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VIX breaks below 14 in quiet equity trading

Mar 29, 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 edging higher this afternoon as Brexit confusion keeps optimism over trade in check. British Parliament rejected May’s withdrawal agreement for a third time while Steve Mnuchin cited a ‘productive’ dinner with Vice Premier Liu of China. Currently, the S&P is +.4% the Russell is +.1% and the Nasdaq is +.5%. Bonds are taking a breather (TLT -.5%, US 10 year yield up to 2.417%) as US economic data didn’t offer any meaningful surprises (Chicago PMI 58.7 v 61.0 est.; New Home Sales  667k v 620 est.; Michigan Consumer Confidence 98.4 v 97.8 est.) In single name activity, LYFT went public today opening at $87.24 which give the ride-hailing firm a roughly $25 billion valuation. Biotech is outperforming today (XBI +1.25%) while Home Builders (XHB -.2%) give back some of their recent gains with rates drifting higher. Volatilities are softer with the VIX -3% at 14.01, VXN -6% to 16.96, and RVX -1.5% at 18.20. 

 

ETF 30D Volatility Changes

SPY:     -5%

IWM:    -3%

QQQ:   -6%

Directional Options Strategies

Bullish Option Strategies

BB 5,400 Apr 5th 9.5 calls trade (post earnings, ref. 10.02)

CELG Seller 19,500 Apr 80 – 70 put spreads (appears closing, ref. 93.94)

DISH Buyer 4,100 May 45 calls (ref. 31.18)

TPR Seller 4,000 Aug 27.5 puts to Buy 4,000 Aug 32.5 calls tied to stock (ref. 32.80)

DWDP Seller 2,000 Jun20 45 puts to Buy 2,000 Jun20 62.5 calls (paid $1.15, ref. 51.43)

SE Buyer 5,000 May 25 calls (ref. 23.23)

 

Bearish Option Strategies

DB Buyer 3,000 Oct 7 puts (paid $.63, ref. 8.18)

HSY 3,000 May 110 puts trade (appears bought, ref. 114.17)

TSM Buyer 6,000 May 40 puts (ref. 40.73)

AMD Buyer 6,900 Jul 19 puts tied to stock (ref. 25.46)

SBUX Seller 9,600 Apr 77.5 calls (opens write, collects $.14, ref. 74.06)

 

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 50,000 Apr 26.5 calls (100,000 trade, paid $.13, ref. 25.70)

XLF 25,000 Apr 5th 26 calls trade (appears bought, ref. 25.77)

KRE Seller 5,000 May 50 – 45 put spreads (ref. 51.53)

KRE Buyer 12,000 May 55 calls (paid $.57, ref. 51.42)

SPY Seller 38,000 May 3rd 255 – 245 – 235 put spreads (collects $.11, ref. 281.68)

EWW Seller 5,000 Apr 42 puts (possibly closing, ref. 43.77)

EWZ Buyer 7,000 Jun 41 calls tied to stock (ref. 41.36)

 

Bearish Option Strategies

IWM Buyer 13,750 Jun 150 puts tied to stock (paid $3.62, ref. 153.40)

QQQ Seller 10,000 Jun 192 calls tied to stock (25,000 trade on the day, ref. 178.97)

FXI Buyer 10,000 Jun 44 – 39 put spreads tied to stock (ref. 44.18)

XLU 7,200 Apr 56.5 puts trade (appears bought, ref. 57.72)

XBI Buyer 3,000 May 85 puts (ref. 90.25)

 

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

 

 

Finance Trades Options Strategies

DB 5,000 May 11 RevCons trade (ref. 8.18)

KRE 6,000 May 55 RevCons trade (ref. 51.79)

COTY 20,000 Apr 15 RevCons trade (ref. 11.47)

 

 

 

Upcoming Earnings

 

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
GME 4/2/2019 9.0 6.4 40.7% C 7,329
LW 4/2/2019 4.4 4.0 8.1% C 1,698
WBA 4/2/2019 4.1 3.9 5.1% B 35,610
AYI 4/3/2019 7.6 9.2 -17.9% D 19,172
STZ 4/4/2019 5.5 5.8 -6.3% B 66,685
BBBY 4/10/2019 10.2 12.7 -19.3% D 14,532
DAL 4/10/2019 3.4 2.0 68.4% B 78,651
MSM 4/10/2019 4.6 4.6 -0.3% B 1,899
BLK 4/11/2019 1.8 2.3 -21.1% B 48,314
FAST 4/11/2019 4.9 5.9 -16.6% B 62,745
JPM 4/12/2019 1.8 1.2 51.8% C 473,762
PNC 4/12/2019 1.5 1.6 -11.7% C 17,680
WFC 4/12/2019 2.8 1.7 62.7% C 328,345
C 4/15/2019 2.2 1.9 14.3% C 215,942
GS 4/15/2019 2.7 3.2 -14.3% D 396,891
JBHT 4/15/2019 1.8 3.0 -41.7% C 1,524
BAC 4/16/2019 0.8 2.3 -64.1% C 440,466
CSX 4/16/2019 4.1 3.7 10.8% B 38,344
IBM 4/16/2019 5.1 5.8 -12.4% C 233,659
JNJ 4/16/2019 1.8 2.4 -26.6% C 350,746
LRCX 4/16/2019 4.2 5.7 -26.1% C 144,836
NFLX 4/16/2019 7.2 6.9 4.0% D 3,540,152
OMC 4/16/2019 4.3 4.0 6.7% B 18,842
PGR 4/16/2019 3.0 2.6 18.4% B 33,034
PLD 4/16/2019 2.2 1.9 17.9% C 14,699
UNH 4/16/2019 2.4 3.1 -20.9% A 203,599
AA 4/17/2019 6.2 5.4 15.2% F 7,919
ABT 4/17/2019 2.3 1.9 22.7% C 106,509
BK 4/17/2019 2.8 3.4 -15.7% D 36,742
CCK 4/17/2019 3.7 2.0 81.4% C 1,565
KMI 4/17/2019 1.6 1.7 -5.1% C 39,656
KSU 4/17/2019 2.5 2.8 -11.9% C 8,854
MS 4/17/2019 3.0 2.7 13.8% D 140,201
PEP 4/17/2019 1.7 1.7 -1.4% C 113,059
TXT 4/17/2019 5.1 4.5 13.5% C 2,182
UAL 4/17/2019 5.2 6.7 -22.1% D 165,240
URI 4/17/2019 3.0 5.9 -48.4% C 53,647
USB 4/17/2019 1.7 1.7 -0.9% C 23,005
ADS 4/18/2019 5.7 4.7 20.5% C 4,320
ALLY 4/18/2019 3.5 3.5 -0.1% C 20,225
AXP 4/18/2019 3.0 3.0 -0.3% C 108,538
BHGE 4/18/2019 2.1 1.9 8.9% F 7,497
BX 4/18/2019 2.2 1.5 49.0% D 37,465
CFG 4/18/2019 0.2 2.6 -91.2% B 5,965
CLF 4/18/2019 4.1 8.3 -50.1% C 38,685
DHR 4/18/2019 0.4 2.8 -86.1% B 12,321
ETFC 4/18/2019 3.0 2.3 34.1% C 8,240
GPC 4/18/2019 3.3 3.8 -14.2% A 12,177
GTLS 4/18/2019 5.7 5.8 -0.8% D 2,990
HON 4/18/2019 2.1 1.6 31.6% B 59,202
MAN 4/18/2019 3.0 5.1 -41.0% C 10,737
NUE 4/18/2019 3.2 2.1 51.3% C 17,382
PM 4/18/2019 3.1 3.9 -19.8% A 95,948
SKX 4/18/2019 11.8 17.1 -31.1% C 9,631
SLB 4/18/2019 1.4 2.2 -37.3% F 48,264
SNA 4/18/2019 5.6 6.8 -17.5% B 2,558
SYF 4/18/2019 4.1 4.9 -15.6% D 10,837
TRV 4/18/2019 1.9 2.5 -24.5% B 5,987
UNP 4/18/2019 1.7 3.3 -47.4% A 265,138

 

Volatility Standouts

 

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
SNCR 71.03% D -1.10% 63.13 360
CARS 62.65% B -0.57% 98.41 6,394
UPWK 59.04% F -2.62% 13.25 171
DFRG 56.09% F -1.62% 50.79 1,026
FHB 45.64% B -2.17% 35.71 773
BMRN 43.88% F -0.47% 70.24 2,602
VICI 42.28% A -0.92% 9.13 2,182
FDP 39.65% D -1.79% 98.41 299
ZNGA 39.07% C 0.40% 29.37 4,253
VGR 38.34% A -1.08% 69.44 1,278
CTXS 3.77E-01 C -2.04% 73.41 22,716
CDAY 37.13% D -2.64% 37.61 6,204
ZIXI 35.07% D -3.85% 80.16 127
NHTC 33.57% D -0.60% 51.98 711
UBNT 33.09% D -1.17% 90.87 21,586
ACAD 31.97% F -4.76% 30.16 2,171
CCI 31.95% A 0.57% 41.27 54,836
HIIQ 31.29% C -1.22% 98.81 20,623
BKS 31.19% C -0.89% 57.14 138
MYL 30.79% D -0.23% 97.62 9,100
MITK 29.25% F -2.52% 87.70 554
LII 29.19% B -5.60% 48.02 6,864
SBAC 29.09% B -1.18% 32.94 12,432
KAR 28.98% C 1.29% 98.41 727
Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
BIIB -68.80% C -1.10% 77.78 111,306
MLNX -61.96% C -0.57% 5.16 38,987
WCG -55.92% B -2.62% 13.49 3,359
SYNA -53.00% C -1.62% 29.76 2,018
NVRO -51.46% F -2.17% 46.83 1,047
CELG -47.31% A -0.47% 88.10 344,134
EB -45.82% D -0.92% 0.82 136
WP -43.60% C -1.79% 6.75 1,481
OZK -43.47% C 0.40% 77.78 692
VSM -41.86% C -1.08% 26.59 7,818
RHT -38.13% B -2.04% 27.38 166,977
EXP -35.95% B -2.64% 71.83 795
HQY -34.16% A -3.85% 53.57 1,725
AVYA -33.24% C -0.60% 76.98 405
WYND -29.14% B -1.17% 49.80 597
TTD -29.01% D -4.76% 78.57 33,781
KEY -2.73E-01 B 0.57% 64.29 4,882
AMD -26.27% F -1.22% 54.37 292,847
STI -25.36% B -0.89% 59.92 12,260
REZI -25.22% D -0.23% 38.24 344
ROKU -2.50E-01 D -2.52% 68.65 96,804
FITB -24.56% C -5.60% 63.49 7,631
VIAB -24.21% C -1.18% 50.40 9,698
SVMK -22.71% F 1.29% 22.50 1,650
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE