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VIX unchanged in directionless equity markets

May 22, 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 are mildly softer on light trading volumes as investors seek further clarity on trade. Overnight, the major development was a report that the US is considering ‘blacklisting’ an additional five Chinese companies. Currently, the S&P is -.25%, the Russell is -.85% and the Nasdaq is -.30%. Bonds are showing greater concern that equities and have strengthened throughout the morning (TLT +.55%, US 10 year yield down to 2.39%). On the earnings front, the most recent reports from the retail sector delivered mixed results as Nordstrom (JWN -9%) cut its 2019 guidance while Target (TGT +9.50%) beat on both the top and bottom lines. Crude Oil is softer today (USO -3%) as this morning’s EIA report showed a build in inventories (+4.7M vs. -1.5M est.) Outside the US, speculation around Theresa May’s resignation has the pound under pressure again (FXB -.25%). Utilities and Consumer Staples are outperforming this afternoon (XLU +.45%; XLP +.35%) while Retail and Energy (XRT -1.35%; XLE -1.5%) lag the broader market. Volatilities are mixed with the  VIX -1% to 14.87, VXN +1.0% to 19.65, and RVX +2% to 18.70. 

 

ETF 30D Volatility Changes

SPY:     FLAT

IWM:    +1%

QQQ:   +1%

 

 

Directional Options Strategies

Bullish Option Strategies

FCX Buyer 8,000 Sep 13 calls (paid $.24, ref. 10.10)

FCX Buyer 4,100 May 31st 10.5 calls (paid $.14, ref. 10.14)

SNAP 4,800 May 24th 11.5 calls trade (b/w $.20 and $.23, ref. 11.51)

CNX 4,700 Oct 10 calls trade (b/w $.32 and $.33, ref. 8.08)

URBN Seller 12,794 Jun 22.5 puts (collects $.21, ref. 24.92)

MELI Seller 3,500 Sep 350 calls to Buy 3,500 Dec 450 calls (rolls deep ITM puts out and up to maintain bullish exposure, ref. 586.50)

M Seller 20,203 Jun 19.5 puts (untied, collects $.21, 21.65)

VALE Buyer 5,000 Jun 12 – Jan 13 call spreads tied to stock (paid $.49, ref. 12.06)

 

Bearish Option Strategies

KSS 3,650 Jul 60 – 52.5 put spreads trade (appears to monetize and roll down, ref. 4.52)

SBUX 2,200 Jun 76 puts trade (b/w $1.10 and $1.14, ref. 77.20)

CTL 8,000 Jul 9 – Jan 8 put spreads trade ($.39, appears to roll out and down, ref. 9.97)

UNP Buyer 4,000 Aug 150 puts tied to stock (paid $1.40, ref. 173.94)

PAA 6,000 Jul 25 calls trade (appears sold to open, $.48, ref. 24.02)

MU 4,700 Oct 40 calls trade (appears sold to open, $2.20, ref. 35.06)

 

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

EMB Seller 2,500 Jun 109 calls and 5,000 Jun 110 calls to Buy 9,300 Jul 110 calls (untied, appears to roll long calls up, ref. 109.74)

FXI Seller 25,000 Jun 7th 42.5 calls to Buy 12,500 Jul 41 calls tied to stock (paid $.79 on the package, ref. 40.57)

VIX Seller 15,000 Jun 22 calls (collects $.56, ref. 16.35 (Jun))

 

Bearish Option Strategies

HYG Seller 33,500 Jun 80 puts to Buy 42,000 Aug 80 puts (appears to roll puts out and add units, ref. 86.04)

HYG Buyer 10,000 Jul 84 – 81 put spreads (paid $.26, ref. 86.05)

QQQ Buyer 20,000 Aug 175 – 160 put spreads tied to stock (paid $2.77, ref. 181.65)

EEM 21,000 Aug 84 – 79 1x2 put spreads trade ($.31, ref. 86.06)

KWEB Seller 6,300 Jun 46 puts to Buy 6,300 Aug 41.74 put spreads (appears to roll out and down, ref. 42.19)

SPY 13,779 May 24th 281 puts trade (appears bought, $285.82)

EEM 10,000 Dec 40 – 36 put spreads trade ($1.21, ref. 40.49)

 

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

 

 

Finance Trades Options Strategies

TSLA 1,500 Jun 230 RevCons trade (ref. 201.32)

INTC 2,000 Jun 45 RevCons trade (ref. 43.92)

JCI 12,000 Jun 14th 45 RevCons trade (ref. 39.24)

 

 

 

Upcoming Earnings

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
CPRT 5/22/2019 5.8 5.7 1.5% B 1,704
LB 5/22/2019 8.8 8.2 8.0% F 6,986
NTAP 5/22/2019 6.5 6.8 -4.7% B 49,813
SNPS 5/22/2019 4.0 3.5 13.8% A 10,143
WSM 5/22/2019 7.1 7.0 1.4% C 2,420
ADSK 5/23/2019 7.5 9.0 -16.7% D 51,671
BBY 5/23/2019 7.4 8.3 -10.4% C 69,439
DECK 5/23/2019 7.0 7.5 -6.7% C 11,796
DXC 5/23/2019 6.6 7.1 -6.9% C 3,987
HPE 5/23/2019 5.3 5.2 2.8% F 2,040
HPQ 5/23/2019 5.9 5.5 6.7% D 13,786
HRL 5/23/2019 6.4 2.7 139.0% C 4,874
INTU 5/23/2019 4.0 3.4 19.5% B 19,299
KHC 5/23/2019 2.7 8.1 -66.2% F 48,964
ROST 5/23/2019 5.0 5.1 -2.4% B 7,548
SPLK 5/23/2019 7.3 8.2 -11.1% D 67,804
FL 5/24/2019 10.2 14.6 -30.2% B 12,701
RAMP 5/28/2019 8.2 9.9 -17.0% D 6,761
WDAY 5/28/2019 6.7 6.0 12.9% C 52,804
ANF 5/29/2019 13.0 16.5 -21.1% C 2,510
DKS 5/29/2019 8.7 9.3 -6.8% C 69,730
ENS 5/29/2019 5.9 5.4 9.1% A 2,804
PANW 5/29/2019 7.5 6.7 13.1% B 97,664
PVH 5/29/2019 5.7 6.0 -4.0% C 3,105
VEEV 5/29/2019 6.0 6.5 -7.2% A 21,516
BURL 5/30/2019 5.7 6.9 -16.6% C 27,879
COST 5/30/2019 3.5 4.2 -15.4% B 204,147
DELL 5/30/2019 3.8 1.5 157.6% 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 9.5 6.1 55.9% D 7,329
GPS 5/30/2019 8.1 8.8 -7.1% D 5,165
LULU 5/30/2019 4.3 12.5 -66.1% A 272,146
NTNX 5/30/2019 11.7 11.9 -2.1% C 32,552
OKTA 5/30/2019 8.7 8.9 -1.4% C 22,288
TECD 5/30/2019 9.0 12.1 -25.9% B 3,208
ULTA 5/30/2019 6.8 6.7 2.7% B 69,940
VMW 5/30/2019 5.2 3.8 35.3% F 37,042
ZS 5/30/2019 11.5 16.7 -31.1% D 17,797
BIG 5/31/2019 8.4 9.2 -9.0% C 18,707
BOX 6/3/2019 8.2 9.2 -11.0% C 23,722
COUP 6/3/2019 6.9 6.5 6.0% C 16,571
AMBA 6/4/2019 9.9 11.1 -10.8% F 6,188
CBRL 6/4/2019 4.0 3.8 6.3% B 2,668
CRM 6/4/2019 4.5 3.0 51.6% C 437,819
HQY 6/4/2019 6.9 5.8 20.1% B 1,725
LE 6/4/2019 9.0 13.7 -34.3% D 8,928
NAV 6/4/2019 4.1 6.1 -32.0% A 1,578
OLLI 6/4/2019 6.6 4.4 51.6% C 4,474
TIF 6/4/2019 5.7 6.7 -14.9% C 26,536
AEO 6/5/2019 8.5 5.2 64.3% D 2,310
CLDR 6/5/2019 11.8 17.2 -31.9% C 4,737
CPB 6/5/2019 6.4 6.6 -3.1% B 5,487
FIVE 6/5/2019 7.7 7.6 1.7% B 27,643
GIII 6/5/2019 7.1 11.2 -36.2% C 4,747
MDB 6/5/2019 10.3 12.5 -17.2% F 25,631
SFIX 6/5/2019 14.3 23.5 -39.3% D 9,369
SMAR 6/5/2019 8.6 4.3 97.0% D 1,800
CIEN 6/6/2019 7.9 8.5 -6.8% C 7,012
DOCU 6/6/2019 4.6 5.1 -11.4% C 21,068
MTN 6/6/2019 5.1 6.2 -18.1% C 12,989
PYX 6/6/2019 15.9 14.9 6.6% D 39,565
SJM 6/6/2019 5.4 5.6 -3.5% B 11,199

Volatility Standouts

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
TIVO 72.90% C -0.85% 43.25 220
MITK 71.88% F -2.71% 14.29 554
HRL 62.84% C 5.06% 90.48 4,874
NCS 61.72% D 3.49% 92.86 344
CASA 56.26% D 13.13% 18.25 274
UPWK 55.27% F -0.31% 4.17 171
FLO 54.24% B 5.98% 0.40 315
SNBR 53.76% C 6.90% 44.84 245
ISBC 53.71% C 0.00% 75.40 3,859
CTXS 51.21% B 0.40% 40.48 22,716
XRAY 48.22% D -2.34% 0.79 1,314
WING 45.35% C 0.40% 12.30 6,171
NFG 44.83% C 0.04% 21.43 111
LANC 43.94% C 0.00% 35.32 3,152
RST 41.35% F -2.70% 55.95 3,806
CARS 41.23% B 1.82% 44.84 6,394
FDP 40.71% D 0.84% 54.37 299
AVYA 40.54% C -0.55% 84.92 405
DNKN 38.01% B 0.24% 19.05 4,487
EIX 37.75% C -2.50% 63.89 23,807
NHTC 37.58% C -5.08% 40.08 711
MSG 37.04% B 0.85% 14.29 767
FLWS 36.61% C 0.28% 9.52 301
TUP 35.66% D 10.90% 44.84 1,440
 
Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
RHT -60.62% D 0.00% 3.57 166,977
ZAYO -58.14% C 0.00% 2.38 8,248
CRAY -55.49% C 0.00% 0.00 232
CTRL -47.64% D 0.00% 1.98 559
OZK -45.06% D 2.90% 56.35 692
SBGI -41.44% C -2.86% 65.87 693
ARRY -40.19% F -7.42% 7.54 10,208
QCOM -38.31% D 12.53% 67.46 481,831
WAGE -31.91% D -23.22% 7.54 12,163
SKX -31.35% C 0.94% 41.27 9,631
CELG -30.68% B 10.74% 0.40 344,134
IPHI -29.03% D -6.23% 66.67 587
AEIS -28.34% D 3.08% 36.51 311
EBIX -27.69% C 2.32% 39.68 411
PEN -26.40% D -1.63% 15.48 7,158
IMMR -26.25% F 0.00% 17.46 1,520
LITE -26.17% D -0.22% 36.11 32,025
IVZ -25.93% D -5.29% 49.21 29,606
IEP -25.23% F 7.85% 5.56 2,542
RUN -24.72% D -0.87% 0.00 470
BPR -24.63% F 0.00% 11.70 1,503
AABA -24.54% C -1.51% 25.00 32,036
SFIX -24.23% D 0.90% 36.51 9,369
SYNA -23.94% B -0.94% 42.86 2,018
 
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE