blog

Latest from the Quantamize Blog

VIX down -3.52% in another quiet trading session

May 30, 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

Stronger bonds remain the story this afternoon as equities struggle to find momentum on light volumes. Currently, the S&P is +.15%, the Russell is -.05% and the Nasdaq is +.25%. Bonds are stronger (TLT +.45%, US 10 year yield down to 2.245%) and accelerated to the upside after this morning housing data disappointed (Apr Pending Home Sales -1.5% m/m vs. +0.5% est.). The latest escalation in the trade/tech war was an announcement from the Chinese government that US soy purchases are being ‘put on hold.’ Crude Oil remains under pressure (USO -2.25%) as the latest inventory data adds to uncertainty over demand (-0.3M vs. -1.0M est.). Healthcare is outperforming this afternoon (XLV +.50%) while Energy-related sectors and Financials (XLE -1.25%; XLF -.25%) lag the broader market. Volatilities are mildly softer with the VIX -2.5% to 17.47, VXN -1% to 21.96, and RVX -1% to 20.71

 

ETF 30D Volatility Changes

SPY:    -2%

IWM:    -2%

QQQ:   -2%

 

 

Directional Options Strategies

Bullish Option Strategies

SNAP Buyer 5,915 Jun 7th 12 calls ($.30, more than 18,000 trade total, ref. 11.70)

FOLD Seller 5,000 Jul 11 puts (collects $.775 to open, ref. 11.15)

CY Buyer 3,800 Jul 17 calls (paid $1.65, ref. 17.62)

LOMA Buyer 2,500 Dec 12.5 – 17.5 call spreads (paid $.66, ref. 9.48)

UBER Seller 2,500 May 31st 40 straddles (collects $2.71, Earnings after the close, ref. 39.93)

BFR 5,000 Jan 10 – 15 call spreads trade tied to stock (opening, $1.45, ref. 8.95)

 

Bearish Option Strategies

RDS/A 9,600 Jul 60 puts trade tied to stock ($.95, ref. 62.25)

STLD 5,000 Jun 28 – 26 put spreads trade (appears to monetize/roll down, $1.00, ref. 26.49)

X Seller 5,00 Oct 12 puts to Buy 11,000 Jan 9 puts (appears to monetize/roll down and out, ref. 12.56)

TEVA Seller 6,200 Sep 10 calls tied to stock (collects $1.04, ref. 9.46)

CERN Seller 5,000 Jun 67.5 – Dec 72.5 call spreads (collects $.60, appears to roll write out and up, ref. 70.11)

 

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

OIH Buyer 7,500 Jun 15 calls (paid $.13 to open, ref. 13.74)

QQQ Seller 10,000 Sep 174 puts tied to stock (collects $6.48, ref. 176.99)

EWZ Seller 10,000 Jun 41 – 37 1x2 put spreads tied to stock (collects $.86, ref. 41.25)

HYG Seller 25,000 Aug 80 puts (collects $.33, ref. 85.62)

HYG Seller 15,000 Aug 84 puts tied to stock (collects $.94, ref. 85.61)

FXI Buyer 15,000 Jul 42 call tied to stock (paid $.50, ref. 40.46)

VIX Seller 12,000 Jul 3rd 23 calls (collects $.60, ref. 17.04 (Jul 3rd))

VIX Buyer 37,000 Jul 15 puts (paid $.60, ref. 17.92 (Jul))

 

Bearish Option Strategies

VNQ Buyer 40,500 Jun – Sep 81 put spreads (paid $.95, rolls out, ref. 86.53)

SPY Seller 2,575 Jul 12th straddles to Buy 22,645 257.5 puts (sells straddle to finance downside puts, opening, ref. 278.94)

XLU 7,000 Jul 57 – 55 put spreads trade (appears bought to open, $.48, ref. 58.23)

EWZ Seller 10,000 Jun 41 – 44 1x2 call spreads (untied, collects $.89, ref. 41.48)

 

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

 

 

Finance Trades Options Strategies

HYG 10,000 Jun 95 RevCons trade (ref. 85.56)

JCI 14,000 Jun 14th 45 RevCons trade (ref. 38.63)

 

 

 

Upcoming Earnings

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
COST 5/30/2019 3.7 4.3 -13.8% B 204,147
DELL 5/30/2019 5.4 1.5 260.9% D 28,172
GPS 5/30/2019 10.5 8.8 19.6% D 5,165
NTNX 5/30/2019 12.5 11.9 4.5% C 32,552
OKTA 5/30/2019 9.6 8.9 8.5% C 22,288
ULTA 5/30/2019 7.3 6.7 8.2% B 69,940
VMW 5/30/2019 5.1 3.8 33.7% F 37,042
WSM 5/30/2019 7.5 7.3 2.4% C 2,420
ZS 5/30/2019 10.8 16.7 -35.8% D 17,797
BIG 5/31/2019 9.3 9.5 -2.7% C 18,707
BOX 6/3/2019 9.6 9.2 3.8% C 23,722
COUP 6/3/2019 8.7 6.5 34.0% C 16,571
AMBA 6/4/2019 10.1 11.1 -9.2% F 6,188
CRM 6/4/2019 5.3 3.0 77.5% C 437,819
GME 6/4/2019 8.8 6.0 46.8% D 7,329
HQY 6/4/2019 8.1 5.8 40.1% B 1,725
KHC 6/4/2019 5.7 8.1 -29.6% F 48,964
LE 6/4/2019 11.1 13.7 -19.4% D 8,928
NAV 6/4/2019 6.4 6.1 5.2% A 1,578
TIF 6/4/2019 6.1 6.9 -11.6% C 26,536
AEO 6/5/2019 8.0 5.2 54.5% D 2,310
CLDR 6/5/2019 12.3 17.2 -28.7% C 4,737
CPB 6/5/2019 6.7 6.6 2.1% B 5,487
FIVE 6/5/2019 7.6 7.6 0.3% B 27,643
GIII 6/5/2019 9.9 11.2 -11.1% C 4,747
MDB 6/5/2019 11.8 12.5 -5.7% F 25,631
SFIX 6/5/2019 14.7 23.5 -37.2% D 9,369
SMAR 6/5/2019 10.1 4.3 132.1% D 1,800
CIEN 6/6/2019 8.6 8.5 1.5% C 7,012
DOCU 6/6/2019 5.8 5.1 12.2% C 21,068
MTN 6/6/2019 5.6 6.2 -9.8% C 12,989
OLLI 6/6/2019 7.1 4.4 63.4% C 4,474
PYX 6/6/2019 14.9 15.7 -5.1% D 39,565
SJM 6/6/2019 5.5 5.6 -2.6% B 11,199
THO 6/10/2019 8.4 6.8 22.6% D 11,550
CASY 6/11/2019 5.5 4.5 22.3% D 6,022
HRB 6/11/2019 7.3 7.2 1.7% C 2,320
RH 6/11/2019 15.9 19.9 -20.0% B 23,491
LULU 6/12/2019 9.7 12.5 -22.4% A 272,146
AVGO 6/13/2019 3.9 4.3 -10.2% F 303,319
FNSR 6/13/2019 2.5 4.4 -42.2% F 1,514
JBL 6/13/2019 5.9 5.4 9.4% C 1,845
MPAA 6/13/2019 9.0 5.0 81.0% D 7,526

 

Volatility Standouts

 

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
CTXS 67.84% B -8.85% 63.49 22,716
ELAN 59.81% A 0.87% 25.31 101,651
ASH 58.36% C -6.30% 99.21 37,846
SNBR 56.89% C 1.14% 65.48 245
AVYA 54.04% C -5.48% 89.68 405
TLYS 53.64% D -29.78% 86.90 265
ZNGA 52.67% F 11.06% 31.35 4,253
BREW 51.73% F 1.68% 74.60 277
SRPT 5.01E-01 C -2.25% 92.06 24,519
IFF 47.42% D 0.18% 35.71 413
CARS 47.34% B -5.12% 66.27 6,394
WING 47.32% C -1.00% 19.44 6,171
XONE 46.17% F -1.67% 36.11 535
XRAY 46.08% D -2.52% 7.94 1,314
EGAN 44.18% D -1.33% 16.67 581
MAT 43.72% D 0.68% 59.13 24,391
FLR 43.47% F -0.55% 86.11 47,598
FLO 43.41% B -2.94% 5.56 315
UPWK 42.57% F -5.36% 17.60 171
ICE 41.64% A 2.11% 56.75 7,390
MSG 41.56% B -0.73% 38.89 767
GCI 41.42% C 18.97% 87.70 693
EXPE 41.06% B -3.59% 26.98 135,245
WLH 40.72% D -1.63% 22.22 270
 
Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
RHT -65.69% D 0.00% 16.27 166,977
ZAYO -62.25% C 0.00% 0.40 8,248
APC -6.14E-01 D -5.46% 6.75 51,923
TSS -48.72% B -3.92% 69.44 1,568
QCOM -42.85% D -4.00% 96.83 481,831
OZK -42.75% D -2.19% 76.59 692
ARRY -40.12% F -1.29% 2.38 10,208
SBGI -35.25% C -0.82% 75.79 693
KEYS -33.01% A -23.88% 93.25 10,593
IPHI -30.91% D -1.17% 49.21 587
SEAS -29.61% C -0.92% 24.60 6,045
CTRL -28.64% D 0.00% 4.37 559
SKX -25.52% C 2.05% 58.33 9,631
VRNT -25.47% A -20.55% 91.67 990
BLMN -25.18% C -13.12% 55.56 4,753
MLNX -24.81% C 0.00% 19.44 38,987
CELG -24.44% B 2.11% 13.10 344,134
VERI -23.10% F -5.74% 18.25 187
MAXR -22.42% F 0.72% 77.31 356
DOMO -21.79% F -0.26% 58.80 116
SFIX -21.38% D -0.48% 65.08 9,369
BPR -20.70% F 0.00% 27.84 1,503
PEN -19.24% D -3.28% 14.68 7,158
LITE -19.06% D -1.76% 66.27 32,025
 
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE