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Volatilities are Softer after Trump Delays Tariffs.

May 15, 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 opened lower this morning after some weaker than expected data out of China overnight but reversed around 10:15 on reports that President Trump plans to delay EU auto tariffs up to 6 months. Currently, the S&P is +.50%, the Russell is +.05% and the Nasdaq is +1.0%. Bonds are stronger this afternoon (TLT +.60%, US 10-year yield down to 2.375%; Note* March low was 2.36%) as both Apr Retail Sales (-0.2% M/M vs. +0.2% est.) and Industrial Production (-0.5% M/M vs. +0.5% est.) missed expectations. The Atlanta Fed cuts its Q2 GDP forecast to 1.1% from 1.6% on the heels of those prints. In single name news, shares of Alibaba are up roughly 1.3% after reporting Q4 revenues that came in well above estimates ($13.9B vs. $13.3B est.; Up 41% Y/Y). Consumer Staples and Tech (XLP +.75%, XLK +.90%) are outperforming this afternoon while Materials and Financials lag the broader market (XLB +.05%, XLF -.15%). Volatilities are softer across the board with the VIX -5% to 17.10, VXN -7.5% to 20.57, and RVX -3.5% to 20.27. 

 

ETF 30D Volatility Changes

SPY:    -6%

IWM:    -4%

QQQ:   -8%

 

Directional Options Strategies

Bullish Option Strategies

MYL 5,200 Oct 20 calls trade (appears bought, $2.45, appears to add to position, 10,000 trade total, ref. 19.79)

HLT Buyer 3,000 Oct 92.5 – 97.5 call spreads (untied, paid $2.68, appears to roll up, ref. 93.39)

CVS 8,500 Jun 50 puts trade ($.94, appears to add to existing put write, more than 14,000 trade, ref. 52.11)

TMUS Buyer 9,900 Aug 82.5 calls (paid $1.20, ref. 73.78)

DIS 6,392 Jun 150 calls trade (appears bought, $.23, ref. 133.12)

2,700 Aug 77.5 – 80 1x2 call spreads trade (collects $.09, ref. 69.04)

ARLO 8,600 Jul 4 calls trade (paid b/w $.50 and $.65, ref. 4.31)

ZNGA 7,765 Jan21 10 calls trade (appears bought, $.53, ref. 6.23)

YNDX Buyer 2,000 Aug 35 – 39 call spreads (paid $1.70, ref. 35.08)

 

Bearish Option Strategies

BGS Buyer 8,700 May 22.5 – Aug 20 put spreads trade ($.65, ref. 22.15)

AKS Buyer 20,000 May – Jun 14th 2.5 put spreads (paid $.09, appears  to monetize/roll out, ref. 2.27)

UNIT Buyer 9,500 Nov 7.5 puts (paid $.95, ref. 10.59)

FITB 15,000 May 27 – Jun 28 call spreads trade (appears to roll write out and up, $.18, ref. 27.01)

 
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

XLF Seller 55,000 Jun 24 – 22 – 20 put flies (collects $.06, ref. 26.76)

XLK Buyer 9,700 Jun 81 calls (paid $.07, more than 17,000 trade, ref. 74.71)

XME 5,200 May 31st 28 calls (paid b/w $.29 and $.31, ref. 27.20)

IWM Seller 5,000 Mar20 135 puts tied to stock (collects $4.30, ref. 153.41)

HYG Seller 20,000 May 85 – Jun 85 put spreads (appears to roll put write out, collects $.435, ref. 85.65)

SPY Buyer 8,000 May 287 – Jun 28th 293 call spreads (paid $1.23, appears to roll out and up, ref. 284.23)

 

Bearish Option Strategies

SPY 15,439 Jul 265 – 257 puts spreads trade ($1.12, ref. 282.29)

XBI 9,850 Jun 79 – 73 put spreads trade (appears bought, $1.32, ref. 82.14)

QQQ 5,000 May 177 – 172 put spreads trade vs. 5,000 Jun 28th 176 – 171 put spreads (appears to roll out and down, ref. 180.28)

XLV 5,400 Sep 78 puts trade (appears bought, $.99, ref. 87.76)

XLB 12,000 May 53.5 puts trade vs. 9,000 May 24th 53.5 – 52.5 put spreads (appears to roll out into a spreads, ref. 54.36)

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

 

 

Finance Trades Options Strategies

EFA 7,500 May 65 RevCons trade (ref. 64.41)

MSFT 5,400 Jun 120 RevCons trade (ref. 125.67)

AMZN 1,100 Jun 1840 RevCons trade (ref. 1859.00)

 

 

 

Upcoming Earnings

 

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
CSCO 5/15/2019 4.4 4.0 10.3% B 362,509
KHC 5/15/2019 3.0 8.2 -63.2% F 48,964
AMAT 5/16/2019 4.6 4.0 17.0% C 133,463
KEM 5/16/2019 10.9 11.7 -6.8% C 9,374
NVDA 5/16/2019 7.2 7.8 -8.2% F 1,362,666
WMT 5/16/2019 3.7 4.8 -23.6% B 322,698
DE 5/17/2019 3.8 4.0 -3.6% F 152,819
NDSN 5/20/2019 6.1 5.8 4.8% B 1,883
AZO 5/21/2019 5.1 5.5 -6.5% B 49,854
CBRL 5/21/2019 4.5 3.8 19.5% B 2,668
DY 5/21/2019 12.3 13.3 -8.1% F 2,061
HD 5/21/2019 2.6 1.0 150.7% B 447,352
JWN 5/21/2019 8.5 7.2 18.4% C 5,157
KSS 5/21/2019 6.7 6.0 12.6% A 22,341
PSTG 5/21/2019 9.2 7.2 28.9% D 2,529
TJX 5/21/2019 4.7 3.8 25.3% C 14,222
TOL 5/21/2019 5.6 5.7 -1.8% D 19,830
URBN 5/21/2019 8.1 4.3 90.6% C 3,247
AAP 5/22/2019 7.8 8.0 -3.1% C 30,579
ADI 5/22/2019 3.3 2.7 20.0% C 20,504
CPRT 5/22/2019 5.9 5.7 3.5% B 1,704
LB 5/22/2019 8.6 8.0 7.3% F 6,986
LOW 5/22/2019 4.7 5.2 -7.8% C 69,033
NTAP 5/22/2019 6.2 6.8 -9.3% B 49,813
SNPS 5/22/2019 5.4 3.5 51.6% A 10,143
TGT 5/22/2019 5.0 6.1 -17.1% C 59,092
VFC 5/22/2019 6.5 6.9 -5.9% D 8,092
WSM 5/22/2019 6.6 7.0 -6.1% C 2,420
ADSK 5/23/2019 7.5 8.8 -15.6% D 51,671
BBY 5/23/2019 7.1 8.3 -13.5% C 69,439
DECK 5/23/2019 7.2 7.5 -2.7% C 11,796
DXC 5/23/2019 6.5 7.1 -7.6% C 3,987
HPE 5/23/2019 5.1 5.2 -0.7% F 2,040
HPQ 5/23/2019 5.2 5.5 -5.0% D 13,786
HRL 5/23/2019 5.8 2.8 105.0% C 4,874
INTU 5/23/2019 4.2 3.4 25.3% B 19,299
ROST 5/23/2019 5.5 5.1 8.2% B 7,548
SPLK 5/23/2019 6.8 8.2 -17.3% D 67,804
FL 5/24/2019 10.7 14.4 -26.0% B 12,701
LABL 5/28/2019 4.6 7.7 -39.9% D 3,390
RAMP 5/28/2019 7.5 9.9 -24.2% D 6,761
WDAY 5/28/2019 7.0 6.0 18.3% C 52,804
ANF 5/29/2019 12.1 16.5 -26.5% C 2,510
DKS 5/29/2019 8.7 9.3 -6.0% C 69,730
ENS 5/29/2019 7.5 5.4 38.8% A 2,804
KEYS 5/29/2019 5.7 4.4 27.7% A 10,593
PANW 5/29/2019 7.4 6.7 11.6% B 97,664
PVH 5/29/2019 6.2 6.0 3.4% C 3,105
VEEV 5/29/2019 4.6 6.5 -29.8% A 21,516
BURL 5/30/2019 4.2 6.9 -38.2% C 27,879
COST 5/30/2019 3.6 4.2 -12.8% B 204,147
DELL 5/30/2019 4.8 1.5 223.7% D 28,172
DG 5/30/2019 5.4 5.6 -4.5% C 15,095
DLTR 5/30/2019 5.9 8.2 -27.8% B 43,566
GME 5/30/2019 9.3 6.1 51.5% D 7,329
GPS 5/30/2019 8.9 8.6 4.1% D 5,165
LULU 5/30/2019 3.5 12.5 -72.2% A 272,146
NTNX 5/30/2019 11.6 11.9 -2.6% C 32,552

 

Volatility Standouts

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
NCS 72.24% D -6.11% 96.03 344
CASA 66.69% D 0.00% 47.60 274
UPWK 65.76% F 0.19% 6.09 171
BMRN 65.11% C 18.55% 88.89 2,602
TIVO 62.68% C 3.00% 41.67 220
SNCR 56.63% C 0.00% 13.82 360
DOX 48.63% C 0.06% 67.46 89
QNST 47.95% A 0.61% 0.00 6,838
ARMK 45.20% C -12.39% 84.92 6,323
USAT 43.29% F -3.64% 37.70 685
HRL 43.17% C -1.91% 95.24 4,874
FLWS 43.12% C -3.56% 28.57 301
TMUS 41.57% B 13.93% 59.92 14,836
LANC 40.42% C 0.00% 47.62 3,152
LEN 40.13% B -1.03% 34.92 32,643
CTXS 39.76% B -4.68% 44.05 22,716
NFG 39.07% C 0.58% 61.11 111
DNKN 38.63% B -5.33% 46.83 4,487
WING 37.24% C -3.35% 27.38 6,171
SBH 36.72% B 2.20% 51.98 143
VST 36.71% F -2.15% 47.62 6,989
SMAR 36.51% D -1.91% 51.54 1,800
VGR 35.58% C 0.32% 64.29 1,278
CARS 35.55% B -1.95% 68.65 6,394
 
Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
SBGI -58.34% C -2.65% 86.51 693
ZAYO -58.33% C 2.49% 0.40 8,248
QCOM -52.09% D -2.93% 24.60 481,831
VSM -42.78% C 0.00% 4.37 7,818
BPL -42.40% D 18.03% 0.79 4,597
CTRL -39.94% D 0.00% 0.79 559
BIIB -39.37% A -3.88% 36.51 111,306
CRAY -35.82% C -9.76% 15.48 232
CELG -35.81% B -2.54% 7.14 344,134
SGH -35.78% C -6.80% 62.82 618
CTSH -32.22% B -6.16% 75.00 8,843
SYNA -30.13% B -4.89% 41.27 2,018
O -30.09% B -3.44% 52.38 14,633
IEP -28.68% F -4.55% 34.52 2,542
MLNX -28.09% C 0.00% 16.67 38,987
DOMO -27.82% F -2.14% 68.45 116
FOXA -27.09% D -4.82% 0.00  
ENR -26.97% B -6.63% 29.37 2,960
SFIX -26.90% D -0.20% 43.25 9,369
EBIX -26.84% C -1.54% 49.21 411
IDCC -26.67% C -3.16% 43.25 319
AOBC -25.96% F -3.40% 75.40 2,217
SPTN -25.49% D -2.64% 72.22 192
NVRO -2.49E-01 D -4.08% 15.48 1,047
 
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE