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Markets Steady Ahead of FOMC Meeting

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

 

ETF 30D IV 30D IV
Percentile
90D IV 90D IV
Percentile
90D/30D IV 90D/30D IV
Percentile
30D IV-
20D HV
30D IV-20D HV
Percentile
90D IV-
60D HV
90D IV-60D HV
Percentile
SPY 16.27 76.39% 15.72 74.6% 0.97 15.08% 2.09 66.87% 4.08 87.3%
QQQ 21.24 73.41% 20.34 73.02% 0.96 25.2% 3.47 70.04% 5.83 94.84%
IWM 19.68 74.21% 18.91 77.38% 0.96 27.78% 0.12 38.49% 1.59 59.13%
FEZ 18.81 85.52% 15.54 54.76% 0.83 3.37% 1.8 68.45% 1.47 66.27%
EEM 18.74 60.52% 18.29 47.22% 0.98 27.58% -1.12 30.56% 1.56 83.73%

 

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

 

Markets failed to show much conviction in either direction this week as investors took a deep breath ahead of next week’s FOMC meeting. The Bulls will be hoping for an incrementally dovish Jay Powell (i.e. hinting at future cuts) but they could be disappointed as this week’s latest economic data was fairly positive. Both the New York and Atlanta Fed boosted their Q2 GDP forecasts Friday (Atlanta 2.1% v. 1.4% prior, New York 1.4% v. 1.0% prior) For the week, the S&P gained roughly .50% while bonds also ticked higher (TLT +.25%, US10YR down to 2.095%). Despite the impressive rally in risk assets these first two weeks of June, the VIX has held in well (June future trading around 15.90) and finished the week only modestly softer. Next week is sure to deliver some excitement as Jay Powell speaks Wednesday and preliminary ISM June Manufacturing/Services data will print Friday morning.

Highlights from this Week:

  • M&A Deals kick off the week - Raytheon and United Technologies agree to a ‘Merger of Equals’; Salesforce acquires Tableau for $15.3 billion.
  • May CPI prints in line with expectations (0.1% vs. 0.1% est.)
  • Oil has volatile week – Moves lower on softer demand (API Inventories +4.9M v. +3.5M prior); Spikes higher on reports of attack on two oil tankers off the coast of Iran.
  • Broadcom’s ominous earnings call – CEO points to trade tensions as the cause of ‘reduced visibility’ and ‘demand volatility’ – Semis fall 2.5% Friday
  • Chinese data mixed – Industrial Production misses (+5.0% v +5.4% est.; lowest since 2002); Retail Sales beats (+8.6% v +8.1% est.)
  • Retail Sales (ex-auto) +0.5% vs. +0.4% est.; May Industrial Production +0.4% vs. +0.2% est.

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

Bullish: KSA 9,900 Jun 33 calls trade vs. 14,850 Sep 36 calls (Saudi Arabia ETF, appears to monetize and roll calls out/up, ref 34.46)

Bullish: JNK 10,000 Sep 108 – 109 1x2 call spreads trade (even, opening, ref. 107.92)

Bullish: VIX Buyer 30,000 Jun 15 puts (paid $.20, ref. 16.35 (Jun))

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)

 

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

Bearish: HYG Buyer 20,500 Jul 5th 85.5 – 83.5 put spreads (paid $.325 to open, ref. 86.30)

Bearish: LQD 10,000 Jul 121 puts trade (appears bought top open, $.65, ref. 121.34)

Bearish: SPY Seller 5,500 Jun 295 calls to Buy 11,000 Jun 284 – 275 1x2 put spreads (ref. 289.13)

Bearish: TLT Buyer 20,000 Jun - Jul 5th 129 put spreads (paid $.49 to roll out, ref. 131.11)

 

OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE