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VIX up 2% as equities selloff on Tariff chatter

Apr 09, 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 softer this afternoon (but off lows) as President Trump’s tariff threat ($11 billion on a variety of EU products) has investors on edge. Currently, the S&P is -.3% the Russell is -.40% and the Nasdaq is -.05%. Bonds are seeing a safety bid (TLT +.40%, US 10 year yield down to 2.495%) as the IMF lowered its Global GDP forecast to 3.3% from 3.5%. In single name news, shares of American Airlines are down roughly 2% after cutting its Q1 revenue guidance (citing extended groundings of Boeing 737 Max jets). International equities are seeing a bit of selling pressure (EFA -.45%) and it’s worth noting one of today largest trades came via EFA (Buyer 74,500 May 10th 65 – 64 put spreads (paid $.21, ref. 65.94). Financials are lagging the broader market (XLF -.55%) as the 2-10 curve sees mild flattening while Utilities (XLU +.05%) are outperforming in sympathy with today’s risk-off feel. Volatilities are bid for the second consecutive session with the VIX +3% at 13.58, VXN +3% to 17.29, and RVX +2% to 17.14.  

 

ETF 30D Volatility Changes

SPY:    +4%

IWM:    +2%

QQQ:   +3%   

 

Directional Options Strategies

Bullish Option Strategies

AVYA Buyer 6,500 Sep 20 – 22.5 1x2 call spreads (paid $.25, ref. 18.25)

CNC Seller 10,000 Sep 47.5 puts to Buy 10,000 Sep 60 calls tied to stock (paid $3.10, ref. 57.07)

MSFT Buyer 5,000 Apr 115 – Jun 120 call spreads (paid $.45, rolls up and out, ref. 119.20)

GM Seller 6,000 May 37 puts (collects b/w $.51 and $.54, Earnings 4/30, ref. 38.76)

TPX Buyer 2,600 May 62.5 calls (paid $2.25, ref. 59.50)

HUYA Buyer 6,300 Apr 25 calls (paid $.85, ref. 24.20)

NLSN 3,500 Apr 27 calls trade (*Note deal speculation, ref. 26.73)

 

Bearish Option Strategies

F Buyer 13,000 Jun 9 puts (paid $.39, ref. 9.20)

PZZA Seller 10,000 Apr 47.5 – Oct 52.5 call spreads (rolls write out and up, collects $1.60,  ref. 50.22)

SNAP 5,000 May 3rd 11 puts trade (appears bought, $.52, ref. 12.38)

GRUB Buyer 9,500 May 80 puts tied to stock (Earnings 4/30, paid $11.60, ref. 71.16)

CPRI 3,600 Apr 12th 48.5 – 47.5 put spreads trade (appears to monetize and roll down, ref. 47.96)

CNC 12,800 May 60 calls trade (appears sold to monetize, collects $2.15 on largest block, ref. 56.90)

 

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

SPY Seller 33,000 Apr 285 – May 3rd 293 calls spreads (monetizes, rolls out and up, maintains bullish exposure, ref. 287.38)

HYG Seller 15,000 Jan 87 puts tied to stock (collects $4.10, ref. 86.34)

SPY 10,000 Apr 26th 294 – 298 1x2 call spreads trade versus 10,000 May 296 – 300 1x2 call spreads (appears to roll out and up, ref. 287.22)

 

Bearish Option Strategies

EFA Buyer 74,500 May 10th 65 – 64 put spreads (opening, paid $.21, ref. 65.94)

XOP Buyer 75,000 Sep 27 – 25 put spreads (paid $.36, ref. 31.55)

XOP Buyer 12,0500 Sep 30 – 27 – 24 put flies (paid $.41, ref. 31.53)

IYR 29,000 Apr 84 puts trade (opening, appears bought, $.065, ref. 87.38)

RUTW 15,419 May 3rd 1390 – 1340 put spreads trade (opening, trades $.53, ref. 1572.50)

VXXB Buyer 18,000 May 38 – 48 call spreads (paid $.30, ref. 28.08)

EWY Seller 10,000 May 65 calls (appears sold to close, $.49, ref. 63.01)

 

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

 

 

Finance Trades Options Strategies

QQQ 5,000 May 184 RevCons trade (ref. 184.79)

HYG 8,000 Jun 95 RevCons trade (ref. 86.34)

 

 

 

Upcoming Earnings

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
BBBY 4/10/2019 11.5 13.2 -13.0% C 14,532
DAL 4/10/2019 2.8 2.0 35.0% B 78,651
MSM 4/10/2019 5.8 4.6 25.1% B 1,899
FAST 4/11/2019 5.5 5.9 -7.4% B 62,745
JPM 4/12/2019 1.9 1.2 66.0% C 473,762
PNC 4/12/2019 2.5 1.6 52.4% C 17,680
WFC 4/12/2019 2.6 1.7 46.4% C 328,345
C 4/15/2019 2.8 1.9 46.5% C 215,942
GS 4/15/2019 3.4 3.2 5.7% D 396,891
JBHT 4/15/2019 3.6 3.0 17.6% C 1,524
MTB 4/15/2019 2.0 2.9 -29.7% A 31,521
BAC 4/16/2019 2.8 2.3 19.6% C 440,466
BLK 4/16/2019 2.1 2.3 -7.1% C 48,314
CMA 4/16/2019 2.1 2.5 -13.4% B 4,443
CSX 4/16/2019 3.8 3.7 2.5% B 38,344
IBM 4/16/2019 5.1 5.8 -12.6% C 233,659
JNJ 4/16/2019 2.4 2.4 -1.7% C 350,746
NFLX 4/16/2019 7.5 6.9 9.0% D 3,540,152
OMC 4/16/2019 4.5 4.0 13.0% B 18,842
PGR 4/16/2019 3.3 2.6 28.5% B 33,034
PLD 4/16/2019 2.5 1.9 33.8% C 14,699
SCHW 4/16/2019 2.8 2.5 13.0% B 16,402
UAL 4/16/2019 4.8 6.7 -28.1% B 165,240
UNH 4/16/2019 3.5 3.1 13.4% A 203,599
AA 4/17/2019 6.3 5.4 17.8% F 7,919
ABT 4/17/2019 3.1 1.9 61.9% B 106,509
BK 4/17/2019 3.3 3.4 -0.6% D 36,742
CCI 4/17/2019 2.2 1.5 49.6% B 54,836
CCK 4/17/2019 3.4 2.0 67.3% C 1,565
ETFC 4/17/2019 3.7 2.3 65.0% C 8,240
KMI 4/17/2019 2.4 1.7 41.1% C 39,656
KSU 4/17/2019 3.2 2.8 13.8% C 8,854
MS 4/17/2019 3.5 2.7 30.8% D 140,201
PEP 4/17/2019 1.9 1.7 11.8% C 113,059
TXT 4/17/2019 5.3 4.5 18.2% C 2,182
URI 4/17/2019 5.7 5.9 -2.8% C 53,647
USB 4/17/2019 2.3 1.7 30.2% B 23,005
ALLY 4/18/2019 3.7 3.5 5.3% B 20,225
AXP 4/18/2019 3.3 3.0 11.3% B 108,538
BBT 4/18/2019 1.4 2.2 -37.3% B 29,727
BX 4/18/2019 2.3 1.5 56.4% D 37,465
CFG 4/18/2019 2.6 2.6 3.1% C 5,965
DHR 4/18/2019 2.4 2.8 -15.8% B 12,321
GPC 4/18/2019 3.2 3.8 -16.0% A 12,177
GTLS 4/18/2019 6.6 5.8 14.5% C 2,990
HON 4/18/2019 2.2 1.6 35.6% B 59,202
KEY 4/18/2019 1.2 2.8 -57.4% C 4,882
MAN 4/18/2019 4.8 5.1 -6.2% C 10,737
PM 4/18/2019 3.1 3.9 -19.1% C 95,948
PPG 4/18/2019 2.3 2.4 -5.9% C 66,983
RF 4/18/2019 2.7 1.9 46.3% C 15,913
SBNY 4/18/2019 3.0 3.6 -17.2% C 2,860
SKX 4/18/2019 12.1 17.1 -29.4% C 9,631
SLB 4/18/2019 2.5 2.2 13.9% D 48,264
SNA 4/18/2019 6.3 6.8 -8.1% A 2,558
STI 4/18/2019 0.7 2.0 -65.7% C 12,260
SYF 4/18/2019 4.6 4.9 -5.4% C 10,837
TRV 4/18/2019 2.2 2.5 -9.9% B 5,987
UNP 4/18/2019 2.4 3.3 -27.2% B 265,138

 

Volatility Standouts

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
DFRG 55.65% D 0.00% 53.17 1,026
FTAI 51.54% A 3.56% 57.94 2,266
VICI 48.87% A 0.00% 13.10 2,182
BMRN 48.55% D 2.81% 91.27 2,602
EROS 42.22% F 3.15% 46.43 345
VST 41.60% F -2.89% 28.57 6,989
QCOM 41.60% D 2.77% 69.84 481,831
VGR 40.81% C 1.46% 65.48 1,278
ARRY 40.24% F -0.04% 54.76 10,208
DVA 39.76% D 5.80% 70.24 1,139
TPX 38.91% D -0.14% 34.52 35,242
HIIQ 37.43% D -0.06% 96.83 20,623
BXMT 37.07% C 0.00% 6.35 259
UPWK 36.89% F -0.11% 4.44 171
ZNGA 36.83% D 0.86% 0.79 4,253
NHTC 36.52% D 0.77% 67.86 711
IONS 36.20% D 7.34% 74.50 19,269
WATT 35.80% F -1.52% 76.19 3,078
ZIXI 35.40% C 10.01% 73.41 127
MSG 32.95% C 2.27% 45.63 767
CZR 32.65% D -2.64% 70.63 28,287
ELAN 32.62% C -0.15% 20.47 101,651
BKS 32.47% C -8.75% 43.25 138
FDP 32.10% F -4.62% 96.83 299
Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
ULTI -64.93% F 0.00% 1.98 536
VSM -60.78% C 0.00% 0.40 7,818
CELG -59.70% A -1.04% 0.00 344,134
MLNX -59.38% B 0.00% 0.79 38,987
BIIB -57.96% C 1.24% 42.46 111,306
WCG -54.44% B -3.21% 22.62 3,359
OZK -47.08% C -1.29% 72.62 692
SCOR -44.49% C 0.40% 94.15 380
EXP -39.29% C 0.01% 70.63 795
SVMK -36.07% F 4.74% 0.79 1,650
REZI -35.54% D -5.23% 36.70 344
EB -35.37% D 0.60% 27.13 136
TTD -34.67% D 1.20% 69.05 33,781
SYNA -34.03% C -3.33% 77.78 2,018
RHT -33.41% C 0.00% 24.21 166,977
WP -32.05% D -0.90% 39.68 1,481
WYND -31.15% C 2.80% 26.69 597
NVRO -30.30% D 2.29% 45.63 1,047
TGI -28.44% F -2.35% 75.40 4,617
CBLK -26.84% F 1.58% 9.44 3,802
ROKU -26.33% D 1.49% 67.06 96,804
ES -25.26% A 0.00% 11.90 1,035
ESPR -24.78% F -0.90% 7.94 12,893
MOV -24.18% C -2.37% 55.16 390
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE