blog

Latest from the Quantamize Blog

Volatility unchanged in quiet equity market trading ahead of FOMC

May 01, 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 opened up this morning but have since drifted back into the red after this morning’s economic data sent mixed messaged ahead of today’s FOMC meeting. Currently, the S&P is -.05, the Russell is -.40% and the Nasdaq is +.50%. Bonds are bid (TLT +.60%, US 10 year yield down to 2.48%) after Apr ISM Manufacturing came in soft (52.8 v. 55 est.; Lowest print since Oct 2016). On the flip side, this morning’s April ADP number blew away expectations (275,000 vs. 180,000 est.) In single name news, Apple is up more than 6% this afternoon after upping its forward guidance and announcing that it plans to buy back another $75 billion of stock. Crude Oil is softer (USO -1.25%) after this morning EIA report showed a build in inventories (+9.9M vs. +1M est.) The dollar is softer for the second consecutive session (UUP -.20%) but that’s not helping to buoy precious metals which appear to be concerned over growth prospects (GLD -.28%, SLV -1.71%). Tech is outperforming today (XLK +.85%) while Financials (XLF - .750%) lag the broader market with rates lower. Volatilities are bid with the VIX +3% to 13.51, VXN +.50% to 16.67, and RVX +3% to 17.56.  

 

ETF 30D Volatility Changes

SPY:     +1%

IWM:    +1%

QQQ:    -2%

  

 

Directional Options Strategies

Bullish Option Strategies

DO 25,000 Jun 12.5 calls trade (appears bought, $.14, ref. 9.73)

RIG Buyer 34,300 Jun 10 calls (paid $.085, ref. 8.04)

DB 5,000 Jul 8 puts trade tied to stock (appears sold, $.47, ref. 8.22)

NVO 4,168 Sep 55 calls trade (appears bought top open, $.975, ref. 49.29)

BAC 4,000 Jan 36 calls trade (appears bought to open, ref. 30.44)

PGR 6,000 May 80 calls trade (appears bought to open, trades b/w $.45 and $.50, ref. 78.35)

SWN 80,000 May 3.5 puts trade (appears sold to close, $.05, ref. 3.92)

 

Bearish Option Strategies

ZNGA Seller 28,000 May 3rd 6 calls to Buy 28,000 May 3rd 5.5 puts (paid $.06, Earnings after the close, ref. 5.63)

AAPL Buyer 18,100 May 180 – Jul 185 put spreads trade ($.90, appears to roll puts out and up, ref. 211.38)

ACB Buyer 3,600 Dec 13 puts (paid $5.10, Earnings est. 5/7, ref. 9.04)

FLEX Seller 5,000 May 11 calls (collects $.85, appears closing, ref. 11.80)

PFE 27,000 May 37 puts trade (appears bought to close, $.06, ref. 40.70)

 

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

XOP 190,000 May 33 calls trade vs. 110,000 May 32 calls (trades in two separate blocks, appears to roll down, ref. 30.68)

KRE Buyer 19,000 May 58 calls (paid $.33, ref. 55.81)

OIH 22,200 Jul 18 calls trade (appears bought b/w $.38 and $.40, possibly adds to existing position, ref. 16.43)

XLP Seller May 10th 57.5 puts (collects $.34, appears closing, ref. 57.54)

SLV 2,856 Jun 7th 14 calls trade (appears bought, $.18, more than 4,000 trade, ref. 13.79)

 

Bearish Option Strategies

SPY Buyer 11,692 May 6th 293 puts (paid $.73, 20,000 trade total, ref. 294.60)

SPY 10,000 May 1st 292 puts trade (appears bought, $.07, ref. 294.32)

HYG 7,500 May 3rd 86.5 – 85.5 put spreads trade (appears bought, $.12, ref. 85.61)

FXI 23,000 Nov 41 puts trade (appears bought, $1.15, ref. 44.68)

 

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

 

 

Finance Trades Options Strategies

GOOGL 1,000 Jun 1200 RevCons trade (ref. 1178.60)

NFLX 2,000 Jun 380 RevCons trade (ref. 383.98)

NKE 2,000 May 85 RevCons trade (ref. 87.03)

 

 

 

Upcoming Earnings

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
ACAD 5/1/2019 8.4 9.2 -8.5% C 2,171
ALL 5/1/2019 3.1 4.2 -26.1% C 11,038
ANSS 5/1/2019 3.7 3.5 5.0% C 5,003
APA 5/1/2019 3.5 3.7 -4.5% F 26,351
AR 5/1/2019 6.9 3.0 130.9% D 2,583
AYX 5/1/2019 9.1 7.3 24.2% D 16,330
BLUE 5/1/2019 4.5 3.3 37.5% D 2,832
CAR 5/1/2019 10.8 11.7 -7.3% C 24,056
CF 5/1/2019 4.9 5.0 -2.0% D 3,967
CREE 5/1/2019 7.1 5.7 23.7% F 19,872
CRUS 5/1/2019 6.3 4.2 49.0% C 1,977
CZR 5/1/2019 5.5 4.4 24.4% D 28,287
DLB 5/1/2019 4.6 4.2 10.2% C 1,910
DXCM 5/1/2019 7.6 10.7 -29.0% C 33,383
EQIX 5/1/2019 4.8 3.6 34.4% C 20,582
ESPR 5/1/2019 8.1 9.5 -14.3% F 12,893
EXEL 5/1/2019 7.6 7.8 -3.1% C 14,204
FIT 5/1/2019 11.8 13.8 -14.5% C 5,691
HIG 5/1/2019 3.0 2.5 19.1% C 4,498
HOLX 5/1/2019 4.2 3.6 16.3% C 3,420
KHC 5/1/2019 3.9 7.7 -48.5% F 48,964
LNC 5/1/2019 2.7 2.2 18.5% C 18,287
MET 5/1/2019 2.5 3.0 -15.1% C 35,720
MIC 5/1/2019 5.0 7.5 -32.8% D 2,143
MRO 5/1/2019 5.2 4.3 20.3% F 15,701
NLY 5/1/2019 1.6 1.1 48.9% F 2,769
NUVA 5/1/2019 7.0 7.2 -2.7% D 2,016
PPC 5/1/2019 5.4 4.1 32.1% C 1,597
PRAH 5/1/2019 4.1 3.4 19.4% A 2,653
PRU 5/1/2019 3.0 3.1 -2.1% C 21,731
PS 5/1/2019 7.4 4.1 80.5% F 5,801
PSA 5/1/2019 2.4 3.0 -20.3% C 3,603
QCOM 5/1/2019 1.4 3.8 -63.9% D 481,831
QLYS 5/1/2019 7.2 7.0 2.5% C 13,818
RGLD 5/1/2019 2.5 2.0 27.6% D 10,859
S 5/1/2019 7.9 5.3 48.2% F 6,904
SGMS 5/1/2019 9.8 11.5 -14.6% D 8,450
SQ 5/1/2019 6.1 5.5 11.5% D 257,757
VICI 5/1/2019 4.3 1.3 243.0% A 2,182
WLL 5/1/2019 7.0 9.4 -25.0% F 8,123
WMB 5/1/2019 2.4 2.4 0.9% D 9,158
WPX 5/1/2019 6.8 4.2 60.4% C 2,404
XPO 5/1/2019 8.7 5.4 61.0% C 18,906
ZNGA 5/1/2019 8.1 4.0 100.5% F 4,253
ABC 5/2/2019 4.7 4.5 4.4% B 4,407
ABMD 5/2/2019 8.8 6.7 31.0% B 36,417
ACIA 5/2/2019 10.1 11.7 -13.9% B 2,053
AGCO 5/2/2019 4.0 3.2 22.6% C 7,959
AMKR 5/2/2019 8.6 7.9 9.4% C 2,964
AMN 5/2/2019 9.4 9.9 -5.1% C 1,779
ANET 5/2/2019 7.8 9.9 -21.0% B 82,933
APPN 5/2/2019 8.0 6.0 33.4% F 3,702
ARW 5/2/2019 3.5 2.8 24.8% C 3,661
ATVI 5/2/2019 6.3 5.6 12.6% D 507,733
BERY 5/2/2019 4.3 4.4 -1.0% A 2,708
BLL 5/2/2019 3.3 3.8 -13.3% C 8,676
CBLK 5/2/2019 11.0 17.0 -35.3% D 3,802
CBS 5/2/2019 4.4 3.1 41.2% B 26,333
CC 5/2/2019 6.2 3.9 60.2% C 6,001
CHD 5/2/2019 4.0 4.6 -13.2% B 1,902
CI 5/2/2019 3.1 1.8 75.0% A 39,254
CRC 5/2/2019 10.0 10.7 -6.5% F 5,634
CTSH 5/2/2019 3.8 4.3 -11.9% B 8,843
CUB 5/2/2019 7.5 7.1 5.2% F 1,722
DATA 5/2/2019 8.1 9.2 -11.3% F 22,942
DNKN 5/2/2019 4.0 2.0 97.2% B 4,487
ED 5/2/2019 1.5 1.1 35.9% C 38,913
EOG 5/2/2019 2.9 2.4 21.6% D 67,922
EXC 5/2/2019 1.7 0.9 97.5% C 9,381
EXPE 5/2/2019 7.0 6.7 4.1% B 135,245
FLR 5/2/2019 5.8 6.4 -9.4% F 47,598
FND 5/2/2019 9.4 11.5 -18.9% D 3,320
FSLR 5/2/2019 6.3 8.0 -21.0% F 45,369
FTAI 5/2/2019 4.5 1.9 132.5% B 2,266
FTNT 5/2/2019 8.4 7.1 18.4% C 11,871
GDDY 5/2/2019 5.3 5.1 2.5% C 18,763
GILD 5/2/2019 3.7 3.1 21.5% D 503,424
GMED</