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VIX unchanged in directionless equity trading

Mar 28, 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 higher this morning but have since drifted toward unchanged as investors await further detail on trade talks and global economic data. Currently, the S&P is +.05% the Russell is +.1% and the Nasdaq is -.05%. Bonds started the day slightly weaker but have seen a measured rally into the afternoon on equity weakness (TLT +.1%, US 10 year yield at 2.391%). In single name activity, Lululemon is up 15% after reporting strong Q4 earnings (citing a boost in online sales). Crude is softer for the second consecutive session (-.8%) after President Trump called on OPEC to loosen supply. Consumer Staples are outperforming today (XLP +.35%) while Utilities (XLU -1.40%) lag the broader market. Also worth noting is weakness in precious metal (GLD – 1.4%, SLV -1.5%) as the dollar sees strength thanks to uncertainty over the direction of Brexit (UUP +.35, FXB -1.3%). Volatilities are bid with the VIX +1% at 15.31, VXN +1% to 18.93, and RVX +1% at 19.32.  

 

ETF 30D Volatility Changes

SPY:     -1%

IWM:    FLAT

QQQ:   -1%

   

 

Directional Options Strategies

Bullish Option Strategies

NLSN Seller 3,500 May 18 puts (opens write, collects $.18, ref. 23.98)

MGM 4,000 Mar 29th 25 calls trade (ref. 25.52)

WDC 3,100 Apr 49 calls trade (appears bought, ref. 45.08)

GOOS Seller 11,500 Apr 40 puts (opens write, collects $.21, ref. 47.75)

MS Buyer 7,500 Jul 44 calls (paid $1.47, ref. 41.77)

TGT Seller 5,500 Oct 80 puts to Buy 11,000 Oct 85 puts (appears to monetize and roll up to ITM puts, ref. 81.21)

HSBC Seller 8,000 May 39 puts tied to stock (ref. 40.42)

KNX Buyer 20,000 Aug 35 calls tied to stock (paid $2.35, ref. 31.75)

TPR Seller 4,000 Aug 27.5 puts to Buy 4,000 Aug 32.5 calls tied to stock (ref. 32.73

 

Bearish Option Strategies

DB Buyer 3,000 Oct 7 puts (ref. 8.11)

DB Seller 10,000 Jan21 10 calls to Buy 10,000 Jan21 8 puts tied to stock (ref. 8.15)

GPS Buyer 6,200 Jun 27 puts (ref. 26.03)

PBR 10,000 Oct 14 puts trade tied to stock (appears bought, $1.09, ref. ref. 15.52)

PAGS Buyer 5,800 Apr 27.5 puts tied to stock (paid $.475, ref. 30.50)

TSM Buyer 7,000 May 40 puts (paid $1.35, ref. 40.28)

 

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 Buyer 25,000 Jun 27 calls (paid $.30, possibly closing, ref. 25.48)

EWZ Buyer 5,000 Jan 60 calls (paid $.19, ref. 39.25)

KRE Buyer 6,500 Apr 53 calls (paid $.45, ref. 51.23)

XOP 6,000 Apr 5th 32 calls trade (appears bought, ref. 30.52)

XOP 10,0025 May 32 calls trade (appears bought, ref. 30.43)

 

Bearish Option Strategies

XOP Seller 5,000 Apr 30 – 26 put spreads to Buy 15,000 Jun 27 – 24 put spreads (appears to roll out and down, adds units, ref. 30.54)

TLT Buyer 5,000 Sep 125 puts to Sell 10,000 Jan 110 puts tied to stock (paid $2.36, ref. 126.09)

XLU Buyer 10,000 May 57 puts (paid $.65, ref. 58.23)

SPY Buyer 10,000 Apr 271 – 263 put spreads (ref. 279.49)

SPY 10,000 Mar 29th 277 puts trade (appears bought, ref. 280.89)

QQQ Buyer 5,000 May 3rd 171 puts (paid $1.78, ref. 178.03)

EEM Buyer 20,000 Jan 37 puts (paid $1.30, ref. 42.33)

EEM 70,000 Apr 35.5 puts trade ($.02, ref. 42.31)

IWM 7,000 Apr 5th 7,000 146 puts trade (appears bought, ref. 151.89)

FXI 10,000 May 41 puts trade (appears bought, ref. 43.63)

 

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

 

 

Finance Trades Options Strategies

KR 8,500 May 26 RevCons trade (ref. 24.37)

COTY 8,000 May 15 RevCons trade (ref. 11.42)

 

 

 

Upcoming Earnings

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
RH 3/28/2019 14.8 19.5 -24.2% C 23491
KMX 3/29/2019 7.0 4.9 42.8% C 56094
NBEV 3/29/2019 11.9 9.2 29.0% F 6041
GME 4/2/2019 8.1 6.4 26.2% C 7329
LW 4/2/2019 5.0 4.0 23.1% C 1698
WBA 4/2/2019 4.0 3.9 2.4% B 35610
AYI 4/3/2019 7.5 9.2 -18.4% D 19172
STZ 4/4/2019 5.4 5.8 -6.6% B 66685
BBBY 4/10/2019 10.2 12.7 -19.7% D 14532
DAL 4/10/2019 3.7 2.0 79.8% B 78651
MSM 4/10/2019 4.4 4.6 -3.5% B 1899
BLK 4/11/2019 2.1 2.3 -6.6% B 48314
FAST 4/11/2019 4.6 5.9 -22.2% B 62745
JPM 4/12/2019 1.9 1.2 66.6% C 473762
PNC 4/12/2019 1.4 1.6 -13.1% C 17680
WFC 4/12/2019 2.4 1.7 38.0% C 328345
C 4/15/2019 2.6 1.9 37.9% C 215942
GS 4/15/2019 3.1 3.2 -4.6% D 396891
JBHT 4/15/2019 2.0 3.0 -32.4% C 1524
BAC 4/16/2019 1.3 2.3 -45.6% C 440466
CSX 4/16/2019 4.1 3.7 10.7% B 38344
IBM 4/16/2019 5.3 5.8 -9.3% C 233659
JNJ 4/16/2019 1.9 2.4 -20.8% C 350746
LRCX 4/16/2019 3.6 5.7 -36.8% C 144836
NFLX 4/16/2019 7.5 6.9 8.7% D 3540152
OMC 4/16/2019 3.6 4.0 -10.4% B 18842
PGR 4/16/2019 3.0 2.6 16.9% B 33034
PLD 4/16/2019 2.2 1.9 17.3% C 14699
UNH 4/16/2019 2.4 3.1 -22.6% A 203599
AA 4/17/2019 6.0 5.4 11.4% F 7919
ABT 4/17/2019 2.3 1.9 20.9% C 106509
BK 4/17/2019 2.9 3.4 -13.2% D 36742
CCI 4/17/2019 3.9 1.5 165.3% A 54836
CCK 4/17/2019 3.7 2.0 82.3% C 1565
KMI 4/17/2019 1.8 1.7 8.1% C 39656
KSU 4/17/2019 2.7 2.8 -6.3% C 8854
MS 4/17/2019 3.3 2.7 24.6% D 140201
PEP 4/17/2019 1.8 1.7 3.1% C 113059
TXT 4/17/2019 5.1 4.5 13.6% C 2182
UAL 4/17/2019 5.2 6.7 -22.8% D 165240
URI 4/17/2019 2.9 5.9 -50.4% C 53647
USB 4/17/2019 1.8 1.7 5.6% C 23005
ADS 4/18/2019 5.1 4.7 8.9% C 4320
ALLY 4/18/2019 3.8 3.5 6.8% C 20225
AXP 4/18/2019 2.7 3.0 -10.2% C 108538
BHGE 4/18/2019 2.3 1.9 20.5% F 7497
BX 4/18/2019 2.1 1.5 39.7% D 37465
CFG 4/18/2019 1.6 2.6 -38.1% B 5965
CLF 4/18/2019 4.5 8.3 -45.7% C 38685
ETFC 4/18/2019 3.3 2.3 44.1% C 8240
GPC 4/18/2019 3.6 3.8 -5.8% A 12177
GTLS 4/18/2019 5.6 5.8 -4.0% D 2990
MAN 4/18/2019 3.5 5.1 -30.6% C 10737
NUE 4/18/2019 2.9 2.1 36.4% C 17382
PM 4/18/2019 3.5 3.9 -8.9% A 95948
ROP 4/18/2019 3.3 3.0 9.6% B 7902
SBNY 4/18/2019 0.7 3.6 -79.5% C 2860
SKX 4/18/2019 11.9 17.1 -30.6% C 9631
SLB 4/18/2019 2.0 2.2 -8.7% F 48264
SNA 4/18/2019 4.6 6.8 -32.3% B 2558
SYF 4/18/2019 4.5 4.9 -8.7% D 10837
TRV 4/18/2019 1.5 2.5 -40.3% B 5987
UNP 4/18/2019 1.9 3.3 -42.9% A 265138

 

Volatility Standouts

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
CARS 56.94% B 0.10% 98.41 6394
AIV 5.54E-01 C 0.35% 25.40 199
MITK 42.17% F -2.31% 91.27 554
ZNGA 42.07% C -1.32% 22.62 4253
UPWK 41.70% F 0.71% 21.95 171
VGR 41.67% A -1.58% 69.44 1278
FHB 36.92% B -1.39% 19.44 773
CTXS 34.38% C -1.48% 55.95 22716
ARRY 3.40E-01 D -1.25% 56.75 10208
CCI 3.29E-01 A -0.49% 41.67 54836
CDAY 32.74% D 1.23% 37.79 6204
TMUS 32.17% C -1.87% 68.25 14836
SBAC 32.12% B -8.35% 42.86 12432
ZIXI 31.68% D -4.55% 65.87 127
FDP 29.97% D -1.89% 98.81 299
AGNC 29.95% D -3.12% 55.16 1705
CALM 29.93% B 7.64% 53.57 1267
RLGY 2.90E-01 C -1.31% 93.65 23850
UBNT 28.78% D -4.08% 85.32 21586
NI 28.75% C -2.17% 40.87 196
DUK 28.33% A -2.25% 33.73 111252
LDOS 27.77% B -3.27% 64.68 607
LII 27.05% B -0.84% 48.41 6864
DVA 26.86% C 3.28% 79.37 1139
Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
BIIB -67.97% C 0.10% 83.33 111306
MLNX -59.47% C 0.35% 2.38 38987
NVRO -51.95% F -2.31% 49.60 1047
SYNA -50.98% C -1.32% 42.86 2018
WP -50.71% C 0.71% 15.48 1481
WCG -49.29% B -1.58% 59.13 3359
OZK -44.11% C -1.39% 74.60 692
WAGE -42.53% C -1.48% 56.75 12163
EB -39.62% D -1.25% 4.13 136
VSM -39.45% C -0.49% 21.43 7818
AVYA -37.45% C 1.23% 76.19 405
RHT -34.70% B -1.87% 17.06 166977
HQY -33.37% A -8.35% 52.38 1725
SGH -31.08% B -4.55% 52.24 618
TTD -30.35% D -1.89% 80.95 33781
WYND -29.31% B -3.12% 49.00 597
KEY -27.73% B 7.64% 68.25 4882
AMD -26.22% F -1.31% 59.13 292847
ESPR -25.77% F -4.08% 12.30 12893
REZI -25.57% D -2.17% 41.58 344
ROKU -24.72% D -2.25% 67.86 96804
SVMK -24.38% F -3.27% 31.93 1650
CBLK -24.20% D -0.84% 11.05 3802
VIAB -23.86% C 3.28% 52.38 9698
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE