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VIX down 10% as market rallies on a very strong job number

May 03, 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 in the green today on a very strong Nonfarm payroll report that blew by expectations. The S&P is gaining almost 1% (+.94%), the Nasdaq and Russell each gaining +1.4%. Bonds are stable in the face of the strong economic report. The dollar is losing ground with advances in the Euro, Pound, and Yen. Energy is moving higher with a .8% gain in WTI crude. The combined moves in oil and in equities is taking Energy Stocks even higher with XOP +2.1% and XLE +1.4%. Consumer Discretionary is another notable outperformer, +1.5%. Volatilities are getting hit on the market move higher and the jobs news out of the way with the VIX -10% to 12.97, RVX -7% to 16.82, and VXN -8.4% to 16.12.

 

ETF 30D Volatility Changes

SPY:     -8%

IWM:    -8%

QQQ:   -7%

Directional Options Strategies

Bullish Option Strategies

BMY Buyer 5,000 May 44 calls tied to 47.68

MCD Buyers 6,000 Jul; 200 calls

CHGG Buyer 7,500 Jan 60 calls

CNC Buyer 5,000 Jun 70 calls

ATVI Buyer 2,500 May 55 calls to sell May 47.5-44 put spread

CVE Seller 120,000 May 11 calls to buy 30,000 Jun 11 calls

WCG 3,400 Dec 260 and 270 calls trade

CY 6,100 Jun and Sep 18 calls trade

 

Bearish Option Strategies

CVE Buyer 12,500 Jun 9 puts to sell May 10 puts to roll out and continue protection

CMCSA Buyer 5,000 Jun 2020 37.5 puts

JD Buyer 5,000 Jun 29-33 risk reversals

DHI Seller 4,000 Jun 48 calls to buy Jun 44-40 put spread

WPG Buyer 25,000 Oct 2.5 puts

 

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

QQQ Buyer 27,000 May 10th 192.5 calls

VIXW Seller 25,314 Jun 5th 18 calls

RSX Buyer 15,000 May-Jun 22 call spread

HYG Seller 20,000 Aug 85-80 put spread

 

Bearish Option Strategies

XOP Buyer 5,000 Jun 28 puts, Seller 10,000 Jan 40 calls trade 30 sec later

 

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

 

 

Finance Trades Options Strategies

SNE 5,000 Jul 50 rev/con

EFA 5,000 Jun 66 rev/con

FCX 3,000 Sep 12 rev/con

 

 

 

Upcoming Earnings

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
AABA 5/6/2019 3.5 1.5 126.5% C 32,036
AIG 5/6/2019 4.3 4.7 -9.7% F 54,206
AIZ 5/6/2019 4.0 2.3 71.8% C 2,324
BHF 5/6/2019 8.1 6.1 33.7% C 12,955
BPR 5/6/2019 4.8 4.8 -0.7% F 1,503
CPE 5/6/2019 6.2 5.4 14.9% D 1,661
ESPR 5/6/2019 8.6 9.5 -9.6% F 12,893
EVBG 5/6/2019 6.6 4.2 59.1% D 3,691
FMC 5/6/2019 4.2 4.0 4.2% C 6,934
FRPT 5/6/2019 8.1 6.7 20.6% B 19,158
GLPI 5/6/2019 2.2 1.7 24.1% B 12,330
GLUU 5/6/2019 10.7 9.1 16.8% C 1,873
HIIQ 5/6/2019 26.4 8.8 201.2% C 20,623
HTZ 5/6/2019 11.6 14.0 -17.1% C 1,699
KLAC 5/6/2019 4.8 4.6 4.6% D 8,328
MASI 5/6/2019 4.7 4.8 -3.0% C 15,117
MOS 5/6/2019 5.3 5.7 -6.9% F 20,637
NLS 5/6/2019 15.8 11.4 39.0% F 1,974
OXY 5/6/2019 4.1 2.9 43.7% C 51,722
PETS 5/6/2019 9.6 11.0 -13.0% D 8,045
PXD 5/6/2019 2.5 3.9 -37.1% C 63,117
RCII 5/6/2019 7.0 4.0 75.7% C 5,802
RNG 5/6/2019 6.4 4.7 36.0% C 28,726
RP 5/6/2019 6.0 2.7 124.1% C 1,617
SYY 5/6/2019 3.8 4.9 -21.9% C 1,738
TSN 5/6/2019 4.5 3.3 37.9% C 19,534
ACLS 5/7/2019 7.4 4.2 76.5% D 4,518
AGN 5/7/2019 3.7 4.2 -13.4% C 125,450
ARMK 5/7/2019 6.0 4.2 44.6% C 6,323
AVLR 5/7/2019 9.2 9.6 -3.6% D 4,628
CLVS 5/7/2019 12.5 9.1 37.4% C 8,914
CNK 5/7/2019 3.5 3.0 15.4% D 1,556
CRL 5/7/2019 4.6 5.4 -14.1% B 9,876
CROX 5/7/2019 10.6 11.5 -7.9% C 1,721
CSOD 5/7/2019 6.0 4.7 28.0% C 10,319
DDD 5/7/2019 12.9 17.1 -24.9% C 3,683
DIOD 5/7/2019 8.5 7.0 21.2% A 6,701
EA 5/7/2019 8.6 6.3 36.2% C 1,355,191
EMR 5/7/2019 2.8 2.1 36.7% B 46,200
ENR 5/7/2019 5.7 4.6 22.9% B 2,960
EVRI 5/7/2019 8.8 7.9 12.5% C 3,652
EXPD 5/7/2019 4.6 4.6 -1.1% B 6,270
FANG 5/7/2019 2.9 2.3 25.3% D 7,437
FLT 5/7/2019 5.4 6.3 -13.8% B 2,216
GBT 5/7/2019 4.4 5.0 -11.1% F 3,224
GSKY 5/7/2019 11.5 17.4 -34.2% D 2,140
HUBS 5/7/2019 5.8 3.5 68.0% C 80,094
INGN 5/7/2019 11.7 13.9 -16.1% D 30,538
IT 5/7/2019 5.1 3.4 51.1% C 1,565
JCOM 5/7/2019 5.6 5.2 8.9% B 1,946
JEC 5/7/2019 6.0 5.9 2.5% C 4,331
JLL 5/7/2019 5.1 6.0 -14.9% C 22,839
LGIH 5/7/2019 7.2 7.7 -6.9% C 2,196
LITE 5/7/2019 7.1 6.7 6.2% D 32,025
LPX 5/7/2019 5.1 4.5 12.0% D 2,658
MTCH 5/7/2019 10.1 8.9 13.0% C 5,933
NCR 5/7/2019 7.1 8.6 -16.9% C 2,475
OHI 5/7/2019 2.7 4.5 -39.0% C 12,489
OSPN 5/7/2019 8.7 13.3 -34.3% C 1,831
PAA 5/7/2019 3.8 4.4 -12.1% C 6,558
PEN 5/7/2019 10.1 8.4 20.6% D 7,158
PLT 5/7/2019 8.9 8.6 4.2% C 2,113
PZZA 5/7/2019 8.4 4.8 76.4% C 8,805
QRVO 5/7/2019 6.6 4.7 40.0% C 3,124
QTWO 5/7/2019 5.9 4.2 40.0% C 1,523
REGN 5/7/2019 4.1 3.1 29.6% A 77,197
RST 5/7/2019 9.3 8.7 6.6% F 3,806
SEAS 5/7/2019 8.9 7.0 26.8% C 6,045
SGMS 5/7/2019 11.5 11.5 0.1% D 8,450
SRE 5/7/2019 1.3 1.6 -18.5% C 16,696
TDG 5/7/2019 4.7 3.6 32.2% C 56,249
TRGP 5/7/2019 3.5 3.2 10.6% D 1,960
TRIP 5/7/2019 9.5 11.4 -16.9% C 88,254
USFD 5/7/2019 6.0 6.6 -9.0% C 2,123
VOYA 5/7/2019 4.8 3.5 37.6% C 6,299
WBT 5/7/2019 10.7 9.1 17.7% C 1,838
WING 5/7/2019 9.1 7.5 20.8% C 6,171
WYNN 5/7/2019 4.7 6.2 -24.3% D 355,489

 

Volatility Standouts

 

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
CARS 72.17% B -2.87% 99.21 6,394
CTSH 67.56% B 2.41% 90.48 8,843
HIIQ 63.91% C -2.58% 99.60 20,623
ARRY 63.05% F 1.35% 70.63 10,208
CASA 55.41% D 0.48% 4.13 274
UIS 54.75% C -23.44% 82.14 1,826
FIT 54.05% C -0.63% 15.08 5,691
CVLT 50.47% A -0.84% 42.06 137
UNM 50.43% B -0.78% 55.56 1,951
RLGY 47.05% D -0.34% 91.27 23,850
GPRO 46.95% C 10.07% 62.70 5,352
BXMT 45.81% D 0.00% 1.19 259
FLWS 44.25% C -3.58% 9.13 301
MDLZ 43.82% C -1.55% 0.79 29,946
NCS 42.81% D -9.50% 99.60 344
GCI 42.65% C 0.00% 90.87 693
VIAV 42.63% B -21.83% 75.40 3,051
RP 41.99% C 3.57% 35.32 1,617
NHTC 41.28% C 1.13% 75.79 711
BMRN 41.06% C -3.78% 88.49 2,602
VHC 40.16% F 4.58% 51.19 1,816
WATT 39.91% D -2.86% 58.33 3,078
CBLK 38.74% D -16.18% 20.81 3,802
NATI 38.74% C -0.79% 28.97 189
 
Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
APC -70.29% D -2.04% 0.79 51,923
RHT -69.99% D -3.04% 1.59 166,977
VSM -61.25% C 0.00% 1.98 7,818
MLNX -58.73% C -1.20% 3.57 38,987
QCOM -51.68% D -4.72% 25.79 481,831
WAGE -45.71% D 1.61% 0.79 12,163
QTNA -38.98% C 0.00% 9.52 319
SGH -38.94% C -16.20% 39.38 618
CELG -37.19% B -4.65% 1.19 344,134
BIIB -35.44% A -2.61% 44.44 111,306
CHRW -34.70% B 0.81% 36.90 27,603
REZI -32.17% D 2.98% 9.52 344
GES -31.79% C -0.82% 45.24 364
TTD -30.26% C -0.22% 69.05 33,781
CERN -29.49% B 0.90% 6.75 25,633
MDSO -29.34% D 0.56% 53.97 1,405
HCA -28.96% B 0.00% 73.41 6,669
EAF -28.55% C -3.56% 33.06 2,916
LH -28.17% C -0.73% 47.22 5,212
ANTM -26.79% A -1.13% 89.29 77,407
ADM -25.77% D -1.33% 60.32 20,057
KSS -25.09% A -1.66% 33.73 22,341
EHC -24.90% A -1.40% 43.25 3,209
KMB -23.29% C -1.69% 2.78 14,632
 
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE