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VIX continues to stay bid in spite of small equity rally

Jun 17, 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 tepidly bid this afternoon as this morning’s weaker-than-expected economic data adds to the accommodative Fed narrative. Currently, the S&P is +.15%, the Russell is +.85% and the Nasdaq is +.60%. Bonds are mixed (short end weaker, long end bid, US 10-year down to 2.085%) as our first glimpse at June economic data wasn’t terribly inspiring (June Empire Manuf. -8.6 v. +11.0 est.; NAHB June Housing Market Index 64 v 67.) In single name news, shares of Array Biopharma are up more than 55% on news that Pfizer will acquire the cancer drug-maker for $10.64 billion. Biotech and the Oil/Gas Exploration sectors are outperforming this afternoon (XBI +4.15%, XOP +1.95%) while Consumer Staples and Utilities (XLP -.45%, XLU -.65%) lag the broader market. Volatilities are mixed with the VIX +2% at 15.60, VXN -1.0% at 20.07, and RVX +0.5% to 18.68.

 

 

ETF 30D Volatility Changes

SPY:    -3%

IWM:    -4%

QQQ:   -4%

 

Directional Options Strategies

Bullish Option Strategies

SQ 2,016 Jul 12th 75 calls trade (appears bought, $1.825, nearly 3,000 trade total, ref. 72.43)

CTVA Buyer 1,750 Jun 27 calls (paid $.35 to open, ref. 26.78)

RIG 4,548 Jul 12th 6 calls trade (appears bought, $.18 , possibly closes write, ref. 5.41)

ATVI 13,821 Jul 40 puts trade (appears sold, b/w $.26 and $.24, opening, ref. 45.72)

CLDR Buyer 5,000 Jun 28th 5.5 calls (paid $.35 to open, ref. 5.62)

ERF 20,000 Jan 7 puts trade (appears sold to open, $.90, ref. 6.84)

MU Buyer 4,000 Jul 33 – 39 call spreads tied to stock (paid $1.53, ref. 32.50)

 

Bearish Option Strategies

STNG 8,000 Jan21 8 puts trade (appears bought in two separate 4,000 lots, $.85, ref. 25.46)

TSLA Seller 6,750 Jul 250 calls and 5,400 Aug 250 calls tied to stock (collects $5.05 on Jul and $10.80 on Aug, possibly closing on both legs, ref. 220.25)

CNX Seller 25,000 Jan 7 puts to Buy 44,000 Jan 5 puts tied to stock (appears to monetize and roll down, ref. 7.21)

MA 7,000 Jun 245 – 255 call spreads trade (appears sold to partially monetize position, $9.05, ref. 259.28)

 

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 13,225 Jul 300 calls trade tied to stock (appears bought, $.63, ref. 289.76)

XLF 7,200 Aug 2nd 28.5 calls trade (appears bought to open, $.15, ref. 27.27)

VIX Buyer 10,000 Jul 16 puts (paid $1.06, ref. 16.78 (Jul))

VIX Seller 10,000 Jul 24th 23 calls (collects $.43 to open, ref. 16.60 (Jul 24th))

 

Bearish Option Strategies

VIX Buyer 10,000 Jun 20 – 28 call spreads (paid $.03, ref. 15.75 (Jun))

QQQ 10,000 Jun 183 – 181 1x2 put spreads trade (if bought collects $.02, ref. 184.05)

QQQ 5,000 Jun 28th 184 – 175 1x2 put spreads trade ($1.73, ref. 183.67)

XBI 4,000 Jul 82 puts trade (appears bought to open, $1.75, ref. 84.60)

EEM 10,000 Jun 40.5 puts trade tied to stock ($.25, ref. 40.90)

FXI 10,000 Sep 38.5 puts trade tied to stock ($.84, ref. 40.40)

XLV 5,000 Sep 89 puts trade (appears bought to open, $1.88, ref. 91.49)

XLU 7,000 Jul 55 puts trade (appears bought, $.08, ref. 60.53)

 

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

 

 

Finance Trades Options Strategies

BABA 3,750 Jul 160 RevCons trade (ref. 159.93)

 

 

 

Upcoming Earnings

 

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
ADBE 6/18/2019 3.5 3.6 -4.4% C 396,924
JBL 6/18/2019 6.0 5.4 11.4% C 2,102
ORCL 6/19/2019 4.5 3.9 12.9% B 100,468
WGO 6/19/2019 8.5 6.9 22.0% C 1,860
DRI 6/20/2019 5.3 6.3 -15.8% A 14,469
KR 6/20/2019 9.0 8.6 5.2% D 64,059
RHT 6/20/2019 0.8 4.9 -84.4% C 44,815
WAGE 6/20/2019 7.1 5.0 43.2% D 1,686
KMX 6/21/2019 5.8 5.6 2.6% C 17,390
CCL 6/24/2019 4.3 5.0 -13.7% D 12,622
AVAV 6/25/2019 10.6 13.2 -19.9% F 5,221
FDS 6/25/2019 5.3 4.4 18.5% A 19,999
FDX 6/25/2019 4.3 4.4 -2.5% D 198,234
LEN 6/25/2019 5.5 4.4 24.6% B 11,742
MU 6/25/2019 6.5 6.2 5.1% D 382,246
FIZZ 6/26/2019 9.6 6.4 50.0% C 4,884
GIS 6/26/2019 3.4 3.9 -12.7% C 20,053
KBH 6/26/2019 6.6 4.8 37.4% D 9,654
PAYX 6/26/2019 3.2 1.7 90.4% B 13,549
CAG 6/27/2019 5.5 7.0 -21.7% C 7,840
MKC 6/27/2019 5.0 4.2 18.1% B 16,545
NKE 6/27/2019 4.6 5.1 -10.8% C 103,890
WBA 6/27/2019 5.0 5.4 -7.1% C 51,976
GBX 6/28/2019 7.1 6.2 13.5% C 1,767
STZ 6/28/2019 4.8 6.0 -20.1% C 186,319
AYI 7/2/2019 7.3 9.2 -20.6% B 20,925
PEP 7/9/2019 2.7 2.1 25.1% A 247,714
BBBY 7/10/2019 14.3 12.5 14.1% F 17,769
FAST 7/10/2019 4.9 5.8 -15.8% C 9,098
DAL 7/11/2019 2.3 2.0 16.7% A 95,947
FRC 7/12/2019 4.2 3.5 19.4% C 2,594
C 7/15/2019 0.5 1.7 -70.3% C 692,736
JBHT 7/15/2019 5.8 3.3 72.6% D 6,151
BLK 7/16/2019 2.5 2.5 -0.7% B 37,630
COF 7/16/2019 4.0 3.6 9.0% C 21,300
CSX 7/16/2019 3.9 3.7 5.7% A 61,085
DPZ 7/16/2019 6.3 5.1 23.8% C 44,412
FNF 7/16/2019 3.6 2.5 44.2% C 1,907
GS 7/16/2019 2.7 3.4 -20.3% C 372,098
IBKR 7/16/2019 1.4 2.3 -38.3% D 1,808
JNJ 7/16/2019 0.8 2.2 -63.8% A 309,485
JPM 7/16/2019 2.9 1.7 72.6% B 567,108
MLNX 7/16/2019 4.4 3.6 21.0% C 52,955
OMC 7/16/2019 5.3 4.3 21.5% C 5,018
SCHW 7/16/2019 1.8 2.3 -24.0% B 26,378
UAL 7/16/2019 4.5 6.5 -30.2% B 87,028
UNH 7/16/2019 2.4 3.3 -27.7% A 350,315
WFC 7/16/2019 3.2 1.9 66.9% C 237,224
AA 7/17/2019 8.4 5.1 64.4% F 19,077
ABT 7/17/2019 2.6 2.3 10.9% B 89,335
AXP 7/17/2019 3.7 2.8 33.7% A 113,939
BAC 7/17/2019 2.5 2.1 19.1% B 494,147
BK 7/17/2019 4.6 4.3 5.4% C 19,229
CMA 7/17/2019 3.8 2.1 79.8% A 5,369
EBAY 7/17/2019 5.9 5.7 3.9% C 61,604
IBM 7/17/2019 4.1 5.7 -28.6% B 212,389
KMI 7/17/2019 2.9 1.6 83.1% C 46,515
MS 7/17/2019 2.8 2.7 2.2% D 108,668
NFLX 7/17/2019 7.5 5.8 29.3% D 3,371,130
PGR 7/17/2019 2.3 3.3 -28.4% A 24,224
PNC 7/17/2019 2.4 1.9 24.8% B 33,218
PTC 7/17/2019 1.4 5.0 -73.1% D 7,984
TCBI 7/17/2019 2.1 5.3 -60.8% D 2,648
TXT 7/17/2019 1.8 4.5 -60.1% C 3,754
URI 7/17/2019 4.9 6.2 -20.6% B 51,352
USB 7/17/2019 2.5 1.6 53.7% C 39,077

 

Volatility Standouts

 

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
SNCR 71.43% F 0.00% 11.06 377
DISH 65.57% F 6.94% 98.02 62,739
SAIC 65.45% C 47.42% 12.70 1,758
ADT 62.18% B 0.00% 47.62 289
CTXS 62.01% C 1.70% 44.44 20,187
ZAGG 58.27% F 36.34% 60.32 159
FLO 58.09% B 2.04% 11.11 286
HTZ 57.34% D 11.31% 100.00 17,604
SRPT 56.87% C -3.08% 77.38 25,297
PBYI 56.10% F 13.78% 35.71 885
CNTY 54.71% C 0.00% 50.40 754
SFM 53.69% C -9.72% 36.90 5,979
RUBI 52.19% F -0.56% 7.14 63
BREW 51.41% F -2.79% 99.21 1,261
UIS 50.35% C -2.39% 45.24 163
VHC 49.78% D 3.38% 50.40 1,024
LOCO 49.54% C 15.35% 44.05 119
BPL 49.30% C 0.00% 8.73 2,531
WWE 48.40% F -0.75% 72.22 18,750
FDP 47.32% D -2.02% 69.05 1,742
GCI 45.90% C 13.53% 92.06 72
SCOR 45.40% C 6.63% 96.43 97
WLH 43.89% D 16.92% 14.68 380
SBRA 43.80% C 21.41% 12.30 656
 
Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
DATA -69.08% C -0.56% 11.51 31,084
CRAY -67.65% D 20.93% 1.98 572
RHT -67.31% C 0.00% 41.27 44,815
MRTX -54.85% F -6.76% 0.79 74,463
SFLY -54.61% C 24.55% 1.19 74,038
OZK -51.57% C 1.00% 58.33 397
APC -46.79% C 0.45% 9.92 163,860
ZAYO -39.49% D -3.44% 7.94 2,655
SKX -38.48% C -6.84% 57.54 5,649
LZB -36.24% C 2.91% 63.49 886
TSS -34.75% B -0.69% 63.10 5,410
ELY -33.44% C -2.95% 82.14 1,265
KHC -32.52% F -0.33% 93.65 74,240
CNC -32.50% C -2.62% 70.24 244,777
QCOM -31.79% D -3.24% 92.06 842,951
SGH -30.03% C -6.85% 75.79 567
CELG -29.45% A 0.08% 11.11 36,871
MDB -27.54% F -4.11% 50.00 235,213
KEYS -26.69% A 1.83% 48.41 12,560
CLR -25.12% D -0.83% 78.17 20,569
PCTY -24.55% C 0.47% 76.19 2,658
PFPT -23.98% C -2.22% 67.06 7,018
BIIB -22.99% B -2.96% 51.98 139,609
GOOGL -2.26E-01 B -2.15% 57.94 3,291,279
 
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE