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VIX up +3% on continued equity weakness

May 29, 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 remain under pressure and notably accelerated to the downside post-Robert Mueller’s statement. Currently, the S&P is -.95%, the Russell is -1.05% and the Nasdaq is -1.05%. Bonds remain bid (TLT +.70%, US 10 year yield down to 2.224%; 3 month – 10 yr. spread inversion now roughly 13 bps) as this morning’s data failed to deliver any upside surprises (May Richmond Fed Manufacturing 5 vs. 7 est.; Dallas Fed May Service Sector Outlook -0.3 vs. 5.7 prior). Crude Oil, in sympathy with concerns over slower growth, is down 2.8% this afternoon. The dollar is bid for the second consecutive session (UUP +.21%) while the Euro (FXE -.25%) is softer. Utilities are outperforming this afternoon (XLU -.65%) while Retail (XRT -2.75%) lags the broader market (Canada Goose down 27% today). Volatilities are bid but more muted than expected with the VIX +4% to 18.24, VXN +3% to 22.47, and RVX +2% to 21.27

 

 

ETF 30D Volatility Changes

SPY:    +5%

IWM:    +5%

QQQ:   +4%

  

 

Directional Options Strategies

Bullish Option Strategies

TJX Buyer 6,700 Jun 50 calls trade (paid $.50, more than 11,000 trade total, ref. 49.15)

X 3,100 Jan 22 calls trade (paid b/w $.35 and $.36, more than 6,000 trade total, ref. 12.87)

GPOR Buyer 21,800 Dec 17.5 calls (appears bought to close to monetize write, ref. 5.68)

SIG Seller 10,000 Jan 40 calls to Buy 16,900 Jan21 30 calls (appears to roll closer and down, ref. 20.58)

LK 4,000 Dec 22.5 calls trade (paid b/w $.2.13 and $2.80, ref. 17.02)

 

Bearish Option Strategies

DLTR Buyer 2,600 Jul 90 – 80 put spreads (opening, paid $.93, Earnings 5/30 before the open, ref. 96.52)

YPF Seller 30,000 Jan 18 – 23 call spreads tied to stock (appears closing on both legs, collects $.81, ref. 14.93)

DVA 10,212 Jun 42.5 puts trade (appears bought to open, $.96, ref. 44.83)

SLB 5,000 Jul 32.5 puts trade tied to stock ($.72, ref. 35.85)

AMTD 3,000 Jun 7th 50.5 – 48 put spreads trade (appears to monetize and roll down, $.80, ref. 50.22)

 

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

TLT 15,048 May 31st 130 calls trade ($.40, appears sold to close, ref. 129.68)

IWM 10,000 Jan 155 calls trade tied to stock (appears bought, $5.44, ref. 148.09)

VIXW Seller 16,000 Jun 26th 24 calls (collects $.65, ref. 17.96 (Jun 26th))

Bearish Option Strategies

HYG Buyer 100,000 Jun 83.5 - 82.5 put spreads (paid $.14, ref. 85.42)

HYG Buyer 18,800 Jun 28th 82 puts (untied, paid $.205, ref. 85.30)

HYG 7,500 Jun 84.5 – 83 – 81.5 put flies trade ($.13, ref. 85.35)

QQQ Seller 15,025 Jun 176 – 173 put spreads to Buy 22,538 Jun 166 – 163 put spreads (monetizes, rolls down and adds units, collects $790,000 on the package, ref. 176.31)

TLT Buyer 10,000 Jan 118 puts tied to stock (paid $.65, ref. 129.60)

SPY 6,047 July 5th 268 – 264 put spreads trade ($.82, ref. 278.28)

SPY 9,000 Aug 265 – 245 put spreads trade ($2.87, ref. 278.39)

VIX Buyer 20,000 Jun 21 – 25 – 29 call flies ($.26, ref. 18.15 (Jun))

VIX Seller 60,000 Jun 16 – 14 put spreads (collects $.63, possibly closing, ref. 17.72)

XOP Seller 7,000 Jun 27 – Jul 26 put spreads (appears to monetize and roll out/down to maintain bearish exposure, collects $.10, ref. 26.20)

 

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

 

 

Finance Trades Options Strategies

AAPL 3,000 Jun 175 RevCons trade (ref. 177.45)

JCI 14,000 Jun 14th 45 RevCons trade (ref. 38.22)

 

 

 

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
AVGO 6/13/2019 4.1 4.3 -5.6% F 303,319
FNSR 6/13/2019 2.7 4.4 -39.8% F 1,514
JBL 6/13/2019 4.9 5.4 -9.6% C 1,845
MPAA 6/13/2019 8.0 5.0 61.4% D 7,526

 

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