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Volatility remains muted as equities continue sideways

Jun 13, 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 continue to drift higher toward all-time highs this afternoon despite a precarious macro backdrop. Currently, the S&P is +.25%, the Russell is +.85% and the Nasdaq is +.45%. Bonds are stronger (TLT +.30%, US 10-year down to 2.10%) as inflation readings remain tame (May Import Price Index M/M – 0.3% v. -0.2% est.). Crude Oil bounced overnight (USO +2.25%) after reports of an attack on two oil tankers off the coast of Iran. In single name action, shares of Lululemon are up nearly 2% after beating on both the top and bottom lines (and forecasting single digit sales growth). Homebuilders and Biotech are outperforming this afternoon (XHB +1.15%, XBI +.90%) while Healthcare and Emerging Markets (XLV -.35%, EEM -.75%) lag the broader market. Volatilities are slightly softer with the VIX flat at 15.92, VXN -2.0% at 20.18, and RVX -1.5% to 19.13.

 

ETF 30D Volatility Changes

SPY:    -2%

IWM:    -2%

QQQ:   -3%

 

Directional Options Strategies

Bullish Option Strategies

BABA 3,270 Oct 180 calls trade (appears bought to open, $5.73, ref. 161.02)

STNG 1,521 Jul 27 calls trade (appears bought, $.75, more than 2,000 trade total, ref. 24.38)

SWN 5,000 Jul 4 calls trade (appears bought, $.04, more than 10,000 trade total, ref. 3.06)

EQT 4,000 Jul 17 calls trade (appears bought to open, $.47, ref. 15.73)

HLF 4,500 Jul 12th 43 puts trade (appears sold to open, $1.38, ref. 43.52)

WDC Buyer 16,000 Jan 55 – 65 call spreads (paid $.63 to open, ref. 36.44)

TELL Buyer 5,000 Oct 10 calls (paid $.65 to open, ref. 7.66)

 

Bearish Option Strategies

MAT 5,000 Aug 12 puts trade (appears bought to open, $1.30, ref. 11.62)

RRGB Seller 3,500 Jul 35 (collects $1.25 to open, ref. 32.25)

PAM Seller 1,000 Sep 40 calls to Buy 1,000 Sep 30 – 22.5 put spreads tied to stock (paid $.85, ref. 32.25)

 

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

ASHR Buyer 18,000 Jul 5th – Jul 12th 27.5 call spreads (paid $.10 to roll calls out, ref. 26.75)

FXI 10,000 Aug 43 – 45 1x2 call spreads trade ($.16, ref. 40.96)

TLT 7,500 Jul 129 puts trade (appears sold, $.84, possibly closing, ref. 130.92)

GDX Seller 3,500 Jun 22.5 calls to Buy 5,000 Jun 23 calls (rolls up, collects $.79, ref. 23.09)

EWZ 10,000 Jul 43 calls trade tied to stock (appears bought to open, $1.43, ref. 43.41)

VIX Seller 12,700 Jul 22 calls (collects $.57, ref. 16.80 (Jul))

 

Bearish Option Strategies

VXX 7,208 Jul 33 calls trade (appears bought to open, $.83, ref. 27.52)

SPY Buyer 15,000 Jun 14th 286 – 285 put spreads (paid $.10 to open, ref. 289.04)

 

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

 

 

Finance Trades Options Strategies

EEM 10,000 Jun 41 RevCons trade (ref. 41.52)

MHCP 5,000 Jul 80 RevCons trade (ref. 84.00)

 

 

 

Upcoming Earnings

 

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
AVGO 6/13/2019 5.9 4.4 35.6% D 366,644
FNSR 6/13/2019 2.8 4.4 -36.7% F 4,797
PYX 6/14/2019 13.0 15.7 -17.5% F 1,667
ADBE 6/18/2019 3.6 3.6 -1.2% C 406,140
JBL 6/18/2019 5.8 5.4 8.0% C 2,743
ORCL 6/19/2019 4.3 4.1 6.2% B 98,614
WGO 6/19/2019 8.7 6.9 25.8% C 2,625
DRI 6/20/2019 5.3 6.3 -16.3% A 12,674
KR 6/20/2019 8.2 8.4 -2.4% D 61,960
KMX 6/21/2019 5.8 5.6 3.6% C 16,965
CCL 6/24/2019 4.3 5.0 -14.1% D 11,892
AVAV 6/25/2019 10.9 13.2 -17.1% F 2,395
FDS 6/25/2019 5.8 4.4 31.0% A 23,497
FDX 6/25/2019 4.4 4.4 -1.8% D 201,315
LEN 6/25/2019 5.8 4.4 31.1% B 11,468
MU 6/25/2019 6.7 6.2 8.2% D 417,882
FIZZ 6/26/2019 9.7 6.4 51.6% C 5,474
GIS 6/26/2019 3.1 3.9 -20.4% C 27,653
KBH 6/26/2019 6.6 4.8 36.7% D 12,371
PAYX 6/26/2019 3.2 1.7 91.0% B 12,452
APOG 6/27/2019 7.6 9.6 -21.0% D 1,530
CAG 6/27/2019 4.8 7.0 -31.2% C 7,860
MKC 6/27/2019 4.3 4.2 1.4% B 10,553
NKE 6/27/2019 4.4 5.1 -14.7% C 139,240
WBA 6/27/2019 4.9 5.4 -7.9% C 58,067
GBX 6/28/2019 7.8 6.2 25.8% C 2,016
STZ 6/28/2019 4.0 6.0 -33.8% C 151,734
AYI 7/2/2019 6.0 9.2 -34.6% B 21,522
PEP 7/9/2019 2.6 2.1 23.9% A 229,114
BBBY 7/10/2019 12.7 12.5 1.5% F 19,404
FAST 7/10/2019 5.5 5.8 -6.2% C 9,622
DAL 7/11/2019 2.3 2.0 16.2% A 92,244
FRC 7/12/2019 3.9 3.5 11.5% C 2,570
JBHT 7/15/2019 6.0 3.3 80.4% D 15,831
NFLX 7/15/2019 8.0 5.8 37.1% D 3,206,339
BLK 7/16/2019 1.7 2.5 -29.8% B 38,033
COF 7/16/2019 3.3 3.6 -10.8% C 23,833
CSX 7/16/2019 3.9 3.7 4.3% A 68,673
DPZ 7/16/2019 7.0 5.1 37.7% C 39,925
GS 7/16/2019 2.6 3.4 -21.6% C 383,527
IBKR 7/16/2019 4.4 2.3 96.1% D 1,867
JNJ 7/16/2019 1.5 2.2 -31.2% A 396,226
JPM 7/16/2019 2.8 1.7 69.3% B 586,366
MLNX 7/16/2019 4.3 3.6 20.5% C 58,024
OMC 7/16/2019 5.7 4.3 30.6% C 4,955
UAL 7/16/2019 5.6 6.5 -14.5% B 82,322
UNH 7/16/2019 2.8 3.3 -14.7% A 370,096
WFC 7/16/2019 3.6 1.9 90.4% C 242,530
AA 7/17/2019 7.9 5.1 53.7% F 12,516
ABT 7/17/2019 2.5 2.3 7.4% B 83,566
AXP 7/17/2019 3.7 2.8 33.4% A 111,751
BAC 7/17/2019 2.4 2.1 16.7% B 589,425
BK 7/17/2019 4.4 4.3 0.9% C 20,208
CMA 7/17/2019 3.7 2.1 72.6% A 4,669
EBAY 7/17/2019 5.5 5.7 -3.4% C 66,656
IBM 7/17/2019 3.9 5.7 -30.9% B 232,414
KMI 7/17/2019 3.0 1.6 92.0% C 52,307
MS 7/17/2019 2.5 2.7 -7.1% D 125,011
PGR 7/17/2019 2.2 3.3 -31.3% A 22,441
PNC 7/17/2019 2.9 1.9 50.5% B 41,077
PTC 7/17/2019 2.3 5.0 -54.6% D 7,674
TXT 7/17/2019 2.1 4.5 -53.5% C 3,937
URI 7/17/2019 4.7 6.2 -23.9% B 53,184
USB 7/17/2019 2.7 1.6 66.9% C 39,126

 

Volatility Standouts

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
SNCR 73.48% F 0.00% 17.51 338
CNTY 7.24E-01 C 0.00% 28.97 750
WWE 69.02% F -0.80% 72.62 17,545
SRPT 68.95% C -2.76% 91.67 24,315
RUBI 64.73% F 8.16% 12.70 61
S 60.79% F -8.96% 97.62 59,986
CTXS 59.83% C -0.48% 43.65 18,227
PBYI 59.05% F 15.99% 27.78 591
FLO 58.69% B 18.05% 3.17 216
UIS 56.82% C 8.24% 36.90 156
SFM 51.31% C -9.37% 30.16 6,947
GBT 50.21% F -1.29% 46.03 26,330
PRTY 47.36% D -3.21% 88.49 530
BREW 46.19% F -1.99% 99.60 1,161
SAIL 45.62% B 4.19% 24.21 189
ELAN 43.66% C -0.15% 4.07 1,212
CNDT 43.66% C 9.66% 75.00 395
TLYS 42.15% D 8.67% 27.38 533
SCOR 40.14% C -1.25% 94.00 84
SAIC 40.09% C 13.56% 18.25 1,699
VHC 39.77% D -8.99% 57.14 1,113
DOX 39.50% B 4.26% 30.56 587
ZIXI 39.12% F 4.00% 58.73 223
DISH 38.95% F 1.68% 82.14 62,883
 
 
Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
MDSO -69.46% F 31.25% 0.00 30,693
DATA -67.16% C 1.80% 12.70 33,162
BKS -65.79% C 24.95% 0.79 4,659
CRAY -64.51% D 33.96% 3.17 380
APC -58.95% C -1.83% 9.52 214,752
OZK -51.22% C -3.28% 67.46 493
MRTX -48.18% F 10.53% 0.40 78,673
RHT -38.60% C 0.00% 42.06 49,792
LZB -37.04% C -3.12% 70.63 678
SYY -3.67E-01 A -3.09% 69.44 13,847
ZAYO -36.42% D 0.00% 7.14 4,619
WAGE -35.08% D -21.04% 1.19 1,146
TSS -34.78% B 1.78% 63.10 7,480
KEYS -32.91% A -2.27% 50.00 16,388
QCOM -31.02% D -2.02% 87.70 867,284
SGH -31.01% C -3.27% 63.10 525
KHC -30.85% F 0.30% 92.06 91,772
SKX -30.25% C -0.77% 73.41 6,494
CNC -29.72% C -1.09% 72.22 351,199
MLNX -28.91% C -31.73% 19.84 58,024
VZ -25.92% A -2.00% 75.79 379,699
CLR -24.26% D -1.89% 78.97 22,074
BIIB -23.84% B -2.88% 49.60 144,701
MDB -23.16% F -0.66% 57.14 226,332
 
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE