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VIX down -7.5% on strong equity markets

May 21, 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 have had a positive session thanks to the Commerce Department’s 90-day concession to Huawei (allows them to purchase U.S. goods). Currently, the S&P is +.80%, the Russell is +1.15% and the Nasdaq is +1.0%. Bonds are weaker despite an April Home Sales print that came in slightly soft (5.19M vs. 5.35M est.; TLT -.15%, US 10 year yield up to 2.432%). Outside of the trade war drama, recent developments around Brexit have also moved markets today. Theresa May, hoping to find a majority in Parliament, is floating a potential second referendum contingent on passing her withdrawal bill. The Pound rallied on the headline but has since faded as it’s unclear if May will follow through on the offer. Biotech is outperforming this afternoon (XBI +2.25%) while Consumer Staples (XLP - .25%) lag the broader market. Volatilities are softer across the board with the VIX -7% to 15.15, VXN -9.50% to 19.58, and RVX -6% to 18.62. 

 

ETF 30D Volatility Changes

SPY:    -6%

IWM:    -5%

QQQ:   -6%

 

Directional Options Strategies

Bullish Option Strategies

PCG Buyer 6,536 Jul 21 – 27 call spreads (paid $1.05, trades 9,500 total, ref. 17.88)

ORCL Seller 5,000 Aug 50 puts (collects $.94, opens write, ref. 54.15)

JD Buyer 4,000 Jun 29 – 31 1x2 call spreads (paid $.29, ref. 28.91)

SSRM Buyer 11,200 Jul 10 calls trade (b/w $1.18 and $1.30, ref. 10.99)

F Buyer 10,000 Jan 12 calls tied to stock (paid $.26, ref. 10.19)

AVYA Seller 15,000 Sep 15 – 20 call spreads (appears to close spread, collects $1.32, ref. 14.01)

 

Bearish Option Strategies

NOK 2,000 Jun 5.5 puts trade (b/w $.45 and $.46, ref. 5.12)

MNK 14,000 Jan21 20 puts trade vs. 14,000 Jan 15 puts (appears to monetize longer dated put to roll closer/down, ref. 9.87)

CC 5,000 Oct 20 – 16 put spreads trade ($.925, ref. 24.03)

MT 3,525 Jun 15 puts trade (appears bought to open, $.25, ref. 16.67)

WMT 7,538 Jul 105 calls trade (appears sold to open write, $.95, ref. 100.61)

MU 17,200 Jun 43 – 36 put spreads trade (appears to monetize and roll down, $5.45, ref. 35.47)

 

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 Buyer 15,157 Jun 43.5 calls (paid $.12, ref. 40.70)

FXI 20,000 Aug 42 calls trade tied to stock ($.94, ref. 40.76)

 

Bearish Option Strategies

XLV Buyer 5,700 Sep 80 puts (untied, paid $.96, ref. 89.16)

VIX Buyer 9,000 Oct 20 calls (paid $1.70, ref. 17.33 (Oct))

 

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

 

 

Finance Trades Options Strategies

EEM 6,000 Jun 45 RevCons trade (ref. 40.47)

SPY 5,000 Jun 14th 288 RevCons trade (ref. 286.53)

 

 

 

Upcoming Earnings

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
JWN 5/21/2019 7.5 7.2 4.8% C 5,157
KHC 5/21/2019 2.5 8.1 -69.6% F 48,964
PSTG 5/21/2019 8.9 7.2 24.6% D 2,529
TOL 5/21/2019 5.7 5.7 -1.3% D 19,830
URBN 5/21/2019 8.4 3.9 119.0% C 3,247
AAP 5/22/2019 7.7 8.1 -4.5% C 30,579
ADI 5/22/2019 3.3 2.8 20.8% C 20,504
CPRT 5/22/2019 5.7 5.7 0.1% B 1,704
LB 5/22/2019 8.8 8.2 7.3% F 6,986
LOW 5/22/2019 4.6 5.2 -11.2% C 69,033
NTAP 5/22/2019 6.0 6.8 -12.1% B 49,813
SNPS 5/22/2019 3.7 3.5 6.0% A 10,143
TGT 5/22/2019 5.1 6.0 -15.6% C 59,092
VFC 5/22/2019 5.9 6.9 -14.3% D 8,092
WSM 5/22/2019 7.2 7.0 2.2% C 2,420
ADSK 5/23/2019 7.6 9.0 -15.7% D 51,671
BBY 5/23/2019 7.2 8.3 -13.3% C 69,439
DECK 5/23/2019 6.7 7.5 -9.6% C 11,796
DXC 5/23/2019 6.5 7.1 -8.5% C 3,987
HPE 5/23/2019 5.0 5.2 -2.9% F 2,040
HPQ 5/23/2019 5.7 5.5 3.1% D 13,786
HRL 5/23/2019 5.0 2.7 87.5% C 4,874
INTU 5/23/2019 4.2 3.4 23.4% B 19,299
ROST 5/23/2019 4.7 5.1 -7.0% B 7,548
SPLK 5/23/2019 7.1 8.2 -13.6% D 67,804
FL 5/24/2019 9.9 14.6 -32.0% B 12,701
RAMP 5/28/2019 7.2 9.9 -27.6% D 6,761
WDAY 5/28/2019 6.7 6.0 12.2% C 52,804
ANF 5/29/2019 12.5 16.5 -24.6% C 2,510
DKS 5/29/2019 8.4 9.3 -9.9% C 69,730
ENS 5/29/2019 5.0 5.4 -7.1% A 2,804
PANW 5/29/2019 7.3 6.7 8.9% B 97,664
PVH 5/29/2019 5.7 6.0 -4.9% C 3,105
VEEV 5/29/2019 4.5 6.5 -31.1% A 21,516
BURL 5/30/2019 5.5 6.9 -19.7% C 27,879
COST 5/30/2019 3.5 4.2 -15.6% B 204,147
DELL 5/30/2019 3.8 1.5 155.3% D 28,172
DG 5/30/2019 5.1 5.6 -9.3% C 15,095
DLTR 5/30/2019 6.2 8.2 -24.6% B 43,566
GME 5/30/2019 9.1 6.1 48.4% D 7,329
GPS 5/30/2019 8.0 8.8 -8.8% D 5,165
LULU 5/30/2019 2.0 12.5 -84.1% A 272,146
NTNX 5/30/2019 11.3 11.9 -5.1% C 32,552
OKTA 5/30/2019 8.6 8.9 -3.1% C 22,288
TECD 5/30/2019 8.3 12.1 -31.4% B 3,208
ULTA 5/30/2019 6.8 6.7 2.2% B 69,940
VMW 5/30/2019 5.2 3.8 34.7% F 37,042
ZS 5/30/2019 11.6 16.7 -30.5% D 17,797
BIG 5/31/2019 8.6 9.2 -7.3% C 18,707
BOX 6/3/2019 7.7 9.2 -16.7% C 23,722
COUP 6/3/2019 5.9 6.5 -9.2% C 16,571
AMBA 6/4/2019 9.5 11.1 -14.8% F 6,188
CBRL 6/4/2019 4.1 3.8 8.1% B 2,668
CRM 6/4/2019 4.4 3.0 48.9% C 437,819
HQY 6/4/2019 6.5 5.8 12.2% B 1,725
LE 6/4/2019 9.8 13.7 -28.4% D 8,928
NAV 6/4/2019 3.6 6.1 -39.9% A 1,578
OLLI 6/4/2019 6.7 4.4 54.5% C 4,474
TIF 6/4/2019 5.9 6.7 -11.6% C 26,536

 

Volatility Standouts

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
TIVO 74.07% C 1.35% 55.38 220
MITK 65.38% F -9.80% 77.29 554
NCS 58.47% D 0.00% 99.60 344
UPWK 56.86% F -3.95% 7.56 171
CASA 48.96% D 1.67% 43.03 274
XRAY 48.75% D -5.32% 3.98 1,314
ISBC 47.35% C 0.00% 94.02 3,859
CINF 4.68E-01 C 22.82% 11.55 663
FLO 46.69% B 0.03% 0.00 315
CTXS 45.55% B -2.38% 40.64 22,716
WING 44.21% C -0.89% 12.35 6,171
FDP 43.31% D 1.41% 54.18 299
AVYA 41.95% C 1.09% 84.86 405
CARS 41.84% B -7.22% 75.30 6,394
SNBR 38.22% C -1.69% 56.97 245
INSG 3.75E-01 C 0.00% 10.48 338
WLH 34.68% D -4.55% 19.52 270
FLWS 34.39% C -10.73% 33.47 301
NFG 34.07% C -2.05% 33.47 111
COG 33.65% A -2.32% 6.77 33,457
BREW 33.59% F 0.57% 48.61 277
UIS 33.37% C 9.38% 34.26 1,826
DNKN 33.35% B -2.05% 28.29 4,487
HRL 32.87% C -1.37% 87.25 4,874
 
Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
RHT -71.42% D 0.00% 1.59 166,977
ZAYO -62.07% C 0.00% 1.59 8,248
OZK -45.09% D -0.62% 61.35 692
CRAY -43.97% C 0.00% 86.45 232
BIIB -41.03% A -1.74% 17.93 111,306
SBGI -39.09% C -17.43% 98.80 693
QCOM -36.73% D -3.80% 78.49 481,831
CELG -36.57% B -1.15% 2.79 344,134
SKX -33.51% C -2.78% 42.63 9,631
BPL -32.96% D 0.00% 2.79 4,597
CTRL -31.92% D 0.00% 1.99 559
AEIS -30.31% D -2.58% 56.57 311
IMMR -28.65% F 0.00% 50.20 1,520
LITE -28.57% D -8.25% 52.99 32,025
O -28.11% B -3.74% 48.21 14,633
AABA -27.99% C -8.27% 33.47 32,036
EBIX -27.84% C 1.82% 41.83 411
PEN -27.44% D -2.74% 17.13 7,158
HOME -27.21% D -9.35% 96.81 321
SFIX -26.26% D -3.83% 42.63 9,369
DOMO -25.42% F -1.62% 52.38 116
IPHI -25.22% D 0.24% 65.74 587
PBF -24.92% F -7.66% 73.71 279
IEP -24.83% F -4.70% 29.48 2,542
 
 
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE