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Equity markets rally off lows ahead of tomorrow’s FOMC meeting. Volatility unchanged

Apr 30, 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 bounced around this morning ahead of tomorrow’s FOMC meeting. Currently, the S&P is -.20, the Russell is -.60% and the Nasdaq is -.85%. Bonds are bid (TLT +.25%, US 10 year yield down to 2.516%) as this morning’s Chicago PMI print (52.6 vs. 58.5 est.) was softer-than-expected. It’s worth noting that the April Consumer Confidence figure came in above expectations (129.2 vs. 126.8 est.)  In single name news, the story of the day is Alphabet which is down more than 8% after posting disappointing revenues (15% YoY growth vs. 24% a year ago.) On the International front, the Eurozone received some positive macro data (Eurozone Q1 GDP +0.4% Q/Q) while the Chinese reflation story remains fragile but remains intact (Caixin Manufacturing PMI 50.2 vs. 50.9 est.) Crude Oil is modestly stronger (USO +.65%) on reports that the OPEC+ deal to curb output could extend through the end of 2019. Utilities and Consumer Staples (XLU +.85%, XLP +.70%) are outperforming today while Biotech and Communication Services (XBI -2%, XLC -2.15%) lag the broader market. Volatilities are bid with the VIX +1% to 13.24, VXN +3.5% to 17.02, and RVX +6% to 17.67.  

 

ETF 30D Volatility Changes

SPY:     +1%

IWM:    +7%

QQQ:   +2%

   

 

Directional Options Strategies

Bullish Option Strategies

PBR Seller 10,000 May 14.5 puts tied to stock (collects $.18, Earnings 5/7, ref. 15.52)

INTC Buyer 2,200 May 3rd 50.5 – 51.5 call spreads (paid $.50, ref. 51.12)

CNX 10,000 Dec 9 puts trade tied to stock (appears sold to open, $1.05, ref. 9.10)

 

Bearish Option Strategies

FCX Seller 10,000 Aug 14 – 17 call spreads (appears to monetize loss, $.43, leaves 10,000 open of the short 17 calls, ref. 12.30)

GWR Seller 4,000 May 90 – 95 call spreads (collects $.50, closing, ref. 86.16)

GE Buyer 30,600 Jun 9 puts (paid $.18, untied, ref. 10.21)

MNK Buyer 4,300 Oct 16 puts (paid $2.30, 5,800 trade total, Earnings 5/7, ref. 16.30)

LL 7,000 May 13 – Aug 14 puts spreads trade (appears to roll puts up, paid $1.60, ref. 13.50)

JD Seller 5,000 May 31 calls (collects $1.15, Earnings 5/10, ref. 30.47)

NKE 9,931 Ju 95 calls trade (appears sold to open, $.23, ref. 87.46)

 

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

VXXB Buyer 25,000 May 24th 22 puts (paid $.12, ref. 25.86)

SPX 17,900 Jul 3200 calls trade ($1.80, ref. 2929.90 (Jul))

QQQ 10,000 May 31st 194 calls trade ($1.27, ref. 189.18)

 

Bearish Option Strategies

VXXB Buyer 13,561 Jun 34 – 45 call spreads and 20,577 Jun 37 – 50 call spreads (paid $1.4M on the package, ref. 25.87)

SPY Buyer 15,000 Jul 290 puts tied to stock (paid $5.27, ref. 293.23)

SPY 80,000 Jun 241 puts trade vs. 80,000 Dec 268 puts tied to stock (appears to roll up and out, paid $5.845, ref. 292.97) 

SPY 10,000 May 31st 283 – 281 put spreads trade ($.20, ref. 293.13)

FXI Seller 75,000 Jun 47.5 calls tied to stock (opening, collects $.22, ref. 44.50)

FXI Buyer 25,000 Aug 38 puts tied to stock (paid $.26, ref. 44.37)

 

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

 

 

Finance Trades Options Strategies

VZ 3,000 Jun 57.5 RevCons trade (ref. 57.35)

COTY 5,000 May 15 RevCons trade (ref. 10.86)

 

 

 

Upcoming Earnings

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
AAPL 4/30/2019 5.0 5.0 -0.9% C 3,159,288
AKAM 4/30/2019 6.4 7.3 -12.5% B 45,483
AMD 4/30/2019 10.3 14.2 -27.6% D 292,847
AMED 4/30/2019 2.7 6.5 -59.0% C 38,122
AMGN 4/30/2019 3.2 2.2 46.0% C 129,052
ARLO 4/30/2019 20.6 30.2 -31.7% F 5,515
ASH 4/30/2019 4.5 3.6 23.7% C 37,846
BLKB 4/30/2019 7.9 6.3 25.6% D 1,526
BXP 4/30/2019 1.8 2.4 -24.7% D 9,151
CAI 4/30/2019 10.2 13.3 -23.0% C 31,258
CHRW 4/30/2019 2.4 3.1 -23.1% B 27,603
COHR 4/30/2019 9.8 9.7 1.2% D 9,664
CXO 4/30/2019 2.8 3.4 -18.8% D 12,551
DVN 4/30/2019 5.2 5.1 1.8% D 12,279
EIX 4/30/2019 3.0 1.7 75.6% B 23,807
ENPH 4/30/2019 13.8 11.1 24.5% F 2,356
EQR 4/30/2019 1.1 1.5 -29.8% C 4,300
EXAS 4/30/2019 9.3 11.8 -20.8% C 15,430
FEYE 4/30/2019 9.0 9.2 -1.8% C 14,035
FISV 4/30/2019 3.4 2.9 16.7% B 7,119
GRPN 4/30/2019 11.8 9.2 28.5% C 9,620
MDLZ 4/30/2019 3.6 3.9 -8.4% C 29,946
MSTR 4/30/2019 6.7 5.3 26.1% D 2,627
NUS 4/30/2019 9.6 7.5 28.2% C 4,301
OKE 4/30/2019 2.6 2.9 -9.3% B 72,214
OLN 4/30/2019 4.9 4.0 23.6% C 2,984
PAYC 4/30/2019 8.0 7.9 1.2% C 17,420
SSNC 4/30/2019 4.5 3.1 43.5% B 10,140
TDOC 4/30/2019 8.5 6.9 22.6% D 5,937
TNDM 4/30/2019 10.7 10.8 -0.6% F 30,315
TWLO 4/30/2019 10.5 16.2 -35.2% D 370,810
UNM 4/30/2019 9.4 4.0 135.2% B 1,951
VRSK 4/30/2019 3.8 3.6 6.9% A 3,082
VRTX 4/30/2019 2.4 1.9 28.7% C 49,384
WATT 4/30/2019 15.4 9.9 55.2% F 3,078
ZEN 4/30/2019 8.4 7.3 15.2% D 21,235
AABA 5/1/2019 1.4 1.5 -11.9% D 32,036
ACAD 5/1/2019 8.1 9.2 -11.8% D 2,171
ADP 5/1/2019 3.5 3.8 -9.0% B 23,641
ALL 5/1/2019 3.3 4.2 -20.9% C 11,038
ALNY 5/1/2019 4.4 5.5 -19.7% F 4,291
AMCX 5/1/2019 5.0 4.1 22.5% C 1,567
ANSS 5/1/2019 3.9 3.5 10.6% B 5,003
APA 5/1/2019 3.7 3.7 0.1% F 26,351
AR 5/1/2019 5.8 3.0 93.8% D 2,583
AYX 5/1/2019 9.3 7.3 27.2% F 16,330
BLUE 5/1/2019 5.5 3.3 66.1% D 2,832
CACI 5/1/2019 4.6 4.9 -7.3% C 11,871
CAR 5/1/2019 10.9 11.7 -6.7% D 24,056
CDAY 5/1/2019 6.5 5.3 22.1% D 6,204
CDW 5/1/2019 5.1 5.4 -5.3% B 3,342
CF 5/1/2019 5.0 5.0 -1.2% C 3,967
CLX 5/1/2019 3.2 3.5 -9.1% B 9,677
CREE 5/1/2019 7.3 5.7 27.7% F 19,872
CRUS 5/1/2019 6.7 4.2 58.7% C 1,977
CVS 5/1/2019 4.7 4.7 -0.3% C 107,477
CZR 5/1/2019 5.3 4.4 19.8% D 28,287
DIN 5/1/2019 7.9 5.8 37.4% C 3,224
DLB 5/1/2019 4.9 4.2 16.6% B 1,910
DXCM 5/1/2019 7.9 10.7 -26.2% D 33,383
EL 5/1/2019 5.6 6.1 -8.3% A 49,837
EPD 5/1/2019 1.5 1.3 16.7% B 10,373
EQIX 5/1/2019 4.6 3.6 27.9% C 20,582
ESPR 5/1/2019 8.2 9.5 -13.7% F 12,893
ETR 5/1/2019 1.9 1.3 50.1% D 4,595
EXEL 5/1/2019 8.3 7.8 6.1% C 14,204
FIT 5/1/2019 11.5 13.8 -17.0% C 5,691
HIG 5/1/2019 3.2 2.5 27.5% B 4,498
HLT 5/1/2019 3.9 3.2 21.8% C 20,060
HOLX 5/1/2019 4.0 3.6 11.1% B 3,420
HRS 5/1/2019 4.8 6.1 -21.0% A 5,155
HUM 5/1/2019 2.7 2.8 -4.7% A 13,546
IDXX 5/1/2019 5.1 4.7 8.9% A 2,293
IIVI 5/1/2019 8.8 11.3 -21.9% C 2,839
IQV 5/1/2019 4.1 4.2 -1.4% C 2,770
KHC 5/1/2019 5.4 7.7 -29.2% D 48,964
LLL 5/1/2019 4.7 5.0 -5.1% B 1,782
LNC 5/1/2019 2.5 2.2 12.2% C 18,287
MET 5/1/2019 2.6 3.0 -12.9% B 35,720
MIC 5/1/2019 4.8 7.5 -35.9% C 2,143
MMP 5/1/2019 1.6 1.3 27.7% B 8,160
MRO 5/1/2019 5.5 4.3 28.9% F 15,701
NLY 5/1/2019 1.4 1.1 31.4% C 2,769
NRZ 5/1/2019 2.0 2.7 -26.4% D 5,858
NUVA 5/1/2019 10.0 7.2 39.3% C 2,016
PBI 5/1/2019 8.6 11.9 -27.5% D 2,400
PPC 5/1/2019 5.2 4.1 26.8% C 1,597
PRAH 5/1/2019 3.8 3.4 11.4% B 2,653
PRU 5/1/2019 3.1 3.1 0.6% C 21,731
PS 5/1/2019 7.4 4.1 82.1% F 5,801
PSA 5/1/2019 2.7 3.0 -11.0% C 3,603
QLYS 5/1/2019 7.8 7.0 10.8% C 13,818
RCL 5/1/2019 4.6 4.7 -2.7% C 23,829
RGLD 5/1/2019 2.5 2.0 29.1% D 10,859
S 5/1/2019 8.7 5.3 63.7% F 6,904
SGMS 5/1/2019 10.2 11.5 -11.3% D 8,450
BURL 5/30/2019 2.4 6.9 -65.7% B 27,879
SMG 5/1/2019 5.5 4.6 21.4% C 3,695
SO 5/1/2019 1.7 2.0 -13.7% C 24,365
SPR 5/1/2019 6.0 6.1 -2.1% A 2,449
SQ 5/1/2019 6.2