blog

Latest from the Quantamize Blog

VIX is unchanged in directionless trading awaiting the fed announcement

Jun 06, 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

Stocks are mixed this afternoon (again on light volumes) as investors look forward to tomorrow’s Payroll data. Currently, the S&P is +.15%, the Russell is -1.05% and the Nasdaq is +.15%. Bonds are bid as a dovish Draghi in combination with this morning’s Nonfarm Productivity data (3.4% v. 3.5% est.; Unit labor costs -1.6% vs. -0.9% est.) has the long end of the curve in demand (TLT +.75%). In single name news, shares of Stitch Fix are up nearly 15% after beating on the top and bottom line. Consumer Staples are outperforming this afternoon (XLP +.90%) while Retail and Financials (XRT -1.35%, KRE -.80) lag the broader market. Volatilities are mixed to slightly muted with the VIX -1% to 15.91, VXN -2% at 20.35, and RVX +0.50% to 19.33.

 

ETF 30D Volatility Changes

SPY:    +1%

IWM:    +1%

QQQ:   -2%

  

 

Directional Options Strategies

Bullish Option Strategies

HOME Buyer 6,500 Sep 15 calls (paid b/w $.44 and $.50, ref. 9.76)

FTCH 6,600 Jun 20 calls trade (paid b/w $.60 and $.80, ref. 19.50)

FCX 4,014 Jul 5th 11 calls trade (appears bought, $.245 to open, ref. 10.20)

SIG 7,872 Jun 17 puts trade (appears sold to open write, $.48, ref. 17.80)

SE Buyer 5,200 Jul 30 calls (paid b/w $1.50 and $1.70 to open, ref. 29.45)

CVS 10,085 Jul 52.5 puts trade (appears sold to open write, $1.12, ref. 54.40)

AMD 8,000 Jun 30 calls trade vs. 12,000 Jun 32.5 calls (appears to monetize and roll up, ref. 31.47)

ORCL 3,000 Aug 45 puts trade (appears sold to open write, $.46, ref. 52.22)

 

Bearish Option Strategies

QCOM Seller 5,000 Jun 62.5 calls tied to stock (collects $5.30, possibly closing, ref. 67.25)

DB 3,000 Jul 6 puts trade (appears bought, $.16, ref. 6.63)

RH Buyer 3,700 Jun 14th 88 – 80 – 72 put flies (paid $1.65, Earnings 6/12, ref. 87.54)

MNK Buyer 6,000 Oct 10 puts (paid b/w $2.60 and $2.85, ref. 8.65)

BBT 7,299 Jun 49 puts trade (appears bought to close, $.92, ref. 48.95)

LOW Seller 11,400 Oct 105 calls (collects $2.68, ref. 95.90)

 

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

SPY 8,615 Sep 225 puts  trade vs. 17,230 Sep 303 calls (trades even, unclear if bought or sold, ref. 283.30)

QQQ Seller 10,000 Sep 165 puts tied to stock (collects $3.53, ref. 176.84)

VIX Seller 12,000 Jul 10th 22 calls (collects $.66 to open, ref. 16.79 (Jul 10th))

EWC 10,000 Jul 27 puts trade tied to stock ($.28, appears sold to open, ref. 27.94)

 

Bearish Option Strategies

JNK Buyer 25,000 Sep 100 – 95 1x2 put spreads (paid $.08, appears to add to position opened yest., ref. 106.90)

XBI Seller 5,000 Jun 82 – 85 strangles to Buy 5,000 Jul 80 – 73 put spreads (collects $1.00, ref. 81.95)

XLP 8,717 Jun 14th 58 puts trade (appears bought to open, $.44, ref. 47.95)

VIX Seller 28,000 Jun 22 calls to Buy 28,000 Jul 22 – 32 call spreads (paid $.30, ref. 16.64 (Jun), 17.23 (Jul))

XLU Buyer 10,000 Sep – Dec 55 put spreads (opening on both legs, paid $.51, ref. 60.28)

QQQ 5,000 Jun 178 – 169 put spreads trade vs. 5,000 Jul 175 – 166 put spreads (appears to roll out and down, $.35, ref. 176.01)

IWM 6,250 Jul 148 – 143 put spreads trade ($1.59, ref. 148.89)

XLF Buyer 11,400 Jul 27 straddles (untied, paid $1.37, ref. 26.94)

FXI Seller 12,500 Jul 26th 40 calls tied to stock (collects $1.07, ref. 40.00)

TLT 6,000 Jun 7th 130.5 puts trade tied to stock (appears bought, $.17, ref. 131.36)

 

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

 

 

Finance Trades Options Strategies

UBER 2,000 Jul 45 RevCons trade (ref. 25.64)

EEM 2,000 Jun 43 RevCons trade (ref. 40.74)

 

 

Upcoming Earnings

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
DOCU 6/6/2019 5.8 5.1 13.7% D 39,652
DOMO 6/6/2019 13.8 22.6 -39.2% F 1,866
GES 6/6/2019 12.9 13.2 -2.5% C 7,164
MTN 6/6/2019 7.8 6.2 25.6% C 12,015
OLLI 6/6/2019 7.0 4.4 59.3% C 7,068
CASY 6/10/2019 5.3 4.5 19.2% C 10,948
THO 6/10/2019 9.2 6.8 35.2% D 8,445
HDS 6/11/2019 4.5 4.3 4.4% D 3,746
HRB 6/11/2019 7.5 7.2 4.6% B 2,763
KHC 6/11/2019 5.3 8.1 -34.3% F 100,082
PLAY 6/11/2019 7.8 7.1 9.6% C 3,493
LULU 6/12/2019 9.5 12.5 -24.6% B 169,439
RH 6/12/2019 14.8 19.9 -25.7% C 45,655
TLRD 6/12/2019 23.1 18.2 26.9% D 2,987
AVGO 6/13/2019 4.5 4.4 3.7% D 385,624
FNSR 6/13/2019 3.8 4.4 -13.9% F 5,181
ADBE 6/18/2019 3.6 3.6 -2.3% C 442,955
JBL 6/18/2019 5.7 5.4 6.6% C 2,299
ORCL 6/19/2019 4.6 4.1 14.2% B 126,648
WGO 6/19/2019 9.0 6.9 30.5% C 3,055
DRI 6/20/2019 5.2 6.3 -16.4% A 14,242
KR 6/20/2019 7.8 8.4 -7.1% D 80,950
KMX 6/21/2019 6.4 5.6 13.6% C 13,489
CCL 6/24/2019 5.0 5.0 -0.1% D 11,061
FDS 6/25/2019 6.1 4.4 37.0% A 14,942
FDX 6/25/2019 4.1 4.4 -8.6% D 215,125
LEN 6/25/2019 5.9 4.4 32.8% B 12,348
MU 6/25/2019 7.4 6.2 18.4% D 482,861
FIZZ 6/26/2019 9.0 6.4 39.9% C 3,465
PAYX 6/26/2019 3.5 1.7 106.6% B 16,121
KBH 6/27/2019 6.6 4.8 38.3% D 6,172
MKC 6/27/2019 4.2 4.2 -0.5% B 10,367
NKE 6/27/2019 4.0 5.1 -21.7% C 159,212
WBA 6/27/2019 5.3 5.4 -1.7% C 64,672
GBX 6/28/2019 8.0 6.2 28.1% C 1,841
STZ 6/28/2019 3.8 6.0 -36.9% C 156,847
AYI 7/2/2019 6.1 9.2 -33.4% B 32,946
PEP 7/9/2019 2.9 2.1 36.6% A 186,091

 

Volatility Standouts

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
CTXS 68.01% C 3.38% 41.27 13,955
STAY 66.50% C 6.27% 55.16 2,998
CNTY 66.12% C 0.00% 39.68 580
SFLY 63.64% C 2.26% 61.11 51,773
WWE 63.42% F 3.40% 64.68 9,419
ZIXI 59.89% F 10.63% 85.71 263
PRTY 56.35% D 5.38% 86.90 1,791
SRPT 53.46% C -3.27% 90.48 27,185
SFM 50.89% C -1.49% 32.54 3,974
XONE 50.61% F 0.00% 55.56 56
GLUU 49.64% C 1.28% 53.97 5,299
PBYI 49.54% F 6.59% 28.97 828
WLH 48.74% D 5.58% 17.06 1,354
RUBI 45.60% F 0.00% 7.94 58
FLT 43.01% B 7.27% 88.89 27,210
BREW 41.68% F 7.58% 85.32 1,111
VSM 41.39% D 0.00% 13.89 713
CLVS 40.91% F 3.30% 51.19 24,038
THS 40.46% B 5.52% 28.97 4,331
SAIL 39.62% B -1.44% 25.40 204
QNST 39.05% D 16.64% 2.78 1,115
CARS 38.73% C -0.12% 61.51 17,235
LLY 38.66% C -2.03% 78.17 63,328
AVYA 38.40% C -1.23% 91.27 22,331

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
CRAY -67.69% D 0.00% 1.19 727
APC -6.25E-01 C -2.17% 6.75 266,629
RHT -53.75% C 0.00% 32.14 50,616
TSS -51.89% B -6.64% 70.24 25,793
OZK -46.88% C 1.25% 72.62 632
ZAYO -46.78% D 0.00% 4.37 4,463
MRTX -43.14% F 1.18% 3.57 100,302
QCOM -38.72% D -1.10% 95.24 1,239,125
SEAS -31.44% D -0.91% 20.63 25,895
KEYS -31.06% A -2.20% 54.76 16,443
SKX -29.96% C -5.18% 73.41 8,905
SYY -2.99E-01 A 2.17% 71.83 10,636
CNC -28.68% C -1.79% 76.19 362,676
O -26.89% C -2.66% 57.54 18,711
ARRY -26.32% F -2.18% 5.95 35,746
CELG -26.29% A 1.29% 11.90 45,229
DOMO -26.01% F -0.27% 58.37 1,866
VRNT -25.52% B -0.64% 30.56 9,630
CLR -24.21% D -0.40% 82.94 18,854
DK -23.74% C -1.46% 65.08 5,145
NTNX -22.75% C -0.21% 35.32 69,233
BLMN -22.63% B -0.89% 42.86 521
VFC -22.62% F -10.62% 68.53 15,884
PFPT -22.50% C -2.22% 61.11 7,445
 
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE