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VIX up +3% in slow post holiday trading

May 28, 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 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)

 

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

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))

 

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

 

 

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
 
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE