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VIX and equity markets both unchanged in quiet markets

Apr 02, 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 relatively muted this afternoon as markets await further developments on growth and trade. Currently, the S&P is -.1% the Russell is -.4% and the Nasdaq is +.1%. Bonds are mildly stronger (TLT +.2%, US 10 year yield down to 2.478%) even as this morning’s economic data came in slightly better than expected. Durable Goods Orders fell less than expected (-1.6% vs. -1.8% est.) and New York’s March ISM print came in at a four month high (66.9 vs. 61.1 est.) It’s worth noting, however, that the Business Outlook metric surprised to the downside (53 vs. 71.5 m/m; 10-year low). Oil continues its impressive run (WTI Crude +1.3%) as OPEC’s March production figures continue the trend of supply tightening. Biotech is outperforming today (XBI +1.4%) while Consumer Staples lag the broader market (XLP -.65%). Volatilities are flat to slightly softer with the VIX -.1% at 13.39, VXN -.15% to 16.28, and RVX -.85% to 16.28.  

 

ETF 30D Volatility Changes

SPY:     -1%

IWM:    -1%

QQQ:   -1%

 

Directional Options Strategies

Bullish Option Strategies

EBAY Buyer 4,000 Apr 5th 38.5 calls (paid $.13, ref. 38.00)

DB 10,000 Jan 8 calls trade tied to stock (ref. 8.56)

DBX Buyer 6,600 May 22 calls (ref. 21.81)

NIO Buyer 7,000 Apr 5th 6 calls (ref. 5.57)

GT Seller 3,500 May 19 puts tied to stock (collects $1.025, ref. 18.64)

SC Buyer 12,500 Apr 23 calls (paid $.15, ref. 21.70)

KKR Seller 7,200 Apr 26th 22.5 puts (collects $.25, ref. 23.57)

 

Bearish Option Strategies

MO Buyer 13,000 Apr 26th 58 puts (paid $1.82, Earnings 4/25, ref. 57.22)

QCOM Buyer 5,000 Apr 5th 55 – 60 strangles (directionally neutral, long vol. ref. 57.96)

AMD 7,600 May 22 puts trade (appears bought, ref. 26.25)

EXPE Buyer 3,500 Jun 125 puts (appears to add to position opened yesterday, ref. 120.60)

HIIQ 4,000 Apr 20 puts trade (appears bought, possibly closing, ref. 25.60)

ZNGA 10,000 Jun 5 puts trade tied to stock (ref. 5.30)

 

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

OIH Buyer 10,000 May 19 calls (paid $.27, ref. 17.73)

XOP 19,500 Jun 35 calls trade (appears bought, possibly closing, ref. 31.30)

XLU Seller 6,000 May 57 puts tied to stock (ref. 57.68)

SLV Buyer 2,000 Jun 28th 15 calls (8,000 trade total, paid $.16, possibly closing, ref. 14.08)

EEM 54,000 Apr 39.5 puts trade (appears sold to close, ref. 43.60)

EWZ Seller 7,000 Apr 39.5 puts tied to stock (collects $.37, ref. 41.85)

ASHR Buyer 9,500 Apr 12th 30.5 calls (paid $.28, ref. 29.59)

 

Bearish Option Strategies

SPXW Buyer 20,000 May 3rd 2550 puts (untied, paid $2.25, ref. 2867.41)

QQQ Seller 15,000 Sep 30th 195 – 205 call spreads tied to stock (collects $2.32, ref. 182.26)

IWM Seller 15,000 May 156 calls tied to stock (collects $2.79, ref. 154.15)

SLV 5,000 May 14 puts trade (possibly closing, ref. 14.08)

VXXB Buyer 9,750 Jun 57 calls (paid $.24, ref. 28.76)

 

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

 

 

Finance Trades Options Strategies

XLF 11,500 May 26 RevCons trade (ref. 26.34)

PBR 7,373 Apr 16 RevCons trade (ref. 15.88)

 

 

 

Upcoming Earnings

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
GME 4/2/2019 10.4 6.4 63.5% C 7,329
AYI 4/3/2019 7.1 9.2 -23.4% C 19,172
STZ 4/4/2019 5.4 5.8 -8.0% B 66,685
BBBY 4/10/2019 9.1 12.7 -28.7% C 14,532
DAL 4/10/2019 2.9 2.0 41.5% B 78,651
MSM 4/10/2019 4.5 4.6 -2.8% B 1,899
FAST 4/11/2019 4.4 5.9 -24.7% B 62,745
JPM 4/12/2019 0.3 1.2 -70.1% C 473,762
WFC 4/12/2019 2.3 1.7 33.5% C 328,345
GS 4/15/2019 2.1 3.2 -33.0% D 396,891
CSX 4/16/2019 3.2 3.7 -12.7% B 38,344
IBM 4/16/2019 4.7 5.8 -19.1% C 233,659
JNJ 4/16/2019 2.0 2.4 -17.1% C 350,746
LRCX 4/16/2019 2.6 5.7 -53.3% C 144,836
NFLX 4/16/2019 6.7 6.9 -3.2% D 3,540,152
OMC 4/16/2019 4.1 4.0 1.7% B 18,842
PGR 4/16/2019 2.9 2.6 12.3% B 33,034
PLD 4/16/2019 2.4 1.9 32.2% C 14,699
UNH 4/16/2019 2.0 3.1 -36.1% A 203,599
AA 4/17/2019 5.7 5.4 6.6% F 7,919
ABT 4/17/2019 2.3 1.9 23.8% B 106,509
BK 4/17/2019 2.0 3.4 -40.5% D 36,742
CCI 4/17/2019 3.4 1.5 135.2% B 54,836
CCK 4/17/2019 2.6 2.0 31.2% C 1,565
KMI 4/17/2019 1.6 1.7 -5.6% C 39,656
KSU 4/17/2019 2.2 2.8 -22.6% C 8,854
MS 4/17/2019 2.4 2.7 -11.4% D 140,201
PEP 4/17/2019 2.0 1.7 14.8% C 113,059
TXT 4/17/2019 4.8 4.5 8.6% C 2,182
UAL 4/17/2019 4.7 6.7 -29.3% B 165,240
URI 4/17/2019 2.5 5.9 -57.4% C 53,647
USB 4/17/2019 0.2 1.7 -90.8% B 23,005
ALLY 4/18/2019 3.8 3.5 7.2% B 20,225
AXP 4/18/2019 2.7 3.0 -10.7% B 108,538
BHGE 4/18/2019 2.1 1.9 11.0% F 7,497
BX 4/18/2019 1.8 1.5 19.9% D 37,465
ETFC 4/18/2019 1.8 2.3 -20.8% C 8,240
GPC 4/18/2019 2.8 3.8 -26.9% A 12,177
GTLS 4/18/2019 6.1 5.8 5.6% C 2,990
HON 4/18/2019 1.6 1.6 -0.4% B 59,202
MAN 4/18/2019 1.0 5.1 -80.2% C 10,737
NUE 4/18/2019 1.9 2.1 -10.4% B 17,382
PM 4/18/2019 2.7 3.9 -29.7% C 95,948
SKX 4/18/2019 11.6 17.1 -32.0% C 9,631
SNA 4/18/2019 4.1 6.8 -39.4% A 2,558
SYF 4/18/2019 4.0 4.9 -18.9% C 10,837
TRV 4/18/2019 1.8 2.5 -28.1% B 5,987
UNP 4/18/2019 0.2 3.3 -95.1% B 265,138
AABA 4/22/2019 2.4 1.6 42.8% D 32,036
CDNS 4/22/2019 6.2 6.2 0.0% B 2,430
FE 4/22/2019 2.3 1.6 48.5% B 2,199
GWW 4/22/2019 5.8 9.0 -35.6% C 31,682
KMB 4/22/2019 2.8 1.9 49.9% B 14,632
LII 4/22/2019 4.0 2.2 79.7% B 6,864
WHR 4/22/2019 5.6 7.6 -26.0% C 23,071

 

Volatility Standouts

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
ARRY 54.54% F -0.48% 48.02 10,208
CARS 48.68% C 1.19% 94.05 6,394
UPWK 47.11% F -0.10% 24.71 171
BMRN 40.87% D -2.08% 83.73 2,602
CDAY 39.17% D 0.58% 30.00 6,204
CALM 36.06% B -3.30% 2.38 1,267
ZIXI 35.26% C -1.58% 56.75 127
ELAN 35.05% C -1.62% 42.62 101,651
CTXS 32.99% C -0.34% 54.76 22,716
DG 32.60% B -0.26% 4.76 15,095
ZNGA 32.36% D -0.21% 24.21 4,253
VGR 31.92% C -1.87% 64.68 1,278
ETH 3.16E-01 C -3.59% 67.46 156
VICI 31.55% A -0.99% 1.19 2,182
WATT 30.82% F 0.68% 75.00 3,078
HIIQ 30.26% D -5.80% 98.41 20,623
EROS 30.10% F -7.77% 50.40 345
TJX 29.74% B 1.24% 28.57 14,222
FDP 28.85% F 1.35% 96.43 299
BGS 28.65% D 1.65% 53.57 738
LDOS 28.15% B 0.34% 52.78 607
AVB 27.22% A 0.89% 24.21 2,314
LSCC 25.93% B 1.08% 71.03 470
MYL 25.24% D -1.74% 88.89 9,100
Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
BIIB -69.88% C -0.48% 66.27 111,306
MLNX -60.41% B 1.19% 3.97 38,987
CELG -6.03E-01 A -0.10% 0.00 344,134
WCG -57.84% B -2.08% 17.46 3,359
NVRO -51.96% D 0.58% 39.29 1,047
OZK -47.77% C -3.30% 74.60 692
RHT -47.32% C -1.58% 15.87 166,977
WP -47.17% D -1.62% 15.87 1,481
EB -47.16% D -0.34% 1.61 136
VSM -44.46% C -0.26% 1.98 7,818
EXP -42.48% C -0.21% 78.57 795
SYNA -36.62% C -1.87% 45.63 2,018
KEY -36.27% C -3.59% 44.05 4,882
HQY -36.07% C -0.99% 47.22 1,725
TTD -34.63% D 0.68% 73.81 33,781
STI -33.49% C -5.80% 42.46 12,260
WYND -32.90% C -7.77% 32.27 597
SVMK -31.39% F 1.24% 12.30 1,650
AMD -30.45% D 1.35% 42.06 292,847
ROKU -30.18% D 1.65% 52.78 96,804
FITB -30.09% C 0.34% 60.71 7,631
REZI -29.32% D 0.89% 31.73 344
MTB -28.73% A 1.08% 50.79 31,521
CMA -28.19% B -1.74% 40.87 4,443
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE