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VIX unchanged as equities continue to trade in tight range

Jun 14, 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 mildly softer this afternoon on the heels of Broadcom’s ominous earnings call and some mixed data out of China overnight. Currently, the S&P is -.25%, the Russell is -.75% and the Nasdaq is -.50%. Bonds are mixed (short end weaker, long end bid, US 10-year down to 2.085%) after a couple of reasonably positive economic data points this morning (Retail Sales (ex-auto) +0.5% vs. +0.4% est.; May Industrial Production +0.4% vs. +0.2% est.). The Atlanta Fed revised its Q2 GDP forecast up to 2.1% (from 1.4%) after taking this morning’s data into account. Emerging Markets are seeing a bit of selling pressure this afternoon (EEM -.95%) as the dollar sees strength (UUP +.50%). In single name news, shares of Broadcom are under pressure (AVGO -6.5%) after the firm’s CEO pointed to trade tensions as the cause of ‘reduced visibility’ and ‘demand volatility’ for the second half of 2019. Gold Miners and Real Estate are outperforming this afternoon (GDX +1.35%, IYR +.10%) while Biotech and Semis (XBI -1.30%, SMH -2.65%) lag the broader market. Volatilities are mixed with the VIX-.40% to 15.76, VXN +1.0% at 20.20, and RVX +1.0% to 19.07.

 

ETF 30D Volatility Changes

SPY:    FLAT

IWM:    +2%

QQQ:   +1%

 

Directional Options Strategies

Bullish Option Strategies

AA 6,452 Oct 24 calls trade (appears bought, $1.40, more than 12,000 trade total, ref. 21.81)

BOX 3,500 Jul 20 calls trade (appears bought to open, b/w $.23 and $.24, ref. 17.82)

VALE 4,000 Jan 14 calls trade tied to stock (appears bought to open, $1.17, ref. 13.23)

 

Bearish Option Strategies

WU Buyer 10,000 Jul 19 – 18 put spreads (paid $.16, appears to roll puts up, ref. 19.90)

GE 20,000 Jun 10 puts trade (paid b/w $.10 and $.12, ref. 10.25)

PEP 10,000 Sep 140 calls trade (appears sold to open write, $1.40, ref. 133.15)

DRI Seller 1,225 June 115 – 110 1x2 put spreads (collects $.80, ref. 119.71)

MAS 6,500 Jun 38 puts trade vs. 4,000 Jul 37 puts (appears to monetize and roll out/down, ref. 38.35)

ET Seller 5,000 Oct 15 calls (untied, collects $.45, possibly closing, ref. 14.08)

 

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 Seller 6,500 Jun 23 - 25 call spreads to Buy 6,500 Aug 24 - 26 call spreads (collects $.13 to roll out and up, ref. 23.59)

EWZ Buyer 15,000 Jun 41 calls (paid $1.90, possibly closing, ref. 42.82)

XLF Seller 30,000 Sep 25 puts tied to stock (collects $.425, appears sold to close, ref. 27.02)

USO 5,000 Jul 5th 11 calls trade (appears bought to open, $.43, ref. 10.98)

 

Bearish Option Strategies

XBI Seller 5,000 Jun 83 - 75 put spreads to Buy 5,000 Jul 80 - 73 put spreads (monetizes, trades even, rolls out and down, ref. 82.80)

SMH Buyer 10,000 Jul 90 puts (paid $.67, possibly closing, ref. 102.54)

GLD 10,818 Jul 26th 122 puts trade (appears bought, $.19, more than 21,000 trade, ref. 127.54)

SPX Buyer 7,000 Jul 2650 – 2600 put spreads (paid $2.60, ref. 2890.30)

HYG Buyer 3,000 Aug 83 – 78 put spreads (paid $.29, ref. 8.32)

EWZ Buyer 10,000 Jul 42 puts tied to stock (paid $1.55, ref. 42.72)

VIX Buyer 11,500 Sep 20 calls (paid $1.575, ref. 17.48 (Sep))

 

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

 

 

Finance Trades Options Strategies

EFA 30,000 Jun 14th 65 RevCons trade (ref. 65.18)

EWZ 10,000 Jun 47 RevCons trade (ref. 42.69)

 

 

 

Upcoming Earnings

 

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
PYX 6/14/2019 12.4 15.7 -21.1% F 1,607
ADBE 6/18/2019 3.6 3.6 -1.6% C 390,734
JBL 6/18/2019 6.2 5.4 15.8% C 2,158
ORCL 6/19/2019 4.5 4.1 9.9% B 97,197
WGO 6/19/2019 8.5 6.9 23.2% C 2,001
DRI 6/20/2019 5.1 6.3 -18.2% A 12,514
KR 6/20/2019 8.4 8.4 0.5% D 60,342
RHT 6/20/2019 0.2 4.9 -95.3% C 50,466
KMX 6/21/2019 5.8 5.6 1.9% C 17,715
AVAV 6/25/2019 10.9 13.2 -17.6% F 4,920
FDS 6/25/2019 5.5 4.4 23.6% A 24,973
FDX 6/25/2019 4.4 4.4 -1.4% D 202,022
LEN 6/25/2019 5.7 4.4 28.5% B 11,257
MU 6/25/2019 6.5 6.2 5.0% D 373,989
FIZZ 6/26/2019 10.0 6.4 56.1% C 5,260
GIS 6/26/2019 3.0 3.9 -24.9% C 20,367
KBH 6/26/2019 6.4 4.8 32.3% D 9,504
PAYX 6/26/2019 3.3 1.7 91.8% B 13,896
APOG 6/27/2019 6.8 9.6 -28.4% D 1,485
CAG 6/27/2019 5.2 7.0 -26.7% C 7,747
MKC 6/27/2019 4.9 4.2 16.7% B 15,964
NKE 6/27/2019 4.3 5.1 -15.2% C 112,747
WBA 6/27/2019 5.1 5.4 -5.1% C 56,668
GBX 6/28/2019 7.6 6.2 21.7% C 1,696
STZ 6/28/2019 4.1 6.0 -31.2% C 160,530
AYI 7/2/2019 6.1 9.2 -34.0% B 20,841
PEP 7/9/2019 2.6 2.1 22.7% A 227,329
BBBY 7/10/2019 13.6 12.5 8.3% F 18,106
FAST 7/10/2019 5.8 5.8 -0.3% C 8,481
DAL 7/11/2019 1.9 2.0 -4.7% A 93,402
FRC 7/12/2019 4.1 3.5 18.9% C 2,672
JBHT 7/15/2019 5.8 3.3 73.6% D 13,970
NFLX 7/15/2019 7.9 5.8 35.8% D 3,263,224
BLK 7/16/2019 2.1 2.5 -15.2% B 38,591
COF 7/16/2019 3.7 3.6 0.8% C 21,000
CSX 7/16/2019 4.3 3.7 15.5% A 66,168
DPZ 7/16/2019 6.7 5.1 32.2% C 46,662
GS 7/16/2019 2.7 3.4 -20.1% C 372,059
JNJ 7/16/2019 1.0 2.2 -53.1% A 320,981
JPM 7/16/2019 3.0 1.7 80.0% B 603,839
MLNX 7/16/2019 4.4 3.6 20.9% C 58,292
OMC 7/16/2019 5.4 4.3 25.2% C 5,265
SCHW 7/16/2019 2.9 2.3 23.6% B 21,357
UAL 7/16/2019 4.8 6.5 -25.8% B 77,001
UNH 7/16/2019 2.8 3.3 -13.1% A 359,717
WFC 7/16/2019 3.6 1.9 90.9% C 242,242
AA 7/17/2019 7.9 5.1 54.4% F 12,432
ABT 7/17/2019 2.4 2.3 3.0% B 86,999
AXP 7/17/2019 3.7 2.8 33.7% A 111,159
BAC 7/17/2019 2.9 2.1 41.5% B 553,684
BK 7/17/2019 4.5 4.3 3.3% C 19,336
CMA 7/17/2019 3.8 2.1 76.9% A 5,851
EBAY 7/17/2019 5.6 5.7 -2.5% C 66,854
IBM 7/17/2019 4.1 5.7 -27.1% B 218,841
KMI 7/17/2019 2.6 1.6 64.3% C 51,084
MS 7/17/2019 2.7 2.7 -1.5% D 116,821
PGR 7/17/2019 1.8 3.3 -45.0% A 22,655
PNC 7/17/2019 3.1 1.9 59.1% B 34,886
PTC 7/17/2019 2.7 5.0 -46.8% D 7,754
TXT 7/17/2019 1.4 4.5 -69.5% C 3,819
URI 7/17/2019 3.8 6.2 -37.9% B 50,507
USB 7/17/2019 2.9 1.6 79.9% C 36,965

 

Volatility Standouts

 

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
RUBI 72.96% F 13.29% 7.94 59
SRPT 66.33% C -1.52% 91.67 24,279
SNCR 65.59% F 0.00% 12.44 383
CNTY 6.51E-01 C 0.00% 21.83 715
FLO 64.58% B 6.77% 8.73 294
UIS 60.98% C 11.69% 44.05 160
CARB 59.84% D 20.83% 28.97 527
S 59.14% F 0.88% 98.41 65,329
CTXS 58.11% C -1.06% 32.94 16,905
SFM 56.66% C -7.43% 28.57 5,681
FNSR 53.61% F -19.97% 99.60 4,947
WWE 50.25% F -0.38% 71.43 18,962
BPL 50.00% C 0.00% 2.78 2,542
CNDT 49.30% C 10.55% 78.57 349
ADT 49.08% B 0.00% 40.08 278
CLVS 44.87% F 6.97% 53.57 3,505
ELAN 44.41% C -1.82% 19.08 1,580
CASA 43.63% D 6.46% 62.70 114
PRTY 43.27% D 3.92% 82.54 555
PBYI 42.66% F -10.99% 62.30 991
BREW 41.88% F -7.50% 99.60 938
SCOR 40.60% C 3.71% 96.02 92
DISH 40.53% F -0.44% 89.29 64,153
DOX 39.79% B -1.26% 37.30 507
 
Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
BKS -69.75% C -0.26% 1.19 5,148
DATA -68.53% C -2.32% 13.49 32,767
RHT -63.47% C 0.00% 46.03 50,466
SFLY -58.09% C 17.90% 0.40 77,011
OZK -51.00% C -1.09% 68.25 321
MRTX -49.64% F 3.20% 0.40 75,621
APC -47.82% C -12.29% 8.33 186,066
ZAYO -37.98% D 2.50% 7.14 4,398
SYY -37.03% A -3.18% 66.67 12,110
LZB -36.64% C 1.91% 63.10 776
SKX -34.94% C -7.11% 69.05 6,194
KEYS -3.34E-01 A -1.86% 48.81 15,704
KHC -32.34% F -1.72% 91.27 81,708
TSS -3.23E-01 B 2.26% 62.70 6,884
CELG -32.02% A -11.64% 11.11 38,125
ELY -31.12% C -2.99% 86.11 1,228
CNC -30.58% C 0.24% 69.05 289,549
QCOM -29.17% D 1.13% 90.48 843,354
VZ -26.26% A -0.79% 85.32 369,398
VFC -25.81% F -3.98% 69.32 3,644
CLR -25.26% D -1.93% 76.98 21,428
MDB -24.72% F -0.86% 55.56 232,059
PFPT -23.64% C 0.02% 62.70 7,112
BIIB -23.62% B -2.01% 48.02 140,421
 
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE