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VIX down -6% in quiet pre-holiday trading

May 24, 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 have found some mild positive momentum on light volumes as we head into a long weekend. President Trump spoke yesterday and remains optimistic about a deal while the Chinese are open to discussions but have reiterated that none are scheduled at the moment. Currently, the S&P is +.35%, the Russell is +.75% and the Nasdaq is +.40%. Bonds are a bit softer but off lows (TLT -.05%, US 10 year yield up to 2.322%) after this morning ‘s April durable goods data printed slightly softer than expected (-2.1%  vs. -2.0% est.) JP Morgan cut its Q2 growth forecast to 1% from 2.25% after a week of disappointing economic data. Outside the US, the major headline overnight was that Theresa May will step down June 7th – Boris Johnson is the current favorite to replace her and the GDP is up .40%. Homebuilders are outperforming this afternoon (XHB +1%) as rates hover around 2019 lows while Retail (XRT -.50%) lags the broader market. Volatilities are giving back some of yesterday’s gain with the  VIX -4.5% to 16.17, VXN -2% to 20.90, and RVX -4% to 20.03.

 

ETF 30D Volatility Changes

SPY:    -3%

IWM:    -3%

QQQ:   -1%

 

Directional Options Strategies

Bullish Option Strategies

IQ Buyer 2,300 Jun 21 calls (paid $.55, more than 3,000 trade total, ref. 19.20)

NIO 4,200 May 31st 3.5 calls trade ($.55, 5,800 trade total, Earnings 5/28, ref. 3.95)

ARQL Buyer 8,000 Jul 10 calls (paid $.85, opening, 10,700 trade total, ref. 7.57)

DXC Seller 40,000 Jul 52.5 puts to Buy 38,000 Jul 55 calls tied to stock (paid $2.63M on the package, ref. 52.48)

CLVS Buyer 20,000 Jan21 20 calls (paid $5.90 ($11.8M in premium), ref. 16.84) 

 

Bearish Option Strategies

ORCL 8,750 Jan 47 puts trade tied to stock ($1.75, ref. 53.01)

SQ 6,000 Jun 14th 67.5 – Jun 28th 64 call spreads trade (appears to roll write out and down, ref. 64.19)

FOXA Seller 20,625 Jul 41 – Oct 42 call spreads trade (collects $.45, rolls write out and up, ref. 36.92)

 

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

EEM Buyer 50,000 Jul 41 calls tied to stock (paid $.65 to open, ref. 39.96)

EMB Seller 2,750 Jul 108 puts tied to stock (collects $.56, possibly closing, ref. 109.61)

SMH 3,000 Jul 5th 101 calls trade (appears bought, $3.85, ref. 100.65)

XOP 6,000 Jul 29 – 31 call spreads trade ($.45, ref. 27.21)

 

Bearish Option Strategies

XRT Buyer 15,700 Jul 41 – 38 put spreads (paid $.80 to open, ref. 41.47)

KRE Seller 21,500 Jun 54 – 48 put spreads to Buy 23,200 Jul 50 – 44 put spreads (rolls out and down, ref. 52.32)

HYG 26,000 Aug 82 puts trade tied to stock (appears bought, $.46, ref. 85.71)

XOP 20,000 Jun 25 puts trade (appears bought, $1.74, ref. 27.19)

IWM Seller 5,000 Jun20 160 calls to Buy 5,000 Jun20 135 puts tied to stock (collects $1.02 on the package, ref. 150.30)

 

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. 38.68)

QQQ 7,500 Jun 180 RevCons trade (ref. 178.98)

SPY 15,000 Dec 285 RevCons trade (ref. 282.44)

 

 

Upcoming Earnings

 

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
KHC 5/28/2019 4.6 8.1 -43.5% F 48,964
RAMP 5/28/2019 8.8 9.9 -10.8% D 6,761
WDAY 5/28/2019 6.8 6.0 13.8% C 52,804
ANF 5/29/2019 12.0 16.5 -27.2% C 2,510
DKS 5/29/2019 9.5 9.3 1.9% C 69,730
ENS 5/29/2019 6.1 5.4 13.5% A 2,804
PANW 5/29/2019 7.9 6.7 18.0% B 97,664
PVH 5/29/2019 6.7 6.0 11.8% C 3,105
VEEV 5/29/2019 6.7 6.5 2.3% A 21,516
BURL 5/30/2019 5.8 6.9 -16.0% C 27,879
COST 5/30/2019 3.5 4.2 -15.6% B 204,147
DELL 5/30/2019 4.1 1.5 172.6% D 28,172
DG 5/30/2019 5.2 5.6 -8.3% C 15,095
DLTR 5/30/2019 6.5 8.2 -21.1% B 43,566
GPS 5/30/2019 8.1 8.8 -7.1% D 5,165
NTNX 5/30/2019 13.4 11.9 12.1% C 32,552
OKTA 5/30/2019 9.5 8.9 7.4% C 22,288
TECD 5/30/2019 7.8 12.1 -35.5% B 3,208
ULTA 5/30/2019 7.5 6.7 12.4% B 69,940
VMW 5/30/2019 5.4 3.8 41.5% F 37,042
WSM 5/30/2019 7.0 7.0 -0.8% C 2,420
ZS 5/30/2019 11.6 16.7 -30.5% D 17,797
BIG 5/31/2019 9.5 9.2 3.3% C 18,707
BOX 6/3/2019 8.7 9.2 -6.1% C 23,722
COUP 6/3/2019 7.8 6.5 20.4% C 16,571
AMBA 6/4/2019 10.0 11.1 -10.6% F 6,188
CBRL 6/4/2019 4.1 3.8 8.2% B 2,668
CRM 6/4/2019 4.9 3.0 65.8% C 437,819
GME 6/4/2019 9.3 6.1 51.3% D 7,329
HQY 6/4/2019 7.4 5.8 28.3% B 1,725
LE 6/4/2019 8.7 13.7 -36.6% D 8,928
NAV 6/4/2019 5.2 6.1 -13.5% A 1,578
TIF 6/4/2019 6.2 6.7 -8.0% C 26,536
AEO 6/5/2019 8.3 5.2 60.1% D 2,310
CPB 6/5/2019 7.0 6.6 6.5% B 5,487
FIVE 6/5/2019 8.3 7.6 9.0% B 27,643
GIII 6/5/2019 7.9 11.2 -29.1% C 4,747
LULU 6/5/2019 10.3 12.5 -18.0% A 272,146
MDB 6/5/2019 10.6 12.5 -15.3% F 25,631
SFIX 6/5/2019 14.5 23.5 -38.3% D 9,369
SMAR 6/5/2019 9.5 4.3 120.0% D 1,800
CIEN 6/6/2019 8.2 8.5 -3.6% C 7,012
DOCU 6/6/2019 4.7 5.1 -9.0% C 21,068
MTN 6/6/2019 5.3 6.2 -14.6% C 12,989
OLLI 6/6/2019 6.8 4.4 55.5% C 4,474
PYX 6/6/2019 15.5 14.9 4.2% D 39,565
SJM 6/6/2019 5.7 5.6 0.6% B 11,199
THO 6/10/2019 6.7 6.8 -1.8% D 11,550
CASY 6/11/2019 5.2 4.5 16.3% D 6,022
HRB 6/11/2019 7.3 7.2 2.0% C 2,320
RH 6/11/2019 16.0 19.9 -19.3% B 23,491

 

Volatility Standouts

 

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
SNBR 67.16% C -1.65% 72.62 245
BREW 62.22% F -3.05% 77.38 277
CTXS 60.91% B 0.50% 50.79 22,716
CASA 60.87% D 0.00% 50.00 274
FLO 58.12% B -0.21% 2.78 315
UPWK 54.36% F -4.23% 9.84 171
CARS 52.17% B -3.27% 73.81 6,394
EVRG 51.94% C 0.00% 14.29 633
XRAY 51.41% D 2.94% 6.75 1,314
WLH 48.57% D 2.89% 22.62 270
LANC 45.92% C 0.00% 37.30 3,152
WING 45.20% C -4.43% 22.22 6,171
NFG 45.01% C -4.89% 34.52 111
DNKN 44.29% B -3.28% 46.83 4,487
BGS 43.72% C -0.82% 27.38 738
MSG 43.33% B -2.56% 37.30 767
NHTC 42.71% C 2.68% 20.63 711
HRL 40.98% C -6.68% 50.00 4,874
XONE 40.95% F -2.03% 38.49 535
UIS 40.80% C -1.03% 36.90 1,826
VGR 40.69% C 0.00% 63.49 1,278
ARMK 39.95% C -6.89% 79.76 6,323
ELAN 38.37% A 0.85% 14.47 101,651
SRPT 37.67% C -1.73% 87.70 24,519
 
Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
CRAY -74.50% C 0.00% 0.40 232
APC -68.19% D 0.57% 3.97 51,923
RHT -64.34% D 0.00% 24.60 166,977
ZAYO -58.42% C 0.00% 1.59 8,248
OZK -43.55% D -0.98% 73.41 692
ARRY -40.37% F -3.59% 3.97 10,208
QCOM -40.22% D -3.01% 97.62 481,831
CELG -38.52% B 0.00% 8.73 344,134
SBGI -37.40% C -1.85% 86.11 693
WAGE -36.84% D -24.17% 13.10 12,163
IPHI -33.89% D -6.09% 60.71 587
SKX -29.65% C 1.37% 49.21 9,631
CTRL -27.74% D 0.00% 1.59 559
TSS -26.86% B 16.65% 49.21 1,568
AABA -25.41% C -13.26% 45.63 32,036
IEP -25.22% F 9.59% 52.38 2,542
PEN -23.95% D 0.10% 16.67 7,158
DOMO -23.86% F -2.00% 59.62 116
RUN -23.40% D -5.24% 22.62 470
LITE -23.19% D -1.26% 53.57 32,025
BLMN -22.70% C -0.16% 38.49 4,753
EBIX -22.53% C -0.88% 50.00 411
SFIX -22.45% D -2.86% 69.84 9,369
COHR -22.00% F -5.32% 39.68 9,664
 
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE