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VIX up 6% on Mueller report and World tensions

Apr 22, 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 opened lower this morning but have since pared losses as geopolitical tensions (Trump Admin. no longer granting exemptions on waivers for countries importing Iranian oil) dominate headlines. Currently, the S&P is unchanged, the Russell is -.30% and the Nasdaq is +.10%. Bonds are down (TLT -.40%, US 10 year yield up to 2.587%) even as March Home Sales data came in softer than expected (5.21M vs. 5.30 est.) It’s worth noting that the median home price rose 3.8% YoY. Oil is bid this afternoon (USO +2.85%) in sympathy with this morning’s announcement which raises concerns over supply. Outside the U.S, Chinese equities are seeing some selling pressure amid worries that policymakers may slow easing policies. The Energy Sector is outperforming (XLE +2.1%) this afternoon while Retail (XRT -1.0%) lags the broader market. Volatilities are up across the board with the VIX +6% to 12.84, VXN +5% to 15.92, and RVX +4.5% to 16.78.  

ETF 30D Volatility Changes

SPY:    -1%

IWM:    -1%

QQQ:   -1%

  

 

Directional Options Strategies

Bullish Option Strategies

STZ Seller 3,500 May 190 puts (opens write, collects $1.05, ref. 201.65)

SE Seller 16,000 May 20 puts (collects $.21, Earnings 5/14, ref. 22.79)

PER 4,000 Oct 2.5 calls trade (paid b/w $.05 and $.10, ref. ref. 2.43)

SIRI 42,000 May 6 calls trade (paid b/w $.24 and $.26, Earnings 4/24, appears to add to existing position, ref. 6.09)

WY Seller 3,500 Jun 22 puts (opens write, collects $.21, ref. 25.80)

JD 10,000 Sep 38 calls trade tied to stock (appears bought, $.61, ref. 29.50)

BOX Buyer 2,900 May 21 calls (paid $.25, 7,300 trade total, ref. 19.22)

 

Bearish Option Strategies

GM Seller 50,000 Jun 42 calls (opens write, collects $.52, ref. 39.68)

CSX Seller 4,000 May 80 calls (collects $.83, possibly closing, ref. 78.59)

SLCA Seller 5,000 May 19 calls (untied, collects $.66, ref. 18.06)

S 6,000 Jun 5 puts trade (appears bought, $.38, ref. 5.88)

F Seller 50,000 Jun 10 calls trade (collects $.155, untied, possibly closing, ref. 9.51)

TEVA Seller 5,000 Jan 17.5 calls tied to stock (collects $1.01, ref. 14.38)

YPF 30,000 Jan 23 calls trade (appears sold to open, $.125, ref. 14.44)

 

 

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

SPY Seller 10,000 Sep 289 puts to Buy 10,000 Sep 291 calls tied to stock (paid $.63, ref. 289.80)

EMB Seller 10,000 May 109 puts and 10,000 Jun 108 puts (collects $.92, appears opening on both legs, ref. 109.39)

GLD 6,019 May 124 calls trade (appears bought, $.21, more than 10,000 trade total, ref. 120.28)

VIX Seller 33,000 May 19 calls (collects $.49, ref. 14.50 (May))

 

Bearish Option Strategies

ASHR Seller 20,000 May 28 puts to Buy 20,000 May 33 calls tied to stock (paid $.11, ref. 29.94)

HYG 10,000 Jul 83 – 80 1x2 put spreads trade ($.04, ref. 86.61)

QQQ Buyer 5,000 May 185 – 177 1x2 put spreads tied to stock (paid $.79, ref. 187.19)

XLP Buyer 20,000 May 57 puts (paid $.57, untied, ref. 57.01)

INDA 3,000 Jun 32 – 29 – 24 broken put flies trade ($.18, ref. 35.05)

XOP 8,000 Jan 30 puts trade (appears bought, $2.15, ref. 32.47)

USO 7,327 Jul 13.5 puts trade (appears bought, $.55, ref. 13.72)

 

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

 

 

Finance Trades Options Strategies

FB 2,000 May 180 RevCons trade (ref. 179.66)

 

 

 

Upcoming Earnings

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
CDNS 4/22/2019 7.1 6.2 14.1% B 2,430
CE 4/22/2019 2.1 2.5 -15.5% C 2,684
RRC 4/22/2019 4.9 4.3 13.4% F 7,190
WHR 4/22/2019 6.5 7.6 -14.1% C 23,071
ZION 4/22/2019 1.9 2.3 -16.7% B 4,180
ABG 4/23/2019 5.3 3.8 40.7% C 1,791
AMTD 4/23/2019 2.6 2.1 20.1% B 15,336
CIT 4/23/2019 2.1 1.5 43.7% C 1,824
CNC 4/23/2019 4.6 3.7 23.2% B 23,121
EBAY 4/23/2019 5.5 5.9 -6.2% B 164,902
EW 4/23/2019 4.9 5.7 -13.7% C 24,279
FE 4/23/2019 0.4 1.6 -77.1% B 2,199
HA 4/23/2019 5.7 6.1 -6.0% C 1,924
HAS 4/23/2019 6.4 6.6 -3.4% F 8,045
HOG 4/23/2019 5.7 4.6 22.5% C 13,988
IRBT 4/23/2019 12.0 14.3 -15.6% C 50,732
IRDM 4/23/2019 7.3 3.9 89.8% F 2,635
JBLU 4/23/2019 4.5 4.1 11.2% D 2,893
KO 4/23/2019 2.5 2.6 -4.6% B 126,593
LMT 4/23/2019 3.1 2.4 30.3% B 78,743
NEE 4/23/2019 2.2 1.7 30.1% C 38,198
NTRS 4/23/2019 2.7 3.1 -12.6% C 7,537
NUE 4/23/2019 2.7 2.1 28.4% B 17,382
PG 4/23/2019 3.2 3.7 -15.4% A 126,817
PHM 4/23/2019 4.1 2.7 52.1% C 2,659
PII 4/23/2019 4.9 6.4 -24.3% D 3,479
SHW 4/23/2019 3.6 3.7 -1.5% C 24,589
SIX 4/23/2019 7.3 7.3 0.4% C 5,290
SNAP 4/23/2019 15.1 18.9 -20.3% F 78,172
SNV 4/23/2019 1.0 2.9 -65.2% C 2,795
STT 4/23/2019 3.8 4.1 -8.8% D 4,050
SYK 4/23/2019 3.9 4.1 -6.0% B 10,026
TER 4/23/2019 7.4 8.1 -8.0% D 1,741
TRU 4/23/2019 4.5 4.4 2.9% C 1,561
TSS 4/23/2019 4.2 3.4 23.5% A 1,568
TWTR 4/23/2019 9.8 12.3 -20.2% C 159,890
TXN 4/23/2019 4.4 4.3 1.7% B 187,982
UTX 4/23/2019 2.6 2.4 9.9% B 94,122
VMI 4/23/2019 4.2 3.1 36.8% C 2,100
VZ 4/23/2019 2.3 2.7 -15.1% B 135,529
WAT 4/23/2019 4.8 5.1 -4.8% B 13,192
AGNC 4/24/2019 1.6 1.2 34.8% D 1,705
ALGN 4/24/2019 8.6 8.7 -1.1% C 133,608
AMP 4/24/2019 3.2 3.9 -17.6% A 7,329
ANTM 4/24/2019 4.4 4.4 0.5% B 77,407
APD 4/24/2019 3.4 2.2 54.8% B 14,240
ASGN 4/24/2019 6.5 5.5 19.0% B 2,370
AVB 4/24/2019 2.0 1.4 47.1% A 2,314
AXTA 4/24/2019 5.1 2.3 121.7% D 6,027
BA 4/24/2019 2.9 3.8 -23.7% A 1,356,662
BIIB 4/24/2019 1.0 2.1 -52.0% C 111,306
BSX 4/24/2019 4.2 2.2 86.2% C 19,899
CMG 4/24/2019 7.4 9.3 -20.6% C 878,219
CTXS 4/24/2019 4.4 3.3 35.2% C 22,716
DPZ 4/24/2019 5.7 5.2 9.6% B 29,956
DTE 4/24/2019 2.5 1.7 48.4% B 3,726
EFX 4/24/2019 4.2 4.6 -7.6% C 2,862
ESS 4/24/2019 2.6 1.7 53.1% D 5,292
FB 4/24/2019 5.6 6.9 -18.2% C 2,043,761
FFIV 4/24/2019 5.4 4.1 30.5% A 15,663
FLIR 4/24/2019 6.2 5.6 10.0% C 19,151
FNF 4/24/2019 2.5 2.6 -4.5% C 11,238
GD 4/24/2019 3.1 3.9 -21.4% B 17,358
HP 4/24/2019 2.4 3.4 -29.8% D 2,058
ISBC 4/24/2019 5.9 2.4 148.0% C 3,859
KNX 4/24/2019 10.3 5.8 77.5% C 2,718
LAD 4/24/2019 6.7 7.2 -7.3% B 3,380
LRCX 4/24/2019 6.1 5.9 4.3% C 144,836
MCO 4/24/2019 3.7 3.6 3.3% A 2,538
MSFT 4/24/2019 3.0 2.7 12.3% C 964,281
NDAQ 4/24/2019 2.7 1.4 88.4% C 2,453
NOC 4/24/2019 2.9 3.2 -9.4% B 35,142
NOW 4/24/2019 6.2 4.8 29.8% F 145,193
NSC 4/24/2019 3.1 2.9 4.1% B 76,594
NTGR 4/24/2019 9.1 7.7 19.2% C 11,964
OC 4/24/2019 5.6 6.4 -11.9% D 3,675
ORLY 4/24/2019 5.2 4.3 20.3% A 36,508
PKG 4/24/2019 2.4 3.0 -19.3% B 8,060
PYPL 4/24/2019 5.2 5.2 -0.5% C 405,103
QNST 4/24/2019 10.9 14.2 -23.4% B 6,838
RJF 4/24/2019 3.1 2.4 26.1% C 6,750
SAM 4/24/2019 7.3 8.0 -8.3% D 2,810
SAVE 4/24/2019 5.8 5.8 0.7% D 8,029
SCCO 4/24/2019 2.1 2.3 -7.6% D 1,967
SWK 4/24/2019 4.9 5.2 -6.1% D 13,714
T 4/24/2019 3.2 4.5 -29.8% C 187,945
TMO 4/24/2019 4.0 2.9 39.6% A 26,505
TRN 4/24/2019 5.2 4.2 23.4% F 1,541
TROW 4/24/2019 3.0 3.1 -4.6% C 9,435
TSLA 4/24/2019 7.7 6.8 13.4% F 2,021,164
V 4/24/2019 2.7 2.5 8.4% A 410,288
WYNN 4/24/2019 4.6 6.2 -25.9% D 355,489
XLNX 4/24/2019 7.9 8.0 -1.0% B 418,200

 

Volatility Standouts

 

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
SABR 74.36% C 0.00% 71.54 3,471
BGG 70.17% C 0.00% 86.96 351
CFG 69.34% C 0.00% 20.16 5,965
VSI 64.57% D 0.00% 69.57 1,427
GLPI 64.13% A 0.00% 20.55 12,330
DFRG 60.97% D 9.11% 64.43 1,026
CAL 60.24% C 0.00% 70.36 251
CTRL 60.00% C 0.00% 59.68 559
HIIQ 59.92% D 0.00% 100.00 20,623
HIBB 59.20% D 0.00% 12.65 133
WPC 57.33% C 0.00% 64.43 653
YRCW 55.79% D 0.00% 96.84 955
GTN 55.06% C 0.00% 62.06 1,242
EROS 54.87% F -3.71% 40.32 345
UNM 54.34% B -3.15% 88.54 1,951
SCS 54.18% B 0.00% 9.88 1,928
QADA 53.87% C 0.00% 18.58 118
QRTEA 53.79% C 0.00% 78.26 133
ARRY 53.64% F 0.78% 68.77 10,208
WEC 53.21% B 0.00% 44.27 9,123
ENPH 53.17% F 0.00% 31.23 2,356
RP 52.96% C 0.00% 37.15 1,617
KMB 52.47% B 0.00% 13.83 14,632
FDP 5.04E-01 F -4.52% 96.84 299
Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
QTNA -72.20% F 0.00% 5.14 319
APC -69.31% F 2.54% 2.37 51,923
RHT -67.43% C -12.88% 20.95 166,977
DWDP -65.08% C 0.60% 53.17 67,701
VSM -62.66% C 0.00% 1.98 7,818
QCOM -59.90% D 1.12% 54.94 481,831
MLNX -54.58% B -29.90% 3.95 38,987
CELG -52.96% A -7.60% 1.19 344,134
BRSS -49.74% D 0.00% 1.19 520
DIS -48.32% C -3.30% 40.32 379,341