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VIX up almost 5% on equity reversal after 7 day rally.

Apr 08, 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 opened lower this morning but have since pared losses as February Factory Orders failed to deliver any surprises (-0.5% vs. -0.5% est.; Ex. Trans +0.3%). Currently, the S&P is -.20% the Russell is -.35% and the Nasdaq is -.10%. Bonds are softer this afternoon (TLT -.30%, US 10 year yield up to 2.517%) and could see continued volatility this week with CPI figures on Wednesday. In single name news, , shares of General Electric are down nearly 8% after being downgraded by JP Morgan’s Stephen Tusa who lowered his one-year price target to $5 (down from $6) citing free cash flow concerns. Oil is outperforming today (WTI Crude +1.8%; 5-month highs) as tensions in Libya add to supply concerns (on top of OPEC supply cuts). Meanwhile, Real Estate lags the broader market (IYR -.65%) with longer-term rates drifting higher. The dollar is softer today (-.30%) which is helping to lift precious metals (GLD +.45; SLV +.80%). Volatilities are bid across the board with the VIX +5% at 13.47, VXN +5.5% to 17.09, and RVX +5% to 16.98.  

 

ETF 30D Volatility Changes

SPY:     FLAT

IWM:    +2%

QQQ:   +1%

 

Directional Options Strategies

Bullish Option Strategies

BP Buyer 10,000 Jun 48 calls (opening, paid $.25, Earnings 4/30, ref. 44.95)

CVE Seller 40,000 Apr 10 calls to Buy 20,000 May 10 calls (rolls out, reduces units, maintains bullish exposure, Earnings 4/24, ref. 9.54)

ATVI Buyer 7,200 May 47.5 calls (paid b/w $2.25 and $2.50, ref. 46.81)

SYMC Seller 12,500 Jul 25 calls to Buy 18.750 Jul 27 calls (monetizes, rolls up and adds units, ref. 24.50)

FCX 13,350 Apr – May 14 call spreads trade (appears to roll out, trades $.40, ref. ref. 13.56)

SE Buyer 4,700 Jun 22.5 calls (paid b/w $2.35 and $2.40, ref. 22.46)

 

Bearish Option Strategies

GE Buyer 50,000 Apr 26th – May 3rd 9.5 puts (monetizes, paid $.19 to roll out, ref. 9.44)

LOW Buyer 20,000 Apr 87.5 calls to Sell 20,000 Oct 100 calls (rolls write out and up, ref. 115.52)

SYMC Buyer 10,470 Apr 22 puts (appears closing, paid $.07, ref. 24.62)

EBAY Buyer 3,000 Apr 12th 37.5 puts (paid $.21, ref. 37.77)

TSLA Seller 3,500 Apr 280 – 300 call spreads (untied, collects $5.125, ref. 276.30)

WFC 6,700 Nov 45 puts trade (appears bought, $1.94, ref. 48.73)

TMUS 3,000 May 70 – 65 1x2 put spreads trade (trades $.73, ref. 70.53)

SIG Buyer 3,000 May 26 – 22 put spreads (paid $1.225, ref. 26.39)

 

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

XOP Seller 35,000 May 32 calls to Buy 36,000 May 34 calls (untied, paid $.46, monetizes, rolls up, ref. ref. 32.34)

SPY 12,000 Apr 291 calls trade (appears bought, $.74, ref. 287.92)

RSX Buyer 10,000 May 22 calls (Russia ETF, appears to add to 50,000 open, paid $.23, ref. 21.24)

EWW 5,000 Jun 42 puts trade vs. 5,000 Jun 47 – 49 – 51 call flies (appears to Sell put to finance Call Fly, trades $.01, ref. 46.46)

 

Bearish Option Strategies

QQQ 10,415 May 172 puts trade (appears bought, $.95, ref. 183.93)

IWM 6,899 May 3rd 150 puts trade (appears bought, $.82, ref. 156.13)

FXI Seller 43,600 Apr 12th 45.5 calls tied to stock (appears closing, collects $.445, ref. 45.60)

XLU Seller 7,021 Apr 26th 58.5 calls to Buy 7,021 57 puts (paid $.04, ref. 57.75)

HYG 8,000 Jul 84 puts trade (appears bought, $.71, ref. 86.33)

VIX Buyer 60,000 May 22 – 23 call spreads (paid $.06, ref. 15.60 (May future))

XOP Seller 16,000 May 35 – 36 call spreads (collects $.16, ref. 32.15)

 

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

 

 

Finance Trades Options Strategies

COTY 2,000 May 15 RevCons trade (ref. 11.28)

 

 

 

Upcoming Earnings

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
BBBY 4/10/2019 10.1 13.2 -23.5% C 14,532
DAL 4/10/2019 2.6 2.0 24.6% B 78,651
MSM 4/10/2019 5.1 4.6 9.3% B 1,899
FAST 4/11/2019 5.1 5.9 -13.0% B 62,745
JPM 4/12/2019 2.0 1.2 68.2% C 473,762
PNC 4/12/2019 2.1 1.6 27.2% C 17,680
WFC 4/12/2019 2.5 1.7 44.0% C 328,345
C 4/15/2019 2.4 1.9 28.0% C 215,942
GS 4/15/2019 3.2 3.2 0.0% D 396,891
JBHT 4/15/2019 3.3 3.0 8.7% C 1,524
MTB 4/15/2019 1.7 2.9 -39.9% A 31,521
BAC 4/16/2019 2.2 2.3 -5.4% C 440,466
BLK 4/16/2019 2.1 2.3 -6.7% C 48,314
CMA 4/16/2019 2.0 2.5 -20.2% B 4,443
CSX 4/16/2019 3.7 3.7 1.6% B 38,344
IBM 4/16/2019 5.0 5.8 -13.4% C 233,659
JNJ 4/16/2019 2.2 2.4 -8.9% C 350,746
NFLX 4/16/2019 7.2 6.9 3.8% D 3,540,152
OMC 4/16/2019 4.4 4.0 9.8% B 18,842
PGR 4/16/2019 3.2 2.6 23.4% B 33,034
PLD 4/16/2019 2.6 1.9 38.1% C 14,699
SCHW 4/16/2019 2.7 2.5 5.5% B 16,402
UAL 4/16/2019 4.5 6.7 -32.4% B 165,240
UNH 4/16/2019 3.3 3.1 6.9% A 203,599
AA 4/17/2019 6.3 5.4 17.1% F 7,919
ABT 4/17/2019 3.2 1.9 69.5% B 106,509
BK 4/17/2019 3.3 3.4 -0.5% D 36,742
CCI 4/17/2019 2.3 1.5 57.2% B 54,836
CCK 4/17/2019 3.3 2.0 65.8% C 1,565
ETFC 4/17/2019 3.7 2.3 64.2% C 8,240
KMI 4/17/2019 2.1 1.7 24.4% C 39,656
KSU 4/17/2019 3.1 2.8 9.6% C 8,854
MS 4/17/2019 3.4 2.7 26.5% D 140,201
PEP 4/17/2019 2.0 1.7 12.7% C 113,059
STLD 4/17/2019 2.8 2.4 14.1% C 2,290
TXT 4/17/2019 5.0 4.5 12.0% C 2,182
URI 4/17/2019 5.4 5.9 -7.6% C 53,647
USB 4/17/2019 2.1 1.7 21.2% B 23,005
ALLY 4/18/2019 3.7 3.5 5.4% B 20,225
AXP 4/18/2019 3.3 3.0 9.0% B 108,538
BBT 4/18/2019 0.8 2.2 -63.6% B 29,727
BX 4/18/2019 2.2 1.5 48.1% D 37,465
CFG 4/18/2019 2.3 2.6 -9.1% C 5,965
DHR 4/18/2019 2.4 2.8 -15.8% B 12,321
GPC 4/18/2019 3.0 3.8 -21.7% A 12,177
GTLS 4/18/2019 6.7 5.8 15.7% C 2,990
HON 4/18/2019 2.3 1.6 42.7% B 59,202
MAN 4/18/2019 4.9 5.1 -3.6% C 10,737
PM 4/18/2019 3.0 3.9 -21.3% C 95,948
PPG 4/18/2019 2.2 2.4 -9.3% C 66,983
RF 4/18/2019 2.5 1.9 33.2% C 15,913
SBNY 4/18/2019 3.1 3.6 -14.3% C 2,860
SKX 4/18/2019 12.4 17.1 -27.6% C 9,631
SLB 4/18/2019 2.2 2.2 2.0% D 48,264
SNA 4/18/2019 6.0 6.8 -11.4% A 2,558
SYF 4/18/2019 4.5 4.9 -8.0% C 10,837
TRV 4/18/2019 2.2 2.5 -10.7% B 5,987
UNP 4/18/2019 2.1 3.3 -34.4% B 265,138

 

Volatility Standouts

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
VSM -65.41% C 0.00% 19.76 7,818
MLNX -63.00% B 0.00% 0.79 38,987
CELG -59.34% A 1.26% 0.79 344,134
BIIB -58.67% C -2.44% 45.45 111,306
WCG -55.62% B -1.61% 17.79 3,359
RHT -45.99% C 0.00% 22.13 166,977
OZK -45.62% C -1.08% 73.91 692
SCOR -44.04% C 1.01% 94.61 380
EXP -43.37% C -8.08% 81.82 795
SVMK -37.49% F -4.31% 1.59 1,650
EB -35.38% D -0.05% 29.69 136
TTD -33.80% D 0.18% 66.80 33,781
SYNA -31.74% C 0.84% 86.17 2,018
AVYA -31.67% D -1.95% 76.68 405
NVRO -31.44% D -0.56% 43.87 1,047
REZI -31.19% D 0.62% 36.11 344
WYND -29.79% C 3.45% 31.35 597
WP -29.57% D 0.00% 20.95 1,481
ROKU -26.98% D 0.41% 81.42 96,804
CBLK -26.56% F -4.16% 16.20 3,802
MOV -25.53% C -5.98% 47.83 390
BBBY -24.46% C 2.77% 75.49 14,532
VIAB -24.31% B 3.12% 25.30 9,698
DELL -2.34E-01 C -2.56% 20.90 28,172
Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
DFRG 59.95% D 14.60% 62.45 1,026
BMRN 51.60% D 5.97% 88.14 2,602
QCOM 43.99% D 0.15% 73.91 481,831
ARRY 41.92% F 7.45% 52.96 10,208
UPWK 41.33% F 1.48% 5.62 171
CZR 38.34% D -0.26% 66.40 28,287
WATT 37.09% F -1.30% 79.05 3,078
ZIXI 36.95% C 10.59% 90.12 127
VGR 36.64% C -6.53% 64.43 1,278
FTAI 36.32% A -2.19% 57.71 2,266
BKS 35.18% C 3.89% 29.25 138
ZNGA 34.98% D 8.82% 29.64 4,253
TPX 33.91% D -2.15% 35.57 35,242
HIIQ 33.76% D 0.46% 93.68 20,623
TXRH 33.00% C 5.67% 37.15 2,704
AVB 32.94% A 3.94% 24.11 2,314
VST 32.76% F -5.95% 28.06 6,989
ELAN 32.74% C 0.14% 24.60 101,651
AXTA 31.53% D 0.97% 30.83 6,027
BXMT 31.10% C 0.00% 0.40 259
UNM 30.62% B -2.66% 60.47 1,951
MSG 30.03% C 0.68% 46.25 767
DVA 29.93% D 0.39% 69.57 1,139
PLAN 29.33% D 2.88% 41.46 212
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE