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VIX down only -1% in spite of strong equity rally

Jun 18, 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 have seen something of a breakout today as Draghi’s comments (suggests further stimulus needed) in combination with positive headlines on G20 (Trump/Xi to meet) have the market embracing risk. Currently, the S&P is +1.05%, the Russell is +1.25% and the Nasdaq is +1.65%. Bonds have been volatile and are offs highs but remain bid across the board (TLT +.45%; US 10-year traded as low as 2.03 as ECB cuts would likely force the Fed to follow). Both Emerging Markets and China are rallying (EEM +2.25%, FXI +2.65%) as market participants hope the Trump/Xi G20 meeting will get talks back on track. Semis and Oil-Related names (tensions with Iran see further escalation) are outperforming this afternoon (SMH +3.85%, XOP +2.05%) while Utilities and Consumer Staples (XLU -.45%, XLP -.45%) lag the broader market. Volatilities are softer but holding in relatively well with the VIX -.50% at 15.26, VXN -2.5% at 19.56, and RVX -2.0% to 18.41.

 

ETF 30D Volatility Changes

SPY:    -3%

IWM:    -2%

QQQ:   -3%

 

Directional Options Strategies

Bullish Option Strategies

INTC 4,800 Jul 5th 48 – 51 call spreads trade ($.78, ref. 47.59)

TXN 3,500 Jul 5th 112 – 117 call spreads trade ($1.55, ref. 110.69)

MU 3,600 Jul 5th 35 – 38 call spreads trade ($.87, ref. 34.13)

FB 3,800 Jul 26th 197.5 calls (appears bought to open, $6.00, ref. 191.90)

X Seller 5,000 June 14.5 – 15 call spreads (collects $.25 to roll up/maintain bullish exposure, ref. 14.57)

Bearish Option Strategies

PEP Seller 10,000 Sep 140 calls (collects b/w, $1.47 and $1.51, ref. 133.04)

CZR Seller 10,000 Jul 10 calls (collects $.46 and appears closing, ref. 9.95)

GE 23,432 Jun 10 puts trade (appears bought, $.10, ref. 10.21)

 

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 11,463 Jul 304 calls trade (appears bought to open, $.49, ref. 293.36)

IWM 10,000 Jul 158 – 164 call spreads trade tied to stock ($1.26, ref. 154.48)

XOP Seller 10,000 Sep 25 puts (collects $1.35, possibly closing, ref. 25.91)

KRE 11,897 Jul 5th 54 calls trade (appears bought to add to position opened yest., $.58, ref. 52.84)

VIX Buyer 20,000 Aug 15 puts (paid $.99, ref. 16.63 (Aug))

VIX Buyer 20,000 Jul 13 puts (paid $.125, ref. 16.30 (Jul)

GDX 6,000 Jun 23 – 25 call spreads trade ($.71, ref. 23.58)

USO 25,000 Jun 28th 11.5 calls trade (appears bought, $.18, ref. 11.19)

FXI Buyer 25,000 Dec 48.5 calls trade tied to stock (paid $.33, ref. 41.48)

FXI 17,039 Jul 5th 43 calls trade (appears bought to open, $.22, ref. 41.41)

 

Bearish Option Strategies

VNQ Buyer 40,000 Sep 86 – 81 put spreads (appears to roll up, $.55, ref. 91.51)

LQD Buyer 5,000 Sep 120 – 115 1x2 put spreads tied to stock (paid $.35, ref. 122.68)

HYG 57,000 Jun 28th 86.5 calls trade (appears sold to monetize existing position, $.50, ref. 86.60)

XRT 10,000 Jul 42 – 41 put spreads trade (appears to roll up, $.34, ref. 42.40)

USO Buyer 18,000 Jan 10 puts (paid $.80, ref. 10.97)

SPY Buyer 26,000 Jul 265 – 260 – 235 put flies (paid $.19, ref. 293.04)

SPY 16,000 Jul 285 puts trade (appears bought, $2.47, ref. 292.70)

EEM Buyer 48,000 Jun 41.5 puts (paid $.21, unclear if opening/closing, ref. 41.78)

TLT Buyer 3,225 Jun 28th 130 puts (appears bought to open, $.28, ref. 132.11)

 

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

 

 

Finance Trades Options Strategies

JNJ 500 Jul 135 RevCons trade (ref. 140.29)

LK 500 Jul 22.5 RevCons trade (ref. 20.78)

 

 

 

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 -2.7% C 412,214
JBL 6/18/2019 6.1 5.4 12.9% C 2,319
ORCL 6/19/2019 4.5 3.9 14.7% B 98,860
WGO 6/19/2019 8.7 6.9 25.2% C 1,070
DRI 6/20/2019 5.1 6.3 -18.4% A 16,761
KHC 6/20/2019 0.6 8.1 -92.0% F 69,616
KR 6/20/2019 7.6 8.6 -11.6% D 66,432
RHT 6/20/2019 0.8 4.9 -83.5% C 45,906
WAGE 6/20/2019 3.2 5.0 -36.6% D 1,699
KMX 6/21/2019 6.2 5.6 9.7% C 19,642
CCL 6/24/2019 4.4 5.0 -12.9% D 11,877
AVAV 6/25/2019 11.1 13.2 -15.7% F 6,631
FDS 6/25/2019 5.7 4.4 27.8% A 20,424
FDX 6/25/2019 4.6 4.4 2.9% D 209,526
LEN 6/25/2019 5.7 4.4 29.5% B 11,162
MU 6/25/2019 6.7 6.2 7.9% D 371,642
FIZZ 6/26/2019 9.9 6.4 54.9% C 4,530
GIS 6/26/2019 3.7 3.9 -7.2% C 19,038
KBH 6/26/2019 7.2 4.8 48.9% D 8,522
PAYX 6/26/2019 3.4 1.7 99.6% B 13,626
CAG 6/27/2019 6.0 7.0 -14.8% C 7,305
MKC 6/27/2019 5.1 4.2 21.0% B 18,733
NKE 6/27/2019 5.0 5.1 -2.1% C 103,714
WBA 6/27/2019 5.0 5.4 -7.0% C 47,834
GBX 6/28/2019 7.6 6.2 21.5% C 1,777
STZ 6/28/2019 5.1 6.0 -14.9% C 109,475
AYI 7/2/2019 7.4 9.2 -19.1% B 10,682
PEP 7/9/2019 2.5 2.1 19.2% A 252,260
BBBY 7/10/2019 14.0 12.5 11.8% F 17,522
FAST 7/10/2019 4.8 5.8 -17.8% C 8,138
DAL 7/11/2019 3.4 2.0 70.4% A 73,854
FRC 7/12/2019 4.6 3.5 30.9% C 2,630
C 7/15/2019 2.9 1.7 74.0% C 676,933
JBHT 7/15/2019 6.2 3.3 84.4% D 6,528
BLK 7/16/2019 2.7 2.5 10.2% B 35,258
CSX 7/16/2019 4.0 3.7 7.2% A 57,306
DPZ 7/16/2019 6.5 5.1 28.0% C 45,226
FNF 7/16/2019 4.8 2.5 91.9% C 1,704
GS 7/16/2019 3.4 3.4 0.9% C 332,750
IBKR 7/16/2019 4.9 2.3 118.1% D 1,591
JPM 7/16/2019 3.4 1.7 101.0% B 496,394
MLNX 7/16/2019 5.1 3.6 41.5% C 52,805
OMC 7/16/2019 5.1 4.3 17.4% C 5,281
SCHW 7/16/2019 3.3 2.3 41.0% B 23,519
UAL 7/16/2019 4.8 6.5 -25.9% B 84,681
UNH 7/16/2019 3.1 3.3 -4.4% A 355,145
WFC 7/16/2019 3.5 1.9 83.4% C 230,356
AA 7/17/2019 7.4 5.1 43.5% F 19,296
ABT 7/17/2019 2.8 2.3 19.6% B 90,152
AXP 7/17/2019 3.6 2.8 30.7% A 110,176
BAC 7/17/2019 3.6 2.1 72.2% B 467,199
BK 7/17/2019 5.0 4.3 15.6% C 18,488
CMA 7/17/2019 4.4 2.1 105.6% A 5,312
EBAY 7/17/2019 5.9 5.7 3.7% C 65,342
IBM 7/17/2019 4.6 5.7 -18.8% B 187,308
KMI 7/17/2019 2.4 1.6 52.2% C 44,825
MS 7/17/2019 3.8 2.7 40.1% D 103,523
NFLX 7/17/2019 7.2 5.8 23.7% D 3,278,690
PGR 7/17/2019 2.9 3.3 -9.6% A 25,551
PNC 7/17/2019 3.2 1.9 65.9% B 37,531
PTC 7/17/2019 4.4 5.0 -11.9% D 7,657
TCBI 7/17/2019 4.8 5.3 -10.1% D 1,083
TXT 7/17/2019 5.5 4.5 22.0% C 3,911
URI 7/17/2019 6.3 6.2 2.2% B 43,494
USB 7/17/2019 3.0 1.6 84.3% C 38,696

 

Volatility Standouts

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
BREW 74.33% F -1.09% 99.60 1,311
FLO 62.01% B 7.34% 5.18 315
BPL 61.49% C 0.00% 0.40 2,178
SAIC 59.95% C 37.91% 14.74 1,809
CTXS 59.68% C -2.21% 37.45 21,165
SRPT 57.54% C -4.95% 94.02 37,263
NHTC 57.15% D 1.26% 54.58 434
FDP 56.95% D 2.99% 54.98 1,859
VHC 54.24% D 0.41% 41.43 936
TLYS 53.92% D 3.37% 24.70 80
DVA 53.54% C -3.15% 74.50 46,510
UIS 51.10% C -5.09% 38.65 130
GPK 50.09% C -6.76% 90.04 1,636
TMUS 49.43% C 1.28% 88.84 61,514
EVRI 48.83% C 12.12% 26.69 293
CARG 46.16% C 0.08% 16.33 2,704
EPAY 45.01% C 1.48% 63.75 2,011
SCOR 44.14% C 0.98% 95.62 103
CARB 42.92% D 1.11% 27.49 448
QUAD 41.95% C 7.76% 58.96 310
WLH 41.91% D -3.94% 33.86 161
DISH 41.82% F -1.47% 80.88 62,644
CVA 41.62% B 8.57% 35.46 605
ELAN 41.46% C -4.67% 28.00 1,578
 
Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
BKS -72.20% C -8.74% 0.80 5,407
DATA -70.76% C 0.97% 9.56 29,513
SFLY -58.76% C 9.74% 0.40 72,862
RHT -54.61% C 63.08% 43.82 45,906
OZK -50.61% C 1.69% 64.54 381
APC -46.56% C 10.40% 9.56 112,841
ZAYO -38.89% D -3.45% 5.58 2,329
ELY -38.35% C -3.97% 78.88 1,284
MRTX -37.11% F 0.54% 0.40 69,939
SKX -35.31% C 2.53% 59.36 5,350
KHC -35.16% F -3.36% 94.02 69,616
SGH -32.05% C -2.35% 64.14 598
SUM -29.61% D -10.94% 76.49 4,283
LZB -29.24% C 4.80% 80.08 1,244
VFC -28.30% F -10.77% 64.80 4,324
AABA -26.50% D -3.31% 11.16 93,591
QCOM -25.59% D -1.50% 84.46 765,101
TSS -24.56% B 8.00% 60.56 5,180
MDB -24.52% F -2.73% 44.22 249,126
BIIB -22.44% B -1.20% 53.78 120,995
DXCM -22.13% F -2.60% 20.32 23,634
RTN -21.16% B 2.25% 52.59 109,805
AOBC -20.81% F 0.76% 84.46 733
UTX -20.40% C -3.70% 61.75 131,755
 
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE