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VIX Approaches 14 as US Stocks Pause for the First Time in 5 Days

Apr 04, 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 trading in a tight range around unchanged this afternoon as investors digest trade headlines.   Currently, the S&P is -.05% the Russell is -.05% and the Nasdaq is -.30%.  Bonds are mildly stronger (TLT +.15%, US 10-year yield down to 2.508%) and are mostly focused on tomorrow morning’s jobs number.  In single name action, Tesla is down more than 8% (but off lows) after missing on its delivery numbers (63k vs. 76k est.).  Yield-sensitive sectors are underperforming the broader market this afternoon (IYR -.50%, XLU -.45%) while Industrials outperform led by Boeing (+2.85%).  The dollar is slightly stronger today (+.15%) as Brexit uncertainty weighs on the Great British Pound (-.64%). Volatilities are mixed today with the VIX +.95% at 13.87, VXN +3.5% to 17.22, and RVX -.45% to 17.44.

 

ETF 30D Volatility Changes

SPY:       -2%

IWM:     -1%

QQQ:     +2%

 

Directional Options Strategies

Bullish Option Strategies

CZR Seller 20,000 Apr 8 puts to Buy 20,000 Apr 10 – 11 call spreads (untied, trades even, ref. 8.90)

LYFT 1,200 May 100 calls trade ($.45, ref. 71.53)

MPC Seller 3,000 May 52.5 puts to Buy 3,000 May 65 calls (paid $.32, ref. 60.45)

DISCA Buyer 3,000 May 30 calls tied to stock (paid $.83, ref. 28.47)

 

Bearish Option Strategies

NIO Buyer 10,000 Jan 4 puts (paid $.60, ref. 5.33)

NLSN Seller 15,000 Jun 29 calls to Buy 15,000 Jun 23 – 20 put spreads (trades even, ref. 26.52)

FCAU 4,900 Jun 16 calls trade (appears sold, ref. 15.39)

ITUB Buyer 6,500 Jan 7 puts tied to stock (paid $.39, ref. 8.74)

WFC Buyer 5,000 Jan20 – Jan21 45 put spreads (paid $2.30)

GDDY Seller 4,500 May 77.5 calls (collects $2.03, ref. 74.51)

 

 

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 100,000 Jun 28 calls (more than 150,000 trade on the day, paid $.23 on largest block, ref. 26.53)

FXI Seller 150,000 Apr 12th 44.5 puts (collects $.19, appears to close out trade opened yesterday, ref. 45.40)

FXI Seller 79,000 Apr 12th 44 puts (appears closing, collects $.09, ref 45.33)

XOP Seller 7,250 Apr 26th 31 calls to Buy 7,250 May 10th 31 calls (paid $.29, rolls out, ref. 30.25)

XME Buyer 10,000 May 32 calls (paid $.33, ref. 30.25)

 

Bearish Option Strategies

XLU Buyer 22,000 Apr 5th 57 puts trade (paid $.07, ref. 57.71)

SMH Buyer 4,000 May 104 – 99 put spreads (paid $.62, ref. 111.98)

USO Seller 13,750 Oct 15 calls to Buy 12,000 Oct 12 – 10.5 puts spreads (ref. 12.95)

XLF 25,000 Apr 26.5 calls trade (appears sold to monetize existing position, ref. 26.47)

SLV 23,000 May 14 puts trade (possibly closing, ref. 14.01)

 

 

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

 

 

Finance Trades Options Strategies

EWW 5,000 May 45 RevCons trade (ref. 44.26)

LYFT 3,100 May 80 RevCons trade (ref. 71.87)

SQ 1,000 May 70 RevCons trade (ref. 74.09)

 

Upcoming Earnings

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
BBBY 4/10/2019 9.4 12.7 -25.7% C             14,532
DAL 4/10/2019 1.9 2.0 -7.6% B             78,651
MSM 4/10/2019 4.6 4.6 -0.8% B               1,899
FAST 4/11/2019 4.9 5.9 -16.5% B             62,745
JPM 4/12/2019 1.9 1.2 59.4% C           473,762
PNC 4/12/2019 1.3 1.6 -18.3% C             17,680
WFC 4/12/2019 2.4 1.7 35.7% C           328,345
C 4/15/2019 1.7 1.9 -11.8% C           215,942
GS 4/15/2019 2.9 3.2 -9.3% D           396,891
JBHT 4/15/2019 2.1 3.0 -30.3% C               1,524
BAC 4/16/2019 1.3 2.3 -42.9% C           440,466
BLK 4/16/2019 1.5 2.3 -32.4% C             48,314
CMA 4/16/2019 0.6 2.5 -76.1% B               4,443
CSX 4/16/2019 3.6 3.7 -1.6% B             38,344
IBM 4/16/2019 4.7 5.8 -18.5% C           233,659
JNJ 4/16/2019 2.2 2.4 -7.7% C           350,746
NFLX 4/16/2019 6.9 6.9 0.2% D        3,540,152
OMC 4/16/2019 4.0 4.0 1.5% B             18,842
PGR 4/16/2019 2.9 2.6 13.2% B             33,034
PLD 4/16/2019 2.5 1.9 36.2% C             14,699
UNH 4/16/2019 2.7 3.1 -12.4% A           203,599
AA 4/17/2019 5.9 5.4 10.1% F               7,919
ABT 4/17/2019 2.7 1.9 40.8% B           106,509
BK 4/17/2019 2.8 3.4 -15.8% D             36,742
CCI 4/17/2019 2.4 1.5 65.4% B             54,836
CCK 4/17/2019 3.2 2.0 56.4% C               1,565
ETFC 4/17/2019 3.2 2.3 39.1% C               8,240
KMI 4/17/2019 1.7 1.7 3.4% C             39,656
KSU 4/17/2019 2.7 2.8 -3.4% C               8,854
MS 4/17/2019 3.2 2.7 20.6% D           140,201
PEP 4/17/2019 1.9 1.7 7.9% C           113,059
TXT 4/17/2019 5.0 4.5 11.8% C               2,182
UAL 4/17/2019 4.5 6.7 -33.1% B           165,240
URI 4/17/2019 3.1 5.9 -47.8% C             53,647
USB 4/17/2019 1.4 1.7 -20.1% B             23,005
ALLY 4/18/2019 3.7 3.5 4.0% B             20,225
AXP 4/18/2019 2.9 3.0 -2.3% B           108,538
BX 4/18/2019 1.9 1.5 25.1% D             37,465
DHR 4/18/2019 1.8 2.8 -35.3% B             12,321
GPC 4/18/2019 2.9 3.8 -22.2% A             12,177
GTLS 4/18/2019 6.4 5.8 9.9% C               2,990
HON 4/18/2019 2.0 1.6 25.5% B             59,202
MAN 4/18/2019 4.1 5.1 -19.1% C             10,737
NUE 4/18/2019 1.3 2.1 -38.5% B             17,382
PM 4/18/2019 3.1 3.9 -20.7% C             95,948
PPG 4/18/2019 1.2 2.4 -49.6% C             66,983
SBNY 4/18/2019 1.5 3.6 -57.8% C               2,860
SKX 4/18/2019 12.2 17.1 -29.0% C               9,631
SLB 4/18/2019 1.9 2.2 -12.6% D             48,264
SNA 4/18/2019 5.8 6.8 -14.9% A               2,558
SYF 4/18/2019 4.2 4.9 -13.2% C             10,837
TRV 4/18/2019 2.1 2.5 -16.1% B               5,987
UNP 4/18/2019 1.7 3.3 -46.6% B           265,138
AABA 4/22/2019 2.1 1.6 29.9% D             32,036
CDNS 4/22/2019 6.0 6.2 -2.4% B               2,430
FE 4/22/2019 3.1 1.6 101.5% B               2,199
GWW 4/22/2019 6.2 9.0 -30.5% C             31,682
HAL 4/22/2019 1.0 3.6 -70.9% C             22,402
KMB 4/22/2019 2.8 1.9 49.4% B             14,632
LII 4/22/2019 4.1 2.2 82.1% B               6,864
WHR 4/22/2019 5.4 7.6 -28.6% C             23,071

Volatility Standouts

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
CARS 55.57% C 4.03% 89.72          6,394
ETH 50.43% C 0.00% 69.96             156
ARRY 46.99% F 18.69% 49.80        10,208
BMRN 45.65% D 3.07% 88.14          2,602
VGR 39.93% C -6.37% 67.59          1,278
TJX 35.76% B 2.26% 29.64        14,222
VICI 35.47% A 0.00% 8.70          2,182
EROS 34.48% F 0.00% 42.69             345
ZIXI 33.89% C 0.00% 64.43             127
FDP 31.84% F -6.51% 98.42             299
CTXS 31.67% C 1.20% 55.34        22,716
VST 31.54% F -1.05% 25.30          6,989
DG 31.09% B 0.12% 4.35        15,095
UPWK 30.95% F 0.35% 8.05             171
HIIQ 30.45% D -2.57% 97.63        20,623
WATT 30.35% F 1.33% 72.33          3,078
INSG 30.35% C 11.29% 8.43             338
RLGY 29.66% D 0.76% 94.86        23,850
TXRH 28.83% C 5.75% 35.18          2,704
BKS 28.75% C 1.37% 35.18             138
LDOS 28.65% B 7.01% 63.64             607
AFL 28.50% A 0.66% 66.80        11,504
BLMN 27.95% B -0.84% 64.03          4,753
HSY 27.37% A -0.24% 88.93        12,693
AEE 27.28% C 9.94% 34.39             265
CBOE 26.01% C -0.66% 46.64        13,183
AIV 25.93% D 0.00% 37.94             199
TPX 25.50% D -0.84% 31.23        35,242
BGS 25.23% D -0.34% 72.33             738
KNX 25.14% C 0.08% 83.79          2,718

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
BIIB -70.19% C -4.48% 58.10      111,306
MLNX -59.85% B 0.00% 5.93        38,987
CELG -59.62% A -8.04% 0.40      344,134
WCG -56.53% B -4.31% 19.76          3,359
OZK -46.85% C -0.04% 66.80             692
WP -46.49% D 0.00% 8.30          1,481
SCOR -45.84% C -0.39% 93.56             380
EXP -40.85% C -0.70% 78.26             795
RHT -38.87% C 0.00% 23.72      166,977
SYNA -36.84% C 0.21% 42.29          2,018
EB -34.75% D -2.17% 35.71             136
TTD -34.60% D 1.30% 70.36        33,781
SVMK -34.57% F -0.95% 6.45          1,650
VSM -34.44% C 0.00% 0.40          7,818
NVRO -33.03% D -0.35% 39.53          1,047
AVYA -31.21% D 1.93% 76.68             405
HQY -30.01% C -0.46% 50.99          1,725
WYND -29.91% C 4.64% 27.38             597
KEY -29.53% C -0.80% 54.94          4,882
MPW -28.94% C 0.00% 28.46          1,022
ROKU -28.71% D 0.18% 60.47        96,804
REZI -28.48% D 2.45% 34.91             344
STI -28.04% C 0.03% 52.57        12,260
CBLK -27.73% F 0.21% 8.47          3,802
MOV -25.92% C -6.23% 37.15             390
WDC -25.92% D -0.60% 72.33        70,428
DELL -25.64% C -1.44% 0.00        28,172
AMD -25.28% D 2.04% 54.15      292,847
BBBY -25.08% C -0.20% 79.05        14,532

 

 

 

OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE