17/2019 5.8 5.9 -1.5% C 53,647
USB 4/17/2019 2.8 1.7 59.9% C 23,005

 

Volatility Standouts

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
AIV 68.61% C 4.49% 88.10 199
CARS 62.96% B 2.13% 90.87 6,394
FL 50.33% C 2.70% 7.14 12,701
SCS 49.87% C 3.09% 0.79 1,928
UPWK 49.56% F 0.91% 16.67 171
FDP 41.46% D -0.07% 99.21 299
SATS 40.47% B 0.47% 62.70 1,768
GIII 37.21% C 1.79% 3.97 4,747
ARRY 36.90% D 0.96% 40.08 10,208
TPX 36.69% D 3.36% 17.46 35,242
INSG 36.12% D 2.34% 8.87 338
VGR 34.81% A 0.84% 72.22 1,278
PEGA 34.70% D -1.61% 31.75 145
BRSS 32.69% D -3.35% 75.79 520
DIS 32.60% C 4.30% 91.67 379,341
ISBC 31.85% A 1.12% 57.54 3,859
MSG 31.59% C -0.81% 37.70 767
CTXS 31.53% C 2.85% 47.62 22,716
LII 31.00% B 2.57% 46.43 6,864
MITK 30.96% F 3.66% 26.19 554
CDAY 30.54% D 1.80% 30.52 6,204
NI 29.03% C 2.71% 5.16 196
UBNT 28.82% D -1.02% 76.98 21,586
IDT 28.41% C 3.03% 10.76 114
Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
MLNX -72.57% C 4.49% 2.78 38,987
BIIB -63.19% C 2.13% 96.83 111,306
WP -52.68% C 2.70% 8.73 1,481
NVRO -52.64% F 3.09% 46.83 1,047
ELLI -51.20% D 0.91% 10.32 139,486
SYNA -50.17% C -0.07% 30.95 2,018
RHT -49.62% B 0.47% 32.54 166,977
VSM -41.53% C 1.79% 20.63 7,818
EB -40.65% D 0.96% 3.42 136
OZK -39.36% C 3.36% 75.00 692
WAGE -38.56% C 2.34% 63.89 12,163
SGH -34.20% B 0.84% 30.96 618
TTD -31.88% D -1.61% 64.29 33,781
PCG -31.75% B -3.35% 73.81 90,297
DHR -31.33% B 4.30% 40.48 12,321
ESPR -31.20% F 1.12% 8.33 12,893
REZI -30.40% D -0.81% 23.71 344
ROKU -29.16% D 2.85% 57.54 96,804
WYND -29.16% B 2.57% 29.08 597
CBLK -28.99% D 3.66% 1.79 3,802
FFIV -24.81% B 1.80% 41.27 15,663
WY -24.57% D 2.71% 57.14 5,933
NVDA -24.10% F -1.02% 58.33 1,362,666
UNIT -23.71% C 3.03% 88.10 2,292
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE