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VIX up 20% as equities sell off on continued China worries

May 23, 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 under pressure this afternoon as the macro environment becomes increasingly tumultuous. Overnight, the latest economic data out of Europe disappointed (Eurozone May Manufacturing Flash PMI 47.7 vs. 48.1 est.; both German Manufacturing, IFO Survey miss). Currently, the S&P is -1.55%, the Russell is -1.85% and the Nasdaq is -2.05%. Bonds are reaching YTD highs  (TLT +1.25%, US 10 year yield down to 2.31%) as this morning’s Markit PMI came in soft (50.6 vs. 52.7 est.; lowest since Sep 2009). Crude Oil is having a dreadful session (USO -5%) as the slowing growth story in combination with yesterday’s inventory data takes a toll. Utilities are outperforming during this risk-off session while while Semis and Energy-related names (SMH -2.2%; XLE -3.5%) lag the broader market. Volatilities are bid across the board with the VIX +17% to 17.22, VXN +12% to 22.20, and RVX +10% to 20.53. 

 

ETF 30D Volatility Changes

SPY:    +15%

IWM:    +10%

QQQ:   +10%

   

 

Directional Options Strategies

Bullish Option Strategies

HAL Seller 59,000 Jul 5th 23 puts to Buy 57,000 Jul 5th 24 calls tied to stock (ref. 23.31)

AMX Buyer 2,500 Jun 15 calls (paid $.20, ref. 14.15)

LVS Buyer 8,000 Aug 57.5 calls tied to stock (paid $3.40, ref. 57.21)

GLNG 7,993 Dec 22.5 calls trade (appears bought, $1.45, ref. 19.35)

ECA Buyer 10,000 Jul 7 calls (paid $.20, ref. 6.05)

TSLA Buyer 5,000 Jul 240 calls tied to stock (paid $4.65, ref. 194.50)

 

Bearish Option Strategies

TEVA Buyer 12,500 Sep 8 puts (paid $.20, ref. 11.36)

CNX Buyer 20,000 Jan 6 puts tied to stock (paid $.48, ref. 7.36)

CZR Buyer 10,000 May 31st 8.5 puts (paid $.07, ref. 9.14)

GE Seller 25,000 May 24th 10 puts to Buy 54,000 Jun 9 puts (monetizes, rolls out and down/adds units, ref. 9.70)

 

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

XLE Buyer 94,000 May 31st 63 calls (untied, paid $.26, ref. 61.37)

TLT 15,492 May 31st 130 calls ($.115, ref. 127.53)

USO 9,865 Jun 7th 12.5 calls trade (appears bought, nearly 15,000 trade total, $.18, ref. 12.10)

VIX Buyer 12,500 Jul 15 puts (paid $.775, ref. 17.51 (Jul))

VIX Seller 12,900 Jun 26th 23 calls (opening, collects $.62, ref. 17.18 (Jun 26th))

 

Bearish Option Strategies

XOP Seller 125,000 Sep 27 – 25 put spreads (untied, collects $.75, rolls down, ref. 27.36)

XLE Seller 35,000 Jan 60 puts to Buy 50,000 Jan 55 puts (untied, monetizes and rolls down, ref. 61.53)

XLP 16,873 Jul 55 puts trade (appears bought to open, $.43, ref. 57.64)

XLV 18,427 Oct 85 puts trade (opening, $2.21, ref. 89.12)

IWM 80,000 Jun 28th 143 – 140 put spreads trade ($.53, ref. 150.43)

HYG Buyer 20,000 Jun 85.5 puts tied to stock (paid $.61, ref. 85.71)

GLD 9,000 Jul 120 puts trade (appears bought, $1.09, ref. 120.87)

RSX Buyer 5,00 Jan 19 puts tied to stock (paid $.715, ref. 21.40)

 

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

 

 

Finance Trades Options Strategies

JCI 12,000 Jun 14th 45 RevCons trade (ref. 38.94)

 

 

 

Upcoming Earnings

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
ADSK 5/23/2019 7.5 9.0 -15.9% D 51,671
DECK 5/23/2019 7.2 7.5 -2.9% C 11,796
DXC 5/23/2019 7.9 7.1 11.8% C 3,987
HPE 5/23/2019 5.5 5.2 5.6% F 2,040
HPQ 5/23/2019 6.1 5.5 10.9% D 13,786
INTU 5/23/2019 4.4 3.4 30.3% B 19,299
ROST 5/23/2019 5.3 5.1 3.7% B 7,548
SPLK 5/23/2019 6.9 8.2 -16.1% D 67,804
FL 5/24/2019 10.3 14.6 -29.7% B 12,701
KHC 5/28/2019 4.6 8.1 -43.4% F 48,964
RAMP 5/28/2019 8.6 9.9 -12.6% D 6,761
WDAY 5/28/2019 7.1 6.0 19.2% C 52,804
ANF 5/29/2019 12.0 16.5 -27.2% C 2,510
DKS 5/29/2019 8.7 9.3 -6.3% C 69,730
ENS 5/29/2019 6.7 5.4 24.7% A 2,804
PANW 5/29/2019 8.4 6.7 25.3% B 97,664
PVH 5/29/2019 6.8 6.0 13.7% C 3,105
VEEV 5/29/2019 6.7 6.5 2.5% A 21,516
WSM 5/29/2019 7.8 7.0 11.7% C 2,420
BURL 5/30/2019 5.7 6.9 -16.6% C 27,879
COST 5/30/2019 3.6 4.2 -14.8% B 204,147
DELL 5/30/2019 4.9 1.5 229.9% D 28,172
DG 5/30/2019 5.2 5.6 -7.6% C 15,095
DLTR 5/30/2019 6.5 8.2 -20.8% B 43,566
GPS 5/30/2019 8.2 8.8 -6.7% D 5,165
NTNX 5/30/2019 13.2 11.9 10.8% C 32,552
OKTA 5/30/2019 9.5 8.9 7.5% C 22,288
TECD 5/30/2019 9.5 12.1 -21.9% B 3,208
ULTA 5/30/2019 7.3 6.7 9.7% B 69,940
VMW 5/30/2019 5.4 3.8 40.8% F 37,042
ZS 5/30/2019 11.9 16.7 -29.0% D 17,797
BIG 5/31/2019 9.3 9.2 1.1% C 18,707
BOX 6/3/2019 8.9 9.2 -3.6% C 23,722
COUP 6/3/2019 7.6 6.5 17.1% C 16,571
AMBA 6/4/2019 10.3 11.1 -7.6% F 6,188
CBRL 6/4/2019 4.2 3.8 11.4% B 2,668
CRM 6/4/2019 5.1 3.0 70.2% C 437,819
GME 6/4/2019 9.2 6.1 50.4% D 7,329
HQY 6/4/2019 7.4 5.8 27.9% B 1,725
LE 6/4/2019 9.7 13.7 -29.6% D 8,928
NAV 6/4/2019 5.0 6.1 -18.1% A 1,578
TIF 6/4/2019 6.2 6.7 -7.0% C 26,536
AEO 6/5/2019 8.9 5.2 71.2% D 2,310
CLDR 6/5/2019 14.0 17.2 -18.8% C 4,737
CPB 6/5/2019 6.5 6.6 -0.9% B 5,487
FIVE 6/5/2019 8.1 7.6 5.9% B 27,643
GIII 6/5/2019 7.2 11.2 -35.7% C 4,747
LULU 6/5/2019 10.0 12.5 -20.1% A 272,146
MDB 6/5/2019 10.5 12.5 -16.0% F 25,631
SFIX 6/5/2019 14.0 23.5 -40.1% D 9,369
SMAR 6/5/2019 9.4 4.3 117.1% D 1,800
CIEN 6/6/2019 8.0 8.5 -5.4% C 7,012
DOCU 6/6/2019 5.2 5.1 0.9% C 21,068
MTN 6/6/2019 5.5 6.2 -12.0% C 12,989
OLLI 6/6/2019 6.8 4.4 55.9% C 4,474
PYX 6/6/2019 16.4 14.9 9.8% D 39,565
SJM 6/6/2019 5.5 5.6 -2.8% B 11,199
THO 6/10/2019 6.0 6.8 -12.2% D 11,550

 

Volatility Standouts

 

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
SNBR 71.34% C 14.26% 54.76 245
NCS 65.93% D 9.44% 99.21 344
WBT 64.73% C 40.54% 38.89 1,838
YGYI 63.56% F -4.74% 2.90 133
CTRL 59.70% D 0.00% 1.59 559
XRAY 59.52% D 8.80% 0.79 1,314
UPWK 58.25% F 2.43% 3.31 171
TIVO 58.16% C -0.12% 27.38 220
QNST 56.82% A 18.62% 0.79 6,838
CTXS 53.61% B -0.58% 44.84 22,716
ACHC 51.96% C 4.46% 34.92 150
NFG 51.15% C 1.67% 32.14 111
RST 48.65% F 10.63% 45.24 3,806
WLH 47.75% D 5.33% 19.05 270
CARS 47.55% B 2.20% 53.17 6,394
HRL 47.48% C -24.75% 97.22 4,874
DNKN 46.23% B 4.32% 20.63 4,487
WING 45.53% C 1.41% 12.70 6,171
LANC 43.29% C 0.00% 37.30 3,152
AVYA 43.10% C 3.21% 83.33 405
NHTC 43.05% C 4.63% 22.62 711
CVLT 41.98% A 11.37% 40.48 137
WMB 41.61% D 15.63% 36.11 9,158
ZNGA 41.33% F 2.43% 28.97 4,253
 
Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
RHT -61.29% D 0.00% 41.67 166,977
ZAYO -59.01% C 0.00% 2.78 8,248
CRAY -51.92% C 0.00% 0.79 232
OZK -42.43% D 4.82% 60.32 692
CELG -40.35% B 0.00% 2.38 344,134
SBGI -40.17% C 2.25% 60.71 693
ARRY -38.83% F 0.77% 1.59 10,208
QCOM -37.47% D 6.04% 96.03 481,831
SKX -32.14% C 1.29% 39.68 9,631
IPHI -30.52% D 2.74% 48.41 587
AEIS -27.39% D 1.78% 50.00 311
PEN -24.88% D 3.22% 9.52 7,158
EBIX -24.36% C 4.64% 42.46 411
AABA -24.35% C -2.95% 30.56 32,036
SFIX -24.30% D 0.66% 39.68 9,369
LITE -23.87% D 1.54% 41.67 32,025
IMMR -23.77% F 0.46% 16.27 1,520
DOMO -23.04% F 1.43% 46.70 116
BOOT -21.13% C 2.85% 1.59 866
HOME -21.11% D 0.41% 96.43 321
ZBRA -20.81% A 4.37% 40.87 14,627
IVZ -20.45% D 3.01% 50.40 29,606
RUN -20.18% D 10.82% 0.40 470
FICO -19.49% A 0.74% 42.86 491
 
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE