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VIX up 27% as equities selloff on Chinese Tariff chatter

May 06, 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 mostly in the red this afternoon but well off their lows as it’s unclear if President Trump’s tariff threat is a negotiating tactic or an outright escalation of the trade war. Currently, the S&P is -.85%, the Russell is -.25% and the Nasdaq is -1.15%. Bonds are bid (TLT +.55%, US 10 year yield up to 2.482%) and have strengthened into the afternoon. In single name news, shares of Tyson Foods are up more than 2% after reporting earnings that beat on the top and bottom line (also maintained guidance). Outside the US, China is seeing heavy selling pressure (Shanghai -5.5%, FXI -3%) but it’s worth noting that the Caixin Services PMI print was better than expected (54.5 vs. 54.2 est.) Biotech is outperforming today (XBI +.50%) while Tech (XLK -1.35%) lags the broader market. Volatilities are up with the VIX +27.5% to 16.40, VXN +21% to 19.37, and RVX +17% to 19.70.  

 

ETF 30D Volatility Changes

SPY:    +17%

IWM:    +10%

QQQ:   +14%

 

Directional Options Strategies

Bullish Option Strategies

SBH 5,970 Jun 15 puts trade (appears sold to open, $.25, ref. 16.66)

NWL Seller 5,000 Jun 14 puts (collects $.20, appears to add to existing write, ref. 15.97)

OXY Seller 10,000 May 61 puts to Buy 14,000 Jun 57.5 puts (monetizes, rolls out and down, adds units, ref. 58.61)

SQM Buyer 2,500 May 37 calls (paid $.38, more than 3,000 trade total, ref. 35.70)

DDD 6,000 May 9.5 puts trade tied to stock (appears top open write, $.24, ref. 11.07)

CVE Seller 50,000 May 11 calls to Buy 20,000 Jun 10 calls (rolls out and down, ref. 8.95)

S Seller 10,000 May 6 puts tied to stock (collects $.47, possibly closing, Earnings 5/7, ref. 5.67)

 

Bearish Option Strategies

IQV Seller 9,500 Jun 145 calls (opens write, collects $1.75, , ref. 137.01)

RNG Seller 2,223 May 135 calls to Buy 2,223 May 115 – 105 put spreads (paid $1.65 on the package, Earnings after the close, ref. 119.76)

PCG Buyer 6,600 May 21 puts (untied, paid $1.05, ref. 212.51)

HTZ Buyer 3,400 May 10th 21.5 puts (paid $2.55, Earnings after the close, ref. 19.27)

ITT Buyer 4,000 Jun 60 – 55 put spreads (paid $1.24, ref. 61.59)

 

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

SPY 10,116 Jun 305 calls trade (appears bought, $.53, ref. 290.17)

VXX Seller 20,000 May 38 – 48 call spreads (collects $.09, ref. 27.55)

EEM Seller 34,000 Sep 42 puts tied to stock (collects $1.43, possibly closing, ref. 43.04)

EFA Buyer 15,000 May 66 calls to Sell 7,500 Jun 66 calls tied to stock (paid $.13, delta neutral, ref. 65.92)

XLP 5,000 May 24th 57.5 puts trade ($.72, appears sold to close, ref. 57.12)

 

Bearish Option Strategies

FXI 25,000 Dec 35 puts trade tied to stock (appears bought, $.57, more than 40,000 trade total, ref. 43.48)

SPY Buyer 10,125 May 285 puts (paid $1.50, ref. 290.51)

XLB 7,000 May 55 puts trade ($.44, appears opening, ref. 55.87)

EEM Buyer 25,000 Aug 37 puts (paid $.26, ref. 43.07)

SLV 16,400 Sep 30th 12.5 puts trade (appears bought, largest lots trade $.08, ref. 13.93)

IWM 9,250 Jul 140 – 130 put spreads trade ($.49, ref. 159.85)

IWM Seller 13,500 Jun 166 – 169 call spreads tied to stock (collects $.625, possibly closing, ref. 160.16)

 

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

 

 

Finance Trades Options Strategies

SPY 25,000 May 31st 290 RevCons trade (ref. 291.51)

 

 

 

Upcoming Earnings

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
AIG 5/6/2019 4.5 4.7 -5.3% F 54,206
AIZ 5/6/2019 4.3 2.3 84.0% C 2,324
BHF 5/6/2019 7.7 6.1 27.0% C 12,955
CPE 5/6/2019 6.5 5.5 19.4% D 1,661
ESPR 5/6/2019 7.0 9.7 -28.0% F 12,893
EVBG 5/6/2019 9.2 4.2 119.3% D 3,691
FMC 5/6/2019 4.5 4.0 11.0% C 6,934
FRPT 5/6/2019 9.5 6.4 47.5% B 19,158
GLPI 5/6/2019 2.2 1.7 25.4% B 12,330
GLUU 5/6/2019 10.6 9.1 15.5% C 1,873
HIIQ 5/6/2019 22.0 8.8 151.3% C 20,623
HTZ 5/6/2019 11.6 14.0 -17.4% C 1,699
KLAC 5/6/2019 5.1 4.6 9.6% D 8,328
MASI 5/6/2019 5.2 4.7 10.9% C 15,117
MOS 5/6/2019 4.8 5.8 -17.7% F 20,637
NLS 5/6/2019 18.1 11.4 58.9% F 1,974
PXD 5/6/2019 2.7 3.9 -32.1% C 63,117
RCII 5/6/2019 13.8 4.0 246.9% C 5,802
RNG 5/6/2019 6.3 4.7 33.5% C 28,726
RP 5/6/2019 5.7 2.7 108.7% C 1,617
ACLS 5/7/2019 8.0 4.2 90.8% D 4,518
AGN 5/7/2019 3.3 4.2 -21.2% C 125,450
ARMK 5/7/2019 5.8 4.2 38.3% C 6,323
ARRY 5/7/2019 8.3 7.8 6.5% F 10,208
AVLR 5/7/2019 9.1 9.6 -5.3% D 4,628
CLVS 5/7/2019 11.9 9.4 27.0% C 8,914
CNK 5/7/2019 3.7 3.0 22.1% D 1,556
CRL 5/7/2019 5.0 5.5 -8.7% B 9,876
CROX 5/7/2019 10.5 11.5 -8.6% C 1,721
CSOD 5/7/2019 6.0 4.6 31.7% C 10,319
DDD 5/7/2019 13.7 17.6 -21.9% C 3,683
DIOD 5/7/2019 8.7 7.1 22.8% A 6,701
EA 5/7/2019 8.4 6.3 32.9% C 1,355,191
EMR 5/7/2019 3.0 2.1 45.7% B 46,200
ENR 5/7/2019 5.3 4.7 14.0% B 2,960
EVRI 5/7/2019 9.4 7.9 19.7% C 3,652
EXPD 5/7/2019 4.6 4.6 -0.8% B 6,270
FANG 5/7/2019 3.1 2.3 36.8% D 7,437
FLT 5/7/2019 5.5 6.2 -12.0% B 2,216
GBT 5/7/2019 4.9 5.0 -2.3% F 3,224
GSKY 5/7/2019 11.2 17.4 -35.8% D 2,140
HUBS 5/7/2019 6.1 3.3 84.4% C 80,094
IMMR 5/7/2019 14.0 10.3 36.4% F 1,520
INGN 5/7/2019 12.9 13.9 -6.9% D 30,538
IT 5/7/2019 5.3 3.3 61.5% C 1,565
JCOM 5/7/2019 5.6 5.3 5.1% B 1,946
JEC 5/7/2019 6.3 6.0 4.9% C 4,331
JLL 5/7/2019 5.5 6.0 -9.2% C 22,839
LGIH 5/7/2019 7.0 7.7 -10.0% C 2,196
LITE 5/7/2019 7.6 6.8 11.7% D 32,025
LPX 5/7/2019 5.5 4.5 21.3% D 2,658
MTCH 5/7/2019 10.1 8.9 13.4% C 5,933
MYL 5/7/2019 7.1 6.7 6.0% D 9,100
NCR 5/7/2019 7.2 8.6 -16.0% C 2,475
OHI 5/7/2019 2.7 4.5 -39.5% C 12,489
OSPN 5/7/2019 9.5 13.3 -28.1% C 1,831
PAA 5/7/2019 3.9 4.2 -7.6% C 6,558
PEN 5/7/2019 10.5 8.4 25.3% D 7,158
PLT 5/7/2019 9.2 8.6 7.7% C 2,113
PZZA 5/7/2019 7.5 4.8 56.4% C 8,805
QRVO 5/7/2019 6.8 4.7 44.5% C 3,124
QTWO 5/7/2019 6.4 4.2 51.9% C 1,523
REGN 5/7/2019 4.2 3.1 32.6% A 77,197
RST 5/7/2019 9.2 9.0 1.8% F 3,806
S 5/7/2019 6.9 5.0 37.6% F 6,904
SEAS 5/7/2019 8.9 7.1 26.7% C 6,045
SGMS 5/7/2019 11.1 11.7 -5.4% D 8,450
SRE 5/7/2019 1.1 1.6 -29.0% C 16,696
TDG 5/7/2019 5.1 3.6 44.2% C 56,249
TRGP 5/7/2019 3.8 3.2 20.0% D 1,960
TRIP 5/7/2019 9.9 11.6 -14.6% C 88,254
USFD 5/7/2019 6.0 6.6 -9.3% C 2,123
VOYA 5/7/2019 4.9 3.4 42.8% C 6,299
WBT 5/7/2019 11.0 9.1 21.6% C 1,838
WING 5/7/2019 9.0 7.6 19.8% C 6,171
WYNN 5/7/2019 6.0 6.2 -4.3% D 355,489
AAOI 5/8/2019 12.6 14.0 -10.1% F 9,063
ACM 5/8/2019 4.3 3.6 19.4% D 2,444
ALB 5/8/2019 5.6 5.3 4.5% D 21,904
BG 5/8/2019 5.3 4.8 10.0% F 5,230
CBRE 5/8/2019 4.0 3.0 36.1% B 2,171
CCMP 5/8/2019 5.1 4.9 3.5% C 1,719
CHK 5/8/2019 8.5 8.4 1.3% D  
COTY 5/8/2019 11.8 15.4 -23.6% D 56,061
CTL 5/8/2019 8.4 9.0 -6.5% B 37,559
CVNA 5/8/2019 11.4 8.7 31.4% F 251,434
CWH 5/8/2019 8.6 6.7 28.2% D 2,062
ET 5/8/2019 2.9 0.4 705.9% F 23,054
ETSY 5/8/2019 11.2 12.0 -6.5% B 12,080
FOSL 5/8/2019 15.1 19.4 -22.0% C 5,924
FUN 5/8/2019 3.6 2.9 26.4% B 3,495
GDOT 5/8/2019 8.7 9.3 -6.4% B 1,782
HEAR 5/8/2019 14.2 13.6 4.3% D 14,794
IAC 5/8/2019 7.0 4.0 75.8% C 10,210