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Q1 GDP Print Beats Handily, Yields Fall on Muted Inflation

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
ETF 30D IV 30D IV
Percentile
90D IV 90D IV
Percentile
90D/30D IV 90D/30D IV
Percentile
30D IV-
20D HV
30D IV-20D HV
Percentile
90D IV-
60D HV
90D IV-60D HV
Percentile
SPY 10.02 32.94% 11.49 30.16% 1.15 66.07% 3.54 92.46% 1.98 70.24%
QQQ 14.72 32.54% 14.73 11.11% 1 37.1% 7.89 99.21% 2.69 78.17%
IWM 14.31 46.03% 14.4 41.67% 1.01 44.05% 2.75 64.48% -0.01 46.63%
FEZ 12.15 15.08% 14.04 25.99% 1.16 79.56% 4.36 90.08% 2.3 85.52%
EEM 14.78 5.16% 15.22 0.79% 1.03 47.62% 3.35 86.51% 0.47 64.68%

 

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

Despite a wave of earnings this week, trading volumes remained light as equity markets continued to grind toward all-time highs. This morning’s Q1 GDP print (3.2% vs. 2.3% est.) came in well above estimates but failed to drive yields higher thanks to a Core PCE figure that was roughly in line with expectations (1.3% vs. 1.4%). With next week’s FOMC meeting (May 1st) it will be interesting to see if the FED shifts its tone toward neutral away from the accommodative stance its maintained throughout the first quarter. As of writing, the S&P is set to gain roughly 1% on the week (ref. 292.50) while bonds have bounced back after last week’s losses (TLT +1% this week). Implied vols have ticked up modestly amongst major equity indexes but remain toward the lower third of their one year range. Cash  VIX is down roughly 4.5% (ref. 12.72) for the week but could see some movement as we have a number of important upcoming macro events. At top of the list is the FOMC Meeting (5/1) but the market will also be digesting Inflation data (4/29), Chinese April PMI’s (4/30), US April Manufacturing ISM (5/1) and a monthly Jobs Report (5/3). Some earnings to keep an eye on include Google (4/29), McDonalds. Apple, and GE (4/30).

Highlights from this Week:

  • Trump Admin. no longer grants exemptions on waivers for countries importing Iranian oil – Oil moves higher
  • EuroZone April Consumer Confidence figure softer than expected (-7.9% vs. -7.0% est.)
  • German IFO Business Climate Survey 99.2 vs. 99.9 est.
  • Weekly jobless claims jump 37,000 to 230,000 (largest move since Sept. 2018)
  • GDP print showed strong economic growth (3.2% vs. 2.3% est.) coupled with muted inflation (Core PCE 1.3% vs. 1.4% est.)
  • President Trump ‘called up OPEC’ and told them to ‘bring down’ Oil prices – Crude falls

Bullish: QQQ 45,000 Jun 192 – 197 call spreads trade (trades $2.21, appears to monetize and roll up, ref. 190.48)

Bullish: XLV Buyer 10,000 Jun 91 calls (paid $.82, ref. 88.18)

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

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

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

Bearish: XLI Buyer 20,000 May 3rd 78.5 - 75 put spreads (paid $.53, ref. 78.72)

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

Bearish: UUP Buyer 180,000 Jun 26 puts (Short US Dollar, paid $.18, ref. 26.21)

Bearish: SMH Seller 8,500 May 125 calls to Buy 8,500 May 114 – 110 put spreads (paid $.31, ref. 118.36)

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

 

OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE