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VIX up only 6.7% as equities break through key technical support

May 31, 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 are in the red this afternoon, as they have been for much of May, after President Trump threatened Mexico with tariffs (5% set to go into effect on June 10th.) Currently, the S&P is -1.05%, the Russell is -1.25% and the Nasdaq is -1.25%. Bonds are stronger (TLT +.80%, US 10 year yield down to 2.17%) as this morning’s inflation and spending data printed mostly in line (Apr PCE Core 0.2% vs. 0.2% est.; Personal Spending 0.3% vs. 0.2% est.) Also worth noting, the latest manufacturing data out of China came in slightly below expectations (May PMI 49.4 vs. 49.9 est.). In single name news, shares of Uber are roughly flat this afternoon after posting a $1 billion loss in Q1 (Revenue of $3 billion, +20% Y/Y). Crude Oil can’t catch its breath (USO -2.75%) and is set to wrap up a month that saw the price of WTI Crude fall from the mid-60’s to mid-50’s. Utilities are outperforming this afternoon (XLU flat) while Retail and Regional Banks (XRT -1.65%; KRE -1.5%) lag the broader market. Volatilities are bid across the board with the VIX +7% to 18.54, VXN +3.5% to 22.40, and RVX 3.5% to 21.17

 

ETF 30D Volatility Changes

SPY:    +6%

IWM:    +5%

QQQ:   +3%

 

Directional Options Strategies

Bullish Option Strategies

CSX Seller 2,200 Jun 72 – 71 put spreads (opening, collects $.20, ref. 73.86)

MU Buyer 47,000 Jun 35 – 37 call spreads (untied, paid $.41 to open, ref. 32.98)

EMR Seller 4,000 Jan 55 puts to Buy 4,000 Jan 65 – 75 call spreads (collects $.45 to open, ref. 60.86)

GE 65,000 Jun 19 puts trade (appears sold to close, $.19, ref. 9.43)

MPC Buyer 25,000 Oct 52.5 – 57.5 call spreads (paid $.95, appears to roll down, ref. 45.81)

WPX Buyer 10,000 Aug 12 – 14 1x2 call spreads (paid $.19, ref. 10.94)

 

Bearish Option Strategies

TGT 4,100 Jun 80 puts trade (paid b/w $1.95 and $1.98, ref. 79.08)

BBBY Buyer 4,300 Jun 13 puts (paid $1.02 to open, ref. 12.62)

AVYA Seller 15,000 Aug 17.5 calls to Buy 15,000 Aug 10 puts tied to stock (paid $.60, ref. 12.02)

XOM Seller 8,200 Aug 77.5 – 82.5 call spreads (appears to roll write down, collects $.50, ref. 71.53)

X 6,500 Nov 11 puts trade vs. 6,500 Jan 9 puts (appears to roll out and down, $.52, ref. 11.99)

IBM 4,800 Jul 145 – Aug 140 call spreads trade (appears to roll write out and down, $1.01, ref. 127.40)

GEL 6,000 Dec 17.5 puts trade (appears bought to open, $.60, ref. 22.12)

CZR Buyer 45,000 Jun 8.5 puts (paid $.25 to open, ref. 8.94)

 

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

HYG Buyer 153,000 Jun 28th 86.5 calls (paid $.10 to open, ref. 85.13)

HYG Seller 25,000 Aug 80 puts (collects $.35, ref. 85.24)

EWU Seller 7,000 July 31 puts tied to stock (appears sold to close, $.73, ref. 31.65)

FXI Buyer 40,000 Jul 42 – 44 call spreads (untied, paid $.33, ref. 40.15)

QQQ Seller 15,000 Jun 173 – 171 put spreads (appears to monetize, collects $.68, ref. 174.24)

SLV 3,800 Oct 14 calls trade (appears bought, $.44, more than 9,000 trade total, ref. 13.68)

 

Bearish Option Strategies

SPY 15,000 Aug 260 – 250 put spreads trade tied to stock ($1.62, ref. 276.02)

EFA Seller 10,000 May 31st 63 – 59 put spreads to Buy 10,000 Jul 58 – 54 put spreads (paid $.13 to roll out and down, ref. 63.11)

OIH Seller 7,500 Jun 7th 14 puts and 7,500 Jun 14 puts to Buy 10,000 Jun 13.5 puts and 5,000 Jun 13 puts (collects 380,000 on the package, ref. 13.18)

USO 10,000 Jul 11.5 – 11 put spreads trade ($.18, ref. 11.52)

QQQ 5,800 Jun 176 – 161 put spreads trade vs. 5,800 Jul 5th 171 – 155 put spreads (appears to monetize, roll out and down, $.82, ref. 174.72)

GLD 5,000 Jun 7th 122.5 puts trade (appears bought to open, $.36, ref. 123.11)

VIX Buyer 10,000 Jun 19 – 25 call spreads (paid $1.03, ref. 18.45 (Jun))

 

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

 

 

Finance Trades Options Strategies

JCI 13,000 Jun 14th 45 RevCons trade (ref. 38.61)

 

 

 

Upcoming Earnings

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
BIG 5/31/2019 9.3 9.5 -2.7% C 18707
BOX 6/3/2019 9.6 9.2 3.8% C 23722
COUP 6/3/2019 8.7 6.5 34.0% C 16571
AMBA 6/4/2019 10.1 11.1 -9.2% F 6188
CRM 6/4/2019 5.3 3.0 77.5% C 437819
GME 6/4/2019 8.8 6.0 46.8% D 7329
HQY 6/4/2019 8.1 5.8 40.1% B 1725
KHC 6/4/2019 5.7 8.1 -29.6% F 48964
LE 6/4/2019 11.1 13.7 -19.4% D 8928
NAV 6/4/2019 6.4 6.1 5.2% A 1578
TIF 6/4/2019 6.1 6.9 -11.6% C 26536
AEO 6/5/2019 8.0 5.2 54.5% D 2310
CLDR 6/5/2019 12.3 17.2 -28.7% C 4737
CPB 6/5/2019 6.7 6.6 2.1% B 5487
FIVE 6/5/2019 7.6 7.6 0.3% B 27643
GIII 6/5/2019 9.9 11.2 -11.1% C 4747
MDB 6/5/2019 11.8 12.5 -5.7% F 25631
SFIX 6/5/2019 14.7 23.5 -37.2% D 9369
SMAR 6/5/2019 10.1 4.3 132.1% D 1800
CIEN 6/6/2019 8.6 8.5 1.5% C 7012
DOCU 6/6/2019 5.8 5.1 12.2% C 21068
MTN 6/6/2019 5.6 6.2 -9.8% C 12989
OLLI 6/6/2019 7.1 4.4 63.4% C 4474
PYX 6/6/2019 14.9 15.7 -5.1% D 39565
SJM 6/6/2019 5.5 5.6 -2.6% B 11199
THO 6/10/2019 8.4 6.8 22.6% D 11550
CASY 6/11/2019 5.5 4.5 22.3% D 6022
HRB 6/11/2019 7.3 7.2 1.7% C 2320
RH 6/11/2019 15.9 19.9 -20.0% B 23491
LULU 6/12/2019 9.7 12.5 -22.4% A 272146
AVGO 6/13/2019 3.9 4.3 -10.2% F 303319
FNSR 6/13/2019 2.5 4.4 -42.2% F 1514
JBL 6/13/2019 5.9 5.4 9.4% C 1845
MPAA 6/13/2019 9.0 5.0 81.0% D 7526
ADBE 6/18/2019 4.6 3.6 27.7% C 353447
AOBC 6/19/2019 10.0 15.3 -34.4% F 2217
ORCL 6/19/2019 5.2 4.1 27.9% B 53054
SCS 6/19/2019 8.3 8.7 -4.8% C 1928
WGO 6/19/2019 10.0 6.9 44.7% C 1928
DRI 6/20/2019 4.9 6.3 -21.9% A 19545
KR 6/20/2019 8.3 8.4 -0.4% D 27547
RHT 6/20/2019 2.0 4.9 -59.5% D 166977

 

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 22716
ELAN 59.81% A 0.87% 25.31 101651
ASH 58.36% C -6.30% 99.21 37846
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 4253
BREW 51.73% F 1.68% 74.60 277
SRPT 5.01E-01 C -2.25% 92.06 24519
IFF 47.42% D 0.18% 35.71 413
CARS 47.34% B -5.12% 66.27 6394
WING 47.32% C -1.00% 19.44 6171
XONE 46.17% F -1.67% 36.11 535
XRAY 46.08% D -2.52% 7.94 1314
EGAN 44.18% D -1.33% 16.67 581
MAT 43.72% D 0.68% 59.13 24391
FLR 43.47% F -0.55% 86.11 47598
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 7390
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 135245
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 166977
ZAYO -62.25% C 0.00% 0.40 8248
APC -6.14E-01 D -5.46% 6.75 51923
TSS -48.72% B -3.92% 69.44 1568
QCOM -42.85% D -4.00% 96.83 481831
OZK -42.75% D -2.19% 76.59 692
ARRY -40.12% F -1.29% 2.38 10208
SBGI -35.25% C -0.82% 75.79 693
KEYS -33.01% A -23.88% 93.25 10593
IPHI -30.91% D -1.17% 49.21 587
SEAS -29.61% C -0.92% 24.60 6045
CTRL -28.64% D 0.00% 4.37 559
SKX -25.52% C 2.05% 58.33 9631
VRNT -25.47% A -20.55% 91.67 990
BLMN -25.18% C -13.12% 55.56 4753
MLNX -24.81% C 0.00% 19.44 38987
CELG -24.44% B 2.11% 13.10 344134
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 9369
BPR -20.70% F 0.00% 27.84 1503
PEN -19.24% D -3.28% 14.68 7158
LITE -19.06% D -1.76% 66.27 32025
 
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE