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VIX unchanged as equities trade in directionless market

May 08, 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 been a bit of a rollercoaster for stocks today as the market opened lower before rallying on an ‘indication China wants to make a trade deal.’ Then, only 30 minutes later, the Chinese threatened countermeasures against new tariffs which sent stocks lower. Currently, the S&P is +.20%, the Russell is -.10% and the Nasdaq is +.15%. Bonds are slightly softer (TLT -.05%, US 10 year yield up to 2.46%) as investors are mostly in wait-and-see mode until the Chinese delegation arrives tomorrow. In single name news, General Motors announced it will invest $700 million in Ohio (much to the joy of President Trump) and create 450 jobs. Crude Oil is rallying (Crude +1.35%) after the latest EIA report showed a larger than expected draw in inventories (-4.0M vs. +0.5M est.). Retail is outperforming this afternoon (XRT +.85%) while Utilities (XLU -.95%) lag the broader market. Volatilities are mixed with the VIX +2% to 19.01, VXN -3% to 22.12, and RVX +.15% to 22.06. 

 

ETF 30D Volatility Changes

SPY:     -2%

IWM:    FLAT

QQQ:   -2%

 

Directional Options Strategies

Bullish Option Strategies

INTC Seller 16,000 Jun 55 calls to Buy 16,000 May 52.5 calls (appears to roll closer and down, ref. 50.25)

INTC Buyer 5,765 May 52.5 – 55 call spreads to Sell 11,530 Jun 57.5 calls (untied, ref. 50.30)

ARMK Buyer 3,400 Jul 30 calls (paid $1.45, ref. 30.04)

TGT Seller 10,659 Jun 67.5 puts (opens write, collects $1.05, Earnings 5/22, ref. 74.73)

PRTY Buyer 9,900 Oct 10 calls (paid $.50, Earnings 5/9, ref. 7.34)

MLCO Buyer 4,300 Jul 25 calls (paid $1.05, appears to add to position, ref. 23.75)

TSM Buyer 7,400 May 45 calls (paid $.30, ref. 43.87)

 

Bearish Option Strategies

MYL Seller 11,000 Oct 27.5 – 20 put spreads (appears to monetize and roll down to maintain bearish exposure, ref. 21.75)

O 3,000 Jun 67.5 calls trade (appears to open ATM write, $1.75, ref. 67.50)

PZZA Buyer 3,600 Oct 55 puts (paid $7.40, ref. 52.26)

TEVA Buyer 5,000 Jan 11 puts tied to stock (paid $.59, ref. 14.38)

MRO 6,000 May 15 puts trade (appears bought, $.20, ref. 15.72)

 

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

HYG Seller 8,000 Jun 84 puts (untied, collects $.31, ref. 86.13)

FXI 16,630 Jun 44.5 calls trade (appears bought, $.51, ref. 42.44)

XLE Seller 4,001 Oct 65 – 60 put spreads (appears closing to monetize, collects $2.07, ref. 63.84)

 

Bearish Option Strategies

EEM Buyer 19,500 Jun 41.5 – 39 put spreads (paid $.54, ref. 42.42)

EEM 12,500 Sep 39 puts trade (appears bought, $.86, ref. 42.55)

SPY 10,883 May 8th 284 puts trade (appears bought, $.13, ref. 288.10)

XLI 6,500 May 76.5 – May 24th 76 put spreads trade (appears to roll out and down, trades even, ref. 76.13)

XLU Seller 5,000 May 58 puts to Buy 8,500 May 57 puts (appears to monetize and roll down, ref. 57.14)

XLF Buyer 22,215 Jun 27 – 24 put spreads (untied, paid $.44, appears to add to position opened yest., ref. 27.49)

 

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

 

 

Finance Trades Options Strategies

SQ 7,500 Jun 65 RevCons trade (ref. 67.59)

CSCO 2,500 Jun 55 RevCons trade (ref. 53.56)

 

 

 

Upcoming Earnings

 

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
AAOI 5/8/2019 11.9 14.0 -14.8% F 9,063
ALB 5/8/2019 6.2 5.3 15.6% D 21,904
CCMP 5/8/2019 5.1 4.9 4.2% C 1,719
CTL 5/8/2019 8.3 9.0 -8.5% B 37,559
CVNA 5/8/2019 12.1 8.7 39.9% F 251,434
CWH 5/8/2019 9.8 6.7 46.1% D 2,062
DIS 5/8/2019 3.5 1.9 88.6% B 379,341
ET 5/8/2019 2.9 0.4 699.1% F 23,054
ETSY 5/8/2019 12.1 12.0 0.6% B 12,080
FOSL 5/8/2019 16.0 19.4 -17.4% C 5,924
GBT 5/8/2019 6.0 5.0 20.3% F 3,224
GDOT 5/8/2019 8.7 9.3 -6.1% B 1,782
HEAR 5/8/2019 15.2 13.6 11.3% D 14,794
IAC 5/8/2019 6.5 4.0 64.0% C 10,210
IMMU 5/8/2019 7.4 6.7 9.5% D 2,121
KTOS 5/8/2019 9.5 8.3 15.0% F 7,733
NKTR 5/8/2019 10.7 8.3 28.7% B 11,896
ROKU 5/8/2019 13.5 21.1 -36.2% F 96,804
SAIL 5/8/2019 10.7 8.0 33.3% C 5,016
SRPT 5/8/2019 5.5 8.2 -32.6% C 24,519
STMP 5/8/2019 14.4 18.3 -21.3% C 6,926
SVMK 5/8/2019 9.4 14.8 -36.5% D 1,650
XEC 5/8/2019 5.7 5.2 7.9% F 1,641
AAXN 5/9/2019 10.0 13.1 -23.5% F 7,712
ALRM 5/9/2019 9.0 6.8 33.2% C 3,324
AMC 5/9/2019 7.5 5.9 25.8% C 1,965
BDX 5/9/2019 3.3 2.1 57.3% D 14,273
BKNG 5/9/2019 5.8 7.0 -17.0% B 1,935,841
CAH 5/9/2019 5.2 5.8 -10.8% C 8,105
DBX 5/9/2019 7.5 6.5 14.8% D 6,129
DUK 5/9/2019 1.9 0.9 101.7% B 111,252
EFX 5/9/2019 4.5 4.7 -4.9% D 2,862
ELAN 5/9/2019 5.4 3.2 66.1% A 101,651
EPAM 5/9/2019 5.5 4.6 21.3% C 4,338
FWONK 5/9/2019 6.2 1.6 293.5% D 2,450
GPRO 5/9/2019 15.8 11.2 40.4% C 5,352
HAIN 5/9/2019 7.5 7.0 6.1% F 30,553
IONS 5/9/2019 7.0 6.2 12.2% C 19,269
KDP 5/9/2019 3.6 4.5 -20.1% D 2,094
KHC 5/9/2019 3.7 8.1 -54.2% F 48,964
LNG 5/9/2019 3.3 2.7 22.5% D 16,901
NBEV 5/9/2019 10.2 7.2 41.9% F 6,041
NCLH 5/9/2019 4.1 3.9 5.3% A 1,822
OSTK 5/9/2019 16.6 9.9 68.1% F 8,421
QNST 5/9/2019 11.9 14.2 -16.2% A 6,838
SYMC 5/9/2019 9.6 8.6 12.1% D 17,706
SYNA 5/9/2019 8.4 7.5 12.6% B 2,018
TPR 5/9/2019 9.5 9.4 1.3% B 4,299
TTD 5/9/2019 14.5 24.4 -40.7% C 33,781
UBNT 5/9/2019 12.6 11.1 13.5% F 21,586
UNIT 5/9/2019 10.4 2.3 353.6% F 2,292
VHC 5/9/2019 11.8 5.4 119.8% F 1,816
WYNN 5/9/2019 5.6 6.2 -10.7% D 355,489
YELP 5/9/2019 11.8 14.6 -18.8% D 33,898
Z 5/9/2019 11.6 13.0 -10.5% D 27,005
BPL 5/10/2019 3.4 2.4 41.3% D 4,597
CARS 5/10/2019 9.9 4.0 145.2% B 6,394
MAR 5/10/2019 3.7 2.5 48.0% C 14,707
VIAB 5/10/2019 5.8 4.8 19.8% B 9,698
IMMR 5/13/2019 13.9 10.3 35.6% F 1,520
TTWO 5/13/2019 8.7 7.9 9.2% B 171,157

 

Volatility Standouts

 

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
FLWS 69.20% C -0.07% 22.22 301
CASA 64.50% D 1.07% 36.33 274
VST 62.02% F 5.37% 23.41 6,989
NCS 61.43% D 2.10% 100.00 344
VIAV 60.23% B -2.94% 24.21 3,051
CTXS 59.14% B 3.45% 39.68 22,716
UNM 58.78% B -0.60% 56.35 1,951
EVRI 58.51% C 0.00% 22.22 3,652
EROS 57.73% F 1.40% 63.89 345
DDD 57.19% C -26.55% 70.24 3,683
MDLZ 57.09% C -0.35% 33.33 29,946
GCI 56.67% C 0.00% 44.44 693
AYI 55.90% B -0.35% 21.03 19,172
WMB 55.37% D 0.40% 58.73 9,158
TWOU 54.73% C 3.47% 78.17 507
KAR 54.03% B -9.38% 88.89 727
PLNT 53.62% B -4.99% 12.30 11,239
BMRN 53.10% C 0.43% 91.67 2,602
OXY 51.64% C 4.52% 94.05 51,722
VOYA 51.47% C -12.54% 78.57 6,299
ZAGG 51.24% D -9.18% 74.21 382
TMUS 51.22% B 1.70% 62.30 14,836
LEN 51.02% B -3.11% 59.13 32,643
FLT 49.53% B -29.51% 78.57 2,216
 
Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
VSM -65.57% C 0.00% 3.17 7,818
SBGI -58.42% C -5.69% 83.73 693
QCOM -44.51% D -0.71% 42.06 481,831
MLNX -4.17E-01 C 0.00% 14.29 38,987
WAGE -37.06% D 0.00% 8.33 12,163
QTNA -35.87% C 0.00% 10.71 319
BIIB -34.56% A -2.37% 52.78 111,306
REZI -29.68% D 1.69% 20.93 344
CELG -28.18% B 9.12% 2.78 344,134
CHDN -27.89% C -4.23% 33.73 492
CHRW -27.29% B -1.27% 71.03 27,603
TTD -25.75% C -0.78% 85.32 33,781
SGH -24.70% C 9.09% 38.86 618
ESPR -23.03% F -7.63% 20.63 12,893
DBD -22.48% C -0.83% 28.17 2,575
AOBC -21.16% F 2.91% 44.05 2,217
ANTM -20.52% A 0.91% 92.86 77,407
YRCW -20.19% C -32.77% 84.52 955
SFIX -19.29% D -0.17% 68.65 9,369
GES -19.18% C -2.20% 83.73 364
DOMO -18.91% F 1.07% 76.12 116
O -18.69% B -3.91% 89.68 14,633
EAF -18.60% C 1.66% 40.00 2,916
HCA -17.28% B -0.87% 81.35 6,669
 
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE