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VIX -2% as equities approach all time highs

Apr 23, 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 have finally broken out and are approaching all-time highs as prior pessimism over an ‘earnings recession’ has been overcome by more prevalent upside beats than expected. Currently, the S&P is +.90, the Russell is +1.75% and the Nasdaq is +1.20%. Bonds are bid this afternoon (TLT +.20%, US 10 year yield up to 2.567%) as this morning’s economic data was mixed. March Home Sales beat (692k vs. 649k est.) while the April Richmond Fed Manufacturing Index missed (3 vs. 10 est.; New Orders -2 vs. 9 prior). It’s also worth noting that the EuroZone Apr Consumer Confidence figure came in softer than expected (-7.9% vs. -7.0% est.; FXE -.40%) In single name action, Twitter (+16%) is the standout today after posting revenue and EPS beats. Average monthly DAUs were also up 11% YoY (134M vs. 128 est.). The Healthcare and Biotech sectors (XLV +1.70%; XBI +2.20%) are outperforming today (rebounding from last week’s losses) while Consumer Staples (XLP -.10%) lag the broader market during this risk-on session. Volatilities are mixed with the VIX -1% to 12.30, VXN +.50% to 15.80, and RVX -3% to 16.10.  

 

ETF 30D Volatility Changes

SPY:    -3%

IWM:    -4%

QQQ:   -2%

    

 

Directional Options Strategies

Bullish Option Strategies

CVE Seller 44,000 May 10 calls to Buy 75,000 Jun 12 calls (appears to monetize, roll up and out, Earnings 4/24, ref. 10.36)

CCJ Buyer 5,000 Jun 12 calls (paid $.60, more than 7,500 trade, Earnings 5/1, ref. 11.91)

AXL Buyer 4,500 May 16 calls trade (paid b/w $.79 and $.94, ref. 15.62)

AVP Buyer 8,500 May 31st calls (paid $.14, Earnings 5/2, ref. 2.67)

WVE Buyer 3,000 Jan 35 calls (paid $5.95, Earnings 5/9, ref. 27.44)

MSFT 10,000 Apr 26th 120 – 126 call spreads trade vs. 10,000 May 3rd 121 – 128 call spreads (appears to monetize and roll out/up, ref. 124.61)

 

Bearish Option Strategies

HSY Buyer 5,000 May 116 – 110 put spreads (paid $1.52 on largest lot, appears to roll puts up, Earnings 4/25, ref. 117.39)

SWN Seller 15,000 May 4 puts to Buy 50,000 May 3.5 puts (untied, appears to monetize and roll down/add units, ref. 4.12)

ADP 2,000 Jun 165 – 140 1x2 put spreads trade (trades $3.10, Earnings 5/1, ref. 164.39)

LL 6,750 May 13 – 12 put spreads trade (appears to roll puts up, trades $.59, Earnings 4/30, ref. 12.99)

 

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 Seller 50,000 May 33 calls to Buy 24,610 May 34 calls and 20,000 Jun 35 calls (untied, appears to monetize and roll up/out, ref. 32.95)

EEM Seller 61,000 May – Jun 41 put spreads (rolls put write out, collects $.22, ref. 44.23)

VIX Seller 27,000 May 18 calls (collects .46, ref. 14.15 (May))

 

Bearish Option Strategies

SPY Buyer 30,000 Jun 28th 285 – 270 put spreads (paid $1.99, ref. 292.07)

SPY 14,000 May 285 puts trade (appears bought, $1.21, ref. 291.42)

SPY 15,000 May 24th 270 – 255 – 240 put flies trade (trades $.16, ref. 292.44)

QQQ Buyer 20,000 May 31st 176 – 170 put spreads tied to stock (paid $.53, ref. 189.30)

GLD Buyer 10,000 Jul 117 – 116 put spreads (paid $.23, untied, ref. 119.73)

XRT Buyer 5,435 Jun 44 – 40 put spreads (paid $.93, ref. 44.43)

USO 4,586 Jul 13.5 puts trade (appears bought, $54, ref. 13.76)

 

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

 

 

Finance Trades Options Strategies

AMD 5,000 Jun 28 RevCons trade (ref. 27.90)

 

 

Upcoming Earnings

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
AMTD 4/23/2019 2.7 2.1 24.8% B 15,336
EBAY 4/23/2019 5.3 5.9 -10.4% B 164,902
EW 4/23/2019 4.8 5.7 -14.4% C 24,279
HA 4/23/2019 4.7 6.1 -22.8% C 1,924
IRBT 4/23/2019 11.5 14.3 -19.1% C 50,732
SCCO 4/23/2019 2.3 2.3 0.1% D 1,967
SIX 4/23/2019 7.2 7.3 -1.1% C 5,290
SNAP 4/23/2019 15.2 18.9 -19.6% F 78,172
SYK 4/23/2019 3.4 4.1 -17.6% B 10,026
TER 4/23/2019 7.7 8.1 -4.2% D 1,741
TSS 4/23/2019 4.2 3.4 22.4% A 1,568
TXN 4/23/2019 4.0 4.3 -7.7% B 187,982
VMI 4/23/2019 4.2 3.1 36.3% C 2,100
AGNC 4/24/2019 1.4 1.2 19.2% D 1,705
ALGN 4/24/2019 8.8 8.7 1.0% C 133,608
AMP 4/24/2019 3.4 3.9 -12.2% A 7,329
ANTM 4/24/2019 3.3 4.4 -25.4% B 77,407
APD 4/24/2019 3.5 2.2 59.0% B 14,240
ASGN 4/24/2019 6.5 5.5 17.7% B 2,370
AVB 4/24/2019 1.3 1.4 -4.1% A 2,314
AXTA 4/24/2019 4.7 2.3 106.0% D 6,027
BA 4/24/2019 3.4 3.8 -8.7% A 1,356,662
BIIB 4/24/2019 1.9 2.1 -9.6% C 111,306
BSX 4/24/2019 3.9 2.2 73.3% C 19,899
CAT 4/24/2019 4.6 5.3 -13.5% C 401,676
CMG 4/24/2019 7.4 9.3 -20.5% C 878,219
CTXS 4/24/2019 4.8 3.3 45.3% C 22,716
DPZ 4/24/2019 5.6 5.2 9.2% B 29,956
DTE 4/24/2019 2.3 1.7 39.8% B 3,726
EFX 4/24/2019 4.5 4.6 -2.0% C 2,862
ESS 4/24/2019 2.5 1.7 46.5% D 5,292
FB 4/24/2019 6.0 6.9 -13.2% C 2,043,761
FFIV 4/24/2019 5.4 4.1 30.0% A 15,663
FLIR 4/24/2019 5.8 5.6 3.7% C 19,151
FNF 4/24/2019 2.0 2.6 -24.4% C 11,238
GD 4/24/2019 3.6 3.9 -8.0% B 17,358
HP 4/24/2019 2.9 3.4 -15.9% D 2,058
ISBC 4/24/2019 6.6 2.4 175.6% C 3,859
KNX 4/24/2019 10.3 5.8 76.0% C 2,718
LAD 4/24/2019 6.3 7.2 -11.5% B 3,380
LRCX 4/24/2019 6.2 5.9 5.4% C 144,836
MCO 4/24/2019 3.6 3.6 -1.0% A 2,538
MSFT 4/24/2019 3.0 2.7 11.5% C 964,281
NDAQ 4/24/2019 2.8 1.4 94.7% C 2,453
NOC 4/24/2019 2.9 3.2 -10.7% B 35,142
NOW 4/24/2019 6.0 4.8 26.1% F 145,193
NSC 4/24/2019 3.1 2.9 7.0% B 76,594
NTGR 4/24/2019 8.1 7.7 6.3% C 11,964
OC 4/24/2019 6.1 6.4 -3.9% D 3,675
ORLY 4/24/2019 5.0 4.3 15.3% A 36,508
PKG 4/24/2019 1.9 3.0 -35.8% B 8,060
PYPL 4/24/2019 5.1 5.2 -2.3% C 405,103
RJF 4/24/2019 3.3 2.4 35.4% C 6,750
SAM 4/24/2019 7.0 8.0 -12.3% D 2,810
SAVE 4/24/2019 5.6 5.8 -3.0% D 8,029
SWK 4/24/2019 4.9 5.2 -5.9% D 13,714
T 4/24/2019 3.3 4.5 -27.8% C 187,945
TMO 4/24/2019 3.4 2.9 18.2% A 26,505
TRN 4/24/2019 5.3 4.2 24.3% F 1,541
TROW 4/24/2019 2.8 3.1 -8.8% C 9,435
TSLA 4/24/2019 7.7 6.8 13.0% F 2,021,164
V 4/24/2019 2.5 2.5 -0.6% A 410,288

 

Volatility Standouts

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
S 67.53% F -2.10% 91.63 6,904
FTAI 67.23% A 0.00% 98.01 2,266
NI 63.67% C 9.80% 17.53 196
DFRG 55.80% D 5.53% 68.53 1,026
UNM 55.20% B 1.88% 74.50 1,951
ES 54.53% A 0.00% 50.20 1,035
HIIQ 52.34% D -4.28% 100.00 20,623
EROS 50.10% F 0.63% 23.90 345
STOR 49.81% B 0.00% 65.74 1,590
ARRY 49.49% F -3.09% 71.71 10,208
MITK 47.88% F -8.55% 83.67 554
FDP 47.80% F -7.66% 98.80 299
MRTX 46.42% F 0.98% 89.24 8,083
CL 44.58% B -1.37% 60.96 57,215
GRA 43.39% B 9.86% 23.90 2,903
ELAN 43.05% C -0.79% 27.21 101,651
KMB 42.62% B 2.77% 0.40 14,632
WU 41.14% C 2.24% 38.65 495
KNX 40.84% C -1.32% 84.86 2,718
BREW 39.84% F 8.38% 71.71 277
FLO 37.46% B 1.42% 33.47 315
ZUMZ 36.50% C 1.71% 33.47 508
AGNC 36.45% D 0.66% 27.49 1,705
VGR 36.33% C 0.00% 63.75 1,278
Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
APC -70.15% F -0.72% 1.99 51,923
RHT -69.59% C -10.62% 13.15 166,977
VSM -67.75% C 0.00% 1.20 7,818
ULTI -67.24% F 0.00% 0.80 536
DWDP -65.72% C 0.37% 50.00 67,701
QTNA -63.64% F 0.00% 1.59 319
QCOM -61.00% D -2.80% 53.39 481,831
MLNX -54.00% B -30.96% 1.99 38,987
CELG -51.69% A -6.74% 0.40 344,134
BRSS -49.01% D 0.00% 3.19 520
DIS -4.87E-01 C 0.20% 20.72 379,341
CERN -36.65% C 0.07% 51.79 25,633
WCG -35.35% B -1.08% 61.75 3,359
NBEV -34.34% F -0.57% 1.12 6,041
SGH -33.24% C 2.11% 7.80 618
EB -32.38% D 0.13% 21.01 136
BIIB -3.09E-01 C 3.42% 69.32 111,306
TTD -29.67% D -0.40% 61.75 33,781
ANTM -29.06% B -1.48% 98.01 77,407
PCG -29.04% D -0.80% 80.48 90,297
ADS -29.00% C -1.61% 54.98 4,320
CTLT -28.98% D 1.46% 60.56 127
REZI -28.39% D -1.56% 8.47 344
EXP -27.70% C -1.59% 84.06 795
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE