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VIX down -6% as equities try to rebound from Friday’s selloff

Mar 26, 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 this afternoon (but off highs) as the downward pressure on yields has abated for the time being. Currently, the S&P is +.65% the Russell is +.8% and the Nasdaq is +.65%. Bonds are mildly weaker (TLT -.15%, US 10 year yield at 2.439%) as economic data remained positive but came in softer than expected (Feb Housing Starts 1.162M vs. 1.21M est.; Consumer Confidence 124.1 vs. 132.5 est.). In single name activity, Bed Bath and Beyond is rallying powerfully (+24%) on news that three activist funds will attempt to oust the existing board. Homebuilders (-.45%) are lagging the broader market today in sympathy with this morning’s housing data. Volatilities are down across the board but off lows with the VIX -6% at 15.31, VXN -4% to 18.72, and RVX -5% at 19.17.   

 

ETF 30D Volatility Changes

SPY:    -7%

IWM:    -5%

QQQ:  -5%

    

 

Directional Options Strategies

Bullish Option Strategies

BBBY Buyer 2,100 Mar 29th 19 calls (ref. 17.73)

RIG Buyer 3,300 Mar 29th 9 calls (possibly closing, ref. 9.18)

ENDP Buyer 4,100 Mar 29th 9.5 calls (ref. 8.92)

JD Seller 4,000 Mar 29th 28.5 calls to Buy 5,000 May 3rd 29.5 calls (appears to roll up, ref. 28.84)

BAC 35,361 Apr 27 puts trade (appears sold, ref. 27.09)

 

Bearish Option Strategies

SYNA Seller 3,600 Apr 35 calls (opens write, collects $.65, ref. 33.96)

ORCL Buyer 3,100 Jun 50 calls to Sell 3,100 Sep 52.5 calls (appears to roll write, ref. 53.30)

MO Buyer 3,300 Mar 29th 57 puts (ref. 57.11)

RDFN Buyer 4,600 May 20 puts (ref. 20.30)

GOLD Buyer 4,000 Apr 13 puts tied to stock (possibly closing, ref. 14.37)

DB Buyer 8,000 May 8 puts (appears bought, ref. 8.28)

ADNT Seller 10,000 Jul 18 calls (collects $.60, ref. 12.74)

KO Seller 15,000 Nov 50 calls to Buy 15,000 Nov 41 puts (ref. 46.61)

 

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 13,992 Mar 29th 286 calls trade (appears bought, possibly closing, ref. 281.34)

FXI Buyer 7,500 Jun 50 calls (ref. 281.34)

XLP Buyer 4,900 May 57 calls (ref. 55.83)

KRE Seller 7,100 Apr 51 – 46 put spreads (possibly closing, ref. 50.11)

 

Bearish Option Strategies

TLT Buyer 20,000 Apr 123.5 – 121 put spreads (appears to roll up, ref. 124.71)

KRE Seller 37,725 May 54 – 48 put spreads to Buy 38,325 May 48 – 43 put spreads (monetizes and rolls down, collected $2.40, ref. 50.17)

KRE Seller 42,263 Jun 52 – 46 put spreads to Buy 38,513 Jun 48 – 42 put spreads (monetizes, adjusts strikes, ref. 50.12)

QQQ Buyer 6,000 May 165 puts tied to stock (ref. 180.52)

FXI Buyer 15,000 Apr 42 puts tied to stock (ref. 43.55)

FXI 9,000 Nov 40 puts trade (ref. 43.60)

SPY Buyer 10,483 Apr 26th 255 puts (ref. 281.60)

XLE 3,570 Apr 12th 62.5 puts (appears bought, ref. 66.52)

XLF Buyer 5,000 Apr 25 puts tied to stock (ref. 25.46)

 

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

 

 

Finance Trades Options Strategies

JPM 3,000 Jun 100 RevCons trade (ref. 99.35)

IEF 10,000 Apr 110 RevCons trade (ref. 106.41)

COTY 5,000 May 15 RevCons trade (ref. 11.27)

 

 

 

Upcoming Earnings

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
KBH 3/26/2019 5.5 5.2 5.1% C 29,542
OLLI 3/26/2019 7.6 4.8 60.4% B 4,474
FIVE 3/27/2019 8.6 7.5 14.0% B 27,643
LEN 3/27/2019 5.9 4.4 33.9% A 32,643
LULU 3/27/2019 10.1 12.2 -17.5% A 272,146
PAYX 3/27/2019 3.1 1.9 61.8% A 15,974
PVH 3/27/2019 5.9 4.4 34.8% B 3,105
JEF 3/28/2019 3.1 2.3 31.3% D 3,988
RH 3/28/2019 13.6 19.5 -30.0% C 23,491
KMX 3/29/2019 6.7 4.9 36.8% C 56,094
NBEV 3/29/2019 11.2 9.2 21.2% F 6,041
GME 4/2/2019 7.7 6.4 20.7% C 7,329
LW 4/2/2019 4.6 4.0 13.4% C 1,698
WBA 4/2/2019 4.0 3.9 1.7% B 35,610
AYI 4/3/2019 7.2 9.2 -22.2% D 19,172
STZ 4/4/2019 5.6 5.8 -4.1% B 66,685
BBBY 4/10/2019 14.3 12.7 12.7% D 14,532
FAST 4/10/2019 5.3 5.9 -9.8% B 62,745
MSM 4/10/2019 4.5 4.6 -1.7% B 1,899
BLK 4/11/2019 2.5 2.3 8.0% B 48,314
DAL 4/11/2019 4.0 2.0 94.4% B 78,651
JPM 4/12/2019 2.1 1.2 82.8% C 473,762
PNC 4/12/2019 2.2 1.6 34.4% C 17,680
WFC 4/12/2019 2.7 1.7 52.8% C 328,345
C 4/15/2019 2.7 1.9 43.5% C 215,942
GS 4/15/2019 3.2 3.2 -0.5% D 396,891
JBHT 4/15/2019 2.9 3.0 -2.8% C 1,524
BAC 4/16/2019 1.8 2.3 -21.5% C 440,466
CSX 4/16/2019 4.1 3.7 12.0% B 38,344
IBM 4/16/2019 5.4 5.8 -6.8% C 233,659
JNJ 4/16/2019 1.7 2.4 -30.7% C 350,746
LRCX 4/16/2019 3.6 5.7 -35.6% C 144,836
NFLX 4/16/2019 7.5 6.9 8.7% D 3,540,152
OMC 4/16/2019 3.8 4.0 -3.5% B 18,842
PGR 4/16/2019 2.8 2.6 9.7% B 33,034
PLD 4/16/2019 2.3 1.9 24.4% C 14,699
SCHW 4/16/2019 2.3 2.5 -10.2% C 16,402
UNH 4/16/2019 1.8 3.1 -41.6% A 203,599
AA 4/17/2019 5.5 5.4 2.9% F 7,919
ABT 4/17/2019 2.2 1.9 14.5% C 106,509
BK 4/17/2019 3.2 3.4 -4.6% D 36,742
CCI 4/17/2019 4.2 1.5 188.7% A 54,836
CCK 4/17/2019 3.3 2.0 65.8% C 1,565
KMI 4/17/2019 1.7 1.7 3.6% C 39,656
KSU 4/17/2019 3.2 2.8 12.0% C 8,854
MS 4/17/2019 3.7 2.7 40.2% D 140,201
PEP 4/17/2019 1.9 1.7 11.8% C 113,059
TXT 4/17/2019 4.8 4.5 6.8% C 2,182
UAL 4/17/2019 4.9 6.7 -27.3% D 165,240
URI 4/17/2019 2.7 5.9 -54.5% C 53,647
USB 4/17/2019 2.1 1.7 22.2% C 23,005
ADS 4/18/2019 5.0 4.7 6.4% C 4,320
ALLY 4/18/2019 3.8 3.5 7.2% C 20,225
BHGE 4/18/2019 1.8 1.9 -7.3% F 7,497
BX 4/18/2019 1.7 1.5 15.8% D 37,465
CFG 4/18/2019 2.2 2.6 -13.5% B 5,965
CLF 4/18/2019 3.4 8.3 -59.5% C 38,685
ETFC 4/18/2019 4.1 2.3 78.6% C 8,240
GPC 4/18/2019 3.7 3.8 -2.8% A 12,177
GTLS 4/18/2019 6.5 5.8 12.7% D 2,990
MAN 4/18/2019 2.2 5.1 -56.8% C 10,737
NUE 4/18/2019 3.6 2.1 74.1% C 17,382
PG 4/18/2019 2.8 3.7 -23.7% B 126,817
PM 4/18/2019 4.0 3.9 2.7% A 95,948
ROP 4/18/2019 3.4 3.0 13.2% B 7,902
SBNY 4/18/2019 3.1 3.6 -14.4% C 2,860
SKX 4/18/2019 10.9 17.1 -36.1% C 9,631
SLB 4/18/2019 2.1 2.2 -6.3% F 48,264
SNA 4/18/2019 4.2 6.8 -37.9% B 2,558
STT 4/18/2019 3.3 4.1 -21.2% D 4,050
SYF 4/18/2019 4.8 4.9 -1.5% D 10,837
TRV 4/18/2019 1.2 2.5 -51.4% B 5,987
UNP 4/18/2019 2.0 3.3 -37.4% A 265,138

 

Volatility Standouts

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
SNCR 63.53% D -2.86% 42.13 360
CARS 51.32% B -2.77% 96.02 6,394
UPWK 50.85% F -2.79% 21.25 171
ARRY 38.23% D -2.38% 55.78 10,208
VGR 38.14% A 2.72% 73.31 1,278
FDP 35.30% D -2.03% 98.80 299
AQUA 34.94% F 3.01% 69.33 103
CCI 34.89% A -1.07% 73.31 54,836
CONN 34.11% F -0.79% 87.25 740
CTXS 33.22% C -1.80% 65.74 22,716
CDAY 29.50% D -1.80% 35.81 6,204
KAR 29.29% C 1.06% 99.60 727
LDOS 29.04% B -3.97% 62.15 607
QCOM 29.02% D 0.70% 64.14 481,831
MITK 28.70% F -2.55% 48.21 554
CPRT 28.65% B 7.29% 1.99 1,704
GIII 28.38% C 4.81% 9.56 4,747
NHTC 2.82E-01 D 2.02% 49.40 711
WU 27.38% C -0.28% 41.04 495
FLO 27.30% C -3.61% 30.68 315
SCS 27.30% C 4.06% 0.80 1,928
PPC 27.07% D -0.75% 46.22 1,597
SBAC 27.06% B -1.63% 36.25 12,432
IPHI 27.02% C -3.32% 50.60 587
Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
BIIB -67.41% C -2.86% 88.45 111,306
MLNX -57.50% C -2.77% 2.79 38,987
VSM -56.73% C -2.79% 35.86 7,818
ELLI -53.86% D -2.38% 3.59 139,486
NVRO -51.94% F 2.72% 47.81 1,047
SYNA -47.42% C -2.03% 41.83 2,018
WP -46.80% C 3.01% 18.73 1,481
WAGE -46.48% C -1.07% 65.34 12,163
AVYA -45.79% C -0.79% 74.90 405
RHT -43.76% B -1.80% 34.66 166,977
OZK -41.61% C -1.80% 78.88 692
EB -36.68% D 1.06% 19.33 136
PCG -34.70% B -3.97% 74.90 90,297
SGH -33.52% B 0.70% 53.77 618
HQY -33.44% A -2.55% 47.41 1,725
DHR -3.14E-01 B 7.29% 63.75 12,321
ESPR -31.26% F 4.81% 10.36 12,893
REZI -28.87% D 2.02% 32.32 344
TTD -28.73% D -0.28% 75.70 33,781
ROKU -28.38% D -3.61% 76.10 96,804
AMD -27.38% F 4.06% 55.38 292,847
SKX -26.65% C -0.75% 59.76 9,631
WYND -26.06% B -1.63% 45.20 597
KEY -2.58E-01 B -3.32% 71.31 4,882
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE