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VIX down -4% in spite of equity selloff due to continued China tensions

May 10, 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

Equities continue to see selling pressure this afternoon as President Trump tweeted ‘there is no need to rush’ a deal which adds to the uncertainty surrounding negotiations. Although Liu has left for the day, Treasury Secretary Mnuchin deemed the talks ‘constructive.’ Currently, the S&P is -.65%, the Russell is -.65% and the Nasdaq is -1.05%. Bonds are bid but off highs (TLT +.20%, US 10 year yield up to 2.439%) as April CPI printed slightly below expectations (+0.3% vs. +0.4% est.) and Real Avg. Weekly earnings disappointed (+0.9% vs. 1.4% Y/Y). In single name news, Uber went public today but opened below the IPO price ($42 vs. priced $45). Utilities (XLU+.75%) are outperforming for the second consecutive session while Retail and Semiconductors lag the broader market (XRT -1.55%, SMH -1.45%). Volatilities are softer despite market weakness with the VIX -2.5% to 18.65, VXN -1.5% to 21.72, and RVX -1% to 22.08.  

 

ETF 30D Volatility Changes

SPY:    +1%

IWM:    -3%

QQQ:   +1%

 

Directional Options Strategies

Bullish Option Strategies

AVP 6,500 May 2.5 calls trade (paid b/w $.49 and $.55, ref. 3.12)

Z Seller 5,600 Aug 35 calls tied to stock (possibly closing, collects $4.90, ref. 37.01)

SGMS Seller 3,400 Jun 21 calls to Buy 3,850 Jul 22 calls (appears to roll out and up, ref. 21.73)

C 5,000 Dec 65 puts trade (appears to open write, collects $4.25, ref. 67.15)

SYNA 11,097 Jun 35 puts trade (appears sold to close, $2.35, ref. 33.87)

SNAP Buyer 10,000 Jan 10 calls tied to stock (paid $2.11, ref. 10.50)

PCAR Seller 5,000 Jun 62.5 puts (collects $.60, opens write, ref. 68.01)

 

Bearish Option Strategies

BABA Seller 2,000 Jan 190 calls tied to stock (collects $15.10 ($3M), , ref. 177.56)

GPRO Seller 9,000 May 10th 6.5 – 7.5 call spreads (collects $.38, closes spreads opened yest., leaves short put open, ref. 6.90)

UNP 3,000 May 31st 185 calls trade vs. 3,000 May 31st 172.5 – 165 put spreads (likely sells call to finance put spread, trades $1.90, ref. 173.39)

NSC Seller 3,000 May 31st 210 calls to Buy 3,000 May 31st 197.5 – 190 put spreads (paid $1.50, ref. 198.54)

 

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

EWZ 10,000 Jun 41 calls trade tied to stock (appears bought, $1.21, ref. 40.03)

EFA Seller 35,000 May 10th 65 puts (collects $.37, possibly closing, ref. 64.69)

HYG Seller 15,000 Jun 87 – 83 strangles (collects $.43, sells vol, delta neutral, ref. 85.97)

SPY 14,365 Jun 28th 301 calls trade ($.47, ref. 283.13)

VIX Buyer 20,000 Jun 16 puts (paid $1.00, ref. 18.35 (Jun))

 

Bearish Option Strategies

FXI Seller 30,000 Jun 46 – 48 call spreads to Buy 30,000 Jun 42 puts (untied, paid $1.49, ref. 41.66)

EEM 40,000 Jun 42 puts trade vs. 40,000 Jun 45 calls (appears to sell call and buy put to close for fear of further losses, ref. 41.52)

XOP Seller 5,000 May 30 puts to Buy 7,500 May 29 puts (collects $.48, monetizes/rolls down and adds units, ref. 29.14)

XLI Seller 11,500 May 24th 76 – 75 puts spreads (appears to monetize and roll down to maintain bearish exposure, $.39, ref. 75.57)

XLK Buyer 10,000 May 73.5 puts (paid $.76, ref. 74.53)

 

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

 

 

Finance Trades Options Strategies

JCI 3,000 Jun 14th 45 RevCons trade (ref. 39.20)

 

 

 

Upcoming Earnings

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
EFX 5/13/2019 2.7 4.7 -42.8% D 2,862
IMMR 5/13/2019 13.7 10.3 33.2% F 1,520
KHC 5/13/2019 7.8 8.1 -3.5% F 48,964
TTWO 5/13/2019 8.4 7.9 5.4% B 171,157
VHC 5/13/2019 13.8 5.5 148.9% F 1,816
A 5/14/2019 4.5 4.1 9.5% C 11,205
NEWR 5/14/2019 8.6 6.5 33.1% D 11,938
RL 5/14/2019 8.2 6.6 23.7% C 13,378
CSCO 5/15/2019 4.7 4.0 19.0% B 362,509
M 5/15/2019 9.7 8.6 12.6% D 38,676
PLCE 5/15/2019 8.6 7.8 10.5% F 3,554
AMAT 5/16/2019 5.7 4.0 44.9% C 133,463
KEM 5/16/2019 11.9 11.7 1.6% C 9,374
NVDA 5/16/2019 8.2 8.1 0.5% F 1,362,666
WMT 5/16/2019 4.1 4.8 -14.6% B 322,698
DE 5/17/2019 5.3 4.0 33.9% F 152,819
NDSN 5/20/2019 6.3 5.8 9.6% B 1,883
AZO 5/21/2019 5.7 5.5 3.4% B 49,854
DY 5/21/2019 13.1 13.3 -1.7% F 2,061
HD 5/21/2019 3.7 1.0 251.3% B 447,352
JWN 5/21/2019 8.3 7.2 15.0% C 5,157
KSS 5/21/2019 7.5 6.1 22.5% A 22,341
PSTG 5/21/2019 10.4 7.2 45.6% D 2,529
TJX 5/21/2019 5.5 3.8 47.0% C 14,222
TOL 5/21/2019 6.1 5.7 6.4% D 19,830
URBN 5/21/2019 8.8 4.3 105.3% C 3,247
AAP 5/22/2019 7.9 8.0 -1.4% C 30,579
ADI 5/22/2019 4.7 2.7 71.4% C 20,504
CPRT 5/22/2019 6.7 5.7 16.6% B 1,704
LB 5/22/2019 9.6 8.0 19.0% F 6,986
LOW 5/22/2019 5.7 5.2 11.5% C 69,033
NTAP 5/22/2019 7.0 6.8 2.8% B 49,813
SNPS 5/22/2019 6.7 3.5 89.1% A 10,143
TGT 5/22/2019 5.2 6.1 -14.2% C 59,092
VFC 5/22/2019 7.1 6.9 2.0% D 8,092
WSM 5/22/2019 7.8 7.0 11.0% C 2,420
ADSK 5/23/2019 8.5 8.8 -3.8% D 51,671
BBY 5/23/2019 9.2 8.3 11.5% C 69,439
DECK 5/23/2019 9.7 7.5 30.1% C 11,796
DXC 5/23/2019 7.5 7.1 5.8% C 3,987
HPE 5/23/2019 6.1 5.2 17.7% F 2,040
HPQ 5/23/2019 5.7 5.5 4.3% D 13,786
HRL 5/23/2019 6.5 2.8 131.5% C 4,874
INTU 5/23/2019 4.6 3.4 37.7% B 19,299
ROST 5/23/2019 6.8 5.1 32.9% B 7,548
SPLK 5/23/2019 8.0 8.2 -1.8% D 67,804
FL 5/24/2019 12.3 14.4 -15.0% B 12,701
LABL 5/28/2019 5.2 7.7 -32.3% D 3,390
RAMP 5/28/2019 9.4 9.9 -5.3% D 6,761
WDAY 5/28/2019 7.8 6.0 31.3% C 52,804
ANF 5/29/2019 12.4 16.5 -24.6% C 2,510
BOX 5/29/2019 10.4 9.2 12.5% C 23,722
DKS 5/29/2019 9.0 9.3 -3.0% C 69,730
ENS 5/29/2019 8.5 5.4 57.2% A 2,804
KEYS 5/29/2019 6.9 4.4 56.0% A 10,593
PANW 5/29/2019 8.4 6.7 25.6% B 97,664
PVH 5/29/2019 8.1 6.0 35.4% C 3,105
VEEV 5/29/2019 8.5 6.5 31.1% A 21,516

 

Volatility Standouts

 

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
ADT 66.81% C 0.00% 3.97 474
NCS 65.12% D 0.00% 98.02 344
SAIL 63.43% C 0.00% 53.57 5,016
LEN 62.67% B 0.00% 59.13 32,643
ALRM 62.44% C 0.00% 67.46 3,324
AVYA 61.76% C 0.00% 88.89 405
MDLZ 61.56% C 0.00% 26.19 29,946
GOGO 61.52% F 0.00% 90.48 106
VIAV 60.11% B 0.00% 18.65 3,051
PBYI 58.23% F 0.00% 83.73 528
EROS 57.26% F 0.00% 64.29 345
UNM 56.81% B 0.00% 53.57 1,951
TEN 56.63% C 0.00% 100.00 783
MSG 56.14% B 0.00% 69.44 767
CARS 55.29% B 0.00% 91.27 6,394
AYI 55.25% B 0.00% 27.38 19,172
TSN 54.89% C 0.00% 44.05 19,534
STWD 54.08% F 0.00% 23.02 1,144
BXMT 54.01% D 0.00% 0.00 259
CTXS 53.49% B 0.00% 37.30 22,716
OKE 53.17% A 0.00% 68.25 72,214
EGAN 52.88% D 0.00% 17.86 581
UPWK 52.56% F 0.00% 0.89 171
TIVO 52.07% C 0.00% 47.62 220
 
Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
ZAYO -69.80% C 0.00% 0.79 8,248
SBGI -59.11% C 0.00% 78.57 693
QCOM -47.02% D 0.00% 37.70 481,831
VSM -46.73% C 0.00% 7.54 7,818
WAGE -44.04% D 0.00% 7.14 12,163
SGH -36.76% C 0.00% 34.20 618
BPL -34.65% D 0.00% 36.90 4,597
BIIB -31.74% A 0.00% 67.46 111,306
QTNA -31.55% C 0.00% 11.51 319
CELG -30.68% B 0.00% 4.37 344,134
CRAY -27.52% C 0.00% 18.65 232
CHDN -25.59% C 0.00% 46.03 492
DIS -25.20% B 0.00% 76.19 379,341
CHRW -24.31% B 0.00% 70.24 27,603
SFIX -23.52% D 0.00% 63.10 9,369
SPTN -23.40% D 0.00% 95.24 192
ANTM -21.78% A 0.00% 91.67 77,407
DOMO -21.77% F 0.00% 82.76 116
CTSH -20.64% B 0.00% 82.54 8,843
LE -20.45% D 0.00% 72.62 8,928
O -20.11% B 0.00% 84.92 14,633
GES -20.03% C 0.00% 76.59 364
DBD -19.69% C 0.00% 28.97 2,575
MLNX -1.91E-01 C 0.00% 11.11 38,987
 
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE