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VIX unchanged in directionless equity trading

Apr 11, 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 trading around unchanged this afternoon as investors look ahead to Q1 earnings season. Currently, the S&P is -.15% the Russell is -.10% and the Nasdaq is -.20%. Bonds are weaker  (TLT -.30%, US 10 year yield up to 2.493%) on the heels of a hotter than expected PPI print (m/m 0.6% vs. 0.3% est.) In single name news, shares of Tesla are roughly 2.5% after news broke that the firm (in partnership with Panasonic) is freezing plans to expand capacity on its EV battery plant. Outside the US, both China (FXI -1.5%) and Emerging Markets (EEM -1.25%) are under pressure as Chinese CPI grew at its fastest pace since last October which brings the PBoC’s rate outlook into the equation (i.e. a possible slowing of monetary easing.) Crude Oil is lower today on a report that OPEC could debate raising output (June meeting) if Brent Crude reaches the $80 – 85 level. Consumer Staples are outperforming today (XLP+.10%) while Healthcare (XLV -1.1%) lags the broader market. Volatilities are roughly flat with the VIX +.05% to 13.32, VXN +.05% to 16.81, and RVX +.06% to 16.87.  

 

ETF 30D Volatility Changes

SPY:     -1%

IWM:    FLAT

QQQ:   FLAT

 

Directional Options Strategies

Bullish Option Strategies

ZAYO 5,000 Jun 32.5 calls trade (appears bought, $1.20, ref. 30.98)

NRG 5,000 May 40 puts trade tied to stock (appears sold to open, $.56, ref, 42.35)

GILD 3,500 Apr 12th 67.5 calls trade (b/w $.51 and $.62, ref. 67.94)

INFY Buyer 3,000 Apr 11.5 calls (paid $.25, Earnings 4/12, ref. 11.02)

WTW 3,500 May 20 calls trade (appears bought, b/w $.130 and $1.40, ref. 18.34)

CNC Seller 10,700 Sep 47.5 puts to Buy 10,700 Sep 60 calls (paid $3.05, adds to existing position, ref. 56.92)

CXO Buyer 2,500 May 115 – 125 call spreads (paid $.72, Earnings 4/30, ref. 102.01)

 

Bearish Option Strategies

YPF Buyer 20,000 Jan 10 puts tied to stock (paid $.50, ref. 14.93)

EBAY Seller 3,070 Apr 12 37.5 puts to Buy 16,578 Apr 12th 36.5 puts (appears to monetize and roll down, trades even, ref. 36.76)

JBLU 11,828 Jun 17 calls trade (appears sold to open write, collects $.95, ref. 17.29)

X Buyer 20,000 May 15 puts (paid $.47, ref. 17.02)

VALE Buyer 4,000 May 10th 12.5 puts (paid $.26 on largest block, ref. 13.37)

AZN Seller 3,000 Jul 42.5 calls to Buy 3,000 Jul 40 puts (paid $.70, ref. ref. 40.11)

BBD Buyer 8,000 Jan21 7 puts (paid $.77, ref. 9.01)

 

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

QQQ Seller 20,000 May 177 puts to Buy 20,000 May 192 calls tied to stock (collects $.40, ref. 185.29)

VIX Buyer 60,000 Apr 13 puts (paid $.16, possibly closing, ref. 14.18 (Apr))

XBI Seller 8,000 May 84 puts to Buy 6,000 May 88 puts (appears to roll up, ref. 92.45)

OIH Seller 4,000 Jul 18 puts tied to stock (collects $1.00, ref. 18.13)

 

Bearish Option Strategies

TLT Buyer 17,000 May 123 puts (paid $.89, ref. 123.93)

HYG Buyer 10,500 Jun 86 puts trade tied to stock (paid $.69, 25,000 total on the day, ref. 86.82)

FXI Seller 20,000 Apr 12th 44.5 calls tied to stock (collects $.53, appears closing, ref. 44.95)

 

 

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

 

 

Finance Trades Options Strategies

ABBV 18,000 Apr 12th 90 RevCons trade (ref. 82.07)

SPY 10,000 May 290 RevCons trade (ref. 287.89)

ACB 2,000 May 12 RevCons trade (ref. 8.82)

 

 

 

Upcoming Earnings

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
JPM 4/12/2019 2.0 1.2 70.0% C 473,762
PNC 4/12/2019 2.6 1.6 59.9% C 17,680
WFC 4/12/2019 2.9 1.7 64.5% C 328,345
C 4/15/2019 3.0 1.9 59.4% C 215,942
GS 4/15/2019 3.8 3.2 18.4% D 396,891
JBHT 4/15/2019 3.2 3.0 6.4% C 1,524
MTB 4/15/2019 2.2 2.9 -25.0% A 31,521
BAC 4/16/2019 3.1 2.3 32.2% C 440,466
BLK 4/16/2019 2.2 2.3 -2.1% C 48,314
CMA 4/16/2019 2.6 2.5 6.3% B 4,443
CSX 4/16/2019 3.6 3.7 -2.9% B 38,344
IBM 4/16/2019 5.0 5.8 -13.3% C 233,659
JNJ 4/16/2019 2.4 2.4 1.4% C 350,746
NFLX 4/16/2019 7.4 6.9 7.6% D 3,540,152
OMC 4/16/2019 4.3 4.0 7.0% B 18,842
PGR 4/16/2019 3.4 2.6 31.2% B 33,034
PLD 4/16/2019 2.6 1.9 40.9% C 14,699
SCHW 4/16/2019 2.7 2.5 8.3% B 16,402
UAL 4/16/2019 4.7 6.7 -29.5% B 165,240
UNH 4/16/2019 3.6 3.1 15.7% A 203,599
AA 4/17/2019 6.2 5.4 16.1% F 7,919
ABT 4/17/2019 3.2 1.9 68.0% B 106,509
BK 4/17/2019 3.5 3.4 5.8% D 36,742
CCI 4/17/2019 1.9 1.5 32.8% B 54,836
CCK 4/17/2019 3.1 2.0 53.8% C 1,565
ETFC 4/17/2019 3.8 2.3 67.1% C 8,240
KMI 4/17/2019 1.5 1.7 -9.7% C 39,656
KSU 4/17/2019 3.2 2.8 14.0% C 8,854
LVS 4/17/2019 3.2 2.9 11.1% D 37,785
MS 4/17/2019 3.7 2.7 36.7% D 140,201
PEP 4/17/2019 2.0 1.7 15.4% C 113,059
TXT 4/17/2019 5.0 4.5 11.6% C 2,182
URI 4/17/2019 5.9 5.9 1.0% C 53,647
USB 4/17/2019 2.1 1.7 20.3% B 23,005
ALLY 4/18/2019 3.7 3.5 5.4% B 20,225
AXP 4/18/2019 3.7 3.0 23.2% B 108,538
BBT 4/18/2019 1.6 2.2 -26.0% B 29,727
BX 4/18/2019 2.3 1.5 54.6% D 37,465
CFG 4/18/2019 2.9 2.6 11.7% C 5,965
DHR 4/18/2019 2.7 2.8 -3.9% B 12,321
DOV 4/18/2019 3.3 3.6 -7.7% C 3,949
GPC 4/18/2019 3.5 3.8 -6.9% A 12,177
GTLS 4/18/2019 7.2 5.8 24.3% C 2,990
HON 4/18/2019 2.3 1.6 40.5% B 59,202
KEY 4/18/2019 2.1 2.8 -25.8% C 4,882
MAN 4/18/2019 4.7 5.1 -7.9% C 10,737
PM 4/18/2019 3.3 3.9 -15.8% C 95,948
PPG 4/18/2019 2.5 2.4 3.0% C 66,983
RF 4/18/2019 2.8 1.9 50.4% C 15,913
SBNY 4/18/2019 4.0 3.6 10.6% C 2,860
SKX 4/18/2019 12.7 17.1 -25.5% C 9,631
SLB 4/18/2019 2.6 2.2 19.0% D 48,264
SNA 4/18/2019 6.1 6.8 -9.8% A 2,558
STI 4/18/2019 2.4 2.0 18.1% C 12,260
SYF 4/18/2019 4.3 4.9 -12.2% C 10,837
TRV 4/18/2019 2.3 2.5 -6.9% B 5,987
UNP 4/18/2019 2.4 3.3 -25.0% B 265,138

 

Volatility Standouts

 

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
DFRG 67.04% D 0.00% 65.61 1,026
SNCR 66.81% C 0.00% 39.91 360
BMRN 50.72% D 3.33% 85.38 2,602
QCOM 50.57% D 0.20% 79.45 481,831
VICI 45.95% A 0.00% 11.07 2,182
VGR 44.30% C 5.39% 63.24 1,278
EROS 4.38E-01 F 0.00% 45.85 345
ARRY 43.54% F 1.48% 54.55 10,208
FTAI 43.02% A -5.97% 61.26 2,266
UNM 42.54% B 5.42% 62.85 1,951
IONS 41.85% D -2.75% 96.83 19,269
NHTC 41.49% D -1.33% 69.96 711
FDP 41.09% F 2.74% 97.63 299
HIIQ 39.25% D -1.66% 96.05 20,623
UPWK 39.21% F -1.62% 4.35 171
BKS 37.21% C -3.24% 35.18 138
CZR 36.98% D 1.16% 72.33 28,287
RL 36.44% C 0.03% 36.76 13,378
DVA 34.39% D -1.37% 73.52 1,139
WATT 33.72% F -1.72% 76.68 3,078
VST 33.49% F 2.31% 18.58 6,989
ZNGA 32.87% D -5.30% 1.19 4,253
AXTA 32.53% D 3.46% 25.30 6,027
RSG 32.13% B 11.70% 35.18 7,470
Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
ELLI -74.64% D 0.00% 8.70 139,486
ULTI -68.28% F 0.00% 3.56 536
CELG -57.95% A -4.90% 2.37 344,134
VSM -57.48% C 0.00% 1.19 7,818
BIIB -55.42% C -0.84% 48.22 111,306
MLNX -53.27% B 0.00% 5.14 38,987
OZK -47.60% C -0.78% 71.54 692
SCOR -43.34% C -1.85% 95.17 380
EXP -38.21% C -2.40% 83.00 795
EB -36.13% D -1.18% 38.17 136
RHT -35.95% C 0.00% 21.74 166,977
SVMK -34.57% F -0.58% 3.88 1,650
REZI -33.21% D -2.42% 36.94 344
TTD -32.80% D -3.00% 80.63 33,781
NVRO -31.69% D 2.83% 40.32 1,047
WYND -31.02% C 3.72% 34.52 597
SYNA -29.70% C -0.85% 53.75 2,018
WCG -29.17% B 0.00% 43.08 3,359
WP -28.54% D 3.68% 23.32 1,481
CERN -28.33% C 0.82% 65.22 25,633
TGI -27.93% F 3.51% 73.52 4,617
GSKY -27.42% F -3.25% 10.60 2,140
ROKU -27.10% D -0.55% 73.12 96,804
ENS -26.23% A -4.27% 92.09 2,804
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE