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VIX up 3% on equity weakness due to continued Fed chatter

May 02, 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 under a bit of pressure (but off lows) this afternoon as the Fed doesn’t appear keen on cutting rates any time soon. Currently, the S&P is -.50%, the Russell is -.25% and the Nasdaq is -.70%. Bonds are softer (TLT -.55%, US 10 year yield up to 2.55%) as this morning’s economic data delivered a healthy picture of the US economy (Nonfarm Productivity +3.6% vs. 2.2% est.; April New York ISM 77.3 vs. 66.9 prior). It’s worth noting that Unit Labor costs fell 0.9% (vs. +1.5% est.) which adds to the recent theme of muted inflation pressures. In single name news, shares of Square are down more than 8% this afternoon after guidance fell short of expectations. Crude Oil is softer for the second consecutive session (USO -3.25%) as shares have fallen below their 200-day moving average (source: Nasdaq). Regional Banks are outperforming today (KRE +.95%) today with rates ticking higher while Tech (XLK - .75%) lags the broader market. Volatilities are bid with the VIX +5% to 15.54, VXN +5.5% to 18.90, and RVX +3.5% to 19.02.

 

ETF 30D Volatility Changes

SPY:    +6%

IWM:    +4%

QQQ:   +4%

 

Directional Options Strategies

Bullish Option Strategies

CVS Seller 18,000 Jun 52.5 puts (opens write, collects $.79, ref. 56.12)

TSLA 6,000 May 3rd – May 10th 250 call spreads trade tied to stock (appears to roll calls out, ref. 244.37)

YNDX 4,900 Aug 38 calls trade (appears bought, $2.875, adds to 4,700 opened yest., ref. 37.21)

GPK Buyer 1,100 Jun 15 calls (paid $.245, more than 9,000 trade total, ref. 13.78)

MRO Buyer 3,100 May 3rd 16.5 calls (paid $.16, ref. 16.14)

SEAS Buyer 1,400 May 10th 29  calls (paid $.50, nearly 3,000 trade, ref. 26.34)

STAY Buyer 4,900 Jun 20 calls (paid $.20, ref. 17.68)

ZNGA 28,000 May 3rd 6 calls (appears to close short leg of risky opened yest., trades $.13, ref. 5.99)

 

Bearish Option Strategies

ERIC Buyer 3,929 May 10 puts (paid $.50, more than 10,000 trade, ref. 9.61)

X Seller 10,000 May 15 puts to Buy 10,000 Jun 13 puts (monetizes, rolls out and down, collects $.57, Earnings after the close, ref. 14.39)

RIG Buyer 5,800 Jun 7 puts (paid b/w $.32 and $.35, ref. 7.25)

MT 3,000 May 10th 22 puts trade to vs. 4,000 May 10th 21 puts (appears to monetize and roll down, ref. 20.98)

MYL 13,754 Jun 30 calls trade (appears sold to open, $.63, ref. 27.36)

SGMS Buyer 3,000 May 22 – 18 put spreads (paid $.95, Earnings 5/7, ref. 23.40)

 

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

GLD 10,000 Jun 122 – 125 call spreads trade ($.55, ref. 119.90)

XLP 10,000 May 56 puts trade (appears sold to close, $.23, ref. 56.83)

VIX Buyer 26,000 May 14 puts (paid $.725, ref. 14.93 (May))

SMH 10,000 May 110 – 105 put spreads trade ($.28, appears closing, ref. 117.44)

 

Bearish Option Strategies

QQQ Buyer 10,100 Jun 14th 176 puts (opening, paid $1.04, ref. 189.13)

USO Buyer 10,000 May – Jul 13 put spreads (untied, paid $.39, appears to roll puts out, ref. 12.88)

VIX Buyer 50,000 May 50 – Oct 47 call spreads trade (appears to roll out and down, ref. 15.00 (May)) and 17.20 (Oct))

VIX Buyer 25,000 Jun 17 calls (paid $1.50, ref. 16.08 (Jun))

EEM Buyer 17,227 Sep 41 puts (paid $.88, ref. 43.76)

 

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

 

 

Finance Trades Options Strategies

QQQ 7,000 Jun 190 RevCons trade (ref. 188.31)

 

 

 

Upcoming Earnings

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
ACIA 5/2/2019 9.1 11.7 -22.5% B 2,053
AMKR 5/2/2019 8.2 7.9 3.8% C 2,964
AMN 5/2/2019 9.4 9.9 -4.7% C 1,779
ANET 5/2/2019 7.5 9.9 -23.9% B 82,933
APPN 5/2/2019 8.1 6.0 34.5% F 3,702
ATVI 5/2/2019 6.7 5.6 18.8% D 507,733
BLUE 5/2/2019 3.0 3.3 -10.2% D 2,832
CBLK 5/2/2019 10.7 17.0 -37.2% D 3,802
CBS 5/2/2019 3.7 3.1 18.6% B 26,333
CRC 5/2/2019 10.8 10.7 1.1% F 5,634
CTSH 5/2/2019 3.7 4.3 -13.3% B 8,843
CUB 5/2/2019 7.2 7.2 0.4% F 1,722
DATA 5/2/2019 8.5 9.2 -7.3% F 22,942
ED 5/2/2019 1.5 1.1 34.5% C 38,913
EOG 5/2/2019 3.0 2.4 23.5% D 67,922
ESPR 5/2/2019 8.0 9.5 -16.1% F 12,893
EXPE 5/2/2019 6.6 6.7 -1.2% B 135,245
FLR 5/2/2019 16.0 6.4 147.6% F 47,598
FND 5/2/2019 10.1 11.5 -12.8% D 3,320
FSLR 5/2/2019 6.9 8.0 -13.4% F 45,369
FTAI 5/2/2019 4.3 1.9 121.8% B 2,266
FTNT 5/2/2019 8.3 7.1 17.0% C 11,871
GDDY 5/2/2019 5.3 5.1 3.9% C 18,763
GILD 5/2/2019 3.9 3.1 27.7% D 503,424
GMED 5/2/2019 5.6 4.3 29.6% C 7,771
LGND 5/2/2019 6.4 4.3 49.7% F 12,081
LOCO 5/2/2019 9.5 10.5 -9.4% C 1,554
LPLA 5/2/2019 5.6 4.4 26.3% A 7,605
LYV 5/2/2019 6.7 6.0 10.2% C 1,571
MELI 5/2/2019 7.8 9.7 -19.3% C 34,598
MNST 5/2/2019 6.6 5.8 13.6% A 7,360
MPWR 5/2/2019 4.7 2.6 80.6% C 5,550
MSI 5/2/2019 5.2 4.7 10.9% A 13,116
MTZ 5/2/2019 6.1 5.4 12.0% B 14,885
OLED 5/2/2019 11.5 15.1 -23.4% C 28,164
PLNT 5/2/2019 8.3 8.4 -1.4% B 11,239
POST 5/2/2019 4.5 4.2 7.3% D 7,146
RMD 5/2/2019 6.4 8.7 -26.8% C 5,484
RPD 5/2/2019 8.4 7.7 9.0% D 8,355
SHAK 5/2/2019 7.8 8.6 -8.3% D 13,345
SRPT 5/2/2019 5.0 8.1 -38.0% C 24,519
SWKS 5/2/2019 5.6 6.9 -18.4% C 37,297
UIS 5/2/2019 12.8 11.8 8.7% C 1,826
VIAV 5/2/2019 8.0 6.1 32.8% B 3,051
WYNN 5/2/2019 4.6 6.2 -25.8% D 355,489
X 5/2/2019 8.2 7.4 10.7% D 98,183
AMT 5/3/2019 2.5 2.1 18.8% A 18,342
AXL 5/3/2019 8.4 9.9 -14.9% C 5,851
CBOE 5/3/2019 2.6 1.7 51.0% C 13,183
D 5/3/2019 1.6 1.6 1.2% B 21,214
NWL 5/3/2019 9.7 12.2 -20.1% F 13,679
VST 5/3/2019 3.9 2.0 97.2% F 6,989
AIG 5/6/2019 4.1 4.7 -12.4% F 54,206
AIZ 5/6/2019 3.7 2.3 57.2% C 2,324
BHF 5/6/2019 7.5 6.1 23.9% C 12,955
BPR 5/6/2019 4.7 4.8 -1.4% F 1,503
CPE 5/6/2019 6.6 5.4 22.8% D 1,661
EVBG 5/6/2019 6.6 4.2 58.5% D 3,691
FMC 5/6/2019 4.4 4.0 9.3% C 6,934
FRPT 5/6/2019 8.4 6.7 24.9% B 19,158
GLPI 5/6/2019 2.4 1.7 36.7% B 12,330
GLUU 5/6/2019 10.6 9.0 17.9% C 1,873
HIIQ 5/6/2019 26.9 8.8 207.5% C 20,623
HTZ 5/6/2019 12.2 14.0 -13.0% C 1,699
KLAC 5/6/2019 4.8 4.6 4.1% D 8,328
MASI 5/6/2019 2.9 4.8 -40.3% C 15,117
MOS 5/6/2019 5.4 5.7 -5.3% F 20,637
NLS 5/6/2019 17.4 11.4 53.1% F 1,974
OXY 5/6/2019 4.2 2.9 45.9% C 51,722
PETS 5/6/2019 8.9 11.0 -19.4% D 8,045
PXD 5/6/2019 2.2 3.9 -44.2% C 63,117
RCII 5/6/2019 6.8 4.0 71.3% C 5,802
RNG 5/6/2019 6.4 4.7 36.4% C 28,726
RP 5/6/2019 5.7 2.7 113.5% C 1,617
SYY 5/6/2019 3.8 4.9 -22.6% C 1,738
TSN 5/6/2019 4.9 3.3 47.6% C 19,534

 

Volatility Standouts

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
BERY 63.82% A 19.01% 21.43 2,708
HIIQ 63.65% C -0.65% 100.00 20,623
PEG 59.72% C 0.00% 11.90 371
NCS 56.82% D -11.31% 99.60 344
RUBI 55.72% D 0.00% 13.89 236
ARRY 55.51% F -0.44% 71.03 10,208
CASA 54.80% D 0.00% 41.91 274
DFRG 53.79% D 0.00% 72.62 1,026
RLGY 53.08% D -6.03% 95.24 23,850
UNM 52.04% B -2.28% 57.14 1,951
FTAI 50.90% B 0.56% 48.81 2,266
MDLZ 47.12% C -2.07% 0.40 29,946
CARS 46.28% B -5.64% 98.81 6,394
BXMT 45.57% D 0.00% 1.19 259
CZR 44.66% D -5.99% 50.79 28,287
FLWS 42.85% C -2.88% 8.73 301
FIT 42.08% C -27.93% 47.22 5,691
ZNGA 41.77% F -6.70% 61.90 4,253
DMRC 41.18% C 10.45% 73.81 116
JACK 3.99E-01 B 2.09% 63.10 1,105
CDAY 39.71% D -9.11% 16.18 6,204
WEX 39.36% C -3.98% 31.35 112
NRG 39.30% D -1.36% 17.06 4,001
SMAR 39.15% D -1.31% 47.11 1,800
 
Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
APC -71.39% D -1.03% 0.40 51,923
RHT -67.68% D 0.73% 16.27 166,977
DWDP -65.53% D -5.33% 66.93 67,701
VSM -65.44% C 0.00% 1.98 7,818
QCOM -56.84% D -13.74% 60.71 481,831
MLNX -51.09% C 0.00% 3.57 38,987
WAGE -46.36% D 4.95% 1.19 12,163
QTNA -41.91% C 0.00% 9.52 319
CELG -35.06% B -0.43% 0.40 344,134
BIIB -34.57% A -0.63% 44.84 111,306
SGH -34.11% C -6.32% 26.22 618
LH -33.79% C -1.66% 48.02 5,212
CHRW -33.25% B -5.53% 46.03 27,603
REZI -32.19% D 2.05% 8.80 344
ADM -31.92% D 1.46% 23.81 20,057
GES -31.53% C 0.27% 42.46 364
TTD -30.80% C -0.63% 65.87 33,781
HCA -30.23% B -4.92% 79.37 6,669
CERN -29.96% B -1.58% 2.78 25,633
HQY -29.77% B -2.88% 85.32 1,725
ANTM -28.62% A -2.83% 92.46 77,407
ISRG -28.04% B -3.64% 17.46 226,065
MDSO -27.20% D 8.47% 46.03 1,405
WCG -26.67% B -2.43% 57.14 3,359
 
 
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE