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Volatility Up Across the Board with VIX Sitting below 13

Apr 25, 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 saw a bit of divergence this morning as Tech opened higher while the S&P, Dow and Russel saw selling pressure. However, stocks appear to have settled in and are off lows while the earlier bid in volatilities has softened. Currently, the S&P is +.05, the Russell is -.70% and the Nasdaq is +.45%. Bonds are giving back some of yesterday’s gains (TLT -.25%, US 10 year yield up to 2.527%) as the Atlanta Fed’s final forecast for tomorrow’s GDP print came in at 2.7%. In single name news, shares of 3M are down more than 11% after missing on both top and bottom lines and cutting its 2019 guidance. On the other side of the coin, shares of Facebook and Microsoft are up 6.5% and 3.75% respectively thanks to stronger than expected earnings (MSFT cloud business grew by 41% YoY). Healthcare (XLV +.50%) and Banks (XLF +.40%) are outperforming today while Semis (SMH -1.75%) and Industrials (XLI -1.60%) lag the broader market. Volatilities are mixed with the VIX -.25% to 13.11, VXN +4.5% to 17.45, and RVX +2% to 16.70.  

 

ETF 30D Volatility Changes

SPY:    +1%

IWM:    +2%

QQQ:   +3%

 

Directional Options Strategies

Bullish Option Strategies

SNAP Buyer 6,000 Jun 11 calls tied to stock (paid $.87, ref. 11.01)

APC Seller 10,000 May 64 puts to Buy 10,000 May 72.5 – 77.5 call spreads (paid $1.05, ref. 71.50)

OXY Buyer 6,500 Jun 65 – 75 call spreads (paid $1.60, Earnings 5/6, in discussions to acquire APC, ref. 63.35)

RRD 12,825 Jan 4 puts trade (appears sold, $.50, possibly closing, ref. 4.50)

 

Bearish Option Strategies

KSS 7,150 May 72.5 calls trade (appears sold , $2. 00, ref. 72.05)

TSLA 5,000 Jun 230 puts trade tied to stock (appears bought, $9.30, ref. 257.04)

MAR 5,000 Jul 130 puts trade vs. 7,500 Jul 115 puts (ref. 136.10)

YPF Buyer 15,000 Jan21 10 puts tied to stock (paid $1.50, Earnings 5/9, ref. 13.24)

CRM 5,500 Jun 165 calls trade (appears sold, $6.60, possibly closing, ref. 162.22)

SWN Seller 20,000 May 4 – 3.5 put spreads (appears to monetize and roll down, collects $.11, Earnings after the close, ref. 4.15)

WAB Buyer 3,200 Oct 65 puts (paid $3.45, 5,800 trade total, ref. 71.40)

 

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

TUR Seller 27,000 Jun 19 puts (Turkey ETF, collects $.325, ref. 23.01)

XOP Seller 37,500 Sep 25 puts (collects $.38, untied, ref. 32.25)

SPY Buyer 10,000 May 3rd 292 calls (paid $1.91, untied, ref. 291.66)

EMB Seller 20,000 Jun 108 – 107 put stupid (collects $1.03, ref. 109.02)

EWZ Buyer 15,000 May 41 calls to Sell 15,000 May 42 and 43 calls (paid $.011, untied, ref. 40.29)

EWZ Buyer 32,000 May 42 calls tied to stock (paid $.44, ref. 40.05)

XLK Seller 15,000 May 3rd 78 – 75 put spreads (appears to close position opened yest., ref. 79.23)

QQQ Buyer 2,275 May 31st 186 straddles and 1,300 May 31st 187 straddles to Sell 31,700 May 31st 173 puts (appears closing all around, paid $1.68M, ref. 190.97)

 

Bearish Option Strategies

IWM Buyer 8,000 Dec 150 – 130 put spreads (paid $3.72, ref. 156.60)

SMH 8,500 May 125 calls trade vs. 8,500 May 114 – 110 put spreads (trades $.31, ref. 118.36)

SMH Buyer 9,500 May 110 – 105 put spreads trade (paid $.59, ref. 117.13)

VIX Buyer 30,000 May 23 calls (paid $.35, ref. 15.05 (May))

VIX Buyer 50,000 May 50 – Oct 40 call spreads (paid $.335, appears to roll out and up, ref. 15.28 (May) and 16.94 (Oct))

XLF 49,912 Jun 28 calls (appears sold, possibly closing, ref. 27.21)

XLI Seller 4,000 May 10th 78 puts to Buy 4,000 May 10th 76.5 puts (monetizes, rolls down, collects $.70, ref. 76.91)

QQQ 17,500 Jun 180 puts trade tied to stock (appears bought, $1.95, ref. 189.82)

 

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

 

 

Finance Trades Options Strategies

CPB 3,000 May 37 RevCons trade (ref. 38.37)

COTY 2,000 May 15 RevCons trade (ref. 11.16)

 

 

 

Upcoming Earnings

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
AFL 4/25/2019 2.5 1.7 46.5% A 11,504
ALK 4/25/2019 4.4 5.2 -15.2% C 13,072
AMZN 4/25/2019 4.0 4.7 -13.3% C 10,908,218
BEAT 4/25/2019 9.2 10.0 -8.3% C 5,037
CERN 4/25/2019 2.5 5.3 -52.6% C 25,633
COF 4/25/2019 3.7 3.1 21.7% D 52,192
COLM 4/25/2019 7.0 6.5 8.9% B 5,250
CY 4/25/2019 5.8 3.8 51.8% B 23,395
DFS 4/25/2019 2.9 2.9 0.7% A 14,700
DLR 4/25/2019 2.7 3.8 -28.8% D 3,322
EHC 4/25/2019 2.3 5.6 -59.5% B 3,209
EMN 4/25/2019 3.5 1.9 85.4% C 3,553
F 4/25/2019 5.0 4.2 18.5% F 58,517
FTV 4/25/2019 4.0 2.8 43.5% C 1,694
GRUB 4/25/2019 14.0 13.3 5.2% F 37,967
ILMN 4/25/2019 4.9 5.9 -16.6% B 49,021
INTC 4/25/2019 4.2 4.8 -12.2% D 414,741
JNPR 4/25/2019 7.4 5.7 30.2% F 7,701
LOGM 4/25/2019 8.0 10.4 -23.2% D 6,555
MAT 4/25/2019 12.8 9.1 40.8% F 24,391
MHK 4/25/2019 8.2 8.4 -1.7% D 20,225
NOV 4/25/2019 4.1 4.4 -8.6% D 2,731
PFPT 4/25/2019 8.6 7.8 11.0% D 1,826
RSG 4/25/2019 2.4 2.0 20.0% B 7,470
SBUX 4/25/2019 3.8 4.2 -8.6% A 164,872
SCCO 4/25/2019 3.5 2.3 54.4% D 1,967
SFLY 4/25/2019 10.0 11.1 -9.4% B 13,169
SGEN 4/25/2019 5.2 6.5 -19.9% C 3,824
SIVB 4/25/2019 5.5 7.4 -26.2% C 12,272
SPSC 4/25/2019 9.5 9.5 0.7% C 1,535
SWN 4/25/2019 5.4 6.8 -19.9% F 1,818
TMUS 4/25/2019 3.6 3.9 -6.0% C 14,836
VRSN 4/25/2019 3.2 1.4 119.7% A 6,124
AAL 4/26/2019 4.5 5.0 -9.4% C 56,790
ADM 4/26/2019 3.5 3.4 1.6% C 20,057
AIMC 4/26/2019 4.3 3.9 10.6% C 1,759
AN 4/26/2019 4.7 4.2 11.7% C 9,005
BEN 4/26/2019 2.7 2.7 -0.4% D 4,712
BLMN 4/26/2019 6.4 4.5 42.5% B 4,753
CL 4/26/2019 3.5 2.3 56.9% B 57,215
COG 4/26/2019 4.0 3.9 3.4% C 33,457
CVX 4/26/2019 2.2 2.8 -22.7% C 225,637
GT 4/26/2019 5.9 5.9 0.6% F 3,458
LEA 4/26/2019 4.4 3.3 33.5% C 13,460
TREE 4/26/2019 10.7 11.8 -9.0% D 4,621
WY 4/26/2019 3.0 3.2 -6.5% F 5,933
XOM 4/26/2019 2.0 2.5 -17.1% D 261,104
ZBH 4/26/2019 3.6 5.2 -30.7% C 14,864
AABA 4/29/2019 0.9 1.5 -40.2% D 32,036
ARE 4/29/2019 1.7 1.7 -1.2% D 8,959
CACC 4/29/2019 5.1 6.7 -24.6% C 3,262
CGNX 4/29/2019 6.4 6.5 -1.5% D 4,199
CHGG 4/29/2019 10.2 10.2 -0.4% D 25,130
CLR 4/29/2019 4.5 4.2 7.0% F 11,384
DO 4/29/2019 5.3 3.9 35.7% F 4,478
GOOGL 4/29/2019 4.0 3.1 29.9% C 1,939,812
INGN 4/29/2019 12.3 13.9 -11.3% C 30,538
L 4/29/2019 2.7 2.7 -1.0% B 2,051
LEG 4/29/2019 5.7 4.9 17.6% C 5,160
MDR 4/29/2019 10.1 10.4 -3.3% F 3,570
MGM 4/29/2019 4.8 4.6 6.1% F 16,275
MOH 4/29/2019 2.2 7.9 -72.3% C 42,892
NBIX 4/29/2019 7.7 6.4 20.9% F 13,062
NSP 4/29/2019 7.7 9.3 -17.6% A 21,208
ON 4/29/2019 6.9 4.3 60.3% D 11,492
SBAC 4/29/2019 3.3 1.7 93.5% C 12,432
THC 4/29/2019 8.7 12.1 -28.4% D 23,728
TXRH 4/29/2019 6.0 4.6 31.4% C 2,704
VNO 4/29/2019 1.6 1.7 -10.6% B 9,448
VRNS 4/29/2019 9.0 8.0 12.3% D 19,189
WDC 4/29/2019 7.8 7.6 2.8% D 70,428

 

Volatility Standouts

 

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
MRTX 71.58% F 0.24% 92.46 8,083
UNM 65.29% B 3.60% 88.49 1,951
NHTC 60.87% D 0.54% 76.19 711
HSY 60.44% A -21.65% 59.92 12,693
FDP 58.64% F 1.32% 97.62 299
DFRG 57.99% D 8.46% 55.95 1,026
MITK 56.79% F 0.12% 73.41 554
HIIQ 55.55% D -1.65% 99.60 20,623
ARRY 52.17% F 2.86% 56.75 10,208
FTAI 47.28% A -0.87% 32.54 2,266
GRA 47.27% B -11.05% 29.76 2,903
BGS 46.01% D 4.76% 42.86 738
ES 44.72% A 0.00% 6.35 1,035
IMMR 44.47% D 7.94% 98.41 1,520
CL 42.71% B -0.98% 62.30 57,215
VGR 41.50% C 23.00% 57.14 1,278
VST 40.99% F 1.28% 32.54 6,989
SMAR 40.10% F 0.51% 41.38 1,800
CTXS 39.13% C -19.76% 67.86 22,716
SIRI 38.70% C -2.99% 33.33 1,449
ELAN 38.44% C -1.53% 16.67 101,651
RP 38.26% C 2.48% 30.56 1,617
XLNX 38.21% B -9.80% 74.21 418,200
 
Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
APC -73.67% F 7.03% 0.00 51,923
QTNA -73.37% F 0.00% 3.17 319
RHT -67.25% C -6.26% 14.29 166,977
ULTI -66.17% F 0.00% 0.40 536
MLNX -63.69% B 0.00% 9.13 38,987
DWDP -63.01% C 2.44% 64.54 67,701
BRSS -60.22% D 0.00% 3.17 520
QCOM -59.99% D -2.34% 70.24 481,831
CELG -52.53% A -9.40% 2.38 344,134
DIS -42.98% C 5.20% 42.86 379,341
ANTM -41.64% B -4.50% 93.65 77,407
WCG -38.14% B 0.53% 57.54 3,359
EB -35.11% D -0.18% 9.29 136
HCA -34.82% C -0.40% 88.10 6,669
BIIB -34.11% C -1.67% 66.27 111,306
MDSO -32.54% D -0.98% 70.24 1,405
ADS -31.49% C -13.49% 59.52 4,320
REZI -31.30% D 1.83% 0.00 344
TTD -31.20% D 0.39% 55.56 33,781
SGH -31.03% C 2.89% 12.73 618
GES -30.33% C -0.45% 46.83 364
UNH -30.12% A -0.62% 82.54 203,599
PCG -29.03% D 0.72% 80.56 90,297
 
 
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE