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VIX unchanged as equities continue parabolic rise

Jun 10, 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 in the green this afternoon (though off highs) on the heels of Friday’s US-Mexico agreement. Currently, the S&P is +.85%, the Russell is +.95% and the Nasdaq is +1.65%. Bonds are giving back some of Friday’s gains (TLT -1.0%, US 10-year up to 2.135) as overnight data out of China signaled firms are trying to front-run tariffs (May Exports +1.1% vs. -3.9% est.). On the M&A front, we received a couple major deals this weekend as Raytheon (+1.25%) and United Technologies (-2.0%) agreed to a ‘Merger of Equals.’ Meanwhile, in the Software sector, Salesforce (-4.75%) has agreed to acquire Tableau (+34.25%) for $15.3 billion. Technology and Financials are outperforming this afternoon (XLK +1.45%, XLF +1.35%) while Utilities and Consumer Staples (XLU -.65%, XLP -.15) lag the broader market. Volatilities are flat to slightly bid with the VIX flat at 16.25, VXN +1% at 20.10, and RVX +.50% to 19.15.

 

ETF 30D Volatility Changes

SPY:    -3%

IWM:    -3%

QQQ:   -3%

 

Directional Options Strategies

Bullish Option Strategies

DIS Seller 4,000 Jun 138 puts (collects b/w $1.35 and $1.30 to open, ref. 138.63)

BSX Buyer 2,300 Jun 40 calls (appears bought to close write, $2.10, ref. 41.59)

ON Buyer 6,000 Aug 21 calls tied to stock (paid $1.00, ref. 19.81)

SNAP 4,000 Jul 26th 14 calls trade (appears bought, $1.12, ref. 13.96)

CPE 4,000 Jul 6 calls trade (appears bought, $.70, ref. 6.20)

 

Bearish Option Strategies

BA 5,005 Jun 362.5 puts trade (appears bought to open, $356.51)

CNC Seller 30,000 Jul 60 calls tied to stock (appears to partially close write, ref. 54.87)

SQ 4,000 Sep 60 – 50 put spreads trade ($1.39, ref. 71.14)

KEY Seller 6,000 Jun 17 calls to Buy 4,000 Jun 15 puts (appears to monetize risky, ref. 17.10)

 

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

FXI Buyer 25,000 Jul 43 calls (paid $.25, ref. 40.94)

GDX Seller 20,000 Jun 23.5 calls and 5,000 Jun 28th 21.5 puts to Buy 7,500 Jun 22.5 calls (rolls long calls down and sells put to finance it, ref. 22.40)

VXX Buyer 15,000 Jun 14th 26 puts (paid $.13, ref. 27.70)

 

Bearish Option Strategies

EEM Buyer 59,936 Aug 40 – 38.5 puts spreads (paid $.34 to open, ref. 41.53)

FXI 12,200 Jul 26th 42 calls trade tied to stock (appears sold to open, $.53, ref. 40.87)

SPY 20,000 Jun 275-265 put spreads trade vs. 20,000 Jul 280 - 268 put spreads (appears to roll out and up, paid $1.26, ref. 290.43)

SPY 17,000 Jul 12th 260 – 245 – 230 put flies trade ($.18, ref. 289.85)

SPY 10,000 Jul 290 – 275 put spreads trade tied to stock ($3.86, ref. 289.97)

QQQ 9,000 Jul 182 – 175 put spreads trade ($1.87, ref. 183.94)

HYG Seller 38,313 Jun 28th 86.5 calls (collects $.36, possibly closing, ref. 86.32)

VIX Buyer 30,000 Jun – Jul call spreads (appears to roll out, ref. 16.52 (Jun), 17.03 (Jul))

XOP 14,675 Sep 30 puts trade vs. 29,350 Sep 27 puts (appears to roll down and add units, ref. 26.28)

 

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

 

 

Finance Trades Options Strategies

SPY 2,500 Jul 285 RevCons trade (ref. 289.97)

 

 

 

Upcoming Earnings

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
HDS 6/11/2019 4.9 4.2 17.2% D 2,827
HRB 6/11/2019 7.7 7.0 10.5% B 2,967
PLAY 6/11/2019 7.9 7.0 12.3% C 3,813
LULU 6/12/2019 9.4 12.6 -25.5% B 172,590
RH 6/12/2019 14.5 19.9 -27.2% C 57,995
TLRD 6/12/2019 23.0 18.1 26.6% D 2,778
AVGO 6/13/2019 5.6 4.4 28.8% D 372,075
FNSR 6/13/2019 3.2 4.4 -28.0% F 4,744
ADBE 6/18/2019 2.8 3.6 -24.1% C 449,313
JBL 6/18/2019 5.6 5.4 3.1% C 2,634
ORCL 6/19/2019 4.3 4.1 5.2% B 134,405
WGO 6/19/2019 8.7 6.9 25.2% C 2,795
DRI 6/20/2019 5.2 6.3 -17.9% A 11,624
KR 6/20/2019 7.2 8.4 -13.3% D 55,206
RHT 6/20/2019 0.6 4.9 -88.2% C 51,789
KMX 6/21/2019 6.1 5.6 8.9% C 12,530
CCL 6/24/2019 4.6 5.0 -8.7% D 11,963
FDS 6/25/2019 6.0 4.4 35.7% A 23,714
FDX 6/25/2019 4.3 4.4 -2.5% D 210,616
LEN 6/25/2019 5.4 4.4 22.0% B 11,371
MU 6/25/2019 7.3 6.2 16.8% D 466,317
FIZZ 6/26/2019 8.4 6.4 31.8% C 3,885
PAYX 6/26/2019 3.2 1.7 87.9% B 17,481
CAG 6/27/2019 3.2 7.0 -54.1% C 6,682
KBH 6/27/2019 6.1 4.8 26.8% D 6,041
MKC 6/27/2019 4.0 4.2 -5.1% B 10,393
NKE 6/27/2019 3.8 5.1 -25.7% C 150,039
WBA 6/27/2019 4.8 5.4 -11.6% C 64,694
GBX 6/28/2019 8.2 6.2 32.0% C 1,852
STZ 6/28/2019 3.5 6.0 -41.5% C 174,621
AYI 7/2/2019 6.0 9.2 -34.2% B 21,220
PEP 7/9/2019 2.7 2.1 25.8% A 218,571
BBBY 7/10/2019 12.8 12.5 1.8% F 20,101
FAST 7/10/2019 5.8 5.8 -1.0% C 12,273
DAL 7/11/2019 2.0 2.0 -1.0% A 100,052
FRC 7/12/2019 3.2 3.5 -7.5% C 2,672
JBHT 7/15/2019 4.9 3.3 46.3% D 14,070
NFLX 7/15/2019 7.0 5.8 20.8% D 3,000,382
COF 7/16/2019 1.7 3.6 -54.4% C 26,735
CSX 7/16/2019 3.3 3.7 -9.8% A 71,526
DPZ 7/16/2019 6.9 5.1 36.1% C 37,858
GS 7/16/2019 2.6 3.4 -23.5% C 373,065
IBKR 7/16/2019 1.1 2.3 -49.4% D 2,351
JPM 7/16/2019 2.5 1.7 51.6% B 612,794
MLNX 7/16/2019 3.1 3.6 -13.1% C 27,878
OMC 7/16/2019 5.8 4.3 33.0% C 4,730
PGR 7/16/2019 3.2 3.3 -3.0% A 19,741
UAL 7/16/2019 5.2 6.5 -20.4% B 132,281
UNH 7/16/2019 1.4 3.3 -57.3% A 401,368
WFC 7/16/2019 3.7 1.9 94.8% C 185,034
AA 7/17/2019 8.1 5.1 58.2% F 12,728
ABT 7/17/2019 2.5 2.3 7.9% B 54,999
AXP 7/17/2019 3.2 2.8 14.5% A 77,982
BAC 7/17/2019 1.0 2.1 -51.0% B 589,946
BK 7/17/2019 4.0 4.3 -7.6% C 11,119
CMA 7/17/2019 3.1 2.1 43.6% A 5,744
EBAY 7/17/2019 5.7 5.7 -0.2% C 49,703
IBM 7/17/2019 3.5 5.7 -37.5% B 264,778
KMI 7/17/2019 3.1 1.6 94.7% C 51,097
MS 7/17/2019 1.8 2.7 -33.3% D 149,870
PNC 7/17/2019 2.5 1.9 28.6% B 33,013
PTC 7/17/2019 3.1 5.0 -38.1% D 2,552
URI 7/17/2019 3.2 6.2 -47.8% B 60,686
USB 7/17/2019 2.3 1.6 39.5% C 38,625

 

Volatility Standouts

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
CASA 71.25% D 0.00% 49.21 77
STAY 70.98% C 1.38% 62.70 2,401
MITK 70.15% F 0.00% 25.40 334
CNTY 64.83% C 0.00% 41.27 595
WWE 63.25% F -0.20% 67.86 14,029
CTXS 62.35% C -6.33% 55.16 14,967
NYCB 59.23% D -1.47% 98.81 5,296
HOME 59.09% D -4.98% 99.21 17,674
PBYI 58.30% F 10.92% 23.81 615
PRTY 56.71% D 0.78% 86.11 1,539
SRPT 53.29% C -4.24% 79.76 28,193
RUBI 51.15% F 0.00% 10.71 54
FDP 51.01% D 0.00% 62.30 1,903
AVYA 49.10% C -0.58% 91.67 10,825
LLY 48.07% C 2.51% 66.67 80,871
SFM 47.83% C -3.01% 21.43 5,904
S 42.09% F -9.34% 98.81 49,962
ZIXI 39.64% F -0.42% 88.49 256
XRAY 39.24% D -1.25% 5.95 8,946
SNCR 39.02% F 0.00% 15.67 606
FLO 38.80% B 1.67% 5.56 305
COG 38.41% C 3.46% 19.44 6,257
SAIL 37.99% B 0.78% 22.62 196
MSG 37.24% B 5.55% 57.94 20,422
 
Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
APC -61.41% C -4.27% 7.54 255,449
RHT -55.16% C 0.00% 45.63 51,789
TSS -52.48% B -3.99% 64.68 24,193
OZK -49.05% C -0.67% 66.27 601
ZAYO -47.41% D 0.00% 2.78 4,674
MRTX -46.21% F 1.87% 0.79 92,761
LZB -3.56E-01 C -0.76% 69.44 627
DATA -34.86% C -16.97% 32.94 33,454
SYY -34.42% A -2.49% 69.44 11,518
KEYS -34.30% A -3.59% 51.59 17,338
SKX -31.43% C 0.18% 71.83 8,619
CNC -3.11E-01 C -0.45% 71.83 360,377
SEAS -30.95% D -1.80% 29.76 20,512
QCOM -29.13% D -0.56% 87.70 983,832
ZBRA -27.51% C -4.98% 57.14 12,049
VFC -26.46% F -14.74% 71.31 5,304
PEN -26.33% D -2.08% 17.86 6,592
MDB -26.18% F 0.83% 41.27 155,064
CELG -25.51% A 12.36% 12.70 37,091
CLR -25.43% D -3.92% 74.21 24,336
KHC -25.02% F -15.72% 95.63 102,645
GOOGL -23.93% B -2.86% 61.11 3,359,687
ARRY -23.76% F -1.15% 8.33 25,832
AAWW -23.72% C -4.81% 82.14 1,219
 
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE