blog

Latest from the Quantamize Blog

VIX down -2% in quiet holiday trading

Apr 18, 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 have had an uneven session today as the latest round of global economic data confirms a growing divergence between the Euro Zone and US economies.  Overnight, the Euro Zone’s April Manufacturing flash PMI printed at 47.8 vs. 48.0 est. while this morning’s domestic data offered a brighter outlook (March Retail Sales +1.6% m/m vs. 1.0%;  April Manufacturing PMI 52.4 vs. 52.8 est.) Currently, the S&P is +.20% the Russell is -.05% and the Nasdaq is +.05%. Bonds are bid (TLT +.60%, US 10 year yield down to 2.561%) in sympathy with the weaker international data. In single name news, shares of Kinder Morgan are down more than 2% despite raising its dividend and reporting Q1 earnings in line with expectations. Healthcare continues to underperform (XLV -.15%; fears over regulation/political change) while Industrials outperform the broader market (XLI +1.1%). Volatilities are softer with the VIX -4% to 12.14, VXN -2.5% to 15.44, and RVX -2% to 16.09.  

 

ETF 30D Volatility Changes

SPY:    -5%

IWM:    -2%

QQQ:   -4%

    

 

Directional Options Strategies

Bullish Option Strategies

LBTYK Buyer 20,000 Jul 30 calls (paid $.55, untied, ref. 26.25)

MDR Seller 6,200 May 9 – 11 call spreads (monetizes, rolls up and maintains bullish exposure, collects $1.10, Earnings 4.29, ref. 9.93)

HON Buyer 3,000 May 175 calls (paid $.34, more than 12,500 trade on the day, ref. 167.56)

BABA Buyer 5,000 Oct 210 calls (paid $7.05, ref. 186.00)

BRFS Buyer 2,600 Sep 10 calls (paid b/w $.10 and $.15, ref. 7.19)

LPI Buyer 2,500 May 3 calls (paid $.40, Earnings 5/1, ref. 3.21)

 

Bearish Option Strategies

TSLA 5,000 Jun 230 puts trade (appears bought, $8.35, ref. 273.51)

TSLA Buyer 3,300 Apr 26th 200 puts (paid $.23, ref. 273.50)

DB Buyer  15,000 Jul 8 -7 put spreads tied to stock (paid $.28, ref. 8.79)

NRG Buyer 5,000 May 39 puts (paid $.60, Earnings 5/2, ref. 41.07)

AMRN Buyer 2,000 May 12 puts (paid $.10, ref. 17.59)

PS Buyer 2,100 May 30 puts (paid $1.45, Earnings 5/1, ref. 31.24)

PPC Buyer 2,500 May 23 puts (paid $.25, Earnings 5/1, ref. 25.97)

 

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

SLV 20,020 Jul 15 calls trade (appears bought, $.16, more than 40,000 trade, ref. 14.03)

VXXB Buyer 25,000 Jan 14 puts (paid $.48, ref. 25.82)

VXXB Buyer 10,000 Apr 25.5 puts (paid $.09, ref. 25.74)

XLF 18,000 Jun 28 calls trade (appears bought, ref. 27.33)

Bearish Option Strategies

HYG Buyer 10,000 May 24th 86 puts to Sell 15,000 May 24th 84 puts (paid $.26, ref. 86.62)

HYG Buyer 20,000 May 3rd 86.5 puts tied to stock (paid $.395, ref. 86.71)

SPY 10,029 May 288 puts trade (appears bought, $2.36, ref. 290.04)

IWM 8,622 May 152 – 141 put spreads trade vs. 10,400 Jun 152 – 142 put spreads (appears to roll put spread out, ref. 155.24)

 

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

 

 

Finance Trades Options Strategies

AABA 30,000 Jul 70 RevCons trade (ref. 75.51)

EEM 15,000 May 44 RevCons trade (ref. 44.41)

 

 

 

Upcoming Earnings

 

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
AABA 4/22/2019 2.4 1.6 43.6% D 32,036
CDNS 4/22/2019 7.0 6.2 12.2% B 2,430
CE 4/22/2019 1.7 2.5 -33.5% C 2,684
GWW 4/22/2019 6.7 9.2 -27.6% C 31,682
HAL 4/22/2019 3.5 3.6 -3.0% C 22,402
KMB 4/22/2019 2.9 1.9 57.6% B 14,632
LECO 4/22/2019 4.4 3.8 16.4% B 2,772
LII 4/22/2019 4.3 2.2 90.5% B 6,864
RRC 4/22/2019 4.6 4.3 6.5% F 7,190
STLD 4/22/2019 2.8 2.4 13.8% C 2,290
WHR 4/22/2019 6.6 7.6 -12.7% C 23,071
ZION 4/22/2019 1.7 2.3 -25.4% B 4,180
ABG 4/23/2019 4.7 3.8 23.1% C 1,791
AMTD 4/23/2019 2.5 2.2 16.5% B 15,336
BXP 4/23/2019 2.5 2.3 7.3% D 9,151
CIT 4/23/2019 1.3 1.5 -11.8% C 1,824
CNC 4/23/2019 5.8 3.7 56.1% B 23,121
EBAY 4/23/2019 5.3 5.9 -10.0% B 164,902
EW 4/23/2019 5.7 5.7 0.1% C 24,279
HA 4/23/2019 4.7 6.1 -23.4% C 1,924
HAS 4/23/2019 6.5 6.6 -2.6% F 8,045
HOG 4/23/2019 5.4 4.6 19.4% C 13,988
IRBT 4/23/2019 11.8 14.3 -17.1% C 50,732
IRDM 4/23/2019 8.4 3.9 117.3% F 2,635
JBLU 4/23/2019 4.2 4.1 4.0% D 2,893
KO 4/23/2019 2.5 2.6 -3.8% B 126,593
LMT 4/23/2019 2.3 2.4 -1.1% B 78,743
NEE 4/23/2019 2.2 1.7 27.9% C 38,198
NTRS 4/23/2019 2.0 3.1 -34.2% C 7,537
NUE 4/23/2019 2.6 2.1 23.7% B 17,382
PG 4/23/2019 3.1 3.7 -17.3% A 126,817
PHM 4/23/2019 4.1 2.7 50.8% C 2,659
PII 4/23/2019 4.3 6.4 -32.0% D 3,479
SHW 4/23/2019 3.9 3.8 2.6% C 24,589
SIX 4/23/2019 7.3 7.3 0.4% C 5,290
SNAP 4/23/2019 14.7 18.9 -22.2% F 78,172
STT 4/23/2019 3.3 4.1 -19.9% D 4,050
SYK 4/23/2019 4.2 4.0 3.8% B 10,026
TER 4/23/2019 7.5 8.1 -7.1% D 1,741
TRU 4/23/2019 4.5 4.4 3.9% C 1,561
TSS 4/23/2019 4.3 3.4 25.4% A 1,568
TWTR 4/23/2019 10.8 12.3 -12.7% C 159,890
TXN 4/23/2019 4.1 4.3 -4.8% B 187,982
UTX 4/23/2019 2.5 2.4 5.2% B 94,122
VMI 4/23/2019 4.0 3.2 23.6% C 2,100
VZ 4/23/2019 2.7 2.7 -1.0% B 135,529
WAT 4/23/2019 4.8 5.1 -6.3% B 13,192
AGNC 4/24/2019 1.6 1.2 34.7% D 1,705
ALGN 4/24/2019 8.2 8.7 -5.3% C 133,608
AMP 4/24/2019 2.7 3.9 -29.5% A 7,329
ANTM 4/24/2019 5.6 4.4 28.5% B 77,407
APD 4/24/2019 3.2 2.2 46.6% B 14,240
ASGN 4/24/2019 6.2 5.5 12.9% B 2,370
AVB 4/24/2019 2.0 1.4 46.6% A 2,314
AXTA 4/24/2019 5.2 2.3 125.5% D 6,027
BA 4/24/2019 3.3 3.8 -11.9% A 1,356,662
BEAT 4/24/2019 9.9 10.0 -1.5% C 5,037
BSX 4/24/2019 4.6 2.2 106.6% C 19,899
CMG 4/24/2019 7.1 9.3 -24.2% C 878,219
CTXS 4/24/2019 4.9 3.3 49.6% C 22,716
DPZ 4/24/2019 5.1 5.2 -1.6% B 29,956
DTE 4/24/2019 2.3 1.7 38.3% B 3,726
EFX 4/24/2019 4.3 4.6 -6.4% C 2,862
ESS 4/24/2019 2.7 1.7 60.2% D 5,292
FB 4/24/2019 5.6 6.9 -18.7% C 2,043,761
FFIV 4/24/2019 5.4 4.2 28.3% A 15,663
FLIR 4/24/2019 6.2 5.6 10.8% C 19,151
FNF 4/24/2019 1.9 2.6 -26.1% C 11,238
GD 4/24/2019 3.0 3.9 -22.8% B 17,358
HP 4/24/2019 2.5 3.4 -27.1% D 2,058
ISBC 4/24/2019 3.9 2.4 63.7% C 3,859
KNX 4/24/2019 9.4 5.6 66.3% C 2,718
LAD 4/24/2019 6.5 7.2 -9.9% B 3,380
LRCX 4/24/2019 6.4 5.7 13.3% C 144,836
MCO 4/24/2019 3.7 3.6 1.5% A 2,538
MSFT 4/24/2019 3.2 2.8 16.3% C 964,281
NDAQ 4/24/2019 2.3 1.4 62.8% C 2,453
NOC 4/24/2019 3.1 3.2 -5.1% B 35,142
NOW 4/24/2019 6.2 4.8 27.4% F 145,193
NSC 4/24/2019 3.0 3.0 -0.1% B 76,594
NTGR 4/24/2019 9.5 7.7 23.7% C 11,964
OC 4/24/2019 5.4 6.4 -15.6% D 3,675
ORLY 4/24/2019 5.0 4.3 16.3% A 36,508
PKG 4/24/2019 2.4 2.9 -18.0% B 8,060
PYPL 4/24/2019 5.3 5.2 2.4% C 405,103
QNST 4/24/2019 10.8 14.2 -24.1% B 6,838
RJF 4/24/2019 2.6 2.5 4.1% C 6,750
SAM 4/24/2019 6.3 7.9 -20.2% D 2,810
SAVE 4/24/2019 6.1 5.8 4.8% D 8,029
SWK 4/24/2019 4.9 5.1 -2.2% D 13,714
T 4/24/2019 3.2 4.5 -30.0% C 187,945
TMO 4/24/2019 4.2 2.9 44.5% A 26,505
TMUS 4/24/2019 3.9 3.9 0.2% C 14,836
TRN 4/24/2019 4.9 4.2 17.1% F 1,541
TROW 4/24/2019 2.9 3.1 -5.7% C 9,435
TSLA 4/24/2019 7.3 6.8 7.5% F 2,021,164
BLUE 5/1/2019 3.5 3.3 5.4% D 2,832
V 4/24/2019 2.7 2.5 11.0% A 410,288
WYNN 4/24/2019 4.6 6.2 -25.0% D 355,489
XLNX 4/24/2019 8.0 8.0 0.8% B 418,200

 

Volatility Standouts

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
S 74.17% F -6.31% 94.86 6,904
UNM 73.71% B -5.62% 92.49 1,951
EROS 67.23% F 0.00% 43.08 345
CARS 66.78% C -5.00% 99.21 6,394
HIIQ 58.58% D -2.87% 100.00 20,623
MITK 50.43% F 4.02% 81.03 554
NHTC 49.89% D 0.00% 70.75 711
FDP 46.96% F -6.57% 99.21 299
CDAY 45.49% D 0.26% 48.71 6,204
MRTX 43.33% F -0.06% 88.93 8,083
FTAI 42.58% A -6.45% 41.50 2,266
ARRY 41.77% F 4.94% 65.61 10,208
SNBR 41.70% B -38.40% 75.10 245
SLM 40.52% B -10.49% 73.52 1,239
CL 40.37% B 0.32% 62.06 57,215
VGR 39.90% C 0.00% 61.26 1,278
UPWK 39.84%