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VIX down over 5% as equity markets try to make new all time highs

Apr 12, 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 seeing a fairly broad rally this afternoon led by Financials (JPM +5% on earnings), Disney (+9.5% after revealing its new streaming service) and Energy M&A activity (APC +33% on Chevron $33 billion takeover). Currently, the S&P is +.55% the Russell is +.30% and the Nasdaq is +.30%. Bonds are weaker for the second consecutive session (TLT -.55%, US 10 year yield up to 2.55%) as Chinese export data came in better than expected (+14.2% YoY vs. +8.7% est.; FXI +1.25%). Outside the US, shares of EWZ (Brazil ETF) are adding to yesterday’s losses (EWZ -3%) and are set to close down more than 5% on the week. Industrials (XLI +1%) and Financials (+1.75%) are outperforming today while Healthcare (XLV -.60%) and Biotech (XBI -1%) lag the broader market. Volatilities are lower across the board with the VIX -5% to 12.40, VXN -4% to 16.03, and RVX -3% to 16.39.  

 

ETF 30D Volatility Changes

SPY:     -5%

IWM:    -4%

QQQ:   -4%

    

 

Directional Options Strategies

Bullish Option Strategies

FOXA Seller 5,000 Jul 33 puts to Buy 5,000 Jul 37 – 40 call spreads (paid $.45 on the package, adds to existing position, ref. 36.50)

DIS Buyer 10,000 Apr 140 calls (paid $.15, opening, ref. 129.01)

IGT Buyer 10,000 Jul 16 calls (paid $.65, appears closing, ref. 14.14)

FCX Buyer 3,500 Aug 16 calls (paid $.56, ref. 13.88)

IVZ 25,500 Jan21 25 calls trade (appears bought, $1.25, possibly closing, ref. 21.16)

CPE Seller 10,000 Jul 8 – 6 risk reversals to Buy 10,000 Jul 9 – 7 risk reversals (adjusts risk-reversal, Earnings 5/6, ref. 8.15)

 

Bearish Option Strategies

WFC Seller 10,500 May 50 calls (collects b/w $.38 and $.40, appears closing)

MSFT Buyer 10,000 Apr 105 calls to Sell 20,032 Jul 120 calls and Sell 10,016 Jul 125 calls (paid $1.20 on the package, appears to roll ITM write, ref. 120.67)

TSN Buyer 4,000 May 3rd 68 puts (paid $.50, ref. 70.75)

GE Buyer 30,000 Apr 10 straddles to Sell 30,000 May 9 straddles (appears to roll short straddle, short vol, delta neutral, collects $.18 on the package, ref. 9.12)

EXPR Buyer 3,000 Jul 4 puts (paid $.525, ref. 3.86)

 

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

FXI 30,000 Jun 46 – 48 call spreads trade vs. 30,000 Jun 42 puts (appears to sell put to buy call spread, $.29, ref. 45.49)

XLF Seller 25,000 Apr 27 calls to Buy 42,500 May 28 calls (monetizes, rolls out and up, adds units, ref. 27.25)

XLF 15,000 Jun 29 calls trade (appears bought, $.17, more than 50,000 trade total, ref. 27.25)

SPY Seller 11,402 Apr 289 calls and 17,204 May 286 calls to Buy 28.606 May 295 calls tied to tock (appears to monetize, rolls out and up, adds units, ref. 289.56)

SPY 20,000 May 306 calls trade (appears bought, $.10, ref. 289.60)

JNK 10,000 Jun 35 puts trade tied to stock (appears sold to open, $.10, ref. 36.17)

Bearish Option Strategies

IYR Buyer 9,000 May 10th 85 puts (paid $.58, ref. 87.34)

IGV Buyer 14,9000 Apr 205 puts (paid $.25, Software ETF, ref. 215.38)

GLD Buyer 6,500 May 3rd 120 puts tied to stock (paid $.28, ref. 122.02)

EFA Seller 15,000 May 64 – 68 strangles tied to stock (sells vol, delta neutral, collects $.37, ref. 66.42)

VIX Buyer 20,000 Jun 20 calls (paid $.92, ref. 15.73 (Jun))

 

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

 

 

Finance Trades Options Strategies

USO 10,000 Jul 14 RevCons trade (ref. 13.36)

COTY 6,500 May 15 RevCons trade (ref. 11.26)

 

 

 

Upcoming Earnings

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
C 4/15/2019 2.8 1.9 49.1% C 215,942
GS 4/15/2019 3.8 3.2 18.9% D 396,891
JBHT 4/15/2019 3.7 3.0 22.2% C 1,524
MTB 4/15/2019 2.3 2.9 -22.4% A 31,521
BAC 4/16/2019 2.9 2.3 24.0% C 440,466
BLK 4/16/2019 2.2 2.3 -5.0% C 48,314
CMA 4/16/2019 2.8 2.5 13.1% B 4,443
CSX 4/16/2019 3.5 3.7 -4.1% B 38,344
IBM 4/16/2019 5.0 5.8 -14.1% C 233,659
JNJ 4/16/2019 2.7 2.4 11.9% C 350,746
NFLX 4/16/2019 8.1 6.9 17.5% D 3,540,152
OMC 4/16/2019 3.4 4.0 -15.6% B 18,842
PGR 4/16/2019 3.5 2.6 35.3% B 33,034
PLD 4/16/2019 2.6 1.9 39.0% C 14,699
SCHW 4/16/2019 3.0 2.5 19.7% B 16,402
UAL 4/16/2019 4.6 6.7 -32.0% B 165,240
UNH 4/16/2019 3.8 3.1 24.0% A 203,599
AA 4/17/2019 6.1 5.4 13.8% F 7,919
ABT 4/17/2019 3.1 1.9 66.6% B 106,509
BK 4/17/2019 3.5 3.4 3.2% D 36,742
CCI 4/17/2019 2.0 1.5 39.9% B 54,836
CCK 4/17/2019 3.3 2.0 62.5% C 1,565
ETFC 4/17/2019 3.8 2.3 65.7% C 8,240
KMI 4/17/2019 2.1 1.7 25.4% C 39,656
KSU 4/17/2019 3.1 2.8 10.5% C 8,854
LVS 4/17/2019 3.0 2.9 6.1% D 37,785
MS 4/17/2019 3.9 2.7 44.6% D 140,201
PEP 4/17/2019 2.0 1.7 12.6% C 113,059
TXT 4/17/2019 5.0 4.5 12.0% C 2,182
URI 4/17/2019 6.3 5.9 8.2% C 53,647
USB 4/17/2019 2.3 1.7 29.5% B 23,005
ALLY 4/18/2019 3.8 3.5 8.9% B 20,225
AXP 4/18/2019 3.7 3.0 24.2% B 108,538
BBT 4/18/2019 1.7 2.2 -22.4% B 29,727
BX 4/18/2019 2.4 1.5 57.8% D 37,465
CFG 4/18/2019 3.1 2.6 21.9% C 5,965
DHR 4/18/2019 2.6 2.8 -7.3% B 12,321
DOV 4/18/2019 3.2 3.6 -9.2% C 3,949
GPC 4/18/2019 3.5 3.8 -8.6% A 12,177
GTLS 4/18/2019 7.4 5.8 27.8% C 2,990
HON 4/18/2019 2.2 1.6 37.5% B 59,202
KEY 4/18/2019 2.2 2.8 -21.9% C 4,882
MAN 4/18/2019 5.0 5.1 -1.1% C 10,737
PM 4/18/2019 2.9 3.9 -24.6% C 95,948
PPG 4/18/2019 2.3 2.4 -5.5% C 66,983
RF 4/18/2019 2.7 1.9 47.5% C 15,913
SBNY 4/18/2019 3.1 3.6 -14.4% C 2,860
SKX 4/18/2019 13.2 17.1 -22.6% C 9,631
SLB 4/18/2019 2.7 2.2 21.8% D 48,264
SNA 4/18/2019 6.3 6.8 -8.1% A 2,558
STI 4/18/2019 3.0 2.0 47.8% C 12,260
SYF 4/18/2019 4.3 4.9 -12.9% C 10,837
TRV 4/18/2019 2.2 2.5 -11.1% B 5,987
UNP 4/18/2019 2.4 3.3 -26.8% B 265,138
AABA 4/22/2019 2.2 1.6 30.7% D 32,036
CDNS 4/22/2019 6.6 6.2 6.9% B 2,430
CE 4/22/2019 0.6 2.5 -76.2% C 2,684
GWW 4/22/2019 7.1 9.0 -20.9% C 31,682
HAL 4/22/2019 3.3 3.6 -8.4% C 22,402
KMB 4/22/2019 2.8 1.9 48.3% B 14,632
LECO 4/22/2019 3.2 3.8 -15.7% B 2,772
LII 4/22/2019 4.4 2.2 96.6% B 6,864
RRC 4/22/2019 3.2 4.3 -25.8% F 7,190
STLD 4/22/2019 2.2 2.4 -9.0% C 2,290
WHR 4/22/2019 6.8 7.6 -10.7% C 23,071
ZION 4/22/2019 1.4 2.3 -37.0% B 4,180

 

Volatility Standouts

 

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
CARS 65.89% C -6.95% 96.05 6,394
CZR 6.39E-01 D 4.09% 80.63 28,287
DFRG 61.21% D 0.00% 64.03 1,026
QCOM 52.15% D -0.30% 83.40 481,831
UNM 51.80% B -1.93% 71.94 1,951
EROS 51.47% F 0.00% 35.97 345
BKS 51.35% C 6.13% 29.64 138
RL 50.66% C -1.26% 42.29 13,378
HIIQ 49.99% D -2.23% 99.21 20,623
VICI 48.88% A 0.00% 16.21 2,182
VG 45.72% C 24.30% 71.94 308
ARRY 43.86% F 4.53% 50.59 10,208
UPWK 43.58% F 0.42% 4.30 171
VGR 43.07% C -0.28% 63.24 1,278
FDP 42.77% F 5.10% 94.86 299
ECL 42.76% B 13.28% 58.10 19,761
IONS 40.53% D -7.71% 93.65 19,269
CDAY 40.43% D -0.20% 45.18 6,204
FTAI 40.22% A 0.00% 51.78 2,266
AWK 38.53% C 1.89% 67.59 1,240
NUVA 37.55% C 0.00% 61.66 2,016
BMRN 37.02% D 6.75% 92.49 2,602
FLO 36.77% B 11.43% 32.02 315
ZNGA 36.02% D 3.33% 2.77 4,253
Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
CELG -64.56% A -20.97% 1.98 344,134
ULTI -62.83% F 0.00% 3.95 536
ELLI -62.62% D 0.00% 5.93 139,486
MLNX -58.18% B 0.00% 3.95 38,987
BIIB -52.80% C -8.21% 69.96 111,306
OZK -46.86% C 4.19% 69.96 692
SCOR -43.61% C 0.43% 92.79 380
EB -38.68% D -5.02% 40.91 136
EXP -36.85% C 0.70% 83.79 795
WP -36.12% D 0.00% 33.99 1,481
RHT -35.44% C 0.00% 30.83 166,977
APC -35.19% F -40.79% 68.38 51,923
REZI -34.84% D -1.94% 33.04 344
WYND -33.87% C -1.58% 37.30 597
NVRO -33.50% D 0.37% 41.90 1,047
TTD -33.46% D -2.76% 82.61 33,781
SVMK -32.97% F 1.82% 2.31 1,650
WCG -30.49% B -3.01% 39.53 3,359
TGI -29.91% F -3.38% 72.33 4,617
CERN -29.73% C 0.45% 68.38 25,633
SYNA -29.15% C 0.32% 46.25 2,018
GSKY -28.78% F 0.66% 6.88 2,140
NBEV -28.47% F 0.26% 5.56 6,041
ENS -25.66% A -3.54% 94.07 2,804
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE