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VIX unchanged after Trump announces China talks back on track

May 09, 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

The risk-off theme continues as markets await more details on trade negotiations. Last night, President Trump fanned the flames at a Florida rally after saying that China ‘broke the deal.’  Though worth noting, Equities are well off lows after a headline that President Xi sent Trump a letter and the two plan to talk shorty. Currently, the S&P is -.45%, the Russell is -.45% and the Nasdaq is -.70%. Bonds are stronger but off highs (TLT +.24%, US 10 year yield up to 2.449%) as the new tariffs would likely slow economic growth while also bringing inflation back into play. In single name news, shares of Roku are up more than 23% this afternoon after reporting Q1 revenues that came in above expectations ($206.7M vs. $189M) and posting a smaller than expected loss. Utilities (XLU -.10%) are outperforming today while Materials and Retail (XLB -.95%, XRT -.90) lag the broader market. Volatilities are higher with the  VIX +6.5% to 20.68, VXN +5% to 23.65, and RVX +7.5% to 23.77. 

 

ETF 30D Volatility Changes

SPY:    +7%

IWM:    +5%

QQQ:   +4%

 

Directional Options Strategies

Bullish Option Strategies

CRM Buyer 6,300 Sep 155 calls (paid VWAP of. $12.34 ($8M), ref. 153.17)

JD 10,000 May 26 calls trade (b/w $1.18 and $1.24)

APC Seller 7,000 May 71 – 70 put stupids (collects $.10, possibly closing, ref. 73.76)

HUYA Buyer 3,600 May 24th 22 calls (paid $1.10, more than 5,000 trade, ref. 21.46)

BFR Buyer 2,500 Jul – Oct 10 call spreads (appears to roll out, ref. 8.80)

MPC Buyer 10,000 Oct 57.5 – 62.5 call spreads (paid $1.31, appears to roll down, ref. 53.39)

GPRO Seller 9,000 May 10th 5 puts to Buy 9,000 May 10th 6.5 -7.5 call spreads (paid $.11, Earnings after the close, ref. 6.21)

ODP Seller 20,000 Jan 2 puts (collects $.35, appears to add to existing write, ref. 2.01)

 

Bearish Option Strategies

LCI Buyer 7,100 Dec 4 puts (paid $.75 is a series of sweeps, ref. 6.63)

TPX Seller 3,788 Jun 67.5 calls to Buy 3,788 Jun 60 puts (paid $1.45, ref. 61.67)

CAT 4,420 May 132 – 125 put spreads trade tied to stock (appears to monetize, trades $3.15, ref. 128.46)

CSCO 11,000 Jun 60 calls trade vs. 11,000 Jul 57.5 calls (appears to roll write, $.48, ref. 52.67)

 

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 12,200 Jun 42.5 calls trade (appears bought, $.72, ref. 41.29)

SPY 10,026 May 13th 292 calls (appears bought, $.305, ref. 284.37)

VIX Buyer 25,000 Jun 16 – 14 1x1.5 put spreads (paid $.55, ref. 18.90 (Jun))

VXX 9,000 Jun 26 – 24 1x2 put spreads trade ($.08, ref. 32.68)

 

Bearish Option Strategies

FXI Buyer 25,000 May 24th 40.5 – 39 put spreads (untied, paid $.395, ref. 41.22)

EEM Seller 15,000 Jun 44 calls to Buy 15,000 Jun 41 puts tied to stock (paid $1.01, ref. 41.30)

EEM 13,000 May 42 – 40.5 put spreads trade (appears to roll down, $.61, ref. 41.34)

XLK Buyer 10,000 May 73 puts tied to stock (paid $.70, ref. 75.15)

DIA Buyer 9,929 May 10th 256 puts (paid $2.10, appears closing, ref. 256.20)

HYG 11,500 Aug 84 – 82 put spreads trade ($.45, ref. 85.82)

XOP 25,000 Jun 28 – Sep 25 put spreads trade tied to stock (paid .07, ref. 29.40)

 

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

 

 

Finance Trades Options Strategies

JCI 6,000 Jun 14th 45 RevCons trade (ref. 39.24)

HIIQ 5000 Jul 30 RevCons trade (ref. 21.09)

 

 

 

Upcoming Earnings

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
AAXN 5/9/2019 9.8 13.1 -25.4% F 7,712
ALRM 5/9/2019 9.2 6.8 35.9% C 3,324
BKNG 5/9/2019 5.3 7.0 -24.7% B 1,935,841
DBX 5/9/2019 7.5 6.5 14.6% D 6,129
EFX 5/9/2019 4.7 4.7 -0.2% D 2,862
GPRO 5/9/2019 17.8 11.2 58.7% C 5,352
KHC 5/9/2019 3.2 8.1 -60.3% F 48,964
QNST 5/9/2019 11.6 14.2 -18.7% A 6,838
SYMC 5/9/2019 8.0 8.6 -6.6% D 17,706
SYNA 5/9/2019 9.7 7.5 29.2% B 2,018
UBNT 5/9/2019 12.1 11.1 8.5% F 21,586
UNIT 5/9/2019 11.1 2.3 386.4% F 2,292
VHC 5/9/2019 13.8 5.4 156.5% F 1,816
WYNN 5/9/2019 6.1 6.2 -2.4% D 355,489
YELP 5/9/2019 11.3 14.6 -22.3% D 33,898
Z 5/9/2019 11.8 13.0 -9.2% D 27,005
BPL 5/10/2019 3.5 2.4 44.1% D 4,597
CARS 5/10/2019 9.1 4.0 124.6% B 6,394
MAR 5/10/2019 3.8 2.5 51.0% C 14,707
VIAB 5/10/2019 5.7 4.8 17.6% B 9,698
IMMR 5/13/2019 13.1 10.3 27.5% F 1,520
TTWO 5/13/2019 8.8 7.9 10.9% B 171,157
A 5/14/2019 4.9 4.1 21.2% C 11,205
NEWR 5/14/2019 8.7 6.2 40.8% D 11,938
RL 5/14/2019 8.2 6.6 23.5% C 13,378
CSCO 5/15/2019 5.3 4.0 33.1% B 362,509
M 5/15/2019 9.7 8.6 12.6% D 38,676
PLCE 5/15/2019 8.9 7.8 13.8% F 3,554
AMAT 5/16/2019 6.8 4.0 72.2% C 133,463
KEM 5/16/2019 12.4 11.7 5.7% C 9,374
NVDA 5/16/2019 8.6 8.1 5.6% F 1,362,666
RAMP 5/16/2019 9.6 9.9 -2.6% D 6,761
WMT 5/16/2019 4.4 4.8 -8.7% B 322,698
DE 5/17/2019 5.5 4.0 38.2% F 152,819
NDSN 5/20/2019 6.4 5.8 11.2% B 1,883
AZO 5/21/2019 5.8 5.5 6.1% B 49,854
CBRL 5/21/2019 4.0 3.8 7.0% B 2,668
DY 5/21/2019 13.0 13.3 -2.4% F 2,061
HD 5/21/2019 4.0 1.0 284.7% B 447,352
JWN 5/21/2019 8.6 7.2 19.9% C 5,157
KSS 5/21/2019 7.3 6.1 19.6% A 22,341
PSTG 5/21/2019 11.1 7.2 54.0% D 2,529
TJX 5/21/2019 5.7 3.8 51.0% C 14,222
TOL 5/21/2019 6.9 5.7 19.6% D 19,830
URBN 5/21/2019 9.0 4.3 111.0% C 3,247

 

Volatility Standouts

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
HYG 74.47% #N/A 11.79% 66.27 600,659
MDLZ 69.10% C 5.86% 26.59 29,946
CARS 69.10% B -0.68% 95.63 6,394
CASA 68.13% D 0.00% 42.28 274
CTXS 65.75% B 6.95% 42.06 22,716
BREW 65.19% F 0.00% 95.24 277
WH 64.88% A 22.94% 13.54 5,982
VIAV 64.06% B 2.92% 16.67 3,051
STWD 63.16% F 32.41% 0.40 1,144
AYI 61.30% B 5.25% 17.46 19,172
GCI 59.68% C 0.00% 61.51 693
EROS 58.08% F 2.43% 60.71 345
FLWS 58.02% C -7.37% 24.60 301
SBUX 57.86% A 7.55% 23.41 164,872
UNM 56.76% B -0.11% 55.95 1,951
OKE 56.66% A 5.52% 65.08 72,214
GOGO 56.09% F -5.79% 23.02 106
TEN 55.85% C 22.43% 99.60 783
IAC 55.28% C -2.94% 63.10 10,210
WMB 55.13% D 5.37% 64.29 9,158
HRL 54.75% C 2.21% 98.41 4,874
BXMT 53.12% D 0.00% 2.78 259
LL 53.03% D 11.85% 42.86 392
BR 52.78% A 3.08% 41.67 843
 
Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
ZAYO -70.22% C 0.00% 0.00 8,248
CTRL -68.63% D 0.00% 73.81 559
SBGI -59.49% C 4.97% 48.02 693
QCOM -42.47% D 6.25% 34.52 481,831
WAGE -37.88% D 0.00% 10.71 12,163
VSM -33.82% C 0.00% 1.59 7,818
BIIB -32.38% A 6.14% 46.03 111,306
MLNX -30.85% C 0.00% 8.73 38,987
SGH -30.11% C -17.09% 77.83 618
QTNA -29.35% C 0.00% 2.78 319
CELG -28.75% B 12.80% 6.75 344,134
CHRW -27.99% B 0.25% 67.46 27,603
CHDN -21.43% C 6.92% 26.19 492
SFIX -20.26% D 1.32% 57.54 9,369
AOBC -20.09% F 5.28% 55.16 2,217
DBD -19.37% C 0.01% 28.17 2,575
ANTM -19.26% A 3.20% 92.06 77,407
GES -19.06% C 3.20% 69.44 364
DOMO -17.91% F 3.51% 77.23 116
NVRO -16.86% D 2.05% 33.73 1,047
IDCC -16.45% C 1.28% 40.87 319
ESPR -16.29% F -0.56% 10.32 12,893
SPTN -15.85% D -5.34% 98.81 192
RUN -15.29% D -7.68% 20.24 470
 
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE