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VIX up 3.6% as equities selloff opening rally

Apr 17, 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 bit of selling pressure this afternoon as first quarter earnings have failed to inspire a new wave of buyers. Currently, the S&P is -.20% the Russell is -1.05% and the Nasdaq is +.25%. Bonds are bid (TLT +.20%, US 10 year yield down to 2.583%) even as Chinese data surprised to the upside (Q1 GDP +6.4% vs. +6.3% est.; Mar Industrial Production +8.5% vs. +5.9 est.; Retail Sales +8.7%  vs. +8.4% est.) In single name news, shares of Qualcomm are up more than 10% (and up more than 30% since yesterday afternoon) after settling its patent dispute with Apple. Healthcare and Biotech are under pressure this afternoon (XLV -2.5%; XBI -4.5%) while Consumer Staples and Tech outperform (XLP +.50%; XLK +.45%). Volatilities bid across the board with the VIX +5% to 12.83, VXN +2% to 16.25, and RVX +4% to 16.74.  

 

ETF 30D Volatility Changes

SPY:     +6%

IWM:    +6%

QQQ:   +1%

  

 

Directional Options Strategies

Bullish Option Strategies

FCX Seller 13,350 May 14 calls to Buy 26,700 Jun 16 calls (paid .39, untied, monetizes, appears to roll out and up, Earnings 3/25, ref. 14.38)

CRM 13,000 Jun 155 – 160 call spreads trade ($2.65, appears to roll calls up, ref. 156.21)

JD 5,000 Sep 37 calls trade tied to stock (appears bought, $.77, ref. 29.56)

S Buyer 9,300 May 7 calls (paid $.13, ref. 5.66)

ITCI 8,000 Apr – May 17.5 call spreads trade (appears to roll out, ref. 12.40)

 

Bearish Option Strategies

YNDX Seller 4,500 May 35 calls (collects $4.10, untied, possibly closing, ref. 38.45)

AGI Buyer 5,100 Sep 5 puts (paid b/w $.55 and $.60, ref. 4.70)

NIO Buyer 10,000 Jan21 2 puts (paid $.52, ref. 4.61)

 

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

EEM Seller 22,500 Apr 44.5 calls to Buy 21,750 May 46 calls (untied, appears to roll out and up, ref. 44.69)

SMH Seller 10,000 May 112 puts to Buy 7,500 May 116 puts (appears to roll puts up, reduces size, ref. 118.12)

EFA Seller 15,000 May 65 puts and 7,500 May 67 calls tied to stock (delta neutral, short vol, collects $.98, ref. 66.69)

XOP Seller 10,000 May 32 calls to Buy 10,000 Jun 33 – 36 call spreads (collects $.33, monetizes, rolls out and up into spread, ref. 32.35)

EWZ Seller 5,000 Jun 37 puts to Buy 10,000 Jun 42 – 44 call spreads (appears to close half of position opened earlier this week, ref. 39.77)

 

Bearish Option Strategies

XLV Buyer 10,000 Jun 83 puts (paid $1.06, ref. 86.72)

XLV 10,300 May 85 puts trade (appears bought, $.97, ref. 86.73)

IYR 10,000 Apr 84.5 – 80 put spreads trade vs. 10,000 May 84 – 80 put spreads (appears to roll out and down, ref. 84.95)

XBI 7,500 May 85 – 75 puts spreads trade ($2.36, ref. 85.74)

SPY 10,000 May 284 – 275 put spreads trade ($.97, ref. 289.83)

SPY Buyer 11,250 Dec 215 puts (paid $1.46, ref. 290.48)

HYG Buyer 14,000 Jul 81 puts (paid $.14, untied, ref. 86.80)

 

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

 

 

Finance Trades Options Strategies

GE 6,000 Jan 12 RevCons trade (ref. 9.14)

COTY 3,000 Apr – May Jelly Rolls trade (ref. 11.24)

 

 

 

Upcoming Earnings

 

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
AA 4/17/2019 5.8 5.4 7.1% F 7,919
CCI 4/17/2019 2.0 1.5 35.3% B 54,836
CCK 4/17/2019 3.2 2.0 57.4% C 1,565
ETFC 4/17/2019 3.8 2.3 66.4% C 8,240
KMI 4/17/2019 2.1 1.7 25.7% C 39,656
LVS 4/17/2019 3.6 2.9 25.2% D 37,785
URI 4/17/2019 6.2 5.9 5.3% C 53,647
ALLY 4/18/2019 3.7 3.5 4.9% B 20,225
AXP 4/18/2019 3.3 3.0 9.1% B 108,538
BBT 4/18/2019 2.0 2.2 -8.6% B 29,727
BX 4/18/2019 2.3 1.5 52.3% D 37,465
CFG 4/18/2019 3.0 2.6 16.7% C 5,965
DHR 4/18/2019 3.4 2.8 22.1% B 12,321
DOV 4/18/2019 3.6 3.6 1.9% C 3,949
GPC 4/18/2019 3.5 3.8 -7.9% A 12,177
GTLS 4/18/2019 7.3 5.8 25.3% C 2,990
HON 4/18/2019 2.5 1.6 50.4% B 59,202
KEY 4/18/2019 2.3 2.8 -17.5% C 4,882
MAN 4/18/2019 5.5 5.1 8.3% C 10,737
PM 4/18/2019 3.6 3.9 -8.0% C 95,948
PPG 4/18/2019 2.8 2.4 15.4% C 66,983
RF 4/18/2019 3.0 1.8 64.3% C 15,913
SKX 4/18/2019 12.7 17.1 -25.9% C 9,631
SLB 4/18/2019 3.0 2.2 38.5% D 48,264
SNA 4/18/2019 6.4 6.8 -6.0% A 2,558
STI 4/18/2019 3.1 2.0 55.7% C 12,260
SYF 4/18/2019 4.1 4.9 -16.6% C 10,837
TRV 4/18/2019 2.2 2.5 -9.0% B 5,987
UNP 4/18/2019 2.5 3.3 -23.0% B 265,138
AABA 4/22/2019 2.6 1.6 56.6% D 32,036
CDNS 4/22/2019 6.8 6.2 9.8% B 2,430
CE 4/22/2019 2.0 2.5 -20.3% C 2,684
GWW 4/22/2019 6.7 9.0 -25.7% C 31,682
HAL 4/22/2019 3.6 3.6 -1.5% C 22,402
KMB 4/22/2019 2.9 1.9 54.3% B 14,632
LECO 4/22/2019 4.2 3.8 12.1% B 2,772
LII 4/22/2019 4.2 2.2 87.9% B 6,864
RRC 4/22/2019 4.5 4.3 5.9% F 7,190
STLD 4/22/2019 2.0 2.4 -16.8% C 2,290
WHR 4/22/2019 6.4 7.6 -15.2% C 23,071
ZION 4/22/2019 1.6 2.3 -30.4% B 4,180
ABG 4/23/2019 5.3 3.8 39.0% C 1,791
AMTD 4/23/2019 2.6 2.2 21.2% B 15,336
BXP 4/23/2019 3.0 2.3 31.5% D 9,151
CIT 4/23/2019 1.6 1.5 6.7% C 1,824
CNC 4/23/2019 6.1 3.7 65.1% B 23,121
EBAY 4/23/2019 5.3 5.9 -9.3% B 164,902
EW 4/23/2019 5.6 5.7 -0.2% C 24,279
HA 4/23/2019 5.0 6.1 -18.5% C 1,924
HAS 4/23/2019 6.5 6.7 -3.7% F 8,045
HOG 4/23/2019 5.2 4.6 13.2% C 13,988
IRBT 4/23/2019 12.1 14.3 -14.9% C 50,732
IRDM 4/23/2019 8.3 3.9 114.0% F 2,635
JBLU 4/23/2019 4.3 4.1 5.7% D 2,893
KO 4/23/2019 2.4 2.6 -6.3% B 126,593
LMT 4/23/2019 2.4 2.4 2.4% B 78,743
NEE 4/23/2019 2.5 1.7 42.6% C 38,198
NTRS 4/23/2019 1.6 3.1 -49.6% C 7,537
NUE 4/23/2019 2.1 2.1 1.8% B 17,382
PG 4/23/2019 3.1 3.7 -17.6% A 126,817
PHM 4/23/2019 4.1 2.7 52.2% C 2,659
PII 4/23/2019 4.3 6.4 -32.4% D 3,479
SHW 4/23/2019 3.8 3.8 0.9% C 24,589
SIX 4/23/2019 7.2 7.3 -0.3% C 5,290
SNAP 4/23/2019 14.6 18.9 -22.7% F 78,172
STT 4/23/2019 3.8 4.1 -9.1% D 4,050
SYK 4/23/2019 4.7 4.0 16.9% B 10,026
TER 4/23/2019 7.4 8.1 -8.0% D 1,741
TRU 4/23/2019 4.5 4.4 3.2% C 1,561
TSS 4/23/2019 4.2 3.4 21.4% A 1,568
TWTR 4/23/2019 10.6 12.3 -14.2% C 159,890
TXN 4/23/2019 4.0 4.3 -7.9% B 187,982
UTX 4/23/2019 2.5 2.4 5.8% B 94,122
VMI 4/23/2019 3.9 3.2 19.7% C 2,100
VZ 4/23/2019 3.0 2.7 11.7% B 135,529
WAT 4/23/2019 4.3 5.1 -14.7% B 13,192

 

Volatility Standouts

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
EROS 71.61% F 0.00% 26.48 345
NHTC 69.46% D 0.00% 66.01 711
HIIQ 62.75% D 0.63% 100.00 20,623
FDP 62.33% F 12.19% 98.42 299
FTAI 48.49% A -3.39% 63.64 2,266
UPWK 47.11% F -0.86% 0.00 171
ELAN 46.16% C 1.45% 39.85 101,651
ARRY 44.12% F 6.67% 49.41 10,208
DVA 42.57% D 1.54% 71.15 1,139
CDAY 41.61% D -0.49% 42.42 6,204
QADA 41.56% C 0.00% 28.06 118
VST 40.47% F 1.38% 16.60 6,989
NCS 40.36% A 0.00% 90.51 344
CL 40.19% B 2.70% 42.69 57,215
AMGN 39.84% C 2.05% 75.10 129,052
MRTX 38.91% F 0.62% 88.93 8,083
ECL 38.22% B -0.69% 45.06 19,761
RP 38.17% C 0.39% 33.20 1,617
AWK 36.56% C 2.28% 69.17 1,240
VGR 36.35% C 7.03% 59.29 1,278
PGR 36.05% B 0.24% 28.46 33,034
KEYS 35.25% A -1.02% 53.36 10,593
ABT 35.12% B -8.17% 76.68 106,509
KNX 34.05% C -2.15% 77.47 2,718
Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
BRSS -74.87% D 0.00% 1.58 520
APC -69.64% F -1.08% 0.00 51,923
ULTI -65.39% F 0.00% 4.35 536
VSM -64.44% C 0.00% 1.19 7,818
DWDP -63.77% C -1.19% 53.57 67,701
MLNX -61.27% B 0.00% 1.58 38,987
CELG -55.89% A -8.05% 1.19 344,134
BIIB -53.23% C -3.49% 63.24 111,306
OZK -51.39% C -2.61% 66.40 692
QCOM -43.11% D 7.19% 90.12 481,831
EB -40.64% D -2.09% 23.70 136
DIS -38.96% C -1.80% 49.01 379,341
SVMK -36.45% F 1.41% 5.26 1,650
REZI -35.98% D -1.07% 32.17 344
TTD -35.03% D -1.77% 68.38 33,781
GSKY -34.55% F -2.87% 5.88 2,140
NBEV -34.43% F -1.05% 2.76 6,041
NVRO -33.82% D 2.46% 35.57 1,047
WYND -32.61% C 1.52% 42.86 597
BBBY -31.30% C -1.94% 41.90 14,532
TGI -29.58% F 0.00% 75.10 4,617
PXD -29.07% C -0.87% 59.29 63,117
CERN -28.93% C 0.27% 59.68 25,633
RHT -27.45% C 0.00% 31.62 166,977
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE