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VIX down -.5% as equities settle into small range

Jun 12, 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 trading a bit softer this afternoon (on light volumes for the third consecutive session) as investors steady themselves ahead of next week’s FOMC meeting.  Currently, the S&P is -.15%, the Russell is +.15% and the Nasdaq is -.45%. Bonds are mixed (mild curve steepening today, US 10-year down to 2.125%) as this morning’s May CPI printed in line with expectations (0.1% vs. 0.1% est.). Crude Oil remains under pressure (USO -2.65%) after the latest data showed further inventory builds (API Inventories +4.9M v. +3.5M prior; DOE Inventories +2.2M v. -0.5M est.) Outside the US, Emerging Markets are seeing some selling pressure (EEM -.95%) as the Hong Kong extradition bill protests continue to escalate  (Hang Seng -1.7%). Gold Miners and Utilities are outperforming this afternoon (GDX +1.65%, XLU +1.30%) while Semis and Financials (SMH -1.65%, XLU -.80%) lag the broader market. Volatilities are mixed with the VIX -.50% at 15.90, VXN +2.5% at 20.75, and RVX +1% to 19.75.

 

ETF 30D Volatility Changes

SPY:    FLAT

IWM:    +1%

QQQ:   +2%

 

Directional Options Strategies

Bullish Option Strategies

BABA Buyer 4,000 Jan 170 calls (paid $13.25, ref. 161.65)

BABA Seller 2,000 Jul 150 puts (collects $2.76, more than 6,000 trade total, ref. 160.40)

KO 29,906 Aug – Jan 48 call spreads trade (appears to roll calls out, $.80, ref. 51.84)

URBN Seller 8,827 Jul 22 puts (collects $.63 to open, ref. 22.82)

CMCSA Buyer 10,847 Sep 42.5 calls (paid $1.48 to open, more than 20,000 trade total, ref. 41.61)

CMCSA Seller 3,000 Jan21 40 puts to Buy 3,000 Jan21 45 calls (collects $.90, ref. 41.61)

NIO 59,900 Jul 2 puts trade (appears sold to  open, $.11, ref. 2.51)

 

Bearish Option Strategies

KO Seller 27,000 Jul 52.5 calls (opens write, $.58, ref. 52.04)

SE Seller 6,400 Jun 32 calls (collects $.375 to open, more than 13,000 trade total, ref. 30.73)

CSCO 3,013 Aug 55 puts trade (appears bought to open, $1.78, ref. 56.55)

HRL Buyer 4,000 Sep 42.5 puts (paid $2.43 avg. price, ref. 41.78)

TEVA Buyer 4,000 Dec 7 puts (paid $.90 to open, ref. 8.44)

NYCB 4,956 Oct 11 calls trade (appears sold to open, $.30, ref. 9.93)

ZNGA 10,000 Jan 9 calls trade (appears sold open, $.11, ref. 6.18)

V Buyer 2,500 Sep 160 – 140 1x2 put spreads tied to stock (ref. 170.90, ref. 170.86)

TSLA 4,126 Jul 160 puts trade (appears bought, $2.78, ref. 213.66)

PG 8,100 Jun 110 – Aug 115 call spreads trade (appears to roll write out and up, ref. 110.33)

 

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 15,000 Jan 24 – 30 call spreads trade ($1.14, ref. 22.92)

XLV Seller 10,000 Oct 85 puts (appears sold to close, $1.38, ref. 91.47)

EWZ Buyer 35,000 Jun 40 calls tied to stock (paid $3.20, ref. 43.20)

 

Bearish Option Strategies

FXI Buyer 5,400 Jul 40 – 37 put spreads (paid $.64, ref. 40.82)

XAU Buyer 10,000 Jun 72.5 puts (appears bought to close, $.58, ref. 74.80)

EFA 20,000 Sep 59.5 puts trade tied to stock ($.47, opening, ref. 65.86)

 

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

 

 

Finance Trades Options Strategies

BKLN 5,000 Jul 23 RevCons trade (ref. 22.74)

MSFT 3,000 Jul 125 RevCons trade (ref. 130.92)

LK 1,600 Jul 22.5 RevCons trade (ref. 17.83)

 

 

 

Upcoming Earnings

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
LULU 6/12/2019 9.9 12.6 -21.6% B 166,938
RH 6/12/2019 14.6 19.9 -26.6% C 66,808
TLRD 6/12/2019 23.7 18.1 30.9% D 3,143
AVGO 6/13/2019 5.7 4.4 31.3% D 368,610
FNSR 6/13/2019 2.7 4.4 -39.4% F 4,757
PYX 6/14/2019 13.9 15.7 -11.3% F 1,694
ADBE 6/18/2019 3.5 3.6 -2.6% C 413,860
JBL 6/18/2019 5.7 5.4 5.9% C 2,793
ORCL 6/19/2019 4.3 4.1 6.9% B 107,762
WGO 6/19/2019 8.5 6.9 23.1% C 3,095
DRI 6/20/2019 5.3 6.3 -15.4% A 13,491
KR 6/20/2019 8.3 8.4 -0.5% D 60,207
KMX 6/21/2019 5.9 5.6 4.3% C 15,922
CCL 6/24/2019 4.2 5.0 -15.3% D 11,707
FDS 6/25/2019 5.8 4.4 31.7% A 23,688
FDX 6/25/2019 4.3 4.4 -2.4% D 219,236
LEN 6/25/2019 5.7 4.4 28.8% B 10,784
MU 6/25/2019 7.4 6.2 18.6% D 433,558
FIZZ 6/26/2019 10.5 6.4 64.3% C 6,078
PAYX 6/26/2019 3.1 1.7 84.8% B 12,613
CAG 6/27/2019 4.1 7.0 -41.8% C 7,243
KBH 6/27/2019 6.4 4.8 34.1% D 11,257
MKC 6/27/2019 4.1 4.2 -2.6% B 11,278
NKE 6/27/2019 4.0 5.1 -22.2% C 138,536
WBA 6/27/2019 5.1 5.4 -4.9% C 60,770
GBX 6/28/2019 7.8 6.2 25.2% C 1,985
STZ 6/28/2019 3.9 6.0 -35.7% C 148,821
AYI 7/2/2019 6.0 9.2 -34.1% B 20,399
PEP 7/9/2019 2.7 2.1 25.6% A 213,078
BBBY 7/10/2019 13.2 12.5 5.1% F 19,935
FAST 7/10/2019 5.4 5.8 -8.1% C 10,133
DAL 7/11/2019 2.0 2.0 -0.8% A 94,547
FRC 7/12/2019 3.6 3.5 4.4% C 2,501
JBHT 7/15/2019 5.7 3.3 70.0% D 14,484
NFLX 7/15/2019 7.4 5.8 27.9% D 3,104,843
BLK 7/16/2019 0.9 2.5 -65.6% B 37,233
COF 7/16/2019 2.9 3.6 -21.6% C 23,552
CSX 7/16/2019 3.5 3.7 -6.9% A 70,495
DPZ 7/16/2019 6.9 5.1 34.6% C 33,595
GS 7/16/2019 2.8 3.4 -16.9% C 380,081
IBKR 7/16/2019 3.5 2.3 54.1% D 1,968
JPM 7/16/2019 3.0 1.7 77.1% B 602,290
MLNX 7/16/2019 3.9 3.6 6.9% C 47,304
OMC 7/16/2019 5.6 4.3 29.0% C 4,556
PGR 7/16/2019 2.9 3.3 -11.0% A 19,367
UAL 7/16/2019 5.3 6.5 -18.0% B 101,667
UNH 7/16/2019 2.7 3.3 -18.5% A 366,296
WFC 7/16/2019 4.2 1.9 123.1% C 190,889
AA 7/17/2019 8.3 5.1 61.1% F 11,920
ABT 7/17/2019 2.8 2.3 18.0% B 81,144
AXP 7/17/2019 3.6 2.8 29.1% A 105,382
BAC 7/17/2019 1.7 2.1 -17.5% B 577,494
BK 7/17/2019 4.5 4.3 3.9% C 20,483
CMA 7/17/2019 3.4 2.1 58.3% A 4,165
IBM 7/17/2019 3.7 5.7 -35.3% B 236,830
KMI 7/17/2019 3.2 1.6 102.0% C 55,838
MS 7/17/2019 2.7 2.7 -1.6% D 133,217
PNC 7/17/2019 2.9 1.9 49.7% B 42,437
TXT 7/17/2019 0.4 4.5 -90.9% C 3,924
URI 7/17/2019 4.4 6.2 -28.5% B 55,329
USB 7/17/2019 2.6 1.6 61.7% C 37,066

Volatility Standouts

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
STAY 71.48% C 0.21% 72.62 2,264
CNTY 69.56% C 0.00% 37.70 684
S 66.35% F -2.49% 99.21 56,200
NYCB 61.48% D 0.12% 98.81 5,671
ZIXI 61.03% F 13.33% 95.24 263
WWE 60.13% F 1.16% 72.62 18,781
FDP 57.84% D 15.26% 61.11 1,643
SRPT 56.46% C -3.13% 84.52 27,170
CTXS 55.37% C -3.75% 51.98 17,717
UIS 53.00% C 7.56% 36.11 166
FLO 50.74% B 11.28% 3.97 215
GBT 49.00% F -6.78% 61.90 24,170
RUBI 47.55% F 6.61% 9.92 54
BPL 47.23% C 0.00% 2.38 2,478
PBYI 46.00% F 3.53% 23.41 611
BREW 45.81% F 5.21% 92.86 1,147
SFM 45.74% C 0.01% 23.81 5,773
NHTC 44.57% D 9.52% 70.24 409
ELAN 44.16% C -1.71% 4.68 1,179
PRTY 42.94% D 1.36% 82.54 490
ZAGG 40.68% F 13.43% 44.44 176
LOCO 40.41% C 0.33% 39.29 161
GTT 39.83% B 3.13% 74.21 2,398
UPWK 37.16% F 0.21% 13.43 1,509
 
Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
BKS -68.02% C 12.27% 0.40 4,643
DATA -67.89% C -3.25% 14.29 32,976
CRAY -65.75% D 31.16% 2.38 399
RHT -57.55% C 0.00% 33.33 51,743
APC -57.37% C 8.69% 8.73 226,823
OZK -48.84% C 0.39% 64.68 479
MRTX -47.61% F -0.19% 1.59 86,370
ZAYO -39.82% D 0.00% 7.14 5,459
LZB -36.86% C 0.44% 64.68 693
SYY -36.45% A -2.04% 64.68 12,552
TSS -35.82% B 1.34% 63.49 11,399
KEYS -34.07% A -1.37% 50.00 17,894
KHC -31.05% F -0.52% 92.06 108,019
SKX -30.55% C -1.09% 71.43 7,412
CNC -29.50% C 1.42% 71.83 358,481
SGH -29.03% C 3.04% 59.52 505
QCOM -28.69% D 1.07% 86.11 879,698
EBIX -27.72% B -6.35% 42.06 4,403
SFLY -27.05% C 110.29% 0.40 93,498
MOV -26.76% D 1.33% 17.86 731
CELG -26.25% A 0.21% 15.87 42,095
ZBRA -26.08% C -0.69% 64.29 14,933
PCTY -25.10% C -2.13% 61.11 2,667
AABA -24.41% D -3.02% 30.16 77,484
 
 
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE