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VIX up 25% on continued equity weakness

May 07, 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

It’s a classic risk-off day on Wall Street as equities are deep into the red this afternoon (though off lows). Currently, the S&P is -1.35%, the Russell is -1.20% and the Nasdaq is -1.55%. Bonds have strengthened into the afternoon (TLT +.65%, US 10 year yield down to 2.458%) as investors fear follow through on potential trade war escalation. Outside the US, Emerging Markets remain under pressure (-1.8%) as the dollar sees a safety bid (+.25%). Crude Oil continues its slide (Crude -2.45%) despite tensions in the Middle East (US deploys four B-52 bombers). Utilities are outperforming this afternoon (XLU -.25%) while Semiconductors (SMH -1.75%) lag the broader market. Volatilities are reaching levels not seen since January with VIX +25% to 19.25, VXN +19% to 22.25, and RVX +18% to 22.36.  

 

ETF 30D Volatility Changes

SPY:    +24%

IWM:    +14%

QQQ:   +17%

 

Directional Options Strategies

Bullish Option Strategies

MMM Buyer 12,400 Jul 200 calls (paid $1.00, more than 17,500 trade total, ref. 179.50)

XLNX Seller 10,000 Jun 100 puts (collects $.85, opening, ref. 117.85)

LB Buyer 5,000 Jun 25 calls (paid $1.50, ref. 24.66)

KHC Seller 6,600 Jul 30 puts (collects b/w $.70 and $.65, appears closing, ref. 32.60)

INTC 7,500 May 10th 52.5 – 54 call spreads trade (paid b/w $.12 and $.13, ref. 50.48)

EXPD Seller 4,000 May 75- 70 put spreads (collects b/w $1.20 and $1.30, appears to monetize part of position, ref. 75.10)

 

Bearish Option Strategies

MNK Buyer 7,000 Jan21 20 puts (paid $7.55, ref. 16.24)

CRZO Seller 9,000 Jun 14 calls to Buy 9,000 Jun 11 – 10 put spreads (paid $.12 on the package, Earnings after the close, ref. 11.25)

INTC Seller 9,700 Jun 60 – Jul 57.5 calls spreads (appears to roll write out and down, collects $.26, ref. 50.28)

S 17,900 Aug 6 puts trade (appears bought, $1.20, Earnings after the close, ref. 5.71)

NVT Buyer 4,000 Jun 25 puts (paid $.60, untied, ref. 26.57)

BX Seller 6,200 Jan21 40 calls (collects $3.50, untied, ref. 38.41)

CSCO Buyer 3,600 May 10th 52.5 puts (paid $.18, Earnings 5/15, ref. 53.48)

X 6,000 Oct 13 puts trade (appears bought, $.72, possibly closing, ref. 16.44)

APC seller 5,000 May 77.5 straddles to Buy 5,000 May 71 puts (collects $2.52, ref. 75.53)

 

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

EEM 33,000 May 10th 43.5 calls trade (appears bought, $.11, ref. 42.62)

XME 12,000 Sep 36 calls trade (appears bought, $.11, ref. 28.46)

HYG Buyer 20,000 Jul 85 puts to Sell 60,000 Jul 83 puts and Buy 40,000 Jul 80 puts (collects $.02 on the package, roughly delta neutral, ref. 86.27)

FXI Seller 10,000 May 45.5 calls to Buy 10,000 Jun 43 calls tied to stock (appears to roll calls out and down, paid $1.07, ref. 42.72)

VIX Seller 90,000 May 25 – 27 call spreads (collects $.14, possibly closing, ref. 17.97 (May))

VIX Buyer 66,000 May 15th 18 calls to Sell 66,000 Jul 26 calls (paid $1.05, May weekly is closing, appears rolls write out and up, ref. 18.25 (May 15th), 17.67 (Jul))

 

Bearish Option Strategies

SPY Buyer 15,300 Jul 280 – 265 put spreads (paid $2.17, untied, ref. 290.67)

VIX Buyer 22,000 May 18 – 28 call spreads (paid $.84, ref. 16.42 (May))

VIX Buyer 32,600 May – Aug 37.5 call spreads (paid $.25, appears to roll out, ref. 16.37 (May) and 17.16 (Aug))

EEM Seller 11,100 May 24th 43.5 puts to Buy 17,500 May 24th 42.5 puts (appears to monetize, roll down and add units, ref. 42.78)

EEM Seller 10,000 Jun 46 calls to Buy 10,000 Jun 42 puts tied to stock (paid $.78, ref. ref. 42.74)

 

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

 

 

Finance Trades Options Strategies

SPY 5,000 Jun 290 RevCons trade (ref. 288.58)

 

 

 

Upcoming Earnings

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
ACLS 5/7/2019 7.9 4.2 89.0% D 4,518
AVLR 5/7/2019 9.2 9.6 -3.8% D 4,628
CSOD 5/7/2019 6.2 4.6 35.0% C 10,319
DDD 5/7/2019 13.4 17.6 -23.9% C 3,683
DIOD 5/7/2019 7.9 7.1 11.4% A 6,701
EA 5/7/2019 8.5 6.3 34.9% C 1,355,191
EVRI 5/7/2019 9.3 7.9 19.0% C 3,652
FANG 5/7/2019 3.6 2.3 56.5% D 7,437
FLT 5/7/2019 5.5 6.2 -12.0% B 2,216
GBT 5/7/2019 5.6 5.0 12.3% F 3,224
HUBS 5/7/2019 6.2 3.3 85.5% C 80,094
IMMR 5/7/2019 13.8 10.3 34.4% F 1,520
INGN 5/7/2019 12.7 13.9 -8.7% D 30,538
JCOM 5/7/2019 6.0 5.3 11.9% B 1,946
MTCH 5/7/2019 10.5 8.9 17.3% C 5,933
NCR 5/7/2019 7.2 8.6 -15.5% C 2,475
OHI 5/7/2019 3.1 4.5 -30.6% C 12,489
OSPN 5/7/2019 9.4 13.3 -29.4% C 1,831
PAA 5/7/2019 3.9 4.2 -7.1% C 6,558
PEN 5/7/2019 10.6 8.4 26.6% D 7,158
PLT 5/7/2019 9.8 8.6 13.7% C 2,113
PZZA 5/7/2019 8.7 4.8 83.0% C 8,805
QRVO 5/7/2019 6.4 4.7 36.7% C 3,124
QTWO 5/7/2019 6.6 4.2 55.2% C 1,523
RST 5/7/2019 9.7 9.0 7.0% F 3,806
S 5/7/2019 10.7 5.0 114.2% F 6,904
SGMS 5/7/2019 11.8 11.7 0.6% D 8,450
TRIP 5/7/2019 9.8 11.6 -14.9% C 88,254
VOYA 5/7/2019 5.0 3.4 47.7% C 6,299
WING 5/7/2019 8.7 7.6 15.0% C 6,171
WYNN 5/7/2019 6.0 6.2 -4.2% D 355,489
AAOI 5/8/2019 12.4 14.0 -11.4% F 9,063
ACM 5/8/2019 4.2 3.6 17.7% D 2,444
ALB 5/8/2019 5.7 5.3 7.0% D 21,904
BG 5/8/2019 5.3 4.8 10.6% F 5,230
CBRE 5/8/2019 4.0 3.0 34.1% B 2,171
CHK 5/8/2019 8.8 8.4 5.4% D  
COTY 5/8/2019 12.4 15.4 -19.6% D 56,061
CTL 5/8/2019 8.5 9.0 -5.3% B 37,559
CVNA 5/8/2019 11.2 8.7 29.0% F 251,434
CWH 5/8/2019 9.1 6.7 36.2% D 2,062
DIS 5/8/2019 2.9 1.9 57.9% B 379,341
ET 5/8/2019 2.9 0.4 695.5% F 23,054
ETSY 5/8/2019 11.5 12.0 -4.5% B 12,080
FOSL 5/8/2019 15.1 19.4 -22.1% C 5,924
FUN 5/8/2019 4.1 2.9 42.6% B 3,495
GDOT 5/8/2019 8.7 9.3 -6.0% B 1,782
HEAR 5/8/2019 13.9 13.6 2.2% D 14,794
IAC 5/8/2019 7.4 4.0 87.1% C 10,210
ICPT 5/8/2019 6.4 7.2 -10.9% D 67,923
IMMU 5/8/2019 8.2 6.7 22.0% D 2,121
KTOS 5/8/2019 9.8 8.3 18.9% F 7,733
MCHP 5/8/2019 6.2 6.2 1.4% D 17,730
MCK 5/8/2019 3.9 3.4 12.2% C 30,266
MPC 5/8/2019 5.0 3.5 44.2% D 35,816
MPLX 5/8/2019 3.1 2.7 15.6% B 2,058
NKTR 5/8/2019 10.0 8.3 21.1% B 11,896
NXST 5/8/2019 4.7 2.4 96.9% C 8,153
NYT 5/8/2019 6.3 6.7 -6.2% D 21,434
PTLA 5/8/2019 10.6 13.2 -19.8% F 2,880
ROKU 5/8/2019 13.9 21.1 -34.2% F 96,804
SAIL 5/8/2019 10.2 8.0 27.4% C 5,016
SATS 5/8/2019 4.8 5.3 -9.9% C 1,768
SRPT 5/8/2019 5.5 8.2 -32.1% C 24,519
STMP 5/8/2019 15.9 18.3 -13.4% C 6,926
SVMK 5/8/2019 8.5 14.8 -42.9% D 1,650
TGI 5/8/2019 10.1 10.7 -5.6% F 4,617
WEN 5/8/2019 4.6 2.7 67.3% C 3,217
XEC 5/8/2019 5.4 5.2 2.8% F 1,641
AAXN 5/9/2019 10.1 13.1 -22.7% F 7,712
ALRM 5/9/2019 9.8 6.8 44.0% C 3,324
AMC 5/9/2019 7.1 5.9 19.5% C 1,965
BDX 5/9/2019 3.0 2.1 42.3% D 14,273
BKNG 5/9/2019 5.6 7.0 -20.4% B 1,935,841
CAH 5/9/2019 5.1 5.8 -11.9% C 8,105
DBX 5/9/2019 7.5 6.5 15.1% D 6,129
DUK 5/9/2019 1.5 0.9 56.3% B 111,252
EFX 5/9/2019 4.4 4.7 -6.8% D 2,862
ELAN 5/9/2019 4.3 3.2 33.4% A 101,651
EPAM 5/9/2019 6.0 4.6 30.9% C 4,338
ESPR 5/9/2019 3.4 9.7 -64.8% F 12,893
FWONK 5/9/2019 6.4 1.6 304.0% D 2,450
GPRO 5/9/2019 14.7 11.2 30.9% C 5,352
HAIN 5/9/2019 7.4 7.0 5.6% F 30,553
IONS 5/9/2019 7.5 6.2 20.3% C 19,269
KDP 5/9/2019 4.2 4.5 -7.0% D 2,094
KHC 5/9/2019 3.3 8.1 -58.8% F 48,964
LNG 5/9/2019 3.1 2.7 16.3% D 16,901
NBEV 5/9/2019 9.6 7.2 34.5% F 6,041
NCLH 5/9/2019 4.1 3.9 4.2% A 1,822
OSTK 5/9/2019 14.6 9.9 47.8% F 8,421
QNST 5/9/2019 12.5 14.2 -12.0% A 6,838
SYMC 5/9/2019 8.3 8.6 -3.4% D 17,706
SYNA 5/9/2019 8.1 7.5 8.2% B 2,018
TPR 5/9/2019 9.6 9.4 2.3% B 4,299
TTD 5/9/2019 14.4 24.4 -40.8% C 33,781
BOX 5/29/2019 10.1 9.2 9.9% C 23,722
UBNT 5/9/2019 12.4 11.1 11.0% F 21,586
UNIT 5/9/2019 10.7 2.3 368.4% F 2,292
VHC 5/9/2019 15.3 5.4 184.7% F 1,816
YELP 5/9/2019 11.7 14.6 -19.7% D 33,898
Z 5/9/2019 11.8 13.0 -9.1% D 27,005
ZAYO 5/9/2019 12.4 6.8 81.7% C 8,248

 

Volatility Standouts

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
CARS 74.16% B -1.80% 99.60 6,394
MYL 69.67% D -10.44% 86.06 9,100
GPRO 63.62% C 0.21% 92.03 5,352
FLWS 60.58% C 1.02% 15.94 301
MDLZ 58.95% C 6.64% 2.79 29,946
UNM 57.58% B -0.27% 51.39 1,951
BPR 51.46% F 0.00% 49.38 1,503