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VIX up 6% as equity rally seems short lived

Mar 27, 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 in the red this afternoon as the bond market continues to communicate concern over global growth prospects. Currently, the S&P is -.75% the Russell is -.7% and the Nasdaq is -.85%. Bonds have strengthened into the afternoon (TLT +.6%, US 10 year yield down to 2.375%) but are off highs. It’s worth noting that the US’s trade balance narrowed (-$51.1B est. vs. -$57B est.) and the Atlanta Fed raised its Q1 GDP forecast from 1.3 to 1.5%. Crude is softer today (-1.25%) after this morning’s EIA report showed a build-up in inventories (+2.8M vs. -0.5M est.). Meanwhile, Home Builders are outperforming (XHB +1%) after Mortgage Applications saw a boost thanks to lower rates. Volatilities are higher with the VIX +7.5% at 15.78, VXN +3.5% to 19.28, and RVX +5% at 19.86.

 

ETF 30D Volatility Changes

SPY:     +7%

IWM:    +5%

QQQ:   +5%

 

Directional Options Strategies

Bullish Option Strategies

CVS Seller 25,000 Apr 50 puts (collected $.52, ref. 53.16)

NIO Buyer 5,500 Apr 5th 5 calls (paid $.30, ref. 5.11)

HOME Buyer 3,200 Sep 20 calls (paid $2.20, ref. 18.54)

MS Buyer 7,000 Jul 44 calls (paid $1.43, ref. 41.87)

CNC Buyer 7,600 Apr 55 calls (ref. 50.49)

FOSL Buyer 2,335 Mar 29th 14.5 calls trade (ref. 14.89)

ZAYO Buyer 2,300 Mar 29th 20.5 calls (ref. 19.68)

ZNGA Buyer 25,000 May 3rd 5.5 calls tied to stock (ref. 5.10)

S Seller 15,000 Apr 6 puts (collected $.21, ref. 6.24)

 

Bearish Option Strategies

SLB Buyer 6,000 Apr 40 puts (possibly closing, ref. 42.88)

GE 9,86 Jun 11 puts trade (appears bought, ref. 10.04)

RH Buyer 2,200 May 125 puts (ref. 130.08)

T Buyer 11,000 May 32 calls to Sell 11,000 33 calls (appears to roll write up, ref. ref. 31.48)

ZAYO 5,000 May 30 calls trade (appears sold, ref. 28.56)

 

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

XLF 25,822 Jun 26 calls trade (appears bought, ref. 25.42)

SPY 10,343 Apr 26th 292.5 calls trade (appears bought, ref. 280.13)

EEM Seller 15,000 May 40 puts to Buy 15,000 May 43 calls tied to stock (paid $.42, ref. 42.25)

ITB 5,000 Apr 12th 35 – May 3rd 37 call spreads trade (appears to monetize, rolls out and up, maintains bullish exposure, ref. 35.71)

VIX Buyer 30,000 Apr 15 puts (paid $.64, ref. 16.93)

 

Bearish Option Strategies

TUR Buyer 3,400 Apr 21 puts (Turkey ETF, paid between $.25 and $.30, ref. 23.81)

QQQ Seller 20,000 Dec 200 calls to Buy 20,000 Jun20 150 puts tied to stock (ref. 177.03)

EEM 10,000 Jun 40 puts trade tied to stock (40,000 trade on the day, ref. 42.41)

FXI Seller 10,000 Apr 45.5 calls tied to stock (ref. 43.55)

EWZ Seller 5,000 Apr 43 calls to Buy 5,000 Apr 39 puts tied to stock (paid $.80, ref. 39.76)

HYG Buyer 5,000 May 85 – 82 puts spreads (paid $.47, ref. 85.95)

HYG Seller 10,000 May 86 calls (collected $.46, ref. 85.91)

LQD 13,000 Sep 115 – 105 1x2 put spreads trade (ref. 119.09)

 

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

 

 

Finance Trades Options Strategies

IQ 3,000 May 25 RevCons trade (ref. 22.80)

 

 

 

Upcoming Earnings

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
FIVE 3/27/2019 8.5 7.5 13.0% B 27,643
LULU 3/27/2019 10.0 12.2 -18.2% A 272,146
PVH 3/27/2019 5.6 4.4 28.8% B 3,105
JEF 3/28/2019 2.7 2.3 13.6% D 3,988
RH 3/28/2019 13.9 19.5 -28.7% C 23,491
KMX 3/29/2019 6.8 4.9 38.1% C 56,094
NBEV 3/29/2019 15.8 9.2 71.2% F 6,041
GME 4/2/2019 8.1 6.4 26.2% C 7,329
LW 4/2/2019 4.4 4.0 10.1% C 1,698
WBA 4/2/2019 4.0 3.9 1.5% B 35,610
AYI 4/3/2019 7.3 9.2 -20.8% D 19,172
STZ 4/4/2019 5.3 5.8 -9.6% B 66,685
BBBY 4/10/2019 11.0 12.7 -13.1% D 14,532
DAL 4/10/2019 3.7 2.0 81.0% B 78,651
MSM 4/10/2019 4.5 4.6 -2.6% B 1,899
BLK 4/11/2019 2.1 2.3 -8.6% B 48,314
FAST 4/11/2019 5.1 5.9 -14.0% B 62,745
JPM 4/12/2019 1.8 1.2 51.7% C 473,762
PNC 4/12/2019 0.8 1.6 -50.8% C 17,680
WFC 4/12/2019 2.1 1.7 18.2% C 328,345
C 4/15/2019 2.1 1.9 11.8% C 215,942
CE 4/15/2019 0.4 2.5 -83.2% D 2,684
GS 4/15/2019 3.0 3.2 -6.1% D 396,891
JBHT 4/15/2019 2.5 3.0 -19.0% C 1,524
BAC 4/16/2019 1.0 2.3 -59.1% C 440,466
CSX 4/16/2019 4.0 3.7 9.2% B 38,344
IBM 4/16/2019 5.2 5.8 -9.9% C 233,659
JNJ 4/16/2019 1.6 2.4 -34.5% C 350,746
LRCX 4/16/2019 3.4 5.7 -40.6% C 144,836
NFLX 4/16/2019 7.3 6.9 5.3% D 3,540,152
OMC 4/16/2019 3.7 4.0 -7.9% B 18,842
PGR 4/16/2019 2.7 2.6 4.3% B 33,034
PLD 4/16/2019 1.9 1.9 2.9% C 14,699
SCHW 4/16/2019 1.1 2.5 -58.2% C 16,402
UNH 4/16/2019 2.0 3.1 -33.8% A 203,599
AA 4/17/2019 6.0 5.4 12.3% F 7,919
ABT 4/17/2019 2.1 1.9 8.5% C 106,509
BK 4/17/2019 2.9 3.4 -13.7% D 36,742
CCI 4/17/2019 4.1 1.5 180.2% A 54,836
CCK 4/17/2019 3.9 2.0 91.2% C 1,565
KMI 4/17/2019 1.8 1.7 6.8% C 39,656
KSU 4/17/2019 2.7 2.8 -5.0% C 8,854
MS 4/17/2019 3.4 2.7 28.9% D 140,201
PEP 4/17/2019 1.8 1.7 3.2% C 113,059
TXT 4/17/2019 4.8 4.5 7.2% C 2,182
UAL 4/17/2019 5.1 6.7 -23.4% D 165,240
URI 4/17/2019 3.0 5.9 -48.1% C 53,647
USB 4/17/2019 1.9 1.7 9.4% C 23,005
ADS 4/18/2019 4.2 4.7 -10.5% C 4,320
ALLY 4/18/2019 3.4 3.5 -3.8% C 20,225
BHGE 4/18/2019 3.0 1.9 59.1% F 7,497
BX 4/18/2019 1.1 1.5 -25.0% D 37,465
CFG 4/18/2019 2.3 2.6 -11.6% B 5,965
ETFC 4/18/2019 3.7 2.3 60.7% C 8,240
GPC 4/18/2019 3.5 3.8 -8.3% A 12,177
GTLS 4/18/2019 6.4 5.8 9.8% D 2,990
MAN 4/18/2019 2.7 5.1 -47.5% C 10,737
NUE 4/18/2019 3.5 2.1 67.4% C 17,382
PG 4/18/2019 2.8 3.7 -24.4% B 126,817
PM 4/18/2019 3.8 3.9 -0.5% A 95,948
PPG 4/18/2019 1.1 2.4 -54.6% C 66,983
ROP 4/18/2019 3.1 3.0 1.0% B 7,902
SKX 4/18/2019 12.5 17.1 -26.8% C 9,631
SLB 4/18/2019 2.2 2.2 0.8% F 48,264
SNA 4/18/2019 3.9 6.8 -42.8% B 2,558
SYF 4/18/2019 4.3 4.9 -12.5% D 10,837
TRV 4/18/2019 1.5 2.5 -37.9% B 5,987
UNP 4/18/2019 1.7 3.3 -47.8% A 265,138

 

Volatility Standouts

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
SNCR 65.17% D 0.62% 34.10 360
MITK 54.90% F -2.06% 95.24 554
UPWK 51.57% F -1.69% 28.40 171
CARS 43.34% B -2.90% 97.22 6,394
VGR 42.63% A 2.67% 71.83 1,278
ARRY 35.04% D -3.01% 65.08 10,208
CCI 3.46E-01 A 0.74% 62.30 54,836
CTXS 33.32% C -1.93% 61.51 22,716
FHB 33.02% B -0.26% 20.63 773
GIII 32.94% C 1.44% 7.54 4,747
CALM 32.11% B -2.09% 57.14 1,267
FDP 32.05% D -1.68% 98.81 299
CDAY 30.55% D -1.50% 31.94 6,204
BMRN 30.02% F -1.85% 62.30 2,602
ZIXI 29.86% D -1.39% 55.16 127
LII 29.67% B -11.45% 62.30 6,864
VICI 29.59% A -2.69% 25.79 2,182
IONS 28.45% D 1.62% 51.00 19,269
SBAC 27.89% B 4.09% 36.11 12,432
LDOS 27.75% B -1.45% 61.90 607
SFM 27.68% C -1.50% 50.00 691
UBNT 26.63% D -1.56% 81.35 21,586
DFRG 26.08% F -0.43% 57.14 1,026
NHTC 2.58E-01 D 0.41% 38.10 711
Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
BIIB -67.28% C 0.62% 80.16 111,306
MLNX -62.68% C -2.06% 3.57 38,987
NVRO -52.29% F -1.69% 50.79 1,047
SYNA -51.30% C -2.90% 34.13 2,018
WP -50.80% C 2.67% 15.87 1,481
WAGE -46.74% C -3.01% 55.16 12,163
OZK -44.32% C 0.74% 77.78 692
AVYA -41.87% C -1.93% 75.79 405
VSM -39.98% C -0.26% 35.71 7,818
EB -39.92% D 1.44% 10.83 136
HQY -35.53% A -2.09% 49.60 1,725
SGH -33.05% B -1.68% 44.50 618
ESPR -32.29% F -1.50% 9.52 12,893
ROKU -30.10% D -1.85% 67.06 96,804
RHT -28.80% B -1.39% 22.62 166,977
TTD -28.53% D -11.45% 79.76 33,781
NRZ -28.38% D -2.69% 60.71 5,858
KEY -2.70E-01 B 1.62% 65.87 4,882
WYND -26.65% B 4.09% 50.20 597
AMD -26.43% F -1.45% 54.76 292,847
PCG -25.62% B -1.50% 75.79 90,297
VIAB -25.33% C -1.56% 42.46 9,698
REZI -24.99% D -0.43% 40.00 344
EAF -23.44% C 0.41% 40.74 2,916
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE