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VIX down -4% as equities continue to the upside

Apr 05, 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

Stocks are making a measured move higher this afternoon after the US job market bounced back in March (Nonfarm Payrolls 196k vs. 177k est.) Currently, the S&P is +.40% the Russell is +.80% and the Nasdaq is +.50%. Bonds remain bid (TLT +.15%, US 10 year yield down to 2.508%) as the wage growth figure came in muted (0.1% vs. 0.3% m/m est.). In single name action, Lyft is up 4% this after Citron made positive comments about the firm this morning. Biotech is outperforming today (XBI +1.85%) while the Materials sector (XLB +.05) lags the broader market as the jobs report revealed that hiring in the manufacturing sector fell (-6k vs. +10k est.). The dollar is stronger today (+.23%) as Theresa May seeks another extension (FXB -.60%). Volatilities are under pressure today with the VIX -4% at 13.00, VXN -3.5% to 16.20, and RVX -3.5% to 16.38.  

 

ETF 30D Volatility Changes

SPY:    -5%

IWM:    -4%

QQQ:   -3%

 

Directional Options Strategies

Bullish Option Strategies

AKBA Buyer 20,000 Oct 10 – 12.5 call spreads trade (paid $.325, ref. 6.97)

TSLA Buyer 2,000 Apr 280 – 300 call spreads (paid $3.75, ref. 267.39)

KR Buyer 3,772 Jan 30 calls (appears closing, paid $.80, ref. ref. 23.78)

NEM Buyer 2,500 Jan 37 straddles tied to stock (delta neutral, long vol, ref. 36.52)

FOXA Seller 5,500 May 36 puts (collects $1.00, ref. 37.16)

 

Bearish Option Strategies

GE Buyer 50,000 Apr – May  3rd 9.5 put spreads (appears to roll long puts out, paid $.20, ref. 10.07)

GE Buyer 25,600 Sep 11 puts (paid $1.54, ref. 10.02)

GME Buyer 5,770 Jan21 10 puts (paid $3.60, ref. 9.79)

SNAP Buyer 13,000 Jan 10 puts (closing, paid $1.42, more than 25,000 trade)

CPRI Buyer 4,500 Apr 48.5 puts (paid $1.40, ref. 48.74)

TSLA Buyer 5,000 Apr 260 puts tied to stock (paid $4.60, ref. 273.70)

 

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

XRT Buyer 15,500 May 48 – 49 call stupids (opening, paid $.47, ref. 45.91)

SPY 16,350 May 298 calls trade (appears bought, ref. 288.52)

GDX 8,000 Jan 19 puts trade (appears sold, $.50, ref. 22.31)

XOP 10,000 May 10th 34 calls trade ($.235, ref. 31.43)

XOP 7,700 Ap 32 – Apr 26th 32.5 call spreads trade (appears to roll out and up, ref. 31.23)

EFA Seller 20,000 Jun 66 puts to Buy 10,000 Jan 60 puts tied to stock (collects $1.90, ref. 66.17) 

 

Bearish Option Strategies

LQD Buyer 17,500 Jan 115 puts (paid $1.40, ref. 118.57)

SPY Buyer 30,000 May 258 – 241 – 224 put flies (paid $.15, ref. 288.19)

VIX Buyer 25,000 Sep 27 calls (paid $.83, ref. 16.83 (Sep))

EMB Buyer 8,500 Jun 109 – 107 put spreads (paid $.35, ref. 110.12)

HYG Buyer 12,000 Apr 86.5 puts (paid $.25, ref. 86.40)

EEM Seller 20,000 May 46 calls tied to stock (collects $.295, ref. 44.16)

EWW 5,000 Apr 46 calls trade (appears sold, possibly closing, ref. 45.39)

 

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

 

 

Finance Trades Options Strategies

HYG 25,000 May – Jun 95 Jelly Rolls trade (ref. 86.44)

 

 

 

Upcoming Earnings

 

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
BBBY 4/10/2019 10.1 12.7 -20.2% C 14,532
DAL 4/10/2019 2.0 2.0 -3.0% B 78,651
MSM 4/10/2019 5.2 4.6 12.9% B 1,899
FAST 4/11/2019 5.4 5.9 -7.9% B 62,745
JPM 4/12/2019 2.1 1.2 76.6% C 473,762
PNC 4/12/2019 1.7 1.6 4.1% C 17,680
WFC 4/12/2019 2.7 1.7 55.6% C 328,345
C 4/15/2019 2.5 1.9 31.5% C 215,942
GS 4/15/2019 3.2 3.2 -1.4% D 396,891
JBHT 4/15/2019 2.9 3.0 -5.4% C 1,524
MTB 4/15/2019 1.9 2.9 -33.8% A 31,521
BAC 4/16/2019 2.2 2.3 -5.8% C 440,466
BLK 4/16/2019 2.2 2.3 -5.1% C 48,314
CMA 4/16/2019 2.1 2.5 -13.1% B 4,443
CSX 4/16/2019 3.8 3.7 2.3% B 38,344
IBM 4/16/2019 5.1 5.8 -11.6% C 233,659
JNJ 4/16/2019 2.3 2.4 -5.5% C 350,746
NFLX 4/16/2019 7.3 6.9 6.2% D 3,540,152
OMC 4/16/2019 4.4 4.0 10.3% B 18,842
PGR 4/16/2019 2.8 2.6 10.8% B 33,034
PLD 4/16/2019 2.7 1.9 46.9% C 14,699
SCHW 4/16/2019 2.5 2.5 1.0% B 16,402
UAL 4/16/2019 4.6 6.7 -31.4% B 165,240
UNH 4/16/2019 3.1 3.1 1.9% A 203,599
AA 4/17/2019 6.6 5.4 23.0% F 7,919
ABT 4/17/2019 3.1 1.9 62.0% B 106,509
BK 4/17/2019 3.2 3.4 -3.1% D 36,742
CCI 4/17/2019 2.4 1.5 64.8% B 54,836
CCK 4/17/2019 3.7 2.0 84.1% C 1,565
ETFC 4/17/2019 3.6 2.3 56.7% C 8,240
KMI 4/17/2019 2.3 1.7 33.8% C 39,656
KSU 4/17/2019 3.3 2.8 14.6% C 8,854
MS 4/17/2019 3.5 2.7 29.4% D 140,201
PEP 4/17/2019 2.0 1.7 13.8% C 113,059
STLD 4/17/2019 3.5 2.4 42.6% C 2,290
TXT 4/17/2019 5.1 4.5 14.7% C 2,182
URI 4/17/2019 5.3 5.9 -9.5% C 53,647
USB 4/17/2019 2.2 1.7 23.1% B 23,005
ALLY 4/18/2019 4.0 3.5 12.3% B 20,225
AXP 4/18/2019 3.2 3.0 7.4% B 108,538
BBT 4/18/2019 1.1 2.2 -49.6% B 29,727
BHGE 4/18/2019 3.2 1.9 67.8% F 7,497
BX 4/18/2019 2.3 1.5 51.1% D 37,465
CFG 4/18/2019 2.1 2.6 -17.4% C 5,965
DHR 4/18/2019 2.3 2.8 -18.7% B 12,321
GE 4/18/2019 2.2 5.0 -56.6% D 232,150
GPC 4/18/2019 3.0 3.8 -21.1% A 12,177
GTLS 4/18/2019 7.2 5.8 24.2% C 2,990
HON 4/18/2019 2.3 1.6 38.5% B 59,202
KEY 4/18/2019 1.1 2.8 -62.3% C 4,882
MAN 4/18/2019 4.9 5.1 -3.9% C 10,737
PM 4/18/2019 3.1 3.9 -19.0% C 95,948
PPG 4/18/2019 2.8 2.4 16.0% C 66,983
RF 4/18/2019 2.5 1.9 34.7% C 15,913
SBNY 4/18/2019 2.9 3.6 -20.7% C 2,860
SKX 4/18/2019 12.2 17.1 -28.6% C 9,631
SLB 4/18/2019 2.5 2.2 13.7% D 48,264
SNA 4/18/2019 6.0 6.8 -11.4% A 2,558
SYF 4/18/2019 4.5 4.9 -8.2% C 10,837
TRV 4/18/2019 2.3 2.5 -5.1% B 5,987
UNP 4/18/2019 2.0 3.3 -37.5% B 265,138

 

Volatility Standouts

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
ULTI -74.31% F 0.00% 1.58 536
BIIB -59.69% C -4.78% 49.01 111,306
MLNX -58.37% B 0.00% 6.32 38,987
WCG -57.14% B -7.54% 17.39 3,359
RHT -55.72% C 0.00% 24.90 166,977
CELG -55.33% A -0.77% 0.00 344,134
OZK -46.05% C -1.24% 72.73 692
EXP -45.56% C -8.10% 78.26 795
SCOR -43.86% C 3.46% 94.09 380
VSM -41.46% C 0.00% 1.98 7,818
WP -36.44% D 0.00% 16.60 1,481
EB -35.70% D -2.30% 32.28 136
SVMK -34.76% F -1.25% 13.60 1,650
TTD -33.28% D -0.66% 73.52 33,781
SYNA -32.53% C 3.20% 47.04 2,018
NVRO -3.07E-01 D 1.17% 41.11 1,047
AVYA -30.52% D -2.04% 77.47 405
REZI -28.58% D 0.81% 39.25 344
ROKU -27.16% D 0.37% 77.47 96,804
WYND -24.75% C 9.15% 27.38 597
VIAB -24.68% B -1.63% 35.97 9,698
BBBY -23.64% C 1.12% 80.24 14,532
DELL -22.51% C -3.03% 12.12 28,172
MOV -22.26% C 2.99% 32.02 390
Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
BMRN 51.41% D 2.21% 85.77 2,602
ETH 50.18% C 0.00% 62.85 156
CZR 43.11% D 1.33% 72.33 28,287
EROS 42.47% F 0.00% 49.41 345
ZIXI 42.04% C 0.00% 79.45 127
VICI 41.45% A 0.00% 1.58 2,182
UPWK 41.45% F 0.07% 6.82 171
FTAI 39.40% A 0.32% 59.29 2,266
AIV 38.96% D 0.00% 40.71 199
VGR 38.77% C -6.97% 64.43 1,278
VST 37.24% F -3.38% 26.09 6,989
AFL 37.11% A 0.28% 58.10 11,504
FDP 35.78% F -1.15% 97.23 299
UNM 35.55% B 7.70% 58.50 1,951
ZNGA 34.82% D 5.11% 10.28 4,253
ARRY 33.85% F 0.16% 52.17 10,208
AXTA 33.79% D -1.86% 30.83 6,027
HIIQ 33.68% D -0.35% 94.47 20,623
WATT 33.39% F -6.99% 81.82 3,078
BKS 33.09% C -7.15% 47.83 138
XEL 32.33% A 0.00% 28.46 387
HSY 32.17% A 0.57% 90.51 12,693
QCOM 31.98% D 0.20% 66.40 481,831
NHTC 31.88% D 0.00% 67.98 711
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE