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VIX holding firm in spite of strong equity rally due to positive China and US economic numbers

Apr 01, 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 as both Chinese (Caixin PMI 50.8 v. 50.0 est.) and US Manufacturing (55.3 v. 54.5 est.) data beat expectations. Currently, the S&P is +.95% the Russell is +.75% and the Nasdaq is +1%. Bonds are meaningfully weaker (TLT -1.3%, US 10 year yield up to 2.49%) as fears of a global slowdown have subsided (*note Eurozone manufacturing data revised lower.) Financials are outperforming today (KRE +2.2%, XLF +1.9%) in sympathy with mild curve steepening while Real Estate (IYR -.55%) is softer as rates lift. Emerging Markets are rallying today (EEM +1.5%) with the dollar flat and it’s worth noting the largest trade of the morning came via EEM (Buyer 180,000 May 46 calls tied). Volatilities are mixed with the VIX +.44% at 13.77, VXN -.9% to 16.47, and RVX +1% to 17.98.  

 

ETF 30D Volatility Changes

SPY:    -5%

IWM:    -2%

QQQ:   -4%

 

Directional Options Strategies

Bullish Option Strategies

CVE 34,000 Apr 9 – May 10 call spreads trade (appears to roll calls out and up, ref. 9.01)

LUV Buyer 4,000 Apr 55 calls tied to stock (possibly closing, ref. 52.34)

JD Buyer 6,100 Apr 26th 32.5 calls (ref. 30.89)

FDX Buyer 3,000 Apr 185 – 195 call spreads (ref. 185.93)

F 10,418 Apr 8 calls trade (appears bought, ref. 8.95)

MSFT Seller 10,000 Apr 12th 119 – 124 call spreads to Buy 10,000 Apr 26th 120 – 126 call spreads and Sell 5,000 Apr 26th 111 and 110 puts (rolls call spread up and out, writes puts against position, ref. 118.81)

 

Bearish Option Strategies

CTXS 5,000 Jun 105 – 115 call spreads trade (appears sold to liquidate half of position, ref. 100.01)

AAL 9,000 Apr 5th 33.5 calls trade (appears sold, ref. 32.22)

NTAP Buyer 1,500 Jun 70 puts (ref. 70.03)

F 5,000 Sep 8 puts trade (appears bought, Feb auto sales data tomorrow morning, ref. 8.91)

DB 8,000 Jan20 8 puts trade tied to stock (14,000 trade on the day, appears bought, ref. 8.45)

AABA Seller 2,300 Apr 75 puts to Buy 4,600 May 65 puts (paid $.93, ref. 74.66)

KAR Seller 8,750 Apr 50 calls to Buy 2,000 Apr 55 calls tied to stock (appears closing, ref. 51.55)

VALE 4,000 Jun 14 puts trade (appears bought, $1.09, ref. 13.67)

 

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

EEM Buyer 180,000 May 46 calls tied to 2.7M shares (paid $.19, ref. 43.44)

EEM Seller 49,500 Jun 40.5 puts (opening, collects $.545, ref. 43.44)

FXI Seller 19,600 Apr 5th 44.5 calls to Buy 39,200 Apr 12th 45.5 calls (rolls out and up, ref. 44.84)

XLF Seller 3,500 Sep 24 puts tied to stock (collects $.54, ref. 26.02)

XME Buyer 7,500 May 31 – 33 call spreads tied to stock (paid $.54, ref. 30.26)

VIX Seller 14,000 May 24 calls (collects $.52, ref. 16.03)

 

Bearish Option Strategies

XLV 10,000 Apr 88 puts trade (appears bought, ref. 92.18)

QQQ Buyer 30,000 May 140 – Jun 145 put spreads (appears to roll out and up, ref. 180.99)

HYG Seller 10,000 Apr 85 – 83 1x2 put spreads to Buy 10,000 Apr 26th 85.5 – 84 1x2 put spreads (rolls out and up, ref. 86.26)

EWZ Seller 12,000 Apr 44 calls tied to stock (41.80)

XBI Seller 10,000 Apr 86 puts and 10,000 May 100 calls to Buy 10,000 May 85 – 79 put spreads (rolls out and writes upside call against May put spread, ref. 91.21)

XLU Buyer 14,000 Apr 26th 55 puts (paid $.16, ref. 57.68)

 

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. 11.34)

 

 

 

Upcoming Earnings

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
GME 4/2/2019 10.0 6.4 56.5% C 7,329
LW 4/2/2019 4.7 4.0 16.7% B 1,698
WBA 4/2/2019 4.2 3.9 6.7% B 35,610
AYI 4/3/2019 7.4 9.2 -20.4% C 19,172
STZ 4/4/2019 5.3 5.8 -8.8% B 66,685
BBBY 4/10/2019 9.4 12.7 -25.8% C 14,532
DAL 4/10/2019 3.0 2.0 48.8% B 78,651
MSM 4/10/2019 4.5 4.6 -3.1% B 1,899
FAST 4/11/2019 4.5 5.9 -23.4% B 62,745
JPM 4/12/2019 1.5 1.2 32.0% C 473,762
PNC 4/12/2019 1.0 1.6 -39.2% C 17,680
WFC 4/12/2019 2.4 1.7 37.9% C 328,345
C 4/15/2019 1.6 1.9 -13.5% C 215,942
GS 4/15/2019 2.5 3.2 -22.0% D 396,891
JBHT 4/15/2019 0.8 3.0 -75.0% C 1,524
CSX 4/16/2019 3.7 3.7 -0.1% B 38,344
IBM 4/16/2019 4.9 5.8 -15.9% C 233,659
JNJ 4/16/2019 1.7 2.4 -29.6% C 350,746
LRCX 4/16/2019 3.5 5.7 -37.6% C 144,836
NFLX 4/16/2019 6.8 6.9 -1.5% D 3,540,152
OMC 4/16/2019 4.0 4.0 0.9% B 18,842
PGR 4/16/2019 3.0 2.6 16.6% B 33,034
PLD 4/16/2019 2.1 1.9 15.6% C 14,699
UNH 4/16/2019 2.0 3.1 -35.4% A 203,599
AA 4/17/2019 6.2 5.4 15.0% F 7,919
ABT 4/17/2019 2.2 1.9 15.1% B 106,509
BK 4/17/2019 2.7 3.4 -20.3% D 36,742
CCI 4/17/2019 3.6 1.5 143.5% B 54,836
CCK 4/17/2019 2.8 2.0 40.4% C 1,565
KMI 4/17/2019 0.9 1.7 -48.2% C 39,656
KSU 4/17/2019 2.4 2.8 -16.6% C 8,854
MS 4/17/2019 3.0 2.7 11.9% D 140,201
PEP 4/17/2019 1.8 1.7 1.1% C 113,059
TXT 4/17/2019 4.9 4.5 10.4% C 2,182
UAL 4/17/2019 4.7 6.7 -30.1% B 165,240
URI 4/17/2019 2.7 5.9 -54.2% C 53,647
USB 4/17/2019 1.4 1.7 -22.1% B 23,005
ADS 4/18/2019 5.0 4.7 6.4% C 4,320
ALLY 4/18/2019 4.2 3.5 18.1% B 20,225
AXP 4/18/2019 2.8 3.0 -5.8% B 108,538
BX 4/18/2019 1.5 1.5 -1.7% D 37,465
CFG 4/18/2019 1.4 2.6 -44.7% C 5,965
ETFC 4/18/2019 2.4 2.3 6.3% C 8,240
GPC 4/18/2019 2.9 3.8 -22.2% A 12,177
GTLS 4/18/2019 5.7 5.8 -0.8% C 2,990
HON 4/18/2019 1.7 1.6 5.9% B 59,202
MAN 4/18/2019 2.5 5.1 -51.1% C 10,737
NUE 4/18/2019 2.2 2.1 4.0% B 17,382
PM 4/18/2019 2.6 3.9 -31.9% C 95,948
SKX 4/18/2019 11.6 17.1 -32.1% C 9,631
SLB 4/18/2019 0.4 2.2 -80.6% D 48,264
SNA 4/18/2019 4.3 6.8 -36.6% A 2,558
SYF 4/18/2019 4.2 4.9 -14.3% C 10,837
TRV 4/18/2019 1.8 2.5 -28.8% B 5,987
UNP 4/18/2019 1.4 3.3 -57.9% B 265,138

Volatility Standouts

 

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
UPWK 58.01% F -7.62% 17.86 171
CARS 51.22% C -2.64% 96.43 6,394
VICI 50.82% A -1.87% 5.95 2,182
FHB 49.11% B -1.78% 40.87 773
DFRG 48.45% D -2.40% 77.78 1,026
ZNGA 37.94% D -1.90% 31.35 4,253
BMRN 37.16% D -3.85% 91.27 2,602
CTXS 36.17% C 0.20% 59.13 22,716
CALM 36.11% B -0.96% 41.67 1,267
VGR 34.71% C -1.88% 67.46 1,278
HIIQ 32.05% D -5.36% 98.81 20,623
SNCR 31.99% C 1.47% 32.26 360
CDAY 31.86% D -5.24% 30.59 6,204
FDP 31.86% F 4.56% 98.41 299
LASR 3.05E-01 F -1.67% 0.00 511
CCI 30.27% B -3.46% 29.37 54,836
BKS 29.51% C -1.14% 69.44 138
EROS 28.93% F -1.59% 38.89 345
ZIXI 28.00% C -1.69% 49.21 127
LII 26.94% B -6.07% 47.22 6,864
WATT 26.85% F -3.53% 76.59 3,078
TPX 26.59% D -0.57% 30.95 35,242
UBNT 26.42% D 0.93% 87.70 21,586
ACAD 26.19% D -0.96% 20.63 2,171
Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
BIIB -69.72% C -7.62% 62.70 111,306
MLNX -68.12% B -2.64% 4.76 38,987
WCG -57.09% B -1.87% 16.67 3,359
CELG -5.62E-01 A -1.78% 0.40 344,134
SYNA -53.71% C -2.40% 33.33 2,018
NVRO -53.03% D -1.90% 42.46 1,047
WP -50.29% D -3.85% 22.62 1,481
EB -46.34% D 0.20% 3.25 136
OZK -46.27% C -0.96% 73.81 692
EXP -42.10% C -1.88% 65.48 795
VSM -38.22% C -5.36% 0.79 7,818
HQY -34.57% C 1.47% 51.98 1,725
RHT -34.47% C -5.24% 17.06 166,977
TTD -32.89% D 4.56% 83.33 33,781
KEY -3.16E-01 C -1.67% 61.90 4,882
WYND -31.30% C -3.46% 38.25 597
AMD -29.27% D -1.14% 50.40 292,847
STI -28.57% C -1.59% 58.33 12,260
REZI -27.21% D -1.69% 37.86 344
ROKU -27.13% D -6.07% 65.08 96,804
SVMK -26.97% F -3.53% 23.97 1,650
AVYA -26.86% D -0.57% 77.78 405
VIAB -26.40% B 0.93% 44.84 9,698
FITB -26.38% C -0.96% 64.29 7,631
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE