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VIX up 2.5% in spite of equities trading near highs.

Jun 07, 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 rallying this afternoon as this morning’s job report (+75,000 vs. 175,000 est.) has investors positioning for an incrementally dovish Fed (next meeting Jun 18 – 19). Currently, the S&P is +1.20%, the Russell is +.85% and the Nasdaq is +2.05%. Bonds are bid (TLT +.85%, US 10-year down to 2.075) as slowing economic data in combination with uncertainty over Mexico/China has investors seeking safety. In single name news, shares of Beyond Meat are up more than 35% this afternoon beating on the top line and guiding higher. Technology is outperforming today (XLK +1.95%) while Utilities and Financials (XLU +.65%, KRE -.55) lag the broader market. Volatilities are mixed to slightly muted with the VIX +2% to 16.27, VXN -2.5% at 19.82, and RVX -2% to 19.11.

 

ETF 30D Volatility Changes

Equities are rallying this afternoon as this morning’s job report (+75,000 vs. 175,000 est.) has investors positioning for an incrementally dovish Fed (next meeting Jun 18 – 19). Currently, the S&P is +1.20%, the Russell is +.85% and the Nasdaq is +2.05%. Bonds are bid (TLT +.85%, US 10-year down to 2.075) as slowing economic data in combination with uncertainty over Mexico/China has investors seeking safety. In single name news, shares of Beyond Meat are up more than 35% this afternoon beating on the top line and guiding higher. Technology is outperforming today (XLK +1.95%) while Utilities and Financials (XLU +.65%, KRE -.55) lag the broader market. Volatilities are mixed to slightly muted with the VIX +2% to 16.27, VXN -2.5% at 19.82, and RVX -2% to 19.11.

 

Directional Options Strategies

Bullish Option Strategies

BILI Seller 10,000 Jan21 5 puts (collects $.48 to open, ref. 14.54)

HGV 4,000 Jun 28 calls trade (paid b/w $.40 and $.52, ref. 27.76)

CPE 4,000 Oct 7 calls trade (appears bought, $.65, ref. 6.21)

 

Bearish Option Strategies

AAPL 4,000 Aug 185 – 175 put spreads trade tied to stock ($3.28, ref. 189.03)

TSLA 5,000 Jul 26th 135 puts trade (appears bought, $2.10, ref. 208.78)

MU 13,000 Jan 35 puts trade (appears bought, $5.25, more than 25,000 trade on the day, ref. 33.79)

CNC 10,000 Jul 60 calls trade tied to stock (appear sold $.55, ref. 54.13)

 

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

IWM Seller 80,000 Jun 28th 143 – 140 put spreads (appears sold to close, $.31, ref. 150.56)

IYR 5,125 Jul 92 calls trade (appears bought to open, $.36, 89.48)

GDX Seller 12,250 Jun 22.5 calls to Buy 24,500 Jun 23.5 calls (collects $.18 to monetize and roll up, ref. 23.06)

GLD 14,900 Sep 133 – 139 call spreads trade ($.78 to open, unclear if bought or sold, ref. 127.04)

GLD 6,750 Jan21 180 – 190 call spreads trade ($.37, ref. 126.67)

VIX Buyer 20,000 Aug 15 puts (paid $.875, ref. 17.20 (Aug))

EEM Buyer 30,000 Sep 46 calls tied to stock (paid $.15, ref. 41.22)

 

Bearish Option Strategies

SPY 10,000 Jul 284 – 277 put spreads tied to stock (appears bought, $1.89, ref. 286.95)

TLT 3,355 Jul 128 puts trade (appears bought, $.59, more than 8,000 trade on the day, ref. 131.83)

VIX Buyer 10,000 Oct 18 – 28 call spreads (paid $1.45, ref. 17.40 (Oct)

USO 34,625 Jan 12 puts trade vs. 41,885 Jan 10 puts (appears to monetize and roll down, ref. 11.19)

HYG Buyer 42,000 Jul – Sep 80 put spreads (paid $.225, Sold Jul, Bot Sep, ref. 86.13)

HYG 15,000 Jun 85 – 83 1x2 put spreads trade vs. 15,000 Jun 28th 85.5 – 84 1x2 put spreads (appears to roll ratio spread out and up, ref. 86.13)

HYG 15,000 Jul 84 – 83 put spreads trade ($.09, ref. 86.14)

XLE 5,000 Sep 54 puts trade ($.78 to open, ref. 61.22)

XLP 7,400 58 puts trade ($.18. appears to add to position opened yest., more than 16,000 trade on the day, ref. 58.75)

 

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

 

 

Finance Trades Options Strategies

QQQ 5,000 Jun 175 RevCons trade (ref. 181.14)

 

 

 

Upcoming Earnings

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
CASY 6/10/2019 5.3 4.5 18.3% C 10,992
THO 6/10/2019 9.0 6.8 32.1% D 8,390
HDS 6/11/2019 4.6 4.2 10.0% D 1,708
HRB 6/11/2019 7.6 7.2 5.6% B 2,625
KHC 6/11/2019 4.8 8.1 -40.5% F 97,946
PLAY 6/11/2019 8.0 7.0 13.7% C 3,465
LULU 6/12/2019 9.5 12.5 -24.2% B 158,904
RH 6/12/2019 14.0 19.9 -29.7% C 58,255
TLRD 6/12/2019 22.8 18.2 24.9% D 2,986
AVGO 6/13/2019 4.7 4.4 8.1% D 371,973
FNSR 6/13/2019 3.3 4.4 -24.3% F 5,154
ADBE 6/18/2019 2.6 3.6 -28.4% C 436,921
JBL 6/18/2019 5.4 5.4 0.8% C 2,325
ORCL 6/19/2019 4.4 4.1 9.5% B 127,600
WGO 6/19/2019 8.8 6.9 26.9% C 3,025
DRI 6/20/2019 5.2 6.3 -16.6% A 12,392
KR 6/20/2019 7.5 8.4 -10.0% D 63,415
RHT 6/20/2019 0.7 4.9 -85.8% C 56,756
KMX 6/21/2019 6.2 5.6 9.6% C 13,486
CCL 6/24/2019 4.8 5.0 -4.9% D 11,486
FDS 6/25/2019 6.0 4.4 34.2% A 22,940
FDX 6/25/2019 4.4 4.4 -1.1% D 228,188
LEN 6/25/2019 5.7 4.4 28.3% B 13,593
MU 6/25/2019 7.5 6.2 20.0% D 474,126
FIZZ 6/26/2019 7.6 6.4 18.6% C 3,496
PAYX 6/26/2019 3.0 1.7 75.4% B 17,039
CAG 6/27/2019 3.3 7.0 -52.4% C 6,312
KBH 6/27/2019 6.6 4.8 37.3% D 5,722
MKC 6/27/2019 3.9 4.2 -6.9% B 10,291
NKE 6/27/2019 3.7 5.1 -28.0% C 159,563
WBA 6/27/2019 5.2 5.4 -3.7% C 63,934
GBX 6/28/2019 8.4 6.2 34.5% C 1,850
STZ 6/28/2019 3.9 6.0 -34.5% C 162,707
AYI 7/2/2019 6.3 9.2 -31.1% B 34,052
PEP 7/9/2019 2.7 2.1 27.8% A 200,932
BBBY 7/10/2019 12.1 12.5 -3.7% F 19,624
FAST 7/10/2019 6.1 5.8 4.9% C 12,547
DAL 7/11/2019 2.4 2.0 20.2% A 101,364
FRC 7/12/2019 3.2 3.5 -9.2% C 2,761
JBHT 7/15/2019 4.6 3.3 37.0% D 14,207
NFLX 7/15/2019 7.0 5.8 21.2% D 3,083,316
COF 7/16/2019 1.8 3.6 -49.5% C 27,355
CSX 7/16/2019 3.0 3.7 -19.0% A 76,390
DPZ 7/16/2019 7.1 5.1 38.8% C 38,455
GS 7/16/2019 2.7 3.4 -18.7% C 369,380
IBKR 7/16/2019 1.7 2.3 -23.9% D 2,197
JPM 7/16/2019 2.9 1.7 72.7% B 589,710
MLNX 7/16/2019 4.6 3.6 28.7% C 31,953
OMC 7/16/2019 6.3 4.3 45.6% C 4,202
PGR 7/16/2019 2.5 3.3 -23.8% A 27,291
UAL 7/16/2019 5.6 6.5 -14.1% B 134,912
UNH 7/16/2019 3.0 3.3 -9.5% A 408,309
WFC 7/16/2019 3.9 1.9 105.3% C 190,308
AA 7/17/2019 8.0 5.1 56.6% F 12,632
ABT 7/17/2019 2.5 2.3 7.8% B 53,108
AXP 7/17/2019 3.4 2.8 20.7% A 71,731
BAC 7/17/2019 1.3 2.1 -35.0% B 598,247
BK 7/17/2019 4.2 4.3 -2.6% C 10,126
CMA 7/17/2019 3.5 2.1 65.3% A 5,987
EBAY 7/17/2019 6.1 5.7 6.8% C 39,560
IBM 7/17/2019 3.3 5.7 -42.1% B 254,291
KMI 7/17/2019 3.1 1.6 92.9% C 57,050
MS 7/17/2019 1.9 2.7 -30.3% D 147,236
MTG 7/17/2019 6.4 2.9 116.5% C 988
PNC 7/17/2019 2.8 1.9 43.5% B 32,848
PTC 7/17/2019 3.6 5.0 -29.4% D 2,547
URI 7/17/2019 4.0 6.2 -36.0% B 65,572
USB 7/17/2019 2.4 1.6 49.3% C 38,147

 

Volatility Standouts

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
MITK 73.57% F 6.81% 10.32 333
ZIXI 67.16% F 0.00% 97.22 255
STAY 65.82% C 1.43% 65.08 2,821
WWE 63.16% F -1.09% 72.22 14,173
NYCB 62.11% D -5.56% 100.00 5,298
CNTY 61.93% C 0.00% 52.38 600
CTXS 59.48% C -4.41% 63.49 15,618
SFM 58.44% C -6.38% 38.49 5,815
S 55.23% F 1.42% 98.81 63,359
PRTY 53.86% D -3.93% 93.65 1,545
SRPT 53.29% C -3.39% 83.33 26,919
PBYI 48.71% F -1.68% 28.17 694
LLY 42.85% C -3.87% 77.38 79,739
MSG 42.36% B 4.39% 51.19 19,038
QNST 42.21% D 24.33% 3.17 1,245
AVYA 40.75% C 5.40% 91.27 11,337
GCI 40.51% C 0.00% 94.05 169
SNCR 40.45% F 0.00% 25.35 599
RCII 40.20% B 1.91% 39.29 1,461
FLO 39.85% B 7.90% 3.57 307
RUBI 38.80% F 0.00% 9.92 53
CARS 38.06% C -1.50% 74.60 16,724
ELAN 37.92% C -7.92% 27.38 574
SAIL 37.16% B 0.02% 17.06 192

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
CRAY -68.51% D 0.00% 0.00 502
APC -6.05E-01 C -8.02% 6.35 265,658
RHT -59.53% C 0.00% 44.84 56,756
TSS -49.88% B -0.86% 65.48 25,267
OZK -49.21% C -1.38% 69.05 604
MRTX -46.74% F -3.63% 2.78 91,987
ZAYO -46.39% D 0.00% 3.97 4,400
TRUE -3.72E-01 #N/A -6.08% 44.44 337
CELG -34.29% A -7.65% 11.51 40,147
KEYS -32.27% A 1.47% 51.19 16,934
SKX -31.80% C 0.72% 63.49 8,702
SYY -3.09E-01 A 1.65% 71.03 10,520
CNC -30.24% C -0.30% 72.62 359,700
SEAS -29.52% D 3.44% 18.65 22,426
QCOM -26.21% D -0.21% 94.44 1,235,818
CLR -26.09% D -1.91% 78.57 24,141
VERI -25.68% F -10.35% 41.27 371
MPW -25.61% C -1.73% 61.51 2,695
IEP -25.23% F 0.00% 8.33 4,218
ARRY -24.83% F 2.98% 1.98 26,928
VRNT -24.79% B 0.05% 29.76 7,214
SGH -23.97% C -4.75% 79.60 494
CDW -23.86% A -4.33% 37.70 1,948
GPN -23.37% C -1.80% 57.54 13,261
VZ -23.16% A -0.82% 84.92 357,686

 

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