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VIX -4% in quiet equity session.

Apr 26, 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 mixed this afternoon after this morning’s 3.2% Q1 GDP print showed strong economic growth coupled with muted inflation (Core PCE 1.3% vs. 1.4% est.) Currently, the S&P is +.15, the Russell is +.80% and the Nasdaq is -.20%. Bonds are stronger (TLT +.40%, US 10 year yield down to 2.505%) and it will be interesting to see how the FED interprets this morning’s data at next week’s FOMC meeting. In single name news, shares of Intel are down more than 10% after reducing its full-year revenue guidance by $2.5 billion. It’s worth noting that CEO Bob Swan cited a “dramatic slowdown in China” as a source of the chip-makers weak first quarter. Consumer Staples (XLP +.65%) and Retail (XRT +.70%) are outperforming this afternoon while Semis (SMH -1.9%) and Energy (XLE -1.7%) lag the broader market. With regard to Energy’s underperformance (Crude Oil – 3.75%), President Trump said earlier this morning that he’s ‘called up OPEC’ and told them to ‘bring down’ Oil prices. Volatilities are softer with the VIX -4% to 12.72, VXN -3.5% to 15.94, and RVX -3.75% to 16.20.  

 

ETF 30D Volatility Changes

SPY:    -3%

IWM:    -4%

QQQ:   -4%

 

Directional Options Strategies

Bullish Option Strategies

MMM 4,000 May 185 puts trade (appears sold, $1.67, ref. 191.40)

CVE Seller 85,000 Jun 12 calls to Buy 120,000 May 11 calls (appears to monetize loss; rolls closer and down, ref. 9.88)

AAL 4,840 Jun 37 calls trade (appears bought, $.40, more than 13,000 trade on the day, ref. 33.01)

AMRN Seller 10,000 Jul 18 puts (collects $2.00, opens write, Earnings 5/1, ref. 19.05)

KN Buyer 4,700 Sep 20 calls (paid $1.10, ref. 18.60)

VZ 3,000 May 56 puts trade tied to stock (appears sold to open, $.57, ref. 56.53)

 

Bearish Option Strategies

AAPL 6,591 May 200 puts trade (appears bought, $4.00, more than 12,000 trade total, ref. 204.66)

DISCA Seller 5,000 May 32.5 calls (collects $.45, untied, possibly closing, ref. 30.50)

MDLZ 6,200 May 47.5 puts trade (appears bought, $.28, Earnings 4/30, ref. 50.10)

DLR 4,000 Jul 115 puts trade vs. 5,000 Oct 105 puts (appears to monetize, roll out and down, ref. 114.78)

 

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

USO Seller 40,000 May 13 puts (untied, collects $.17, possibly closing, ref. 13.33)

VIX Seller 21,000 May 29th 19 calls (collects $.65, ref. 15.28 (May 29th future))

SMH Seller 3,000 Apr 26th 115 puts to Buy 6,000 Apr 26th 114 puts (collects .15, ref. 114.89)

 

Bearish Option Strategies

SPY Buyer 10,000 Jun 280 – 270 put spreads (paid $1.04, ref. 291.83)

SPY Buyer 10,000 May 280 – 270 put spreads (paid $.43, ref. 291.83))

SPX Buyer 18,000 May 22nd 1900 puts (paid $.10, ref. 2921.10)

XOP Buyer 110,000 May 33 calls to Sell 80,000 May 34 calls and 50,000 Jun 35 calls (ref. 31.05)

OIH Seller 7,500 May 3rd 18 – 17.5 put spreads (monetizes and rolls down, collects $.37, maintains bearish exposure, ref. 17.14)

 

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

 

 

Finance Trades Options Strategies

BIDU 3,080 Jun 165 RevCons trade (ref. 164.50)

F 8,000 Jun 10 RevCons trade (ref. 10.39)

 

 

 

Upcoming Earnings

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
SCCO 4/26/2019 2.5 2.3 9.2% D 1,967
AABA 4/29/2019 0.3 1.5 -81.4% D 32,036
ARE 4/29/2019 1.9 1.7 10.7% D 8,959
CACC 4/29/2019 5.0 6.7 -24.9% C 3,262
CGNX 4/29/2019 6.7 6.5 3.1% D 4,199
CHGG 4/29/2019 10.1 10.2 -0.9% D 25,130
CLR 4/29/2019 4.6 4.2 7.9% F 11,384
DO 4/29/2019 5.3 3.9 33.8% F 4,478
GOOGL 4/29/2019 3.8 3.1 26.0% C 1,939,812
INGN 4/29/2019 12.5 13.9 -10.4% C 30,538
L 4/29/2019 3.2 2.7 15.1% B 2,051
LEG 4/29/2019 5.3 4.9 8.9% C 5,160
MDR 4/29/2019 9.9 10.4 -5.4% F 3,570
MGM 4/29/2019 4.7 4.6 4.1% F 16,275
MOH 4/29/2019 3.7 7.9 -52.5% C 42,892
NBIX 4/29/2019 8.0 6.4 25.3% F 13,062
NSP 4/29/2019 7.5 9.3 -19.6% A 21,208
ON 4/29/2019 7.0 4.3 62.4% D 11,492
SBAC 4/29/2019 3.3 1.7 90.4% C 12,432
THC 4/29/2019 9.4 12.1 -22.3% D 23,728
TXRH 4/29/2019 6.3 4.6 38.8% C 2,704
VNO 4/29/2019 1.6 1.7 -9.1% B 9,448
VRNS 4/29/2019 9.2 8.0 15.0% D 19,189
WDC 4/29/2019 8.7 7.6 14.5% D 70,428
AAPL 4/30/2019 4.2 5.0 -15.4% C 3,159,288
AKAM 4/30/2019 6.8 7.3 -6.5% B 45,483
AMD 4/30/2019 11.5 14.2 -18.5% D 292,847
AMGN 4/30/2019 2.9 2.2 29.9% C 129,052
ARCC 4/30/2019 2.0 2.2 -9.0% C 8,784
ARLO 4/30/2019 19.6 30.2 -35.1% F 5,515
ARNC 4/30/2019 5.8 6.7 -14.3% D 10,455
ASH 4/30/2019 4.1 3.6 11.3% C 37,846
BHGE 4/30/2019 4.2 1.9 121.8% F 7,497
BLKB 4/30/2019 7.9 6.2 27.2% D 1,526
BXP 4/30/2019 1.8 2.4 -25.5% D 9,151
CAI 4/30/2019 12.1 13.3 -8.7% C 31,258
CDK 4/30/2019 5.0 4.4 13.1% A 2,097
CHRW 4/30/2019 3.8 3.1 20.7% B 27,603
CHTR 4/30/2019 5.5 6.9 -19.9% C 14,782
CMI 4/30/2019 4.0 3.0 33.1% C 28,514
CNX 4/30/2019 6.6 5.2 28.6% F 2,237
COHR 4/30/2019 10.3 9.8 5.3% D 9,664
COP 4/30/2019 3.4 2.2 52.2% C 33,760
DBD 4/30/2019 14.9 15.8 -5.6% F 2,575
DVN 4/30/2019 4.9 5.1 -3.9% D 12,279
EAT 4/30/2019 5.7 4.8 17.8% C 3,331
ECL 4/30/2019 2.7 1.2 128.3% B 19,761
EEFT 4/30/2019 5.5 5.6 -0.9% A 3,136
ENPH 4/30/2019 12.5 11.1 12.5% F 2,356
EQM 4/30/2019 2.9 1.8 60.6% D 3,339
EQR 4/30/2019 1.3 1.5 -16.9% C 4,300
EXAS 4/30/2019 9.6 11.8 -18.5% C 15,430
FEYE 4/30/2019 9.0 9.2 -1.9% C 14,035
FIS 4/30/2019 4.8 2.9 66.4% C 66,651
FISV 4/30/2019 3.2 2.9 11.9% B 7,119
GE 4/30/2019 7.2 5.2 38.0% D 232,150
GLW 4/30/2019 5.2 6.2 -15.8% C 51,660
GM 4/30/2019 4.1 3.6 13.1% D 103,196
GRPN 4/30/2019 11.4 9.8 16.7% C 9,620
HCA 4/30/2019 3.2 3.7 -11.2% C 6,669
HUN 4/30/2019 4.4 3.3 34.4% D 5,612
INCY 4/30/2019 4.7 2.6 82.9% F 23,904
IPGP 4/30/2019 8.4 9.6 -13.1% D 17,827
KKR 4/30/2019 3.3 3.3 0.8% F 32,911
LLY 4/30/2019 2.2 2.8 -22.2% C 349,902
MA 4/30/2019 3.0 2.3 28.1% A 868,670
MCD 4/30/2019 3.0 3.2 -5.0% B 235,232
MDLZ 4/30/2019 3.5 3.9 -9.4% C 29,946
MLM 4/30/2019 4.7 4.7 0.9% C 54,838
MRK 4/30/2019 3.0 1.9 55.1% B 384,383
MSTR 4/30/2019 6.5 5.4 20.2% D 2,627
NUS 4/30/2019 10.5 7.5 41.2% C 4,301
OKE 4/30/2019 2.7 2.9 -6.0% B 72,214
OLN 4/30/2019 5.2 4.0 30.6% C 2,984
OSK 4/30/2019 5.6 5.8 -3.6% B 5,398
PAYC 4/30/2019 8.7 7.9 10.9% C 17,420
PCAR 4/30/2019 4.7 4.0 19.7% B 3,650
PFE 4/30/2019 2.3 2.1 9.5% B 75,181
PSX 4/30/2019 2.8 1.8 54.8% C 21,148
R 4/30/2019 5.1 6.5 -22.3% C 2,374
SABR 4/30/2019 7.0 7.6 -8.5% C 3,471
SSNC 4/30/2019 5.2 3.1 64.5% B 10,140
TDG 4/30/2019 4.4 3.6 23.3% B 56,249
TDOC 4/30/2019 8.6 6.9 24.5% D 5,937
TNDM 4/30/2019 11.5 10.6 8.1% F 30,315
TWLO 4/30/2019 11.5 16.2 -29.0% D 370,810
UNM 4/30/2019 10.1 3.9 160.2% B 1,951
VRSK 4/30/2019 3.7 3.6 3.8% A 3,082
VRTX 4/30/2019 2.7 1.9 42.3% C 49,384
WATT 4/30/2019 15.1 9.9 52.1% F 3,078
WH 4/30/2019 4.5 2.4 90.2% C 5,982
WRK 4/30/2019 3.0 2.5 20.2% D 2,022
WYNN 4/30/2019 5.0 6.2 -19.0% D 355,489
ZBRA 4/30/2019 7.3 9.3 -21.6% B 14,627
ZEN 4/30/2019 9.2 7.3 26.3% D 21,235

 

Volatility Standouts

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
MRTX 68.00% F -2.44% 92.46 8,083
AJG 63.99% A 0.00% 47.62 715
HIIQ 63.36% D 2.05% 99.60 20,623
BXMT 61.68% C 0.00% 3.97 259
UNM 60.38% B -5.01% 95.24 1,951
DFRG 59.14% D 0.00% 63.49 1,026
HSY 58.75% A -6.08% 5.95 12,693
ARRY 57.68% F -2.97% 63.89 10,208
ES 56.88% A 0.00% 45.63 1,035
MITK 53.51% F 0.73% 69.44 554
MHK 52.35% D -19.78% 66.67 20,225
ELAN 48.57% C 6.62% 20.86 101,651
NHTC 47.17% D -3.15% 75.00 711
FDP 47.06% F -8.58% 99.60 299
IMAX 46.84% C -3.83% 65.08 647
FTAI 46.32% A -0.38% 30.16 2,266
OXY 44.24% C 3.48% 97.62 51,722
FLO 43.94% B 3.97% 29.37 315
CL 42.09% B -14.46% 60.71 57,215
AGNC 41.99% D 8.25% 22.62 1,705
SMAR 41.46% F 1.66% 43.59 1,800
CTXS 40.98% C 3.02% 17.06 22,716
VST 40.29% F -2.42% 15.48 6,989
JACK 40.29% C 4.41% 50.40 1,105
 
Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
APC -74.87% F -1.36% 1.98 51,923
QTNA -72.84% F 0.00% 5.95 319
RHT -67.23% C -5.06% 15.87 166,977
VSM -64.53% C 0.00% 3.57 7,818
DWDP -63.61% C -0.86% 67.73 67,701
QCOM -59.12% D -0.68% 67.86