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VIX up 1% In spite of small equity rally

Apr 29, 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 continue to grind higher (S&P hits intraday all-time high) as this morning’s inflation data remained tame. Currently, the S&P is +.30, the Russell is +.80% and the Nasdaq is +.25%. Bonds are weaker (TLT -.60%, US 10 year yield up to 2.538%) as the US consumer continues to show strength (Personal Spending 0.9% vs. 0.7% est.) In single name action, shares of Disney are making new highs after Avengers: Endgame broke records bringing in $350 million at the box office (and $1.2 billion globally). Financials are outperforming this afternoon as the 2-10 spread reaches its widest levels since November (roughly 23 bps) while Utilities (XLU -.70%) and Real Estate (IYR -.30%) lag the broader market with rates drifting higher. Volatilities are bid with the VIX +1% to 12.80, VXN +4% to 16.47, and RVX +1% to 16.29.  

 

ETF 30D Volatility Changes

SPY:     -1%

IWM:    -3%

QQQ:   +1%

 

Directional Options Strategies

Bullish Option Strategies

TGT Seller 8,600 Jun 70 puts (untied, collects $.93, ref. 77.84)

DBX Buyer 10,000 Jan 45 calls (paid b/w $.20 and $.25, Earnings 5/9, ref. 24.36)

CGC Buyer 10,000 Oct 52.5 calls tied to stock (paid $6.75, ref. 50.75)

PG Seller 20,000 Jul 95 – Nov 100 call spreads tied to stock (appears to roll long calls up and out, collects $2.58, ref. 104.99)

SIG Seller 4,434 May 20 puts (untied, collects $.21, ref. 22.50)

MRO 6,600 May 3rd 18 calls trade (trade b/w $.20 and $.23, Earnings 5/1, ref. 17.25)

URB Seller 4,800 May 27.5 puts (collects $.26, ref. 29.64)

COP Buyer 2,500 May 3rd 65 calls trade (paid $.43, Earnings 4/30 pre-open, ref. 62.50)

TRUE Buyer 10,000 May 7 calls (paid $.20 on largest lot, Earnings 5/9 ref. 6.33)

 

Bearish Option Strategies

SE Seller 5,000 Jun 26 calls (collects $1.95, ref. 26.15)

GE 47,000 May 3rd 9 puts trade tied to stock (appears bought, $.18, ref. 9.66)

WU Buyer 2,200 May 20 puts (paid $.75, Earnings 5/7, ref. 19.58)

HST Seller 10,750 Jun 20 calls to Buy 10,750 May 19 puts tied to stock (trades even, ref. 19.26)

ADBE 3,860 Jan 210 puts trade (appears bought, $3.50, ref. 290.60)

STNG 3,500 May 26 puts trade (paid $1.50 on largest lot, Earnings 5/2, ref. 25.66)

AAPL 4,121 May 200 puts trade tied to stock (appears bought, $3.87, Earnings 4/30, ref. 205.62)

CAT 4,420 May 132 – 125 put spreads trade ($.67, ref. 139.49)

QRTEA 5,000 May 17.5 puts trade (appears bought, $.975, ref. 17.09)

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

XLF Buyer 49,400 Jun 29 calls (paid $.23, ref. 28.04)

FXI Seller 10,000 May 43.5 puts to Buy 5,000 May 45 calls tied to stock (paid $.07, ref. 44.72)

GDX Buyer 55,000 May 25 calls (paid $.02, appears to close short leg of call spread, ref. 20.91)

VIX Seller 25,000 May 29th 18 calls (collects $.68, ref. 15.09 (May 29th fut.))

 

Bearish Option Strategies

SPY 18,000 Jun 263 – 250 – 237 put flies trade (trade $.17, ref. 293.73)

SPY Seller 25,000 Jun 241 puts to Buy 25,000 Dec 268 puts tied to stock (appears to roll up and out, paid $ 5.65, ref. 293.87)

QQQ 5,000 May 31st 184 puts trade (appears bought, $1.25, ref. 190.95)

HYG Buyer 15,000 Oct 83 puts and 5,000 Nov 84 puts tied to stock (paid $3.96 on the put stupid, ref. 86.98

 

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

 

 

Finance Trades Options Strategies

AAPL 20,000 Jun 220 RevCons trade (ref. 204.80)

VIX 20,000 Jul 16 RevCons trade (ref. 16.19 (Jul))

SQ 6,700 Jun 75 RevCons trade (ref. 73.39)

COTY 5,750 May 15 RevCons trade (ref. 10.96)

 

 

 

Upcoming Earnings

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
ARE 4/29/2019 2.0 1.7 20.0% D 8,959
CACC 4/29/2019 4.7 6.7 -29.7% C 3,262
CGNX 4/29/2019 6.8 6.5 4.8% D 4,199
CHGG 4/29/2019 9.9 10.2 -2.9% D 25,130
CLR 4/29/2019 4.6 4.2 9.4% F 11,384
GOOGL 4/29/2019 3.2 3.1 5.2% C 1,939,812
LEG 4/29/2019 5.4 5.0 8.2% C 5,160
MGM 4/29/2019 4.8 4.6 6.0% F 16,275
MOH 4/29/2019 2.4 7.6 -68.4% C 42,892
NBIX 4/29/2019 7.4 6.4 15.6% F 13,062
SBAC 4/29/2019 3.2 1.7 84.8% C 12,432
SCCO 4/29/2019 1.3 2.4 -43.6% D 1,967
THC 4/29/2019 9.1 12.1 -24.7% D 23,728
TXRH 4/29/2019 6.4 4.6 40.3% C 2,704
VNO 4/29/2019 1.8 1.7 0.3% B 9,448
VRNS 4/29/2019 8.8 8.0 9.5% D 19,189
WDC 4/29/2019 7.7 7.7 -0.5% D 70,428
AAPL 4/30/2019 4.4 5.0 -11.7% C 3,159,288
AKAM 4/30/2019 6.3 7.3 -12.9% B 45,483
AMD 4/30/2019 10.2 14.2 -27.6% D 292,847
AMGN 4/30/2019 3.1 2.2 44.1% C 129,052
ARCC 4/30/2019 1.8 2.2 -19.5% C 8,784
ARLO 4/30/2019 19.8 30.2 -34.4% F 5,515
ARNC 4/30/2019 5.6 6.7 -16.2% D 10,455
ASH 4/30/2019 3.5 3.6 -4.0% C 37,846
BHGE 4/30/2019 3.7 1.9 96.5% F 7,497
BLKB 4/30/2019 8.0 6.3 27.0% D 1,526
BXP 4/30/2019 1.9 2.4 -21.6% D 9,151
CAI 4/30/2019 12.2 13.3 -8.3% C 31,258
CDK 4/30/2019 4.4 4.4 0.7% A 2,097
CHRW 4/30/2019 5.2 3.1 65.2% B 27,603
CHTR 4/30/2019 5.5 7.2 -23.5% C 14,782
CMI 4/30/2019 3.9 3.0 29.1% C 28,514
CNX 4/30/2019 6.4 5.2 23.8% F 2,237
COHR 4/30/2019 9.3 9.7 -4.3% D 9,664
COP 4/30/2019 3.4 2.3 47.9% C 33,760
DBD 4/30/2019 15.3 16.5 -7.6% F 2,575
DVN 4/30/2019 5.1 5.1 0.8% D 12,279
EAT 4/30/2019 5.8 4.8 20.7% C 3,331
ECL 4/30/2019 2.9 1.2 137.4% B 19,761
EEFT 4/30/2019 5.1 5.6 -7.9% A 3,136
ENPH 4/30/2019 13.2 11.1 18.7% F 2,356
EQR 4/30/2019 1.3 1.5 -11.8% C 4,300
EXAS 4/30/2019 9.9 11.8 -16.2% C 15,430
FEYE 4/30/2019 9.1 9.2 -1.1% C 14,035
FIS 4/30/2019 4.3 2.9 48.8% C 66,651
FISV 4/30/2019 3.4 2.9 16.2% B 7,119
GE 4/30/2019 7.2 5.2 37.1% D 232,150
GLW 4/30/2019 5.4 6.2 -12.4% C 51,660
GM 4/30/2019 4.2 3.6 14.3% D 103,196
GRPN 4/30/2019 11.7 9.2 26.9% C 9,620
HCA 4/30/2019 3.7 3.7 0.0% C 6,669
HUN 4/30/2019 4.0 3.3 20.4% D 5,612
INCY 4/30/2019 5.5 2.6 112.5% F 23,904
IPGP 4/30/2019 8.6 9.8 -12.4% D 17,827
KKR 4/30/2019 3.1 3.3 -6.7% F 32,911
LLY 4/30/2019 2.4 2.8 -14.9% C 349,902
MA 4/30/2019 2.5 2.4 6.3% A 868,670
MCD 4/30/2019 2.9 3.2 -8.1% B 235,232
MDLZ 4/30/2019 3.5 3.9 -10.7% C 29,946
MLM 4/30/2019 4.6 4.7 -1.8% C 54,838
MRK 4/30/2019 2.8 1.9 42.8% B 384,383
MSTR 4/30/2019 6.1 5.3 15.3% D 2,627
NUS 4/30/2019 10.5 7.5 39.4% C 4,301
OKE 4/30/2019 2.6 2.9 -7.8% B 72,214
OLN 4/30/2019 5.0 4.0 25.9% C 2,984
OSK 4/30/2019 5.5 5.8 -4.2% B 5,398
PAYC 4/30/2019 8.3 7.9 5.8% C 17,420
PCAR 4/30/2019 4.7 4.0 19.0% B 3,650
PFE 4/30/2019 2.3 2.1 9.3% B 75,181
PSX 4/30/2019 2.7 1.8 50.3% C 21,148
R 4/30/2019 5.4 6.5 -17.4% C 2,374
SABR 4/30/2019 6.9 7.6 -8.9% C 3,471
SSNC 4/30/2019 4.9 3.1 57.5% B 10,140
TDG 4/30/2019 4.3 3.6 19.8% B 56,249
TDOC 4/30/2019 8.6 6.9 23.7% D 5,937
TNDM 4/30/2019 11.6 10.8 7.1% F 30,315
TWLO 4/30/2019 9.9 16.2 -39.0% D 370,810
UNM 4/30/2019 9.7 4.0 143.6% B 1,951
VRSK 4/30/2019 3.4 3.6 -5.2% A 3,082
VRTX 4/30/2019 2.4 1.9 26.9% C 49,384
WATT 4/30/2019 16.0 9.9 60.6% F 3,078
WELL 4/30/2019 1.3 2.9 -54.2% C 5,920
WH 4/30/2019 4.6 2.4 91.9% C 5,982
WRK 4/30/2019 3.0 2.6 17.0% D 2,022
WYNN 4/30/2019 5.1 6.2 -17.6% D 355,489
ZBRA 4/30/2019 7.4 9.3 -20.1% B 14,627
ZEN 4/30/2019 9.0 7.3 22.7% D 21,235

 

Volatility Standouts

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
MRTX 74.85% F -8.93% 92.46 8,083
DFRG 72.51% D 0.00% 73.81 1,026
UNM 65.42% B -1.12% 89.29 1,951
NHTC 63.75% D 0.00% 75.79 711
HIIQ 60.34% D -1.27% 98.81 20,623
ARRY 56.75% F 1.16% 70.63 10,208
MITK 56.65% F 0.28% 67.06 554
FTAI 51.94% A 0.00% 30.16 2,266
FDP 50.26% F -0.16% 96.43 299
CZR 46.61% D 2.73% 55.95 28,287
SMAR 42.92% F -0.92% 48.31 1,800
IMMR 42.08% D -0.12% 99.21 1,520
JACK 41.16% C 2.53% 57.54 1,105
RP 40.98% C 1.08% 31.75 1,617
ROL 37.37% B 2.06% 27.78 636
CL 37.25% B -0.01% 5.95 57,215
OXY 36.65% C -0.94% 97.22 51,722
VST 36.56% F -4.10% 23.81 6,989
BXMT 35.52% C 0.00% 3.17 259
IRBT 35.45% C -3.09% 20.63 50,732
TREE 34.86% D 0.05% 5.95 4,621
ELAN 34.74% C -0.85% 12.14 101,651
XLNX 34.47% B 0.23% 58.73 418,200
GCI 33.81% B 0.00% 75.40 693
 
Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
APC -72.44% F 1.95% 2.38 51,923
VSM -70.84% C 0.00% 4.37 7,818
QTNA -69.14% F 0.00% 7.94 319
RHT -67.06% C 0.80% 15.87 166,977
DWDP -63.45% C 0.21% 64.94 67,701
QCOM -58.68% D -0.19% 71.03 481,831
MLNX -53.50% B 0.00% 6.35 38,987
CELG -47.84% A -5.48% 2.78 344,134
ANTM -42.89% B -0.15% 90.48 77,407
WCG -37.44% B -6.72% 55.56 3,359
DIS -37.07% C 1.07% 86.11 379,341
EB -35.62% D -0.23% 9.15 136
BIIB -34.61% C -1.65% 51.19 111,306
HCA -34.29% C 1.87% 85.32 6,669
MDSO -34.15% D -4.41% 69.84 1,405
ADS -33.33% C -1.22% 38.89 4,320
GES -31.51% C -0.52% 48.02 364
REZI -31.44% D 4.37% 0.82 344
UNH -30.84% A 0.26% 77.78 203,599
TTD -30.57% D 1.40% 55.95 33,781
EHC -29.54% B -0.90% 31.35 3,209
CERN -29.49% C -2.39% 3.17 25,633
WYND -28.48% C 0.00% 21.91 597
HQY