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VIX down -3.2% on light equity trading

Apr 10, 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 mostly muted on light volumes this afternoon as the March CPI print was in line with expectations (0.4% vs. 0.4% est.; Core CPI 0.1% vs. 0.2% est.). Currently, the S&P is +.20% the Russell is +.95% and the Nasdaq is +.35%. Bonds are mildly stronger (TLT +.25%, US 10 year yield down to 2.479%) as real average hourly earnings surprised to the downside (1.3% vs. 1.9% prior). In single name news, shares of Levi Strauss are up more than 7% after reporting strong Q1 earnings and forecasting mid-single digit revenue growth this year. The British Pound is up .25% ahead of this afternoon’s ‘Emergency Summit’ where Theresa May will pitch EU leaders on a second Brexit extension. The Semiconductor sector is outperforming (SMH +.75%) while Financials lag the broader market with Bank CEOs testifying before the House’s Financial Services Committee. Volatilities are softer with the VIX -3% at 13.86, VXN -2% to 17.36, and RVX -1% to 17.48.  

ETF 30D Volatility Changes

SPY:     -4%

IWM:    -2%

QQQ:   -2%

 

Directional Options Strategies

Bullish Option Strategies

CVS Seller 32,000 May 52.5 puts to Buy 32,000 May 55 calls tied to 3.2M shares (paid $.69, Earnings 5/1, ref. 53.31)

CVE Seller 42,500 Apr 10 calls to Buy 50,000 May 11 calls (appears to roll out and up, Earnings 4/24, ref. 9.65)

CNC Seller 10,000 Sep 47.5 puts to Buy 10,000 Sep 60 calls (paid $3.65, ref. 57.43)

ET Buyer 10,000 Jan 20 calls (paid $.16, ref. 15.45)

ESV Buyer 15,000 Jun 5 calls (paid $.15, more than 25,000 trade total, ref. 4.00)

QRTEA 10,000 May 15 – 17.5 risk reversals trade tied to 1M shares (appears to sell put to buy call, $.40, ref. 16.83)

GDDY Buyer 5,000 May 77.5 calls (paid $2.85, ref. 76.45)

RDC Buyer 4,900 Jul 14 calls (paid $.425, ref. 11.09)

 

Bearish Option Strategies

PG 8,850 Ap 105 – June 110 call spreads trade (appears to roll write, collects $.71 on Jun 110s, ref. 104.70)

INTC 6,490 May 10th 52 puts trade (Earnings 4/25, trades $.655, ref. 55.62)

PFE 4,000 May 42 puts trade (appears bought, $.79, ref. 42.74)

CAT Buyer 2,500 Aug 105 puts (paid $1.06, ref. 137.26)

YNDX 2,500 May 36 calls trade tied to stock (appears sold, $2.05, ref. 36.44)

 

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

USO Buyer 12,500 Jan 15 calls tied to stock (paid $.58, ref. 13.34)

EEM Seller 10,000 Jul 40 puts tied to stock (collects $.40, ref. 44.46)

EEM Buyer 10,000 May 45 calls tied to stock (paid $.72, ref. 44.56)

XLF 10,000 Apr 12th 26.5 calls trade ($.12, ref. 26.37)

 

Bearish Option Strategies

FXI Buyer 22,000 May 43.5 puts (paid $.37, ref. 45.46)

SMH Buyer 9,500 May 107 puts tied to stock (paid $1.50, ref. 112.41)

HYG Buyer 12,000 May 85 puts to Sell 26,000 May 83 puts (ref. 86.51)

XLF Seller 100,000 Jun 28 calls (collects b/w $.16 and .18, possibly closing, ref. ref. 26.36)

EEM Buyer 20,000 Apr 44 puts tied to stock (paid $.20, possibly closing, ref. 44.47)

 

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

 

 

Finance Trades Options Strategies

COTY 5,500 May 15 RevCons trade (ref. 11.20)

ACB 4,200 May 12 RevCons trade (ref. 9.03)

LYFT 1,000 May 85 RevCons trade (ref. 63.27)

 

 

 

Upcoming Earnings

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
BBBY 4/10/2019 12.5 13.2 -5.4% C 14,532
FAST 4/11/2019 5.5 5.9 -7.0% B 62,745
JPM 4/12/2019 2.0 1.2 74.3% C 473,762
PNC 4/12/2019 2.5 1.6 51.4% C 17,680
WFC 4/12/2019 2.8 1.7 62.7% C 328,345
C 4/15/2019 3.1 1.9 62.2% C 215,942
GS 4/15/2019 3.7 3.2 16.2% D 396,891
JBHT 4/15/2019 3.6 3.0 20.6% C 1,524
MTB 4/15/2019 2.1 2.9 -28.5% A 31,521
BAC 4/16/2019 2.8 2.3 17.5% C 440,466
BLK 4/16/2019 2.0 2.3 -11.4% C 48,314
CMA 4/16/2019 2.4 2.5 -2.3% B 4,443
CSX 4/16/2019 3.7 3.7 -0.2% B 38,344
IBM 4/16/2019 5.1 5.8 -11.8% C 233,659
JNJ 4/16/2019 2.3 2.4 -2.2% C 350,746
NFLX 4/16/2019 7.4 6.9 6.6% D 3,540,152
OMC 4/16/2019 4.4 4.0 11.0% B 18,842
PGR 4/16/2019 3.4 2.6 34.5% B 33,034
PLD 4/16/2019 2.6 1.9 41.4% C 14,699
SCHW 4/16/2019 2.9 2.5 15.0% B 16,402
UAL 4/16/2019 4.7 6.7 -29.6% B 165,240
UNH 4/16/2019 3.5 3.1 14.6% A 203,599
AA 4/17/2019 6.2 5.4 15.4% F 7,919
ABT 4/17/2019 3.1 1.9 62.8% B 106,509
BK 4/17/2019 3.5 3.4 3.0% D 36,742
CCI 4/17/2019 2.0 1.5 37.3% B 54,836
CCK 4/17/2019 3.5 2.0 73.9% C 1,565
ETFC 4/17/2019 3.7 2.3 65.0% C 8,240
KMI 4/17/2019 2.3 1.7 36.6% C 39,656
KSU 4/17/2019 3.3 2.8 17.2% C 8,854
MS 4/17/2019 3.5 2.7 30.2% D 140,201
PEP 4/17/2019 1.9 1.7 12.1% C 113,059
TXT 4/17/2019 5.2 4.5 17.2% C 2,182
URI 4/17/2019 6.0 5.9 2.7% C 53,647
USB 4/17/2019 2.3 1.7 29.9% B 23,005
ALLY 4/18/2019 3.9 3.5 9.5% B 20,225
AXP 4/18/2019 3.3 3.0 10.7% B 108,538
BBT 4/18/2019 1.9 2.2 -12.6% B 29,727
BX 4/18/2019 2.4 1.5 60.0% D 37,465
DHR 4/18/2019 2.6 2.8 -6.5% B 12,321
DOV 4/18/2019 3.1 3.6 -12.8% C 3,949
GPC 4/18/2019 3.6 3.8 -6.0% A 12,177
GTLS 4/18/2019 6.8 5.8 17.9% C 2,990
HON 4/18/2019 2.3 1.6 38.1% B 59,202
KEY 4/18/2019 2.1 2.8 -25.9% C 4,882
MAN 4/18/2019 4.7 5.1 -8.0% C 10,737
PM 4/18/2019 3.2 3.9 -16.8% C 95,948
PPG 4/18/2019 2.5 2.4 1.8% C 66,983
RF 4/18/2019 2.8 1.9 52.3% C 15,913
SBNY 4/18/2019 3.5 3.6 -2.8% C 2,860
SKX 4/18/2019 12.2 17.1 -28.9% C 9,631
SLB 4/18/2019 2.4 2.2 9.1% D 48,264
SNA 4/18/2019 6.4 6.8 -6.6% A 2,558
STI 4/18/2019 2.3 2.0 15.7% C 12,260
SYF 4/18/2019 4.5 4.9 -7.8% C 10,837
TRV 4/18/2019 2.3 2.5 -8.5% B 5,987
UNP 4/18/2019 2.5 3.3 -22.5% B 265,138

 

Volatility Standouts

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
VICI 58.34% A 1.13% 11.86 2,182
TPX 47.25% D -0.10% 41.90 35,242
BMRN 47.00% D -3.22% 92.89 2,602
HIIQ 46.73% D -1.79% 99.60 20,623
QCOM 45.33% D -2.61% 71.15 481,831
IONS 45.21% D -0.80% 94.05 19,269
EROS 4.39E-01 F 3.51% 39.13 345
BXMT 43.58% C 0.00% 32.41 259
FDP 43.00% F 2.86% 97.63 299
FTAI 42.71% A -4.52% 60.47 2,266
DVA 41.91% D 1.92% 75.49 1,139
ARRY 40.34% F -1.12% 55.73 10,208
VGR 40.27% C 1.12% 65.61 1,278
BKS 39.02% C -1.15% 43.08 138
UPWK 38.53% F -0.70% 4.40 171
WATT 37.97% F -1.32% 81.82 3,078
ZNGA 34.66% D 0.60% 0.79 4,253
NHTC 34.33% D -2.12% 58.10 711
MSG 34.14% C 4.02% 46.25 767
UNM 33.19% B -1.15% 59.29 1,951
CBOE 33.00% C -1.94% 41.50 13,183
RL 32.94% C -1.69% 39.92 13,378
LII 31.90% B 0.11% 44.66 6,864
ELAN 31.72% C -0.70% 28.13 101,651
Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
VSM -65.39% C 0.00% 0.79 7,818
MLNX -62.42% B 0.00% 2.37 38,987
BRSS -62.03% D -60.37% 62.45 520
CELG -61.04% A -6.60% 0.40 344,134
BIIB -54.97% C -1.95% 50.99 111,306
OZK -46.59% C 1.12% 69.17 692
SCOR -45.10% C -0.07% 93.20 380
WCG -43.85% B -1.88% 38.74 3,359
EXP -39.44% C -2.50% 82.61 795
EB -36.55% D -3.73% 40.77 136
TTD -33.33% D -1.02% 75.89 33,781
NVRO -3.33E-01 D -1.06% 43.87 1,047
RHT -32.47% C 0.00% 27.27 166,977
REZI -31.91% D 5.08% 31.82 344
TGI -30.86% F -2.88% 73.52 4,617
SYNA -30.51% C -0.07% 48.22 2,018
SVMK -30.20% F 0.62% 11.72 1,650
WP -29.81% D 1.23% 22.53 1,481
MOV -28.30% C -6.16% 61.26 390
WYND -28.13% C -2.73% 47.62 597
ROKU -26.27% D 0.26% 76.28 96,804
NBEV -23.96% F -4.37% 17.22 6,041
CERN -23.12% C -4.39% 89.72 25,633
ESPR -22.52% F 1.42% 12.65 12,893
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE