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VIX up 1% in spite of equity follow through to the upside

Apr 03, 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 back in the green this afternoon amid reports that the US and China are closing in on a trade deal (90% done according to FT). Positive economic data out of China and Europe (positive services PMI data) is also helping to buoy risk assets. Currently, the S&P is +.50% the Russell is +.90% and the Nasdaq is +1%. Bonds are meaningfully weaker (TLT -.85%, US 10 year yield up to 2.519%) but it’s worth noting that this morning’s ISM Non-Manufacturing Index came in below expectations (56.1 v. 58 est.; Lowest print since Aug 2017). Oil is not participating in today’s rally after this morning’s EIA report showed a large build in Crude inventories (XOP -1.33%). The Consumer Discretionary sector is outperforming today (XLY +1.02%) while Consumer Staples lag the broader market (XLP -.15%). Volatilities are mixed and even slightly bid with the VIX +.4% at 13.41, VXN +.4% to 16.40, and RVX -1.5% to 17.23.  

 

ETF 30D Volatility Changes

SPY:     -1%

IWM:     -3%

QQQ:    -2%

 

 

Directional Options Strategies

Bullish Option Strategies

AMD 3,800 Apr 5th 28 calls trade (ref. 28.59)

AAL Buyer 10,000 May 38 – 41 call spreads (paid $.26, ref. 33.54)

GD Buyer 3,700 May 180 – 195 call spreads (paid $1.29, ref. ref. 169.14)

AMAT Seller 4,000 Jan 45 calls and 4,000 Jan 40 puts tied to stock (sells vol, directionally neutral, ref. 42.70)

BP Buyer 4,300 Jun 47 calls (paid b/w $.39 and $.43, ref. 44.30)

TSLA Seller 4,500 Apr 300 calls to  Buy 4,500 Apr 315 calls (appears to monetize and roll up, maintains bullish exposure, ref. 293.83)

 

Bearish Option Strategies

SNAP Buyer 14,500 Apr 5th 11.5 calls to Sell 14,500 Apr 18th 12 calls (rolls write out and up, ref. 11.33)

SYNA Buyer 12,000 Jun 35 puts tied to stock (paid $1.25, ref. 40.07)

HIMX Buyer 4,000 Jun 3 puts (paid $.25, ref. 3.26)

TSN Buyer 2,000 Apr 5th 68.5 puts (paid $.20, ref. 69.34)

AMD 6,000 Oct 30 calls trade tied to stock (appears sold, $4.50, ref. 29.32)

TEVA Seller 14,500 Jun 18 calls tied to stock (opens write, collects $.22, ref. 15.11)

GE Buyer 48,000 May 9 – 8 put spreads (paid $.10, ref. 10.21)

 

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 120,000 May 46 calls tied to 2.4M shares (appears to add to 180,000 opened Monday, paid $.26, ref. 43.94)

XOP Buyer 15,200 Jul 40 calls (paid $.07, ref. 30.93)

QQQ Seller 10,000 Dec 200 calls to Buy 10,000 Jan 210 calls tied to stock (appears to roll out and up, ref. 184.03)

XEO Buyer 15,000 Apr 5th 1270 – 1275 call spreads (paid $.2.25, ref. 1273.03)

XLP Seller 10,000 Apr 55 puts (appears closing, collects $.39, ref. 55.16)

XLF 10,300 May 27 calls trade (appears bought, ref. 26.53)

LQD Seller 10,000 Jun 115 puts (collects $.25, ref. 118.21)

EWZ Buyer 10,000 Jun 20th 43 calls to Sell 12,500 Jun 20th 45 calls (paid $.52, Jun 20th is a Flex, ref. 42.25)

 

Bearish Option Strategies

FXI Seller 12,000 Apr 45 – 50 call spreads (collects $.90, ref. 45.35)

ASHR Seller 15,000 My 30 calls to Buy 15,000 May 28 puts tied to stock (paid $.84, ref. 30.09)

ASHR Seller 8,105 Apr 28.71 calls (collects $1.66, appears closing, ref. 30.15)

XLF Seller 50,000 Apr 26.5 calls (appears closing, collects $.38, ref. 26.51)

SPY 18,914 Jun 302 calls trade (appears sold, $1.16, ref. 287.02)

XLC Seller 1,000 Apr 48 calls (Communication Services ETF, appears closing, collects $.75, ref. 48.30)

XOP Seller 20,000 Sep 26 puts to Buy 20,000 Jan 27 puts (paid $.83, rolls out and up, ref. 30.56)

 

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

 

 

Finance Trades Options Strategies

WPM 50,000 Apr 5th 25 RevCons trade (ref. 23.61)

JPM 750 Apr 5th 110 RevCons trade (ref. 105.35)

COTY 6,300 May 15 RevCons trade (ref. 11.22)

 

 

 

Upcoming Earnings

 

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
STZ 4/4/2019 5.3 5.8 -9.0% B 66,685
BBBY 4/10/2019 9.5 12.7 -25.0% C 14,532
DAL 4/10/2019 1.6 2.0 -22.0% B 78,651
MSM 4/10/2019 4.5 4.6 -2.8% B 1,899
FAST 4/11/2019 4.6 5.9 -21.4% B 62,745
JPM 4/12/2019 1.2 1.2 4.5% C 473,762
WFC 4/12/2019 2.4 1.7 38.3% C 328,345
C 4/15/2019 1.1 1.9 -39.9% C 215,942
GS 4/15/2019 2.4 3.2 -24.9% D 396,891
JBHT 4/15/2019 1.2 3.0 -61.1% C 1,524
BLK 4/16/2019 1.1 2.3 -52.7% C 48,314
CSX 4/16/2019 3.4 3.7 -6.8% B 38,344
IBM 4/16/2019 4.7 5.8 -18.5% C 233,659
JNJ 4/16/2019 1.9 2.4 -19.0% C 350,746
LRCX 4/16/2019 2.7 5.7 -53.2% C 144,836
NFLX 4/16/2019 6.9 6.9 0.0% D 3,540,152
OMC 4/16/2019 4.1 4.0 3.3% B 18,842
PGR 4/16/2019 3.1 2.6 21.6% B 33,034
PLD 4/16/2019 2.4 1.9 27.8% C 14,699
UNH 4/16/2019 2.2 3.1 -27.5% A 203,599
AA 4/17/2019 5.6 5.4 3.6% F 7,919
ABT 4/17/2019 2.4 1.9 26.4% B 106,509
BK 4/17/2019 2.4 3.4 -28.1% D 36,742
CCI 4/17/2019 3.0 1.5 105.0% B 54,836
CCK 4/17/2019 2.9 2.0 44.2% C 1,565
ETFC 4/17/2019 2.6 2.3 12.3% C 8,240
KMI 4/17/2019 1.5 1.7 -11.0% C 39,656
KSU 4/17/2019 2.5 2.8 -10.7% C 8,854
MS 4/17/2019 2.7 2.7 1.6% D 140,201
PEP 4/17/2019 2.0 1.7 14.4% C 113,059
TXT 4/17/2019 5.5 4.5 22.6% C 2,182
UAL 4/17/2019 4.5 6.7 -33.4% B 165,240
URI 4/17/2019 2.6 5.9 -55.3% C 53,647
USB 4/17/2019 0.8 1.7 -54.6% B 23,005
ALLY 4/18/2019 3.8 3.5 8.6% B 20,225
AXP 4/18/2019 2.7 3.0 -9.9% B 108,538
BX 4/18/2019 1.7 1.5 13.6% D 37,465
DHR 4/18/2019 1.2 2.8 -57.4% B 12,321
GPC 4/18/2019 3.0 3.8 -20.5% A 12,177
GTLS 4/18/2019 6.3 5.8 9.3% C 2,990
HON 4/18/2019 1.6 1.6 0.3% B 59,202
MAN 4/18/2019 4.1 5.1 -18.5% C 10,737
NUE 4/18/2019 1.6 2.1 -25.2% B 17,382
PM 4/18/2019 3.2 3.9 -17.1% C 95,948
PPG 4/18/2019 1.3 2.4 -44.3% C 66,983
SBNY 4/18/2019 1.4 3.6 -61.1% C 2,860
SKX 4/18/2019 12.3 17.1 -28.4% C 9,631
SLB 4/18/2019 1.0 2.2 -53.0% D 48,264
SNA 4/18/2019 3.4 6.8 -49.8% A 2,558
SYF 4/18/2019 4.1 4.9 -16.7% C 10,837
TRV 4/18/2019 2.0 2.5 -17.8% B 5,987
UNP 4/18/2019 1.6 3.3 -51.7% B 265,138

 

Volatility Standouts

 

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
VICI 69.75% A 0.37% 0.00 2,182
FHB 63.87% B -0.58% 5.93 773
CARS 57.68% C 3.49% 90.91 6,394
FUN 53.72% B -0.97% 58.89 3,495
ES 53.15% A -0.84% 24.11 1,035
GCI 51.90% B -2.12% 30.04 693
UPWK 43.14% F 0.43% 0.00 171
BMRN 42.17% D 0.34% 82.21 2,602
VGR 39.32% C 0.00% 64.43 1,278
VST 36.79% F 0.62% 14.23 6,989
ARRY 36.60% F -0.28% 62.06 10,208
HIIQ 36.04% D -2.03% 98.42 20,623
TJX 34.02% B 0.00% 32.41 14,222
FDP 33.71% F 2.16% 97.63 299
CTXS 33.37% C -0.92% 51.38 22,716
SNCR 33.29% C 6.80% 45.87 360
ELAN 32.71% C -4.43% 31.71 101,651
TXRH 31.84% C 0.27% 46.25 2,704
ZNGA 31.67% D -0.83% 15.81 4,253
BXMT 31.23% C -0.39% 19.76 259
ETH 30.75% C -5.12% 69.96 156
ZIXI 30.12% C -0.65% 69.17 127
EROS 30.09% F 0.21% 55.34 345
AJG 30.00% A -1.21% 56.92 715
Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
BIIB -70.21% C 0.37% 55.73 111,306
MLNX -67.15% B -0.58% 5.53 38,987
ELLI -60.05% D 3.49% 1.19 139,486
CELG -5.81E-01 A -0.97% 0.00 344,134
WCG -56.50% B -0.84% 20.16 3,359
NVRO -52.79% D -2.12% 40.71 1,047
RHT -52.16% C 0.43% 13.04 166,977
OZK -48.63% C 0.34% 71.54 692
SCOR -44.75% C 0.00% 95.52 380
EXP -44.21% C 0.62% 74.31 795
WP -44.02% D -0.28% 22.13 1,481
VSM -40.55% C -2.03% 1.98 7,818
SYNA -39.25% C 0.00% 35.18 2,018
EB -36.68% D 2.16% 2.40 136
TTD -34.92% D -0.92% 69.57 33,781
STI -34.38% C 6.80% 34.78 12,260
KEY -34.26% C -4.43% 47.83 4,882
AVYA -34.05% D 0.27% 76.68 405
SVMK -33.31% F -0.83% 11.38 1,650
REZI -33.12% D -0.39% 35.24 344
HQY -32.06% C -5.12% 49.80 1,725
ROKU -29.94% D -0.65% 52.57 96,804
BBT -29.28% B 0.21% 53.36 29,727
CMA -28.42% B -1.21% 47.04 4,443
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE