VIX up +3% in slow post holiday trading
May 28, 2019
Options Market Commentary
Stocks attempted to rally on the open but have pared gains after a weak May Dallas Fed Manufacturing print (-5.3 vs. 6.2 est.) Currently, the S&P is +.15%, the Russell is +.25% and the Nasdaq is +.55%. Bonds are bid (TLT +.70%, US 10 year yield down to 2.27%) in sympathy with the weak Dallas Fed figure but also legged higher on a strong 2-Yr. note auction (Bid-to-cover ratio 2.75 vs. 2.51 prior). Over the weekend, Fiat Chrysler and Renault made headlines by announcing merger talks – the potential synergy would create the third largest automaker by production. The dollar is bid this afternoon (UUP +.38%) as both the Euro (FXE -.35%) and Pound (FXB - .30%) are lower on the heels of European elections. Tech is outperforming this afternoon (XLK +.65%) while Consumer Staples (XRT -.50%) lags the broader market. Volatilities are seeing a mild bid with the VIX +2% to 16.21, VXN +1% to 20.82, and RVX +1.5% to 19.70
ETF 30D Volatility Changes
SPY: -2%
IWM: -2%
QQQ: -3%
Directional Options Strategies
Bullish Option Strategies
KSS Seller 5,475 Jul 52.5 puts tied to stock (collects $3.60, appears closing, ref. 51.27)
UNG Buyer 4,200 Jul 22 calls (paid b/w $.86 and $.89, ref. 21.92)
CBAY Buyer 3,000 Jun 15 calls (paid $.120 , ref. 12.45)
CYTK Buyer 5,000 Nov 14 calls (paid $.75, opening, ref. 10.26)
HAL Seller 10,000 Jul 20 puts to Buy 10,000 Jul 25 calls (paid roughly $.10 avg., opening, ref. 22.87)
COTY 6,900 Jul 15 calls trade (paid b/w $.29 and $.33, ref. 13.12)
Bearish Option Strategies
GE Seller 116,000 May 31st 9.5 calls to Buy 116,000 May 31st 9 puts tied to 11.7M shares (closing, collects $.03, ref. 9.34)
UBER Buyer 5,000 May 31st 40 puts (paid $.95, Earnings 5/30 after the close, ref. 40.89)
MU Buyer 10,000 Oct 30 – 25 put spreads (untied, paid $1.40, ref. 33.09)
SNAP 15,000 Jan 10 calls trade vs. 8,150 Jul 9 puts tied to stock (appears to sell calls and buy puts to monetize bullish risky, ref. 11.30)
DELL Buyer 4,700 Jun 60 puts (paid $.75, Earnings 5/30, ref. 67.01)
YNDX Buyer 2,000 May 31st 36 puts (paid $.25, ref. 36.76)
SFLY Seller 2,500 Sep 55 calls (untied, collects $1.45, ref. 48.94)
DOCU 1,450 Jun 60 – 45 put spreads trade vs. 1,450 Sep 60 – 45 put spreads (appears to roll out, largest print trades $.65, Earnings 6/6, ref. 54.75)
Macro Options Strategies
Bullish Option Strategies
GLD Buyer 10,100 Aug 127 calls (paid $.53, ref. 120.80)
EFA Seller 5,000 Jun20 60 puts to Buy 5,000 Jun20 69 calls tied to stock (collects $.80, ref. 64.64)
INDA Seller 10,000 Jun 35 puts tied to stock (possibly closing, collects $.50, ref. 35.65)
OIH Seller 3,000 Jul 14 straddles tied to stock (collects $1.45, short vol, ref. 13.73)
VIXW Seller 19,000 Jun 26th 23 calls (collects $.55, adds to existing position, ref. 17.10 (Jun 26th)
Bearish Option Strategies
QQQ Seller 10,000 Jun 181 calls to Buy 20,000 Jun 165 puts tied to stock (collects $1.53, ref. 178.75)
EEM Buyer 7,000 Jun 39.5 – 37.5 put spreads (untied, paid $.42, ref. 40.17)
EEM 20,000 Dec 38 puts trade tied to stock ($1.55, ref. 40.18)
EEM 23,000 Jun 40 puts trade tied to stock ($.77, ref. 40.17)
VIX Buyer 12,000 Jun 20 calls (paid $.775, ref. 16.85 (Jun))
Finance Trades Options Strategies
BABA 2,500 May 31st 157.5 RevCons trade (ref. 155.27)
Upcoming Earnings
Underlying |
Earnings Date |
Imp Move |
Historical Move |
Cheap vs Expensive |
Quantamize Rating |
Average Daily Vega |
KHC |
5/28/2019 |
4.2 |
8.1 |
-48.6% |
F |
48,964 |
LABL |
5/28/2019 |
0.2 |
8.0 |
-98.0% |
D |
3,390 |
RAMP |
5/28/2019 |
8.6 |
9.9 |
-13.2% |
D |
6,761 |
WDAY |
5/28/2019 |
6.4 |
6.0 |
8.2% |
C |
52,804 |
ANF |
5/29/2019 |
11.5 |
16.6 |
-30.9% |
C |
2,510 |
DKS |
5/29/2019 |
9.2 |
9.3 |
-0.8% |
C |
69,730 |
ENS |
5/29/2019 |
5.3 |
5.4 |
-1.3% |
A |
2,804 |
PANW |
5/29/2019 |
7.4 |
6.3 |
17.1% |
B |
97,664 |
PVH |
5/29/2019 |
6.5 |
6.1 |
5.8% |
C |
3,105 |
VEEV |
5/29/2019 |
6.1 |
6.4 |
-3.9% |
A |
21,516 |
BURL |
5/30/2019 |
5.5 |
6.9 |
-19.9% |
C |
27,879 |
COST |
5/30/2019 |
3.1 |
4.3 |
-26.6% |
B |
204,147 |
DELL |
5/30/2019 |
4.1 |
1.5 |
173.0% |
D |
28,172 |
DG |
5/30/2019 |
5.0 |
5.6 |
-9.7% |
C |
15,095 |
DLTR |
5/30/2019 |
6.6 |
8.3 |
-20.7% |
B |
43,566 |
GPS |
5/30/2019 |
8.8 |
8.8 |
0.5% |
D |
5,165 |
NTNX |
5/30/2019 |
13.0 |
11.9 |
9.1% |
C |
32,552 |
OKTA |
5/30/2019 |
9.4 |
8.9 |
5.7% |
C |
22,288 |
TECD |
5/30/2019 |
9.7 |
12.4 |
-22.1% |
B |
3,208 |
ULTA |
5/30/2019 |
6.7 |
6.7 |
-0.3% |
B |
69,940 |
VMW |
5/30/2019 |
5.1 |
3.8 |
33.4% |
F |
37,042 |
WSM |
5/30/2019 |
6.4 |
7.3 |
-12.3% |
C |
2,420 |
ZS |
5/30/2019 |
11.2 |
16.7 |
-33.4% |
D |
17,797 |
BIG |
5/31/2019 |
10.6 |
9.5 |
10.8% |
C |
18,707 |
BOX |
6/3/2019 |
8.6 |
9.2 |
-6.7% |
C |
23,722 |
COUP |
6/3/2019 |
7.3 |
6.5 |
12.2% |
C |
16,571 |
AMBA |
6/4/2019 |
9.9 |
11.1 |
-11.5% |
F |
6,188 |
CBRL |
6/4/2019 |
4.4 |
3.8 |
15.2% |
B |
2,668 |
CRM |
6/4/2019 |
4.7 |
3.0 |
57.7% |
C |
437,819 |
GME |
6/4/2019 |
8.7 |
6.0 |
45.9% |
D |
7,329 |
HQY |
6/4/2019 |
6.6 |
5.8 |
15.0% |
B |
1,725 |
LE |
6/4/2019 |
7.5 |
13.7 |
-45.1% |
D |
8,928 |
NAV |
6/4/2019 |
4.9 |
6.1 |
-18.7% |
A |
1,578 |
TIF |
6/4/2019 |
5.9 |
6.9 |
-14.9% |
C |
26,536 |
AEO |
6/5/2019 |
8.0 |
5.2 |
54.7% |
D |
2,310 |
CLDR |
6/5/2019 |
13.1 |
17.2 |
-23.8% |
C |
4,737 |
CPB |
6/5/2019 |
6.6 |
6.6 |
-0.3% |
B |
5,487 |
FIVE |
6/5/2019 |
7.8 |
7.6 |
3.0% |
B |
27,643 |
GIII |
6/5/2019 |
6.4 |
11.2 |
-42.2% |
C |
4,747 |
MDB |
6/5/2019 |
10.4 |
12.5 |
-16.6% |
F |
25,631 |
SFIX |
6/5/2019 |
13.8 |
23.5 |
-41.2% |
D |
9,369 |
SMAR |
6/5/2019 |
9.7 |
4.3 |
124.4% |
D |
1,800 |
CIEN |
6/6/2019 |
8.0 |
8.5 |
-5.3% |
C |
7,012 |
DOCU |
6/6/2019 |
4.3 |
5.1 |
-17.2% |
C |
21,068 |
MTN |
6/6/2019 |
5.1 |
6.2 |
-18.4% |
C |
12,989 |
OLLI |
6/6/2019 |
6.4 |
4.4 |
46.7% |
C |
4,474 |
PYX |
6/6/2019 |
13.4 |
15.7 |
-14.8% |
D |
39,565 |
SJM |
6/6/2019 |
5.6 |
5.6 |
-0.5% |
B |
11,199 |
THO |
6/10/2019 |
6.7 |
6.8 |
-2.6% |
D |
11,550 |
CASY |
6/11/2019 |
4.9 |
4.5 |
9.5% |
D |
6,022 |
HRB |
6/11/2019 |
7.1 |
7.2 |
-0.9% |
C |
2,320 |
RH |
6/11/2019 |
15.5 |
19.9 |
-22.3% |
B |
23,491 |
LULU |
6/12/2019 |
10.1 |
12.5 |
-19.6% |
A |
272,146 |
Volatility Standouts
Underlying |
2M Volatility vs Forecast |
Q Rating |
2M IV Change |
IV 2M Percentile |
Average Daily Vega |
VGR |
72.43% |
C |
0.00% |
61.51 |
1,278 |
TIVO |
66.19% |
C |
-2.44% |
61.11 |
220 |
AVYA |
63.57% |
C |
4.37% |
87.30 |
405 |
SNBR |
62.48% |
C |
14.39% |
53.57 |
245 |
FLO |
58.97% |
B |
5.25% |
2.38 |
315 |
NFG |
56.30% |
C |
1.83% |
35.32 |
111 |
UPWK |
55.47% |
F |
4.90% |
0.81 |
171 |
CTXS |
53.47% |
B |
-5.51% |
50.40 |
22,716 |
QNST |
51.53% |
A |
17.39% |
0.00 |
6,838 |
CARS |
48.06% |
B |
-0.57% |
59.52 |
6,394 |
WLH |
47.95% |
D |
3.94% |
21.83 |
270 |
NHTC |
45.80% |
C |
0.00% |
20.63 |
711 |
WING |
44.41% |
C |
-0.04% |
13.89 |
6,171 |
THS |
44.28% |
D |
6.76% |
12.70 |
12,635 |
XRAY |
43.15% |
D |
-4.40% |
8.33 |
1,314 |
ZNGA |
41.50% |
F |
2.45% |
37.30 |
4,253 |
LANC |
40.70% |
C |
0.00% |
50.79 |
3,152 |
BGS |
40.18% |
C |
-2.50% |
26.19 |
738 |
MSG |
39.83% |
B |
-2.24% |
32.54 |
767 |
DNKN |
39.81% |
B |
-3.16% |
38.49 |
4,487 |
XONE |
39.61% |
F |
-1.54% |
37.70 |
535 |
ARMK |
38.88% |
C |
1.15% |
67.46 |
6,323 |
ELAN |
38.26% |
A |
-0.85% |
20.63 |
101,651 |
BPL |
37.16% |
D |
0.00% |
2.38 |
4,597 |
Underlying |
2M Volatility vs Forecast |
Q Rating |
2M IV Change |
IV 2M Percentile |
Average Daily Vega |
RHT |
-72.98% |
D |
0.00% |
1.59 |
166,977 |
CRAY |
-68.80% |
C |
0.00% |
0.40 |
232 |
APC |
-6.46E-01 |
D |
-7.79% |
5.16 |
51,923 |
ZAYO |
-58.13% |
C |
0.00% |
0.40 |
8,248 |
OZK |
-45.16% |
D |
0.58% |
66.67 |
692 |
TSS |
-44.91% |
B |
1.23% |
67.06 |
1,568 |
QCOM |
-42.22% |
D |
-1.85% |
96.83 |
481,831 |
WAGE |
-39.56% |
D |
-26.41% |
1.59 |
12,163 |
ARRY |
-38.87% |
F |
2.47% |
1.19 |
10,208 |
SBGI |
-38.06% |
C |
-3.17% |
86.90 |
693 |
CELG |
-35.96% |
B |
-3.30% |
9.13 |
344,134 |
IPHI |
-33.77% |
D |
-0.59% |
36.90 |
587 |
SKX |
-31.43% |
C |
3.32% |
44.44 |
9,631 |
CTRL |
-27.87% |
D |
0.00% |
2.38 |
559 |
PEN |
-25.85% |
D |
1.03% |
14.68 |
7,158 |
SFIX |
-25.71% |
D |
-4.37% |
63.49 |
9,369 |
AABA |
-24.58% |
C |
2.50% |
23.41 |
32,036 |
ZBRA |
-24.27% |
A |
-3.10% |
50.00 |
14,627 |
IVZ |
-24.25% |
D |
-5.85% |
63.89 |
29,606 |
MAXR |
-24.24% |
F |
0.38% |
82.71 |
356 |
DOMO |
-23.98% |
F |
0.82% |
52.80 |
116 |
IEP |
-23.78% |
F |
0.81% |
29.37 |
2,542 |
EBIX |
-23.16% |
C |
1.05% |
45.63 |
411 |
BLMN |
-22.59% |
C |
2.64% |
25.00 |
4,753 |