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Positive Economic Data Continues Stock Rally

May 16, 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

Stocks are rallying for the third consecutive session (though on below-average volumes) as this morning’s economic data was fairly positive. Currently, the S&P is +1.30%, the Russell is +1.25% and the Nasdaq is +1.5%. Bonds are weaker this afternoon (TLT -.40%, US 10 year yield up to 2.41%) as both April Housing Starts (1.235M vs. 1.21M est.) and the Philly Fed Outlook (16.6 vs. 9.0 est.) beat expectations. It’s worth noting, however, that the headlines out of China fail to inspire confidence (urges US to cancel tariffs; ‘no knowledge’ of plans for US delegation to visit Beijing). In single name news, shares of Walmart are up more than 2.5% after reporting earnings (EPS beat, Revenues missed, SSS +3.4%). The retailer did cite a stronger dollar as a potential headwind for Q2. Healthcare and Tech (XLV +.1.35%, XLK +1.40%) are outperforming this afternoon while Semis (SMH -.80%) lag the broader market. Volatilities are softer across the board with the VIX -6% to 15.45, VXN -9% to 18.14, and RVX -5% to 18.56. 

ETF 30D Volatility Changes

SPY:     -9%

IWM:    -6%

QQQ:   -9%

   

 

Directional Options Strategies

Bullish Option Strategies

SNAP 10,000 May 31st 11 calls (appears bought, $.59, ref. 11.27)

ARQL Buyer 4,394 Jun 7.5 calls (paid $1.05, 5,000 trade total, ref. 6.99)

C Seller 5,000 May 65.5 – Jun 65 put spreads (appears to roll put write out and down, ref. 65.53)

BE Buyer 2,000 Nov 18 calls (paid $.90, ref. 13.25)

BBBY Seller 5,000 Jun 14 puts (collects $.435, ref. 15.16)

NOW 10,000 Aug 220 calls trade tied to 890,000 shares (appears bought, possibly replaces stock, ref. 280.29)

JBLU 8,700 Jun 19 calls trade (paid b/w $.25 and $.30, ref. 18.02)

 

Bearish Option Strategies

UBER Buyer 7,500 Jan21 25 puts tied to stock (paid $2.85, ref. 42.15)

AOS 2,9000 May 45 puts trade (paid b/w $.40 and $.50, ref. 44.89)

QRTEA Buyer 5,000 Oct 15 puts (paid $1.99, ref. 13.83)

BHP 1,729 Jun 55 puts trade (paid b/w $3.35 and $3.50, ref. 51.90)

DE Buyer 5,000 Jun 7th 140 – 135 put spreads (untied, paid $7.00, Earnings 5/17, ref. 146.88)

CNC Seller 15,000 Jun 60 calls tied to stock (collects $1.10, appears closing, ref. 54.90)

MLNX Seller 10,500 Mar 125 calls to Buy 7,000 Mar 90 puts tied to stock (ref. 115.44)

 

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

IEF Seller 40,000 Jun 106 puts tied to 1.48M shares (collects $.40, appears to add to write, ref. 106.64)

EFA 10,000 May 24th 66.5 calls trade ($.07, appears bought, ref. 65.24)

QQQ 9,750 May 184 – 185.5 call spreads trade ($.80, appears to roll up, ref. 184.56)

 

Bearish Option Strategies

SPY 11,190 May 31st 284 – 277.5 put spreads trade ($1.02, ref. 288.27)

SPY 15,000 May 31st 285 – 275 put spreads trade ($1.39, ref. 288.64)

HYG Buyer 40,000 Dec 81 puts tied to 1.24M shares (paid $1.26, ref. 86.07)

HYG Buyer 14,000 Nov 81 puts (paid $.92, ref. 86.06)

XLF 24,750 Jun 26 puts trade (appears bought, $.27, ref. 27.12)

QQQ 32,845 May 31st 176 puts trade vs. 18,300 Jun 28th 171 puts (appears to roll out and down, ref. 184.67)

 

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

 

 

Finance Trades Options Strategies

XLP 15,000 May 57 RevCons trade (ref. 58.14)

EFA 12,500 May 65 RevCons trade (ref. 65.25)

 

 

 

Upcoming Earnings

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
AMAT 5/16/2019 4.4 4.0 12.5% C 133,463
KHC 5/16/2019 3.5 8.1 -57.1% F 48,964
NVDA 5/16/2019 7.6 7.8 -3.7% F 1,362,666
DE 5/17/2019 3.6 4.0 -8.1% F 152,819
NDSN 5/20/2019 5.8 5.8 -0.5% B 1,883
AZO 5/21/2019 5.5 5.5 0.5% B 49,854
CBRL 5/21/2019 4.3 3.8 13.0% B 2,668
DY 5/21/2019 11.9 13.3 -10.7% F 2,061
HD 5/21/2019 2.6 1.0 148.9% B 447,352
JWN 5/21/2019 8.4 7.2 17.7% C 5,157
KSS 5/21/2019 7.0 6.0 16.5% A 22,341
PSTG 5/21/2019 9.1 7.2 26.6% D 2,529
TJX 5/21/2019 4.6 3.8 22.6% C 14,222
TOL 5/21/2019 5.6 5.7 -2.6% D 19,830
URBN 5/21/2019 8.3 4.3 93.7% C 3,247
AAP 5/22/2019 7.9 8.0 -1.9% C 30,579
ADI 5/22/2019 3.7 2.7 35.8% C 20,504
CPRT 5/22/2019 5.8 5.7 0.4% B 1,704
LB 5/22/2019 8.6 8.0 7.0% F 6,986
LOW 5/22/2019 4.4 5.2 -14.4% C 69,033
NTAP 5/22/2019 6.0 6.8 -11.7% B 49,813
SNPS 5/22/2019 4.9 3.5 38.8% A 10,143
TGT 5/22/2019 5.2 6.1 -14.9% C 59,092
VFC 5/22/2019 6.2 6.9 -10.1% D 8,092
WSM 5/22/2019 6.9 7.0 -1.9% C 2,420
ADSK 5/23/2019 7.2 8.8 -18.1% D 51,671
BBY 5/23/2019 7.0 8.3 -15.3% C 69,439
DECK 5/23/2019 6.9 7.5 -6.9% C 11,796
DXC 5/23/2019 6.7 7.1 -5.2% C 3,987
HPE 5/23/2019 5.0 5.2 -2.8% F 2,040
HPQ 5/23/2019 4.9 5.5 -11.3% D 13,786
HRL 5/23/2019 5.5 2.8 95.4% C 4,874
INTU 5/23/2019 4.2 3.4 23.5% B 19,299
ROST 5/23/2019 5.3 5.1 4.0% B 7,548
SPLK 5/23/2019 6.4 8.2 -21.8% D 67,804
FL 5/24/2019 10.7 14.4 -25.6% B 12,701
LABL 5/28/2019 9.7 7.7 25.6% D 3,390
RAMP 5/28/2019 7.1 9.9 -28.5% D 6,761
WDAY 5/28/2019 6.9 6.0 16.1% C 52,804
ANF 5/29/2019 12.0 16.5 -27.0% C 2,510
DKS 5/29/2019 8.7 9.3 -6.3% C 69,730
ENS 5/29/2019 6.2 5.4 14.9% A 2,804
KEYS 5/29/2019 5.3 4.4 19.2% A 10,593
PANW 5/29/2019 7.2 6.7 7.6% B 97,664
PVH 5/29/2019 5.7 6.0 -4.1% C 3,105
VEEV 5/29/2019 4.2 6.5 -35.9% A 21,516
BURL 5/30/2019 4.6 6.9 -32.2% C 27,879
COST 5/30/2019 3.5 4.2 -16.0% B 204,147
DELL 5/30/2019 4.5 1.5 204.3% D 28,172
DG 5/30/2019 5.2 5.6 -7.4% C 15,095
DLTR 5/30/2019 5.9 8.2 -28.5% B 43,566
GME 5/30/2019 9.2 6.1 51.1% D 7,329
GPS 5/30/2019 8.7 8.6 1.0% D 5,165
LULU 5/30/2019 3.1 12.5 -75.4% A 272,146
NTNX 5/30/2019 11.6 11.9 -2.9% C 32,552
OKTA 5/30/2019 8.9 8.9 0.8% C 22,288
TECD 5/30/2019 8.1 12.1 -33.5% B 3,208
ULTA 5/30/2019 6.5 6.7 -1.9% B 69,940

 

Volatility Standouts

 

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
ES 70.15% B 0.00% 6.75 1,035
DFRG 69.44% D 0.00% 85.32 1,026
CASA 67.77% D 0.00% 38.65 274
TIVO 64.29% C -3.83% 36.11 220
UPWK 62.69% F -1.12% 12.93 171
SNCR 58.38% C 0.00% 4.15 360
FLWS 57.40% C 2.34% 23.41 301
FLO 56.31% B -28.46% 34.92 315
NCS 55.47% D 0.00% 96.43 344
ADT 52.42% C 0.00% 10.32 474
USAT 51.04% F 5.33% 35.71 685
JACK 50.21% B -28.71% 68.25 1,105
VGR 45.84% C 0.00% 67.06 1,278
NHTC 44.22% C 0.00% 35.32 711
BXMT 43.93% D 0.00% 11.51 259
CTXS 42.17% B -0.13% 38.49 22,716
WING 41.95% C -1.53% 24.60 6,171
HRL 40.87% C -2.79% 92.86 4,874
BMRN 40.65% C 3.21% 97.62 2,602
NFG 39.92% C 4.33% 63.10 111
NLY 39.43% F 0.00% 39.29 2,769
DNKN 39.42% B -5.05% 31.35 4,487
WATT 39.29% D 6.51% 44.84 3,078
SMAR 38.49% D -0.49% 47.33 1,800
 
Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
ZAYO -61.58% C 8.97% 2.38 8,248
SBGI -58.85% C -1.59% 85.71 693
BPL -51.70% D 0.00% 1.59 4,597
QCOM -43.09% D 3.55% 20.24 481,831
CELG -40.81% B -7.36% 5.16 344,134
BIIB -40.61% A 1.21% 23.41 111,306
CRAY -39.64% C -6.65% 0.40 232
AEIS -32.85% D -2.72% 41.27 311
O -31.44% B -4.97% 47.62 14,633
NVRO -31.25% D 3.07% 13.89 1,047
DOMO -29.92% F -2.28% 57.97 116
SFIX -29.05% D -0.27% 33.33 9,369
AOBC -28.82% F -10.96% 78.57 2,217
IDCC -28.78% C -4.03% 36.51 319
SGH -28.72% C 9.35% 51.49 618
SPTN -27.98% D -6.94% 74.21 192
EBIX -26.93% C 2.18% 45.24 411
IEP -26.71% F 1.65% 17.06 2,542
MAR -25.37% C -1.84% 17.46 14,707
ENR -25.14% B 1.64% 26.59 2,960
IVZ -24.88% D -0.70% 56.35 29,606
SYNA -24.83% B 0.85% 44.44 2,018
CEVA -24.23% D -0.20% 35.32 132
ACLS -2.32E-01 D -1.44% 10.71 4,518
 
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE