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VIX still bid as equities appear to be looking for short term top

Jun 11, 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 opened up this morning but have since drifted back toward unchanged as  “buyer’s exhaustion” has seemingly set in. Currently, the S&P is -.10%, the Russell is -.55% and the Nasdaq is flat. Bonds are mixed (front end slightly weaker, long end a bit stronger, US 10-year up to 2.145%) as this morning’s May final PPI print failed to deliver any surprises (0.1% vs. 0.1% est.). Outside the US, the most important headline overnight was the Chinese government supporting additional stimulus (FXI +.95%). Consumer Staples and Metals/Mining are outperforming this afternoon (XLP +.45%, XME +1.55%) while Aerospace/Defense and Utilities (XAR -2.25%, XLU -.80%) lag the broader market. Volatilities are bid with the VIX +3.5 at 16.50, VXN +2% at 20.37, and RVX +4.25% to 19.96.

 

ETF 30D Volatility Changes

SPY:    +3%

IWM:    +4%

QQQ:   +2%

 

Directional Options Strategies

Bullish Option Strategies

PSTG Seller 10,000 Jul 15 puts (collects $.50 to open, ref. 15.66)

BAC Seller 10,000 Jul 12th 27.5 puts tied to stock (collects $.41 to open, ref. 28.59)

CVS Seller 8,583 Jul 52.5 puts (collects $1.12, possibly closing, ref. 54.06)

GE 15,000 Aug 12 calls trade ($.125, opening, ref. 10.10)

BA 3,035 Jun 355 calls trade (appears bought to open, $4.00, more than 5,000 trade total, ref. 351.39)

 

Bearish Option Strategies

GME 8,636 Jan 5 puts trade (appears bought, $.88, possibly closing, ref. 5.58)

MGM Buyer 5,000 Jul 27 – Aug 29 put spreads (paid $.55, appears to roll write out and up, ref. 27.89)

MRK Buyer 10,000 Jul 82.5 – 85 call spreads (paid b/w $.30 and $.39 to roll write out and up, ref. 82.76)

TSLA Seller 7,500 Jun 200 puts to Buy 7,500 Jun 28th 210 puts (appears to roll puts out and up, $5.70, ref. 216.25)

RF Buyer 10,000 Jun 14 puts (appears bought to close write, $.11, ref. 14.51)

SFLY 20,000 Jul 47.5 – 52.5 call spreads trade (appears sold to close, $2.82, ref. 50.29)

 

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 10,000 Jun 14th 291 – Jul 5th 294 call spreads trade (appears to roll out and up, $.69, ref. 290.23)

VXX Seller 19,000 Jul 35 calls (collects $.70, ref. 27.49)

VIX Seller 22,500 Jul 10th 22 calls (collects $.43, more than 35,000 trade total, ref. 16.52 (Jul 10th))

GLD 8,000 Jun 127 – 129 call spreads trade ($.23, possibly closing, ref. 125.17)

EFA 10,000 Sep 71 calls trade tied to stock (appears bought, $.10, ref. 66.28)

 

Bearish Option Strategies

SPY 11,481 Jul 285 – 275 put spreads trade ($2.16, ref. 289.37)

HYG 25,000 Aug 83 puts trade ($.31, ref. 86.47)

HYG Buyer 15,000 Jun 86.5 puts tied to stock (paid $.35 to open, ref. 86.50)

IWM Seller 7,000 Aug 164 calls tied to stock (collects $.49 to open, ref. 152.00)

FXI 20,000 Nov 39.5 puts trade tied to stock ($1.34, ref. 41.39)

XOP Seller 8,000 Jun 26 puts to Buy 8,000 Jul 5th 26 – 24 put spreads (paid $.07 to roll out and into a spread, ref. 26.02)

XBI Seller 5,900 Jun 85 puts to Buy 6,000 Aug 82 – 68 put spreads (rolls out and into a spread, ref. 81.89)

USO 27,000 Jan 10 puts trade ($.73, ref. 11.11)

 

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

 

 

Finance Trades Options Strategies

GPRO 4,899 Jul 8 RevCons trade (ref. 5.96)

 

 

 

Upcoming Earnings

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
PLAY 6/11/2019 8.7 7.0 23.7% C 4,930
LULU 6/12/2019 9.8 12.6 -22.0% B 163,189
OXM 6/12/2019 8.4 5.4 55.2% C 727
RH 6/12/2019 15.4 19.9 -22.7% C 61,311
TLRD 6/12/2019 23.6 18.1 30.1% D 2,489
AVGO 6/13/2019 6.1 4.4 39.2% D 361,851
FNSR 6/13/2019 3.1 4.4 -29.6% F 4,754
PYX 6/13/2019 14.3 15.7 -9.0% F 1,582
ADBE 6/18/2019 3.2 3.6 -11.5% C 403,495
JBL 6/18/2019 5.7 5.4 5.3% C 2,764
ORCL 6/19/2019 4.3 4.1 5.6% B 120,831
WGO 6/19/2019 8.4 6.9 21.8% C 2,941
DRI 6/20/2019 5.2 6.3 -16.7% A 13,570
KR 6/20/2019 8.5 8.4 1.1% D 61,667
RHT 6/20/2019 1.0 4.9 -80.6% C 49,962
KMX 6/21/2019 5.9 5.6 5.0% C 14,179
CCL 6/24/2019 4.2 5.0 -16.1% D 11,783
FDS 6/25/2019 5.6 4.4 27.1% A 23,546
FDX 6/25/2019 4.4 4.4 -1.4% D 213,468
LEN 6/25/2019 5.8 4.4 32.1% B 10,783
MU 6/25/2019 6.8 6.2 9.6% D 444,212
FIZZ 6/26/2019 8.5 6.4 33.1% C 4,006
PAYX 6/26/2019 3.2 1.7 90.3% B 16,626
CAG 6/27/2019 3.8 7.0 -45.4% C 6,886
KBH 6/27/2019 6.6 4.8 37.1% D 6,226
MKC 6/27/2019 4.1 4.2 -2.8% B 11,266
NKE 6/27/2019 3.9 5.1 -23.4% C 142,438
WBA 6/27/2019 4.9 5.4 -8.9% C 61,001
GBX 6/28/2019 7.9 6.2 26.6% C 2,043
STZ 6/28/2019 3.6 6.0 -39.5% C 175,429
AYI 7/2/2019 6.0 9.2 -34.7% B 20,461
PEP 7/9/2019 2.5 2.1 19.2% A 219,098
BBBY 7/10/2019 12.7 12.5 1.0% F 20,038
FAST 7/10/2019 5.4 5.8 -7.3% C 11,952
DAL 7/11/2019 2.1 2.0 3.2% A 97,772
FRC 7/12/2019 3.2 3.5 -8.2% C 2,671
JBHT 7/15/2019 4.6 3.3 37.8% D 14,195
NFLX 7/15/2019 7.3 5.8 26.1% D 3,185,311
COF 7/16/2019 2.1 3.6 -42.1% C 23,580
CSX 7/16/2019 3.5 3.7 -6.6% A 67,499
DPZ 7/16/2019 6.8 5.1 33.4% C 32,196
GS 7/16/2019 2.0 3.4 -40.5% C 383,143
IBKR 7/16/2019 1.9 2.3 -14.9% D 2,278
JPM 7/16/2019 2.7 1.7 62.2% B 580,621
MLNX 7/16/2019 4.8 3.6 33.6% C 26,408
OMC 7/16/2019 5.7 4.3 32.3% C 4,366
PGR 7/16/2019 3.1 3.3 -4.6% A 18,033
UAL 7/16/2019 5.2 6.5 -19.9% B 102,299
UNH 7/16/2019 1.5 3.3 -55.0% A 382,880
WFC 7/16/2019 4.0 1.9 111.4% C 190,813
AA 7/17/2019 8.0 5.1 56.1% F 12,136
ABT 7/17/2019 2.5 2.3 8.0% B 59,072
AXP 7/17/2019 3.3 2.8 17.4% A 87,181
BK 7/17/2019 3.8 4.3 -10.9% C 11,329
CMA 7/17/2019 3.3 2.1 52.7% A 4,156
EBAY 7/17/2019 5.4 5.7 -5.8% C 53,202
IBM 7/17/2019 3.4 5.7 -39.5% B 235,654
KMI 7/17/2019 3.4 1.6 115.2% C 54,010
MS 7/17/2019 1.1 2.7 -58.5% D 135,463
PNC 7/17/2019 2.7 1.9 37.8% B 38,073
URI 7/17/2019 4.0 6.2 -35.9% B 55,290
USB 7/17/2019 2.2 1.6 34.6% C 37,354

 

Volatility Standouts

 

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
GBT 69.32% F 27.70% 33.86 19,665
CNTY 68.43% C 0.00% 41.04 604
SNCR 68.34% F 0.00% 11.11 608
STAY 64.82% C -5.59% 70.52 2,488
CTXS 59.90% C -2.69% 55.38 13,541
WWE 57.59% F -0.80% 71.31 15,454
SRPT 55.06% C -2.31% 84.06 29,981
PRTY 54.84% D 2.79% 84.86 1,468
NYCB 54.56% D -4.06% 98.01 5,254
SAIC 54.03% C 11.83% 25.90 1,795
BPL 52.81% C 0.00% 2.39 2,363
S 51.30% F -1.74% 99.60 47,999
ZIXI 46.37% F 3.15% 74.10 265
FDP 46.33% D -0.95% 60.96 2,003
RUBI 46.18% F 5.14% 7.57 45
GPK 46.11% C 5.94% 83.67 1,493
PBYI 42.74% F -5.69% 41.04 550
FLO 42.54% B 4.70% 5.18 291
AVYA 40.45% C -1.91% 92.83 9,274
NHTC 40.44% D 9.80% 64.14 412
SFM 39.24% C -3.09% 21.91 5,695
ELAN 38.30% C -2.99% 3.53 981
MSGN 38.15% C 0.93% 79.28 3,499
RCII 37.34% B 1.65% 57.37 2,031
 
Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
BKS -71.63% C 17.63% 0.40 4,093
CRAY -71.07% D 11.95% 0.80 409
DATA -66.71% C -1.21% 11.16 39,017
APC -61.96% C -5.29% 7.57 253,124
OZK -50.01% C -0.91% 67.73 480
RHT -49.81% C 0.00% 38.25 49,962
MRTX -45.93% F 0.43% 0.40 86,668
TSS -43.52% B -4.92% 60.96 24,026
ZAYO -42.00% D 0.00% 7.57 5,354
LZB -37.03% C -0.12% 61.75 604
SYY -35.05% A -2.27% 67.33 11,933
KHC -33.70% F 0.71% 92.43 110,044
KEYS -33.37% A -0.96% 50.60 17,839
CELG -32.53% A -10.58% 9.56 37,401
SGH -32.13% C -1.52% 52.59 442
CNC -31.00% C 0.24% 70.52 371,504
SKX -30.60% C 1.83% 70.12 7,504
SEAS -30.34% D -1.56% 28.29 20,367
QCOM -29.98% D -1.83% 87.25 943,747
VFC -29.91% F -12.91% 68.40 4,205
ZBRA -27.38% C -0.41% 52.59 13,642
AABA -26.02% D -0.23% 17.13 81,262
CLR -25.37% D -0.34% 71.31 22,310
MOV -24.43% D 1.35% 21.91 792
 
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE