Options Market Commentary

: Equities are cautiously building on yesterday’s rally (albeit on light volumes) as we received more dovishness this morning from the Fed (Brainard reiterates Fed is ready to ‘adjust policy to sustain growth’). Currently, the S&P is +.50%, the Russell is -.05% and the Nasdaq is +45%. Bonds are mixed (front end bid, long end weaker) after some mixed data this morning (ADP Employment +27,000 vs. +185,000 est. – lowest since March 2010; May ISM Non-Manufacturing Index 56.9 vs. 55.4 est.) Crude Oil legged lower around 10:30 (USO 4.25%) after another greater-than-expected build in inventories (+6.8M vs. -1.5M est.). Consumer Staples are outperforming this afternoon (XLP +1.20%) while Retail (XRT -1.05%) lags the broader market. Volatilities are mixed with the VIX -2% to 16.67, VXN flat at 21.51, and RVX +1% to 19.74.

ETF 30D Volatility Changes

SPY:    -2%

IWM:    FLAT

QQQ:   -1%

Directional Options Strategies

Bullish Option Strategies

PAAS 4,200 Jul 12 calls trade (paid b/w $.40 and $.50, ref. 11.60)

WWE 2,100 Jul 75 calls trade (paid b/w $3.70 and $4.00, ref. 74.28)

DBX 30,000 Jul 23 calls trade (paid b/w $1.00 and $1.15, ref. 22.43)

TSLA 10,000 Jun – Jul 220 call spreads trade ($4.70, appears to roll out, ref. 195.15)

AMBC Seller 12,000 Aug 22.5 calls to Buy 10,000 Aug 20 calls (rolls down, ref. 15.22)

CZR Seller 18,000 Jun 8.5 puts (collects $.17 and appears closing, ref. 8.88)

Bearish Option Strategies

GOLD Buyer 12,600 Sep 13 puts (paid $.66 and appears close write, ref. 13.27)

BBBY 5,670 Jun 7^th 13.5 – Jun 13 put spreads trade (appears to monetize, roll out and down, ref. 12.95)

TGT 10,000 Sep 95 calls trade (appears sold to open write, $1.76, ref. 86.10)

F Buyer 8,600 Jul 10 puts (paid $.59, ref. 9.85)

Macro Options Strategies

Bullish Option Strategies

GDX Buyer 22,266 Jul 24 – 26 call spreads (paid $.31 to open, ref. 22.79)

EWZ 20,000 Jun 38 puts trade vs. 20,000 Jun 42 – 45 call spreads tied to stock (appears to sell put to buy call spreads, $.96, ref. 42.51)

TLT 8,000 Oct 140 calls trade (appears bought to open, $.85, ref. 130.38)

EEM Seller 15,000 Dec 35 – 32 put spreads (collects $.35, possibly closing, ref. 40.83)

Bearish Option Strategies

KRE Seller 31,000 Jun 51 – 45 put spreads to Buy 31,000 Aug 50 – 44 put spreads (paid $.33, ref. 52.18)

SMH Buyer 20,000 Nov 95 puts tied to stock (paid $4.90, ref. 100.81)

QQQ 7,400 Jun 7^th 174 – 172 1x2 put spreads trade ($.02, ref. 175.12)

Finance Trades Options Strategies

AMZN 1200 Jun 1750 RevCons trade (ref. 1735.23)

Upcoming Earnings

Volatility Standouts