blog

Latest from the Quantamize Blog

Equities Consolidate Ahead of Earnings, VIX Tumbles to 2019 Lows

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
ETF 30D IV 30D IV
Percentile
90D IV 90D IV
Percentile
90D/30D IV 90D/30D IV
Percentile
30D IV-
20D HV
30D IV-20D HV
Percentile
90D IV-
60D HV
90D IV-60D HV
Percentile
SPY 10.46 35.32% 11.59 28.57% 1.11 56.15% 0.18 47.22% 1.23 61.71%
QQQ 14.7 29.76% 15.45 21.03% 1.05 59.72% 2.59 70.83% 1.9 69.84%
IWM 14.56 50.4% 15.14 49.6% 1.04 55.95% -3.22 15.87% 0.38 51.98%
FEZ 12.32 13.89% 15.19 49.6% 1.23 92.06% -1.27 33.73% 2.71 90.48%
EEM 15.11 5.36% 16.6 10.91% 1.1 93.06% -0.7 37.9% 1.12 81.35%

 

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

 

Risk assets consolidated on rather light volumes this week as we roll into the thick of earnings season. Equities will be attempting to break out to all-time highs even as S&P 500 earnings growth is estimated to fall 4.2% in Q1 (according to FactSet.) Investors will be paying close attention to forward guidance as markets attempt to gauge growth prospects. As of writing, the S&P  is set to post a modest gain for the week (+.65%, ref. 289.85) while bonds are set to finish weaker (TLT -.90%, ref. 122.67) Cash VIX is on YTD lows (ref. 12.10) and is approaching levels last seen in October of 2018. Some earnings reports to keep an eye on next week include Citi, Goldman Sachs (Mon), Netflix, Bank of America (Tues.), Johnson and Johnson (Wed).

Highlights from this Week:

  • President Trump’s threatens the EU ($11 billion on a variety of EU products)
  • IMF lowers its Global GDP forecast to 3.3% from 3.5%
  • March CPI print in line with expectations (0.4% vs. 0.4% est.; Core CPI 0.1% vs. 0.2% est.)
  • Real Average Hourly Earnings surprise to the downside (1.3% vs. 1.9% prior)
  • PPI print hotter than expected (m/m 0.6% vs. 0.3% est.)
  • Chinese export data better than expected (+14.2% YoY vs. +8.7% est.)

Bullish: 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)

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

Bullish: XLK Seller 11,000 Apr 72 calls to Buy 11,000 Apr 26th 77 calls (monetizes, rolls out and up, ref, 76.34)

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

Bearish: TLT Buyer 40,000 Jun 120 puts (Initiates short ahead of this morning’s CPI data, paid $.40, untied, ref. 124.01)

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

Bearish: EWZ Buyer 10,000 Jun 41 puts (paid $2.13, ref. 41.43)

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

 

OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE