blog

Latest from the Quantamize Blog

VIX up 6.6% as equities are in the red

Apr 15, 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 in the red this afternoon but off lows after mixed earnings reports from Goldman Sachs and Citi Bank (both beat on profits, missed on revenues). Currently, the S&P is -.25% the Russell is -.60% and the Nasdaq is -.30%. Bonds are bid in sympathy with the risk-off move (TLT +.10%, US 10 year yield down to 2.553%) but it’s worth noting that Empire Manufacturing saw its best print since last December (10.1 vs. 8.0 est.) Outside the US, shares Chinese Large Cap stocks are seeing a bit of selling pressure (FXI -1.25%) though the recovery story remains on track (Volkswagen said it sees Chinese auto demand picking up in Apr). If Chinese data continues to surprise to the upside and Q1 earnings are better than expected in the US, equity investors may not get such an accommodating Fed. Utilities (XLU +.30%) and Consumer Staples (XLP +.40%) are outperforming today while Biotech (XBI -.1.5%) and Regional Banks (KRE -1.6%) lag the broader market. Volatilities are up across the board with the VIX +7.5% to 12.91, VXN +7% to 16.68, and RVX +5.5% to 16.94. 

 

ETF 30D Volatility Changes

SPY:     +3%

IWM:    +1%

QQQ:    +4%

 

Directional Options Strategies

Bullish Option Strategies

CSCO Buyer 3,900 May 3rd 57.5 calls (paid $.55, ref. 56.55)

URBN Buyer 6,409 May 34 calls (paid $.31, ref. 31.25)

ITUB Seller 15,000 Jan 7 puts tied to stock (collects $.40, ref. 8.51)

ASMB Buyer 2,500 Nov 15 calls (paid $5.00, ref. 14.63)

NFLX Buyer 2,700 May 355 – 360 call spreads (paid $2.25, Earnings 4/16, ref. 346.87)

BX Buyer 5,000 Jan21 40 calls tied to stock (paid $2.21, ref. 35.48)

CXO Buyer 5,400 Jan 180 calls (paid $1.45, ref. 116.10)

Bearish Option Strategies

MA Seller 4,300 Apr 240 calls (collects $1.45, Earnings 4/30, ref. 239.50)

LYFT Seller 3,100 May 70 calls (collects $1.45, Earnings 5/7, ref. 57.34)

LNG Buyer 19,036 Jan 45 puts trade (paid $.70, appears closing, ref. 66.87)

ORCL Seller 4,300 Jun 57.5 calls to Buy 4,300 Jun 52.5 – 45 put spreads (paid $.18, ref. 54.59)

CZR Seller 12,500 May 9 calls and 10,000 May 24th 9.5 calls (possibly closing on both, ref. 9.26)

XEC 8,800 Dec 115 calls trade (appears sold to close, $.30, ref. 70.45)

 

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 Buyer 29,520 Apr 26th 293 calls (paid $.80, more than 60,000 trade total, ref. 290.16)

EEM 30,000 May 46 calls trade tied to stock ($.18, ref. 44.06)

VIX Seller 10,000 Arp 17 – 13 1x2 put spreads (collects $3.20, ref. 13.26)

VIX Buyer 10,000 Apr 13 – 12.5 – 12 put flies (paid $.10, ref. 13.10 (Apr))

Bearish Option Strategies

SPX Buyer 38,000 Mar20 100 puts (paid $1.20 ($4.5M in premium), ref. 2903.78)

XAU Buyer 20,000 May 72.5 puts (paid avg of $.93, ref. 75.40)

EWZ Seller 20,000 Jun 42 – 44 call spreads to Buy 10,000 Jun 37 puts tied to stock (collects $.35, ref. 40.91)

EEM Buyer 11,495 May 10th 43.5 puts (paid $.47, ref. 44.05)

XLP Buyer  10,000 Apr 26th 56 puts (paid, $.24, appears to add to position opened Friday, ref. 56.37)

VIX Buyer 20,000 Apr 14 calls (paid $.26, ref. 13.20 (Apr))

USO 19,000 Jan 12 puts trade ($.695, ref. 13.17)

HYG Buyer 39,500 Jun 82 puts (paid $.14, opening, ref. 86.88))

 

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

 

 

Finance Trades Options Strategies

COTY 11,000 May 15 RevCons trade (ref. 11.11)

 

 

 

Upcoming Earnings

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
JBHT 4/15/2019 3.9 3.0 27.6% C 1,524
BAC 4/16/2019 3.3 2.4 38.4% C 440,466
CMA 4/16/2019 2.7 2.5 8.4% B 4,443
CSX 4/16/2019 3.5 3.7 -5.0% B 38,344
IBM 4/16/2019 5.2 5.8 -10.8% C 233,659
JNJ 4/16/2019 2.8 2.4 15.2% C 350,746
MLNX 4/16/2019 0.9 4.3 -78.5% B 38,987
NFLX 4/16/2019 7.4 6.9 7.7% D 3,540,152
OMC 4/16/2019 3.1 4.0 -21.4% B 18,842
PGR 4/16/2019 3.3 2.6 26.0% B 33,034
PLD 4/16/2019 2.5 1.9 32.5% C 14,699
UAL 4/16/2019 4.8 6.7 -28.6% B 165,240
UNH 4/16/2019 4.3 3.1 39.9% A 203,599
AA 4/17/2019 6.3 5.4 18.1% F 7,919
ABT 4/17/2019 3.5 1.9 85.3% B 106,509
BK 4/17/2019 3.6 3.4 7.7% D 36,742
CCI 4/17/2019 2.0 1.5 37.3% B 54,836
CCK 4/17/2019 3.4 2.0 68.8% C 1,565
ETFC 4/17/2019 3.6 2.3 58.2% C 8,240
KMI 4/17/2019 2.0 1.7 20.7% C 39,656
KSU 4/17/2019 3.2 2.8 11.4% C 8,854
LVS 4/17/2019 3.4 2.9 19.9% D 37,785
MS 4/17/2019 3.4 2.7 27.6% D 140,201
PEP 4/17/2019 1.7 1.7 0.6% C 113,059
SBNY 4/17/2019 4.1 3.6 12.6% C 2,860
TXT 4/17/2019 5.0 4.5 12.7% C 2,182
URI 4/17/2019 6.6 5.9 12.2% C 53,647
USB 4/17/2019 2.4 1.7 35.6% B 23,005
ALLY 4/18/2019 3.8 3.5 7.2% B 20,225
AXP 4/18/2019 3.7 3.0 24.8% B 108,538
BBT 4/18/2019 2.3 2.2 2.5% B 29,727
BX 4/18/2019 2.4 1.5 59.0% D 37,465
CFG 4/18/2019 2.9 2.6 12.3% C 5,965
DHR 4/18/2019 2.8 2.8 -0.4% B 12,321
DOV 4/18/2019 3.4 3.6 -5.4% C 3,949
GPC 4/18/2019 3.4 3.8 -11.0% A 12,177
GTLS 4/18/2019 7.5 5.8 28.7% C 2,990
HON 4/18/2019 2.3 1.6 42.5% B 59,202
KEY 4/18/2019 2.3 2.8 -18.7% C 4,882
MAN 4/18/2019 5.1 5.1 0.7% C 10,737
PM 4/18/2019 2.9 3.9 -24.2% C 95,948
PPG 4/18/2019 2.5 2.4 2.1% C 66,983
RF 4/18/2019 2.7 1.8 51.9% C 15,913
SKX 4/18/2019 13.3 17.1 -22.0% C 9,631
SLB 4/18/2019 2.9 2.2 33.4% D 48,264
SNA 4/18/2019 6.5 6.8 -5.2% A 2,558
STI 4/18/2019 2.5 2.0 22.6% C 12,260
SYF 4/18/2019 4.2 4.9 -14.0% C 10,837
TRV 4/18/2019 2.2 2.5 -10.2% B 5,987
UNP 4/18/2019 2.6 3.3 -21.7% B 265,138
AABA 4/22/2019 3.0 1.6 80.4% D 32,036
CDNS 4/22/2019 6.7 6.2 8.6% B 2,430
CE 4/22/2019 0.6 2.5 -76.3% C 2,684
GWW 4/22/2019 7.3 9.0 -19.1% C 31,682
HAL 4/22/2019 3.9 3.6 8.8% C 22,402
KMB 4/22/2019 3.0 1.9 57.6% B 14,632
LECO 4/22/2019 3.8 3.8 1.8% B 2,772
LII 4/22/2019 4.3 2.2 93.1% B 6,864
RRC 4/22/2019 3.8 4.3 -12.2% F 7,190
STLD 4/22/2019 3.1 2.4 26.4% C 2,290
WHR 4/22/2019 6.6 7.6 -13.6% C 23,071
ZION 4/22/2019 2.1 2.3 -7.4% B 4,180

 

Volatility Standouts

 

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
CARS 73.91% C -4.25% 96.05 6,394
ELAN 70.65% C -5.24% 40.46 101,651
ECL 67.33% B 27.32% 54.15 19,761
EROS 62.60% F 0.00% 28.06 345
HIIQ 61.45% D 4.95% 99.60 20,623
CZR 54.96% D -1.15% 74.31 28,287
RL 52.74% C 0.78% 35.97 13,378
BKS 47.91% C 0.79% 37.15 138
VGR 45.91% C 4.35% 62.85 1,278
FTAI 45.64% A 6.77% 41.90 2,266
CDAY 45.06% D -2.23% 47.16 6,204
FDP 43.52% F -2.51% 99.21 299
QCOM 43.03% D -2.24% 76.68 481,831
NHTC 42.24% D -6.99% 72.33 711
IONS 41.58% D -3.43% 84.13 19,269
UPWK 41.47% F -3.33% 5.32 171
ARRY 40.11% F -1.02% 44.66 10,208
AWK 39.21% C -2.50% 68.38 1,240
VICI 38.62% A 0.00% 8.30 2,182
AMGN 38.37% C -1.53% 76.28 129,052
DVA 37.63% D 0.53% 75.89 1,139
CL 37.23% B -1.16% 76.68 57,215
TIF 35.00% C 0.55% 10.67 26,536
BMRN 34.29% D 2.00% 96.44 2,602
Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
APC -70.42% F 0.02% 0.40 51,923
ELLI -68.44% D 0.00% 14.62 139,486
VSM -68.03% C 0.00% 0.00 7,818
QTNA -66.09% F 0.00% 2.37 319
ULTI -64.94% F 0.00% 4.35 536
CELG -54.02% A -15.73% 0.79 344,134
BIIB -53.51% C -1.07% 60.87 111,306
MLNX -53.17% B 0.00% 5.14 38,987
OZK -47.41% C -0.04% 71.15 692
EB -37.67% D 2.60% 22.56 136
SVMK -36.91% F -6.71% 9.16 1,650
REZI -35.62% D -2.32% 31.86 344
RHT -35.55% C 0.00% 26.09 166,977
DIS -33.78% C -6.66% 84.98 379,341
NVRO -33.08% D 1.06% 38.74 1,047
INFN -32.56% C 6.19% 20.95 135
TTD -32.27% D -0.04% 75.49 33,781
WYND -31.94% C 1.16% 38.49 597
CERN -30.85% C -2.51% 77.47 25,633
WCG -30.33% B -2.85% 51.78 3,359
GSKY -28.47% F 0.70% 7.76 2,140
NBEV -28.39% F 3.86% 6.67 6,041
TGI -27.97% F 5.34% 71.94 4,617
WP -27.76% D -3.77% 34.39 1,481
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE