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VIX unchanged as equities drift slightly higher.

Apr 16, 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

Equities are fairly muted this afternoon as the US 10-year yield quietly approaches its 50-day moving average. Currently, the S&P is +.10% the Russell is +.20% and the Nasdaq is +.35%. Bonds are weaker (TLT -.60%, US 10 year yield up to 2.59%) even as this morning’s March Industrial Production number came in slightly soft (-0.1% vs. +0.2 est.) In single name news, Johnson and Johnson is up nearly 2% this afternoon after beating on both the top and bottom line. It’s worth noting, however, that the firm’s Q1 profits are down 14% YoY as legal fees add up (spent $423M in Q1) over its talc baby powder lawsuits. Yield sensitive sectors are under pressure today (IYR -1.60%, XLU -.70) while the Banks recover some of yesterday’s losses on some curve steepening (XLF +1.15%, KRE +1.45%). Volatilities are softer but off lows with the VIX -1% to 12.23, VXN -2% to 15.67, and RVX -2% to 15.94.

 

ETF 30D Volatility Changes

SPY:    -1%

IWM:    -3%

QQQ:   -2%

    

 

Directional Options Strategies

Bullish Option Strategies

MDR 2,400 Jan 10 calls trade (paid $1.95, Earnings 4/23, ref. ref. 9.69)

HFC Buyer 2,500 Apr 26th 48 – 49 call spreads (paid $.50, ref. 47.66)

PBR Seller 7,740 May 15 puts (collects b/w $.69 and $.67, ref. 15.12)

CRM 4,500 Jun 160 calls trade (appears bought, possibly closing, $8.20, ref. 159.55)

KMI Seller 8,000 Jan 17 – 22 strangles (opening, collects $1.06, short vol, delta neutral, Earnings 4/17, ref. 19.77)

SFLY Seller 2,000 May 35 puts to Buy 2,000 May 45 calls tied to stock (paid $.20, ref. 39.87)

 

Bearish Option Strategies

ACB Seller 5,846 Jun 10 calls (collects $.46, appears closing, ref. 8.54)

TSLA 5,000 May 50 puts trade (appears bought, $.08, Earnings 4/24, possibly closing, ref. 270.12)

NLSN Seller 5,000 Apr 25 calls (collects $1.45, appears closing, ref. 26.38)

CSX Buyer 3,000 Aug 67.5 puts tied to stock (paid $1.21, Earnings after the close, ref. 76.13)

CTSH Buyer 5,400 Apr 26th 71 puts (paid $.50, ref. 72.28)

PBR Seller 15,000 Apr 15.5 – 16 call spreads (untied, collects $.17, ref. 15.44)

 

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

XOP 10,300 May 31st 33 calls trade ($.92, ref. ref. 31.93)

XOP 10,000 Jan 38 calls trade tied to stock (appears bought, $1.28, ref. 31.86)

EEM Buyer 50,000 May 40 puts to Sell 48,000 Jun 41.5 puts (opening on both legs, net long delta, ref. 44.36)

EFA Seller 15,000 Jul 63 puts to Buy 15,000 Dec 51 puts tied to stock (collects $.32, ref. 66.68)

QQQ 10,000 Jun 197 calls trade tied to stock (appears bought, $.91, ref. 186.45)

 

Bearish Option Strategies

QQQ Buyer 3,775 May 183 straddles to Sell 36,000 May 3rd 169 puts vs. Seller 2,275 May 31st 186 straddles to Buy 20,700 May 31st 173 puts (appears to roll strategy that finances downside puts via short straddles, ref. 186.50)

GLD Seller 52,000 Jan21 180 – 200 call spreads (collects $.25, ref. 120.49)

HYG 10,000 Sep 85 – 81 put spreads trade tied to stock ($.71, ref. 86.91)

EFA Buyer 10,000 Jun 66 puts tied to stock (paid $1.23, ref. 66.70)

 

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

 

 

Finance Trades Options Strategies

EEM 5,000 May 46 RevCons trade (ref. 44.44)

HD 20,50 May 205 RevCons trade (ref. 204.60)

MRO 5,000 May 18 RevCons trade (ref. 17.27)

 

 

 

Upcoming Earnings

 

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
CSX 4/16/2019 3.0 3.7 -18.5% B 38,344
IBM 4/16/2019 5.0 5.8 -13.2% C 233,659
MLNX 4/16/2019 1.6 4.3 -62.2% B 38,987
NFLX 4/16/2019 7.0 6.9 0.8% D 3,540,152
UAL 4/16/2019 5.3 6.7 -21.6% B 165,240
AA 4/17/2019 6.0 5.4 10.9% F 7,919
ABT 4/17/2019 3.3 1.9 74.9% B 106,509
BK 4/17/2019 3.5 3.4 5.5% D 36,742
CCI 4/17/2019 2.0 1.5 39.9% B 54,836
CCK 4/17/2019 3.0 2.0 49.0% C 1,565
ETFC 4/17/2019 3.8 2.3 68.8% C 8,240
KMI 4/17/2019 2.0 1.7 18.7% C 39,656
KSU 4/17/2019 3.1 2.8 10.8% C 8,854
LVS 4/17/2019 3.4 2.9 18.2% D 37,785
MS 4/17/2019 2.8 2.7 5.1% D 140,201
PEP 4/17/2019 1.8 1.7 2.0% C 113,059
SBNY 4/17/2019 3.9 3.6 7.5% C 2,860
TXT 4/17/2019 5.0 4.5 11.7% C 2,182
URI 4/17/2019 6.5 5.9 11.1% C 53,647
USB 4/17/2019 2.3 1.7 30.8% B 23,005
ALLY 4/18/2019 3.5 3.5 -1.1% B 20,225
AXP 4/18/2019 3.5 3.0 16.5% B 108,538
BBT 4/18/2019 2.2 2.2 -1.1% B 29,727
BX 4/18/2019 2.4 1.5 60.9% D 37,465
CFG 4/18/2019 3.2 2.6 25.2% C 5,965
DHR 4/18/2019 3.0 2.8 5.9% B 12,321
DOV 4/18/2019 3.5 3.6 -2.6% C 3,949
GPC 4/18/2019 3.4 3.8 -11.2% A 12,177
GTLS 4/18/2019 7.3 5.8 26.4% C 2,990
HON 4/18/2019 2.4 1.6 47.8% B 59,202
KEY 4/18/2019 2.6 2.8 -8.0% C 4,882
MAN 4/18/2019 5.1 5.1 0.8% C 10,737
PM 4/18/2019 3.2 3.9 -15.9% C 95,948
PPG 4/18/2019 3.0 2.4 22.9% C 66,983
RF 4/18/2019 3.0 1.8 65.3% C 15,913
SKX 4/18/2019 13.1 17.1 -23.6% C 9,631
SLB 4/18/2019 2.9 2.2 33.5% D 48,264
SNA 4/18/2019 6.5 6.8 -4.8% A 2,558
STI 4/18/2019 3.2 2.0 59.9% C 12,260
SYF 4/18/2019 4.3 4.9 -10.9% C 10,837
TRV 4/18/2019 2.2 2.5 -11.9% B 5,987
UNP 4/18/2019 2.5 3.3 -22.9% B 265,138
AABA 4/22/2019 3.2 1.6 92.6% D 32,036
CDNS 4/22/2019 6.8 6.2 9.9% B 2,430
CE 4/22/2019 1.8 2.5 -29.8% C 2,684
GWW 4/22/2019 6.6 9.0 -26.5% C 31,682
HAL 4/22/2019 3.9 3.6 7.5% C 22,402
KMB 4/22/2019 3.1 1.9 63.5% B 14,632
LECO 4/22/2019 3.9 3.8 5.1% B 2,772
LII 4/22/2019 4.3 2.2 93.2% B 6,864
RRC 4/22/2019 3.5 4.3 -17.7% F 7,190
STLD 4/22/2019 3.3 2.4 35.6% C 2,290
WHR 4/22/2019 6.4 7.6 -15.4% C 23,071
ZION 4/22/2019 2.0 2.3 -12.7% B 4,180

 

Volatility Standouts

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
SABR 71.57% C -10.50% 60.71 3,471
CARS 69.39% C -3.36% 93.25 6,394
ES 5.79E-01 A 0.00% 11.11 1,035
EROS 57.41% F 0.00% 37.70 345
BKS 53.59% C 3.92% 32.14 138
VICI 52.66% A 0.00% 1.59 2,182
HIIQ 51.14% D -3.83% 100.00 20,623
RL 48.38% C -6.72% 36.11 13,378
IONS 47.90% D 3.74% 84.46 19,269
ROL 46.71% B -10.13% 73.02 636
AWK 45.00% C 1.73% 69.84 1,240
CDAY 42.73% D -0.39% 42.61 6,204
ARRY 42.62% F 4.70% 58.73 10,208
CZR 42.46% D -2.13% 74.21 28,287
NHTC 42.40% D 1.61% 62.70 711
VGR 41.14% C 1.17% 60.71 1,278
CL 40.50% B -0.26% 72.62 57,215
UPWK 40.44% F -0.87% 2.11 171
QCOM 40.29% D -2.25% 78.97 481,831
FDP 40.02% F -4.43% 98.81 299
QADA 37.74% C 29.06% 19.44 118
KEYS 37.71% A -1.22% 50.79 10,593
AMGN 36.20% C 0.77% 69.05 129,052
CVLT 35.59% B 1.08% 71.83 137
Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
ULTI -70.93% F 0.00% 6.35 536
APC -70.19% F -6.72% 0.40 51,923
VSM -66.75% C 0.00% 0.79 7,818
DWDP -63.08% C 0.32% 64.54 67,701
CELG -55.56% A -9.54% 0.40 344,134
BIIB -52.94% C 0.22% 59.13 111,306
OZK -49.19% C -0.99% 69.84 692
MLNX -48.07% B 0.00% 6.35 38,987
EB -39.31% D 1.38% 22.39 136
DIS -38.21% C -5.36% 71.83 379,341
RHT -37.86% C 0.00% 25.40 166,977
SVMK -36.89% F 1.67% 5.30 1,650
NVRO -35.62% D -3.11% 39.29 1,047
REZI -34.42% D 1.69% 29.82 344
TTD -34.12% D 1.31% 72.22 33,781
WYND -33.45% C -0.41% 42.23 597
NBEV -31.51% F -1.47% 4.44 6,041
GSKY -30.89% F -0.38% 6.36 2,140
CERN -29.92% C -2.63% 73.41 25,633
WCG -28.36% B 0.48% 42.46 3,359
CBLK -27.89% F -0.98% 19.46 3,802
ROKU -27.85% D 0.88% 57.94 96,804
BBBY -27.78% C 0.87% 46.03 14,532
PXD -25.58% C -3.09% 68.25 63,117
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE