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VIX up 2% in directionless trading

Jun 03, 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 have had an up-and-down session to kick off June as concerns over Big-Tech regulation add to mounting uncertainty. Currently, the S&P is -.50%, the Russell is -.30% and the Nasdaq is -1.90%. Bonds are bid (TLT +.25%, US 10 year yield down to 2.116%) as this morning’s ISM Manufacturing data printed slightly below expectations (52.1 vs. 53.0 est.; Lowest since October 2016). In single name news the big story is the DOJ preparing an Anti-trust investigation into Google’s (down 6.5%) search business. Reportedly, both Facebook and Amazon are set to be investigated (AMZN -5%; FB -8%) as well. The Materials sector is outperforming this afternoon (XLB +1.65%) while Tech (QQQ -1.90%) lags the broader market. Volatilities are mixed with the VIX +1% to 18.90, VXN +1.5% to 23.61, and RVX -2% to 21.10

 

ETF 30D Volatility Changes

SPY:    -1%

IWM:    -2%

QQQ:   FLAT

   

 

Directional Options Strategies

Bullish Option Strategies

FL Seller 7,500 Jun 36 puts (untied, collects $.24 to open, ref. 39.80)

GES Seller 11,900 Jun 14 puts (collects $.28 to open, ref. 16.47)

CZR Seller 10,000 Jul 7 puts (collects $.11 to open, ref. 8.61)

CRM Buyer 6,900 Sep 150 – 155 call spreads (paid $2.70, appears to roll down, ref. 148.26)

CSX 3,800 Nov 80 – 85 call spreads trade (appears to roll down, $3.20, ref. 75.04)

UBER Buyer 2,000 Jun 7th 44 calls (paid $.30 to open, ref. 41.32)

DOCU 6,000 Jun 55 calls trade (appears bought to open, $1.52, Earnings 6/6, ref. 52.60)

NIO 10,000 Jul 3 calls trade ($.29, appears bought to open, ref. $2.78)

 

Bearish Option Strategies

BX Seller 4,500 Jun 7th 38 – 36.5 put spreads (collects $.49, monetizes, rolls down, ref. 37.69)

NIO 14,000 Jun 7th 2.5 puts trade (paid b/w $.03 and $.06 and appears to add to position, ref. 2.82)

DISH 7,500 Dec 40 calls trade (appears sold to open write, collects b/w $3.50 and $3.40, ref. 36.50)

 

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

XLE Buyer 5,000 Jun 28th 60 – 63 call spreads (paid .87 to open, ref. 59.33)

VIX Buyer 10,000 Jul 17 puts (paid $1.45, ref. 18.34 (Jul))

HYG Seller 12,500 Jul 82 puts (untied, collects $.42, ref. 84.72)

EWC Seller 6,000 Jun 26 puts tied to stock (appears closing, $.10, ref. 27.41)

EZA Seller 3,000 Jan 54 straddles (South Africa ETF, collects $9.875 to open, delta neutral/short vol, 53.91)

 

Bearish Option Strategies

SPY Seller 16,960 Jul 280 puts to Buy 24,407 Jul 265 puts (monetizes, rolls down/adds units, ref. 276.08)

SPY 26,541 Jun 7th 271 puts trade (appears bought to open, $.97, more than 55,000 trade total, ref. 275.48)

IWM 10,000 Sep 141 – 130 1x2 put spreads trade (opening, $.65, ref. 146.49)

IWM 11,000 Sep 145 – 127 1x2 put spreads trade (trades $2.74, ref. 146.44)

IWM 9,250 Jul 140 - 137 put spreads trade ($.64, ref. 146.29)

EEM 10,000 Dec 37 puts trade tied to stock ($1.13, ref. 41.22)

 

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

 

 

Finance Trades Options Strategies

CHK 10,000 Aug 2.5 RevCons trade (ref. 1.94)

JCI 2,500 Jul 45 RevCons trade (ref. 38.80)

 

 

 

Upcoming Earnings

 

GENERATING

 

Volatility Standouts

 

GENERATING

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