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VIX up +4% as equities continue selloff

Mar 25, 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 lower but have since rallied toward unchanged as the Dallas Fed Manufacturing Index came in above expectations (8.3 vs. 8.0 est.) Currently, the S&P is -.1% the Russell is +.3% and the Nasdaq is -.3%. Bonds are unchanged this afternoon (TLT flat, US 10 year yield at 2.427%) as the market seeks further clarity on growth prospects. In single name action, Apple is trading around unchanged as investors await the firm’s presentation on its original content and streaming services. Homebuilders (+1.5%) are outperforming today while the Banks (XLF -.3%) underperform even as the 2 – 10 curve sees mild steepening (16 bps). Volatilities are mixed with the VIX +.5% at 16.55, VXN +2% to 20.17, and RVX -2% at 20.44.

 

ETF 30D Volatility Changes

SPY:    +1%

IWM:    -2%

QQQ:  +2%

  

 

Directional Options Strategies

Bullish Option Strategies

PAGS Buyer 10,000 Jun 32.5 calls (paid $1.35, ref. 28.40)

VIAB Seller 8,500 Apr 25 puts (appears closing, ref. 27.13)

MSFT Seller 2,500 Apr 12th 109 puts to Buyer 5,000 Apr 12th 119 – 124 call spreads (ref. 117.12)

 

Bearish Option Strategies

ORCL Buyer 4,000 Apr 51 puts (paid $.70, ref. 52.32)

NWSA Buyer 72,000 Apr 13 puts (closing, ref. 12.56)

LXRX Buyer 2,000 Oct 4 puts tied to stock (paid $.60, ref. 5.69)

GEO 4,000 Sep 15 puts trad tied to stock (ref. 18.92)

 

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

ITB 5,000 Apr 12th 35 calls trade (US Home Const. ETF, appears bought, $.63, ref. 34.59)

RSX Buyer 19,400 May 22 calls (Russia ETF, paid $.34, ref. 21.20)

EFA Seller 20,000 Mar 29th 63 – 61 put spreads (possibly closing, ref. 64.18)

FXI Buyer 10,000 Apr 44.5 – 46.5 call spreads tied to stock (paid $.30, ref. 43.36)

EWZ Buyer 20,000 May 43 – 45 1x2 call spreads tied to stock (trades even, ref. 40.74)

HYG Seller 20,000 May 85 puts tied to stock (ref. 85.80)

 

Bearish Option Strategies

SPY Buyer 17,000 Mar 25th 278 puts (appears bought, $.30, ref. 279.39)

SPY 28,000 Apr 12th 250 puts trade (appears bought, $.27, ref. 278.23)

IYR Buyer 6,000 Apr 83 – 79 put spreads (paid $.31, ref. 85.60)

VIX Buyer 50,000 Apr 45 – Aug 47 call spreads (paid $.18, ref. 17.32 (Apr) and 17.46 (Aug))

HYG 63,500 May 84 – 81 put spreads trade (ref. 85.77)

HYG Buyer 30,000 May 84 puts (ref. 85.75)

OIH Seller 5,000 Mar 29th 16 puts and 5,000 Apr 17.5 puts to Buy 12,500 Apr 16.5 puts and Sell 2,500 Apr 15.5 puts (monetizes, rolls down, ref. 16.74)

XLP Buyer 5,000 Apr 55 puts (paid $.58, ref. 55.24)

VGK Buyer 11,000 May 52 puts tied to stock (Vanguard FTSE ETF, ref. 53.22)

 

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

 

 

Finance Trades Options Strategies

COTY 5,000 May 15 RevCons trade (ref. 11.26)

 

 

 

Upcoming Earnings

 

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
RHT 3/25/2019 0.9 5.8 -84.6% B 166,977
CCL 3/26/2019 4.9 4.2 17.6% D 27,288
FDS 3/26/2019 3.7 4.3 -13.9% A 1,696
KBH 3/26/2019 6.4 5.2 24.0% C 29,542
MKC 3/26/2019 5.4 4.7 14.7% B 19,748
OLLI 3/26/2019 8.0 4.8 68.4% B 4,474
FIVE 3/27/2019 8.6 7.5 14.2% B 27,643
LEN 3/27/2019 6.5 4.4 49.5% A 32,643
LULU 3/27/2019 10.7 12.2 -12.3% A 272,146
PAYX 3/27/2019 3.1 1.9 60.8% A 15,974
PVH 3/27/2019 5.9 4.4 33.8% B 3,105
JEF 3/28/2019 3.0 2.3 28.8% D 3,988
RH 3/28/2019 13.5 19.5 -30.8% C 23,491
KMX 3/29/2019 6.3 4.9 28.0% C 56,094
NBEV 3/29/2019 11.3 9.2 22.2% F 6,041
GME 4/2/2019 7.3 6.4 14.1% C 7,329
LW 4/2/2019 4.1 4.0 2.7% C 1,698
WBA 4/2/2019 4.1 3.9 4.2% B 35,610
AYI 4/3/2019 7.3 9.2 -21.3% D 19,172
STZ 4/4/2019 5.6 5.8 -3.6% B 66,685
BBBY 4/10/2019 13.9 12.7 9.9% D 14,532
FAST 4/10/2019 5.5 5.9 -6.8% B 62,745
MSM 4/10/2019 4.4 4.6 -4.4% B 1,899
BLK 4/11/2019 2.9 2.3 28.5% B 48,314
DAL 4/11/2019 3.9 2.0 91.5% B 78,651
JPM 4/12/2019 3.0 1.2 155.9% C 473,762
PNC 4/12/2019 3.5 1.6 110.7% C 17,680
WFC 4/12/2019 3.0 1.7 69.4% C 328,345
C 4/15/2019 3.8 1.9 97.0% C 215,942
CE 4/15/2019 1.6 2.5 -37.4% D 2,684
GS 4/15/2019 4.0 3.2 25.4% D 396,891
JBHT 4/15/2019 1.2 3.0 -59.0% C 1,524
BAC 4/16/2019 3.3 2.3 40.3% C 440,466
CSX 4/16/2019 4.1 3.7 11.6% B 38,344
IBM 4/16/2019 5.4 5.8 -7.4% C 233,659
JNJ 4/16/2019 2.0 2.4 -18.0% C 350,746
LRCX 4/16/2019 3.4 5.7 -40.2% C 144,836
NFLX 4/16/2019 8.2 6.9 18.3% D 3,540,152
OMC 4/16/2019 3.6 4.0 -9.7% B 18,842
PGR 4/16/2019 2.6 2.6 1.2% B 33,034
PLD 4/16/2019 2.0 1.9 9.0% C 14,699
SCHW 4/16/2019 2.8 2.5 9.3% C 16,402
AA 4/17/2019 5.9 5.4 9.0% F 7,919
ABT 4/17/2019 2.5 1.9 33.7% C 106,509
BK 4/17/2019 3.4 3.4 0.5% D 36,742
CCI 4/17/2019 3.9 1.5 168.9% A 54,836
KMI 4/17/2019 2.0 1.7 16.6% C 39,656
KSU 4/17/2019 2.7 2.8 -6.3% C 8,854
MS 4/17/2019 4.6 2.7 72.5% D 140,201
PEP 4/17/2019 2.0 1.7 15.2% C 113,059
TXT 4/17/2019 5.0 4.5 12.5% C 2,182
UAL 4/17/2019 5.4 6.7 -19.5% D 165,240
URI 4/17/2019 2.0 5.9 -65.2% C 53,647
USB 4/17/2019 2.5 1.7 42.9% C 23,005

 

Volatility Standouts

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
AGNC 61.63% D 1.76% 59.52 1,705
SNCR 55.97% D 0.52% 24.42 360
UPWK 47.49% F -0.01% 24.05 171
CARS 45.10% B -0.22% 96.83 6,394
FDP 44.03% D 6.11% 99.60 299
NUS 36.65% C 0.99% 100.00 4,301
VGR 35.90% A -0.51% 74.21 1,278
ARRY 35.44% D 1.01% 50.40 10,208
UBNT 33.87% D 1.34% 81.75 21,586
ZIXI 33.51% D 0.90% 76.59 127
SCS 32.69% C 1.78% 3.17 1,928
CTXS 30.89% C 1.19% 54.37 22,716
VSAT 30.47% D -2.27% 1.98 1,336
MITK 30.14% F -1.88% 42.06 554
LII 29.48% B 0.99% 53.57 6,864
DFRG 29.31% F 0.41% 80.56 1,026
CDAY 28.58% D -7.44% 35.98 6,204
ETH 28.23% C 4.04% 73.41 156
LDOS 28.18% B -0.23% 62.30 607
DIS 26.87% C 1.41% 87.70 379,341
EROS 26.76% F 6.55% 21.03 345
TXRH 26.63% C -0.24% 62.70 2,704
WGO 26.55% D 0.50% 52.78 1,928
ISBC 2.64E-01 A 0.86% 46.03 3,859
Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
MLNX -66.85% C 1.76% 3.17 38,987
BIIB -64.67% C 0.52% 96.03 111,306
ELLI -6.39E-01 D -0.01% 10.32 139,486
NVRO -51.39% F -0.22% 53.57 1,047
WP -49.89% C 6.11% 16.67 1,481
SYNA -48.55% C 0.99% 38.10 2,018
RHT -46.90% B -0.51% 32.14 166,977
OZK -43.00% C 1.01% 81.75 692
VSM -38.70% C 1.34% 25.40 7,818
WAGE -36.72% C 0.90% 66.27 12,163
EB -35.95% D 1.78% 14.41 136
HQY -33.28% A 1.19% 54.37 1,725
PCG -32.89% B -2.27% 74.60 90,297
DHR -31.74% B -1.88% 61.51 12,321
REZI -3.16E-01 D 0.99% 27.55 344
SGH -30.43% B 0.41% 39.90 618
WYND -29.27% B -7.44% 45.42 597
TTD -28.03% D 4.04% 74.21 33,781
ROKU -27.25% D -0.23% 78.57 96,804
TGI -25.51% F 1.41% 71.43 4,617
SKX -24.49% C 6.55% 64.68 9,631
AMD -23.34% F -0.24% 59.52 292,847
ESPR -2.32E-01 F 0.50% 7.14 12,893
KEY -2.32E-01 B 0.86% 76.59 4,882
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE