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VIX is down -7.5% as equities are rallying in risk on market

Jun 04, 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

Risk is back on this afternoon as the market positions for a positive surprise on trade and a friendly Fed. Equities opened up and accelerated higher post-Powell comments (‘Fed will act as appropriate to sustain expansion’) and currently the S&P is +1.55%, the Russell is +1.75% and the Nasdaq is +2.05%. Bonds are meaningfully weaker (TLT -1.05%, US 10 year yield up to 2.135%) in sympathy with the rally in equities. In single name news shares of CVS are up more than 3.5% after forecasting double digit earnings growth at its 2019 Investor Day. Elsewhere, we’re seeing a bit of a short squeeze in Tesla (+6%) this afternoon and it’s worth noting that there was a bullish sweep of Aug 250 calls just after the open. Financials are outperforming this afternoon (XLF +2.15; KRE +2.95%) while Utilities (XLU -1.15%) lag the broader market. Volatilities are getting hit fairly hard with the VIX -8% to 17.35, VXN -10% to 21.90, and RVX -7% to 19.84

 

ETF 30D Volatility Changes

SPY:    -8%

IWM:    -7%

QQQ:   -10%

 

 

Directional Options Strategies

Bullish Option Strategies

TSLA Buyer 9,999 Aug 250 calls (paid b/w $2.47 and $2.75 to open, ref. 180.08)

SNAP 5,959 Jul 12th 13.5 calls trade (appears bought, $.39, more than 11,500 trade total, ref. 12.11)

GM Buyer 8,600 Sep 36 calls (paid $1.45, 10,000 trade total, ref. 35.01)

MS Seller 5,000 Jul 37 puts (collects $.42 to open write, ref. 41.65)

FB Buyer 5,000 Aug 160 – 180 call spreads (untied, paid $8.15, ref. 162.02)

EMR Seller 2,000 Jan 55 puts to Buy 2,000 Jan 65 – 75 call spreads (collects $.35, appears to add to existing position, ref. 61.61)

GBT Seller 5,000 Sep 55 puts tied to stock (collects $4.00, ref. 59.30)

F 11,400 Jun 7th 10 calls trade (paid b/w $.10 and $.11, ref. 9.90)

 

Bearish Option Strategies

AU Seller 13,000 Jul 15 calls (untied, collects $.50 to open, ref. 14.10)

CLDR Buyer 10,000 Jan 10 puts to Sell 15,000 Jan21 7.5 puts (rolls write down and out/adds units, Earnings 6/5, ref. 8.81)

RCL Buyer 3,100 Jun 7th 120 puts (paid b/w $.98 and $1.30 to open, ref. 120.16)

GTN Buyer 2,700 Jun 17.5 puts (paid b/w $.93 and $1.08 to open, ref. 16.95)

 

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

VIX Buyer 16,000 Jun 16 – 15 – 14 put flies (paid $.16, ref. (17.77 (Jun))

FXI 10,000 Aug 42 – 45 call spreads trade ($.50, ref. 40.18)

SPY 10,000 Jun 28th 292 – 294 call spreads trade ($.12, ref. 279.14)

 

Bearish Option Strategies

GLD Seller 4,000 Jan 138 – 145 call stupids tied to stock (collects $2.13 to open, ref. 124.78)

EWJ Buyer 4,100 Jun 51 puts (paid $.21 to open, ref. 53.06)

QQQ Seller 25,200 Aug 175 calls to Buy 25,200 Aug 160 puts tied to stock (collects $2.38, ref. 172.00)

FXI Seller 10,000 Jun 42.5 calls to Buy 5,000 Jun 39 puts tied to stock (paid $.32, ref. 40.16)

EWZ Seller 25,000 Jun 41 – 43 call spreads to Buy 25,000 Jun 36 puts tied to stock (collects $1.09, ref. 42.30)

 

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

 

 

Finance Trades Options Strategies

NIO 3,500 Jul 3 RevCons trade (ref. 3.06)

 

 

 

Upcoming Earnings

 

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
AMBA 6/4/2019 9.7 11.2 -13.0% C 17,331
CRM 6/4/2019 5.3 3.0 78.4% C 529,914
GME 6/4/2019 10.6 6.0 77.9% F 7,456
HQY 6/4/2019 7.5 5.8 30.6% C 1,867
AEO 6/5/2019 8.2 5.2 58.6% F 5,139
CLDR 6/5/2019 12.8 17.2 -25.7% D 20,081
CPB 6/5/2019 6.6 6.6 -0.6% C 12,233
FIVE 6/5/2019 7.8 7.8 -0.6% C 38,631
GIII 6/5/2019 9.4 11.2 -16.4% D 1,453
MDB 6/5/2019 11.5 12.5 -8.1% F 85,328
SFIX 6/5/2019 14.5 23.5 -38.1% F 11,436
SMAR 6/5/2019 9.0 4.3 106.9% F 6,366
CIEN 6/6/2019 8.1 8.3 -2.2% D 14,982
DOCU 6/6/2019 6.7 5.1 29.8% D 34,896
MTN 6/6/2019 5.6 6.2 -10.4% C 7,626
OLLI 6/6/2019 6.9 4.4 57.6% C 7,727
PYX 6/6/2019 14.2 15.7 -9.8% F 1,623
SJM 6/6/2019 5.0 5.6 -11.6% C 10,326
WAGE 6/6/2019 3.9 5.0 -21.1% D 1,134
THO 6/10/2019 8.8 6.8 29.3% D 8,895
CASY 6/11/2019 5.5 4.5 21.3% C 12,159
HRB 6/11/2019 7.6 7.2 5.0% B 3,802
KHC 6/11/2019 5.7 8.1 -29.3% F 104,465
RH 6/11/2019 15.6 19.9 -21.6% C 54,057
LULU 6/12/2019 9.5 12.5 -24.4% B 181,300
AVGO 6/13/2019 5.0 4.4 15.5% D 477,613
FNSR 6/13/2019 4.1 4.4 -6.6% F 5,411
JBL 6/13/2019 5.8 5.4 7.2% C 2,851
MPAA 6/13/2019 9.7 5.0 93.8% D  
ADBE 6/18/2019 6.1 3.6 66.5% C 501,202
AOBC 6/19/2019 10.9 15.3 -28.9% F 871
ORCL 6/19/2019 5.3 4.1 30.2% B 119,988
SCS 6/19/2019 8.1 8.7 -7.0% B  
WGO 6/19/2019 10.5 6.9 51.5% C 3,323
DRI 6/20/2019 4.9 6.3 -22.4% A 16,853
KR 6/20/2019 8.4 8.4 -0.1% D 110,364
RHT 6/20/2019 0.3 4.9 -94.3% C 50,419
KMX 6/21/2019 6.2 5.6 10.3% C 12,661
CCL 6/24/2019 5.2 5.0 4.5% D 9,464
FDS 6/25/2019 5.9 4.4 33.1% A 13,120
FDX 6/25/2019 5.7 4.4 28.1% D 222,297
LEN 6/25/2019 6.8 4.4 54.6% B 12,483
MU 6/25/2019 8.3 6.2 32.6% D 536,227
CAG 6/26/2019 5.7 7.0 -19.5% C 4,895
PAYX 6/26/2019 4.0 1.7 137.3% B 17,934

 

Volatility Standouts

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
GPK 71.21% C 1.42% 87.25 1,054
STAY 66.23% C -2.00% 76.49 2,777
MSG 62.52% B 1.70% 60.56 19,540
WLH 58.59% D 2.24% 17.53 2,246
ZNGA 58.01% F -0.34% 66.14 11,182
ASH 54.53% C -4.64% 96.41 27,336
XONE 53.44% F 0.00% 40.64 109
AVYA 52.95% C 10.48% 90.84 23,036
GLUU 52.86% C 2.02% 64.94 5,821
SRPT 51.78% C -3.78% 88.05 29,062
XRAY 51.70% D -0.45% 6.77 11,569
ZIXI 51.32% F 0.00% 94.42 306
SFLY 50.96% C 0.00% 48.21 50,850
PRTY 50.93% D 0.94% 86.45 1,819
CARS 49.20% C -1.98% 62.55 17,462
WU 48.67% C -1.45% 19.92 4,118
BPR 48.51% F 0.00% 39.11 506
CZR 48.16% C -0.53% 52.19 21,868
RUBI 45.87% F 0.00% 9.96 110
FLWS 45.64% C 1.81% 17.93 302
SHW 45.34% B -1.44% 85.66 27,158
WWE 45.00% F 1.06% 47.41 6,789
ELAN 44.84% C -3.23% 9.09 1,348
SFM 44.57% C -0.68% 36.65 4,198
 
Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
RHT -68.49% C 0.00% 26.69 50,419
APC -5.58E-01 C 0.62% 7.17 293,576
ZAYO -54.26% D 0.00% 0.40 5,275
TSS -46.48% B 0.97% 69.32 27,793
OZK -44.52% C -4.38% 80.88 749
ARRY -42.17% F -3.23% 7.97 39,466
CRAY -39.74% D 0.00% 3.59 2,249
MRTX -37.84% F -7.31% 39.84 54,554
QCOM -37.33% D -1.72% 96.81 1,022,334
SBGI -34.67% C -5.76% 94.02 12,855
SEAS -32.73% D -0.59% 16.33 24,495
SYY -27.97% A -2.83% 78.09 11,884
CNC -27.79% C -2.42% 78.49 346,147
SKX -27.67% C -0.15% 66.93 9,682
BLMN -25.53% B -6.71% 50.60 476
VRNT -24.65% B -0.79% 33.07 9,875
DOMO -24.08% F -3.52% 75.34 2,225
CELG -23.92% A 1.66% 10.36 42,232
KEYS -23.49% A -0.37% 61.75 19,940
SGH -22.51% C -7.79% 86.23 444
VERI -21.72% F 3.32% 23.11 423
NTNX -20.52% C -0.21% 48.21 70,040
SFIX -20.49% F -2.95% 72.51 11,436
WAGE -19.48% D 0.00% 35.86 1,134
 
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE