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VIX -2% as equities continue to rally

Jun 05, 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 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 7th 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)

 

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

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

 

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

 

 

Finance Trades Options Strategies

AMZN 1200 Jun 1750 RevCons trade (ref. 1735.23)

 

 

 

Upcoming Earnings

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
CLDR 6/5/2019 13.4 17.2 -22.0% D 28,274
ESTC 6/5/2019 8.4 7.0 19.0% D 4,774
FIVE 6/5/2019 7.8 7.8 0.2% C 37,779
MDB 6/5/2019 10.3 12.5 -17.5% F 79,375
SFIX 6/5/2019 14.9 23.5 -36.4% F 10,009
SMAR 6/5/2019 8.9 4.3 105.8% F 7,897
CIEN 6/6/2019 8.0 8.3 -3.5% D 14,256
DOCU 6/6/2019 5.6 5.1 9.6% D 37,062
DOMO 6/6/2019 13.8 22.6 -39.1% F 1,804
GES 6/6/2019 11.5 13.2 -12.9% C 6,662
HOME 6/6/2019 15.5 13.2 17.7% D 11,473
MTN 6/6/2019 7.0 6.2 11.7% C 10,636
OLLI 6/6/2019 7.0 4.4 58.1% C 7,973
SJM 6/6/2019 5.1 5.6 -9.0% C 11,545
PYX 6/7/2019 14.0 15.7 -11.0% F 1,190
THO 6/10/2019 8.6 6.8 25.9% D 8,734
CASY 6/11/2019 5.4 4.5 18.8% C 12,129
HDS 6/11/2019 4.5 4.3 4.4% D 3,735
HRB 6/11/2019 7.5 7.2 3.6% B 3,126
KHC 6/11/2019 5.3 8.1 -34.8% F 101,221
PLAY 6/11/2019 7.7 7.1 8.9% C 3,595
RH 6/11/2019 14.9 19.9 -25.0% C 49,133
LULU 6/12/2019 9.4 12.5 -24.9% B 165,435
TLRD 6/12/2019 22.4 18.2 23.1% D 3,048
AVGO 6/13/2019 4.6 4.4 5.1% D 437,263
FNSR 6/13/2019 3.1 4.4 -29.5% F 5,054
ADBE 6/18/2019 3.8 3.6 4.4% C 480,510
JBL 6/18/2019 5.6 5.4 3.5% C 2,442
ORCL 6/19/2019 4.4 4.1 9.4% B 127,706
WGO 6/19/2019 9.2 6.9 33.0% C 3,143
BKS 6/20/2019 18.0 7.6 135.9% C 806
DRI 6/20/2019 5.2 6.3 -16.9% A 15,813
KR 6/20/2019 8.0 8.4 -4.1% D 103,277
KMX 6/21/2019 6.2 5.6 9.4% C 12,135
CCL 6/24/2019 5.2 5.0 3.6% D 9,449
FDS 6/25/2019 5.8 4.4 30.1% A 12,844
FDX 6/25/2019 4.0 4.4 -9.5% D 215,119
LEN 6/25/2019 6.1 4.4 38.4% B 11,598
MU 6/25/2019 7.5 6.2 21.3% D 510,869
CAG 6/26/2019 4.0 7.0 -43.8% C 4,481
FIZZ 6/26/2019 8.3 6.4 30.1% C 3,462
PAYX 6/26/2019 3.6 1.7 111.7% B 17,141
KBH 6/27/2019 6.6 4.8 37.9% D 6,235
MKC 6/27/2019 4.8 4.2 12.5% B 11,286
NKE 6/27/2019 4.0 5.1 -20.8% C 163,237
WBA 6/27/2019 5.4 5.4 0.8% C 65,683
GBX 6/28/2019 8.3 6.2 33.6% C 1,758
STZ 6/28/2019 3.5 6.0 -41.8% C 149,411

 

Volatility Standouts

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
MITK 69.60% F 2.97% 7.54 385
GME 66.83% F 4.48% 79.37 8,729
STAY 66.19% C -4.01% 67.86 3,006
SFLY 62.31% C 1.10% 59.92 48,318
CTXS 59.53% C -9.19% 55.56 14,468
CNTY 58.41% C 0.00% 27.38 601
SRPT 54.87% C -2.64% 86.90 26,615
PRTY 54.36% D 0.03% 90.08 1,858
SFM 50.82% C -0.99% 30.95 4,002
AVYA 50.51% C -1.70% 91.27 22,130
ZIXI 49.66% F -0.54% 90.87 306
WWE 49.52% F 5.67% 47.22 4,662
GLUU 49.36% C -4.30% 71.43 5,515
XONE 47.00% F 3.70% 38.49 61
FDP 46.58% D 15.51% 72.62 1,132
XRAY 45.89% D -2.15% 4.76 6,914
PBYI 45.38% F -3.21% 26.59 872
DGX 42.95% C 1.61% 61.11 3,717
MSG 40.50% B 0.91% 45.24 20,243
UPWK 40.07% F -0.08% 11.63 6,287
VICI 39.78% A -17.03% 49.21 417
BREW 39.55% F 2.54% 90.48 1,089
LLY 38.91% C -0.71% 74.60 59,919
THS 38.26% B -3.80% 29.76 4,313
 
Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
APC -6.31E-01 C -6.62% 5.95 260,546
RHT -50.10% C 0.00% 36.90 54,071
TSS -47.83% B 5.30% 65.08 25,224
ZAYO -47.72% D 0.00% 2.78 4,496
OZK -46.82% C -1.70% 73.02 729
MRTX -41.82% F -3.64% 13.49 116,220
QCOM -37.59% D 0.12% 95.63 1,284,494
SYY -31.07% A -3.68% 75.79 9,768
KEYS -31.03% A -1.33% 54.76 19,334
SEAS -31.02% D 2.13% 18.25 25,042
SKX -30.04% C -0.60% 57.14 9,285
CNC -28.24% C -1.20% 75.79 376,995
ARRY -27.67% F -2.93% 3.57 37,451
CELG -27.37% A -5.70% 3.17 40,731
VRNT -25.83% B -0.49% 30.95 9,801
CLR -25.36% D 1.38% 75.40 17,413
SGH -24.88% C -3.43% 75.40 398
DOMO -23.58% F 0.15% 60.91 1,804
BLMN -23.29% B 0.37% 42.06 511
BURL -23.21% C -1.02% 25.79 58,071
PFPT -23.19% C 0.16% 54.76 7,711
NTNX -22.33% C -0.25% 36.11 69,695
VERI -21.84% F 1.61% 14.29 409
SFIX -2.12E-01 F 1.85% 60.32 10,009
 
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE