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Trade News Driving Markets Today as VIX Approaches 15

May 17, 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 as the rhetoric out of China remained tough overnight; however, equities rallied back after it was confirmed that President Trump would delay auto tariffs by up to six months. It would seem the market is betting that the Trump administration will be willing to soften its stance with China in a similar fashion. Currently, the S&P is -.10%, the Russell is -.65% and the Nasdaq is -.25%. Bonds are stronger but offs highs (TLT +.16%, US 10-year yield down to 2.398%) as this morning’s May Consumer Confidence print blew past expectations (102.4 vs. 97.2 est. *15-year high). It’s also worth noting that 1-year inflation expectations ticked up to 2.8% from 2.5% prior. In single name news, shares of Pinterest are down more than 10% after reporting a greater than expected loss ($.32/share vs. $.11 est.) Utilities and Healthcare (XLU +.35%, XLV +.15%) are outperforming this afternoon while Energy (XLE - .50%; OPEC considering easing oil cuts at upcoming meeting) lags the broader market. Volatilities bid with the VIX flat to 15.29, VXN +.50% to 18.47, and RVX +.50% to 18.68. 

 

ETF 30D Volatility Changes

SPY:       +2%

IWM:     +2%

QQQ:     +2%

 

Directional Options Strategies

Bullish Option Strategies

SYMC Seller 5,100 Jun 28th 18 puts (collects $.18, opening)

TIF Seller 9,600 Nov 70 puts (untied, collects $1.00) 

VZ 3,700 Jun 14th 60 calls trade (paid b/w $.33 and $.35)

NKTR Buyer 1,000 Jun 26 calls and 2,000 Jun 40 calls (paid $1.30 on 36s and $.70 on 40s)

 

Bearish Option Strategies

BBBY Buyer 19,500 May 15 – Aug 12.5 put spreads (untied, paid $.60 to roll out and down)

S 10,000 Nov 4 puts trade ($.36, 20,000 trade total, appears opening)

HD 3,700 May 24th 192.5 puts trade (paid b/w $2.29 and $2.50, Earnings 5/21)

NIO 10,000 Jun 3 puts trade (appears bought, $.055)

AKS 5,467 Jan 1 puts trade (paid $.05, more than 14,000 trade total)

 

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

FXI Seller 28,000 May 41.5 puts (untied, collects $.49, possibly closing)

HYG Seller 55,000 Oct 83 puts (collects $1.06)

GDX Buyer 13,000 Sep 27 calls (untied, paid $.08)

XLV Buyer 5,000 Jun – Sep 90 call spreads tied to stock (paid $1.66)

VIX Seller 32,000 Jun 26th 25 calls (collects $.50)

 

Bearish Option Strategies

EWZ Buyer 15,000 Jun 36 puts tied to stock (paid $1.06)

QQQ Seller 1,400 Jun 185 straddles to Buy 10,200 Jun 28th 171 puts

 

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

 

 

Finance Trades Options Strategies

CTL 8,000 May 11 RevCons trade

ADP 2,000 May 160 RevCons trade

 

 

 

Upcoming Earnings

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
KHC 5/20/2019 4.2 8.1 -47.9% F 48964
NDSN 5/20/2019 5.9 5.8 1.4% B 1883
AZO 5/21/2019 5.6 5.5 2.4% B 49854
CBRL 5/21/2019 3.9 3.8 3.5% B 2668
DY 5/21/2019 12.1 13.3 -9.5% F 2061
HD 5/21/2019 2.4 1.0 142.5% B 447352
JWN 5/21/2019 7.8 7.2 8.7% C 5157
KSS 5/21/2019 6.2 6.0 3.7% A 22341
PSTG 5/21/2019 9.4 7.2 31.0% D 2529
TJX 5/21/2019 4.4 3.8 14.7% C 14222
TOL 5/21/2019 5.5 5.7 -3.8% D 19830
URBN 5/21/2019 8.3 4.3 93.5% C 3247
AAP 5/22/2019 7.7 8.0 -4.3% C 30579
ADI 5/22/2019 3.7 2.7 33.3% C 20504
CPRT 5/22/2019 6.2 5.7 8.4% B 1704
LB 5/22/2019 7.1 8.0 -12.1% F 6986
LOW 5/22/2019 4.4 5.2 -15.2% C 69033
NTAP 5/22/2019 5.7 6.8 -15.4% B 49813
SNPS 5/22/2019 4.9 3.5 38.5% A 10143
TGT 5/22/2019 4.6 6.1 -23.6% C 59092
VFC 5/22/2019 5.7 6.9 -18.4% D 8092
WSM 5/22/2019 6.1 7.0 -13.1% C 2420
ADSK 5/23/2019 7.3 8.8 -17.1% D 51671
BBY 5/23/2019 6.7 8.3 -18.3% C 69439
DECK 5/23/2019 6.4 7.5 -13.6% C 11796
DXC 5/23/2019 6.3 7.1 -11.5% C 3987
HPE 5/23/2019 5.4 5.2 5.0% F 2040
HPQ 5/23/2019 5.0 5.5 -9.3% D 13786
HRL 5/23/2019 5.4 2.8 90.8% C 4874
INTU 5/23/2019 4.0 3.4 19.6% B 19299
ROST 5/23/2019 4.7 5.1 -8.1% B 7548
SPLK 5/23/2019 6.4 8.2 -21.3% D 67804
FL 5/24/2019 9.9 14.4 -31.4% B 12701
LABL 5/28/2019 5.4 7.7 -29.5% D 3390
RAMP 5/28/2019 7.1 9.9 -28.1% D 6761
WDAY 5/28/2019 6.5 6.0 8.6% C 52804
ANF 5/29/2019 11.8 16.5 -28.3% C 2510
DKS 5/29/2019 8.4 9.3 -10.2% C 69730
ENS 5/29/2019 5.3 5.4 -1.6% A 2804
KEYS 5/29/2019 5.2 4.4 17.6% A 10593
PANW 5/29/2019 6.9 6.7 3.9% B 97664
PVH 5/29/2019 5.3 6.0 -11.8% C 3105
VEEV 5/29/2019 2.8 6.5 -56.4% A 21516
BURL 5/30/2019 5.1 6.9 -26.3% C 27879
COST 5/30/2019 3.2 4.2 -24.4% B 204147
DELL 5/30/2019 3.6 1.5 143.6% D 28172
DG 5/30/2019 5.0 5.6 -11.4% C 15095
DLTR 5/30/2019 5.9 8.2 -28.4% B 43566
GME 5/30/2019 9.1 6.1 48.2% D 7329
GPS 5/30/2019 8.5 8.6 -0.7% D 5165
LULU 5/30/2019 2.8 12.5 -77.3% A 272146
NTNX 5/30/2019 10.6 11.9 -11.0% C 32552
OKTA 5/30/2019 8.6 8.9 -3.4% C 22288
TECD 5/30/2019 8.7 12.1 -28.0% B 3208
ULTA 5/30/2019 6.5 6.7 -2.8% B 69940
VMW 5/30/2019 5.0 3.8 30.9% F 37042
ZS 5/30/2019 11.3 16.7 -32.6% D 17797
BIG 5/31/2019 7.9 9.2 -14.1% C 18707

 

Volatility Standouts

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
TIVO 72.24% C 0.88% 44.44 220
CASA 69.54% D 0.00% 41.67 274
SNCR 62.82% C 0.00% 0.00 360
UPWK 53.85% F -1.38% 3.42 171
FLO 52.06% B -2.61% 0.00 315
SFLY 46.83% C 16.40% 47.22 13169
FLWS 44.38% C -0.75% 17.06 301
WING 44.07% C -4.16% 29.76 6171
CTXS 42.17% B 3.11% 37.30 22716
CARS 41.39% B 0.13% 61.90 6394
VGR 41.32% C -3.42% 67.46 1278
BKS 40.05% C 27.66% 54.76 138
HRL 39.58% C -1.43% 92.06 4874
BXMT 39.38% D 0.00% 5.95 259
DNKN 39.21% B -1.12% 21.03 4487
BPR 38.65% F 0.00% 12.50 1503
QNST 38.39% A 3.51% 0.40 6838
TMUS 37.87% B 1.88% 92.86 14836
PCG 37.16% C 1.25% 90.48 90297
STOR 36.67% B 0.00% 44.84 1590
TTMI 36.36% C 0.00% 29.76 950
FDP 35.67% D -1.70% 52.38 299
WLH 35.19% D -1.74% 33.73 270
XRAY 34.75% D -3.58% 2.78 1314

 

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
CRAY -70.06% C -51.10% 0.40 232
BPL -59.68% D -21.29% 1.19 4597
ZAYO -57.90% C 0.00% 1.98 8248
SBGI -57.64% C -1.10% 96.83 693
BIIB -43.08% A -2.07% 21.43 111306
QCOM -40.33% D 3.16% 25.40 481831
CELG -39.12% B 1.26% 2.78 344134
DOMO -32.23% F 0.44% 52.40 116
AEIS -30.51% D 0.04% 40.48 311
O -30.44% B -0.76% 32.54 14633
SFIX -30.21% D 1.17% 36.90 9369
IEP -29.32% F -3.84% 23.41 2542
NVRO -29.13% D 5.82% 13.49 1047
EBIX -28.43% C 1.83% 44.44 411
SPTN -28.33% D -9.30% 75.40 192
AOBC -27.83% F 5.61% 55.16 2217
PBF -27.38% F 0.02% 46.03 279
IDCC -27.18% C -4.20% 39.29 319
PEN -25.97% D 2.43% 19.84 7158
MAR -25.57% C 0.38% 17.06 14707
FICO -25.43% A -0.31% 36.51 491
ENR -25.06% B 1.00% 23.41 2960
LE -24.48% D 0.67% 65.87 8928
SYNA -2.45E-01 B -1.97% 50.40 2018

 

 

OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE