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VIX up 2.5% ahead of Fed announcement

Jun 19, 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

Today’s market action has a ‘calm before the storm’ feel to it as equities dance around unchanged ahead of this afternoon’s FOMC decision/press conference. Currently, the S&P is -.05%, the Russell is -.10% and the Nasdaq is -.10%. Bonds are modestly weaker (TLT -.50%, US 10-year up to 2.085%) and it will be interesting to see how rates react post-announcement. In single name news, shares of Adobe are up more than 4.5% after reporting quarterly revenues that were roughly in line with expectations ($2.74B vs. $2.70B est.) Also worth noting, was a report from Nikkei early this morning that Apple (roughly unchanged) is considering moving between 15 – 30% of its production out of China. Oil is softer but off lows after a positive inventory reports (Crude -3.1M vs. -1.5M est.) Financials and Healthcare are outperforming this afternoon (XLF +.40%; XLV +.45%) while Homebuilders and Materials (XHB -1.25%, XLB -.95%) lag the broader market. Volatilities are bid with the VIX +2.5% at 15.51, VXN +1.5% at 19.83, and RVX +2% to 18.49.

 

ETF 30D Volatility Changes

SPY:    +2%

IWM:    +2%

QQQ:   FLAT

 

 

Directional Options Strategies

Bullish Option Strategies

GM 5,000 Jul 40 calls trade (appears bought to open, $.23, ref. 37.37)

LEN 2,800 Jul 52.5 – 57.5 call spreads trade (opening, $1.05, ref. 50.76)

SRPT 3,245 Jun 115 – Aug 135 call spreads trade (appears to monetize, rolls out and up, $5.05, ref. 134.96)

CTRP 2,000 Jul 12th 37.5 calls trade (appears bought, $.99, ref. 36.45)

 

Bearish Option Strategies

SPY 23,219 Jul 5th 296 calls trade (appears bought to open, $1.40, more than 50,000 trade on the day, ref. 292.43)

EEM Buyer 30,000 Jun 42.5 calls (paid $.14, unclear if opening or closing, ref. 41.99)

XLI 5,000 Jun 28th 77 calls trade (appears bough to open, $.50, ref. 76.49)

USO 15,000 Aug 2nd 11.5 calls trade tied to stock (appears bought to open, $.51, ref. 11.26)

USO Seller 16,000 Jan 10 puts (collects $.71, possibly closing, ref. 11.11)

XLU 8,000 Jul 12th 60 – 62 call spreads trade ($.65, ref. 60.37)

GDX 10,000 Dec 27 calls trade (appears bought to open, $.68, ref. 23.58)

 

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 23,219 Jul 5th 296 calls trade (appears bought to open, $1.40, more than 50,000 trade on the day, ref. 292.43)

EEM Buyer 30,000 Jun 42.5 calls (paid $.14, unclear if opening or closing, ref. 41.99)

XLI 5,000 Jun 28th 77 calls trade (appears bough to open, $.50, ref. 76.49)

USO 15,000 Aug 2nd 11.5 calls trade tied to stock (appears bought to open, $.51, ref. 11.26)

USO Seller 16,000 Jan 10 puts (collects $.71, possibly closing, ref. 11.11)

XLU 8,000 Jul 12th 60 – 62 call spreads trade ($.65, ref. 60.37)

GDX 10,000 Dec 27 calls trade (appears bought to open, $.68, ref. 23.58)

 

Bearish Option Strategies

VIX Buyer 25,000 Jul 20 – 24 – 28 call flies (paid $.22, ref. 16.48 (Jul))

XLP 4,379 Jul 5th 58 puts trade (appears bought to open, $.63, ref. 58.50)

SPY 15,000 Jun 19th 289.5 puts trade (appears bought to open, $.32, more than 25,000 trade total, ref. 292.43)

SPY 2,500 Jul 1st 289 - 284 - 279 put flies trade ($.60, ref. 292.26)

HYG Buyer 5,000 Jun 86 – 85 put stupids (paid $.15, ref. 86.69)

EEM Buyer 10,000 Jun 42 – 41.5 1x2 put spreads and 10,000 Jul 43 calls tied to stock (paid $.55 on the package, ref. 42.02)

EFA Seller 16,000 Jun20 64 – 71 call spreads tied to stock (collects $3.20 to open, ref. 64.82)

LQD 5,000 Aug 123 calls trade vs. 5,000 Aug 122 – 119 1x2 put spreads (collects $.09 if sells call to buy 1x2, ref. 122.36)

TLT Buyer 5,000 Jun 129.5 puts (paid $.08 to open, ref. 131.76)

 

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

 

 

Finance Trades Options Strategies

LQD 5,000 Jul 125 RevCons trade (ref. 122.42)

SPY 10,000 Jul 290 RevCons trade (ref. 292.40)

BYND 1,500 Jun 180 RevCons trade (ref. 171.08)

 

 

 

Upcoming Earnings

 

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
ORCL 6/19/2019 4.8 3.9 20.9% B 116,685
DRI 6/20/2019 5.2 6.3 -16.4% A 18,049
KR 6/20/2019 7.9 8.6 -7.3% D 71,282
RHT 6/20/2019 0.6 4.9 -87.0% C 40,006
KMX 6/21/2019 6.9 5.6 21.6% C 21,006
CCL 6/24/2019 4.5 5.0 -10.1% D 11,635
AVAV 6/25/2019 11.1 13.2 -15.7% F 7,076
FDS 6/25/2019 4.8 4.4 7.5% A 28,558
FDX 6/25/2019 4.5 4.4 2.3% D 201,143
LEN 6/25/2019 5.9 4.4 32.3% B 11,080
MU 6/25/2019 6.7 6.2 7.3% D 413,846
FIZZ 6/26/2019 12.3 6.4 91.4% C 4,552
GIS 6/26/2019 3.6 3.9 -8.4% C 18,576
KBH 6/26/2019 7.1 4.8 48.4% D 8,523
PAYX 6/26/2019 3.4 1.7 101.4% B 12,053
MKC 6/27/2019 5.4 4.2 28.7% B 25,242
NKE 6/27/2019 5.2 5.1 1.8% C 108,453
WBA 6/27/2019 5.0 5.4 -7.0% C 44,413
GBX 6/28/2019 8.0 6.2 28.1% C 1,733
STZ 6/28/2019 5.0 6.0 -17.1% C 111,538
AYI 7/2/2019 7.5 9.2 -18.0% B 10,860
HELE 7/9/2019 6.4 8.7 -27.0% C 1,860
LNN 7/9/2019 6.6 6.4 2.7% D 1,988
PEP 7/9/2019 2.5 2.1 18.5% A 275,056
BBBY 7/10/2019 14.4 12.5 14.5% F 17,781
FAST 7/10/2019 5.0 5.8 -13.8% C 8,656
DAL 7/11/2019 3.2 2.0 60.2% A 70,248
FRC 7/12/2019 4.5 3.5 29.6% C 1,531
C 7/15/2019 2.4 1.7 42.0% C 712,327
JBHT 7/15/2019 6.6 3.3 96.3% D 7,371
BLK 7/16/2019 2.7 2.5 10.3% B 37,985
CSX 7/16/2019 4.1 3.7 11.1% A 46,071
DPZ 7/16/2019 6.5 5.1 27.4% C 52,380
FNF 7/16/2019 4.8 2.5 91.9% C 2,029
GS 7/16/2019 2.9 3.4 -15.2% C 320,031
IBKR 7/16/2019 4.8 2.3 114.2% D 1,590
JNJ 7/16/2019 1.2 2.2 -44.3% A 284,904
JPM 7/16/2019 2.9 1.7 74.6% B 495,324
MLNX 7/16/2019 1.8 3.6 -51.2% C 48,226
OMC 7/16/2019 5.1 4.3 18.1% C 4,925
PLD 7/16/2019 1.0 1.8 -42.8% D 14,059
SCHW 7/16/2019 3.4 2.3 46.5% B 24,603
UAL 7/16/2019 4.7 6.5 -28.1% B 87,336
UNH 7/16/2019 3.0 3.3 -7.9% A 349,925
WFC 7/16/2019 3.2 1.9 67.3% C 253,972
AA 7/17/2019 7.3 5.1 43.1% F 23,603
ABT 7/17/2019 2.3 2.3 -1.5% B 103,851
BAC 7/17/2019 2.5 2.1 20.4% B 460,599
BK 7/17/2019 5.1 4.3 18.3% C 19,765
CMA 7/17/2019 3.7 2.1 75.6% A 5,449
EBAY 7/17/2019 5.6 5.7 -1.7% C 71,427
IBM 7/17/2019 4.6 5.7 -19.5% B 184,361
KMI 7/17/2019 2.0 1.6 23.4% C 44,036
MS 7/17/2019 3.5 2.7 27.5% D 102,892
NFLX 7/17/2019 7.3 5.8 25.3% D 3,269,464
PGR 7/17/2019 2.9 3.3 -11.7% A 25,189
PNC 7/17/2019 2.8 1.9 45.2% B 38,341
PTC 7/17/2019 3.4 5.0 -32.9% D 7,088
TXT 7/17/2019 4.8 4.5 6.9% C 4,341
URI 7/17/2019 5.7 6.2 -8.0% B 48,044
USB 7/17/2019 2.5 1.6 55.8% C 35,753
ALLY 7/18/2019 4.1 3.0 34.5% A 20,135
BBT 7/18/2019 2.5 2.1 21.8% C 18,394
BX 7/18/2019 1.1 2.4 -53.7% D 169,610
CE 7/18/2019 3.9 3.2 21.8% B 4,476
COF 7/18/2019 4.0 3.6 9.4% C 20,278
CTAS 7/18/2019 5.1 4.2 20.8% B 3,652
DHR 7/18/2019 3.6 2.6 35.9% C 20,048
DOV 7/18/2019 3.7 3.3 11.7% B 3,335
ETFC 7/18/2019 5.1 2.3 126.6% B 9,276
GPC 7/18/2019 4.0 4.2 -6.1% B 7,146
ISRG 7/18/2019 3.0 4.5 -33.2% C 179,943
MSFT 7/18/2019 1.8 2.8 -34.1% A 2,012,327
MTB 7/18/2019 2.3 2.9 -21.6% A 2,289
NUE 7/18/2019 3.3 2.2 51.6% C 18,489
PM 7/18/2019 4.1 3.5 15.4% B 139,400
PPG 7/18/2019 2.9 2.4 22.0% B 11,645
SBNY 7/18/2019 2.4 4.0 -39.6% D 4,614
SKX 7/18/2019 11.1 16.2 -31.9% C 6,062
SNA 7/18/2019 5.2 6.9 -24.7% B 10,280
STI 7/18/2019 2.6 1.8 47.5% C 5,360
SWKS 7/18/2019 4.2 6.4 -33.6% D 45,257
UNP 7/18/2019 3.9 3.4 15.6% B 98,224

 

Volatility Standouts

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
DISH 65.52% F 3.27% 96.03 60,189
BREW 65.13% F -3.47% 97.62 1,272
DVA 65.02% C 6.08% 77.38 46,427
CTXS 64.54% C -5.64% 53.97 20,560
FDP 63.41% D 7.38% 48.41 2,170
BPL 63.04% C 0.00% 0.79 2,117
NHTC 62.37% D 13.88% 55.95 397
TLYS 60.46% D 3.83% 25.40 72
ADT 5.94E-01 B 0.00% 58.73 182
VHC 57.19% D 2.78% 35.71 996
GPK 55.96% C -1.26% 88.49 1,562
FLO 55.69% B 8.48% 3.97 324
UIS 55.35% C 7.43% 37.70 125
EPAY 52.20% C 5.20% 55.95 2,006
TMUS 51.93% C 5.11% 88.49 76,356
SRPT 49.02% C -3.03% 92.06 51,808
SFM 47.33% C 1.91% 33.33 7,770
SPTN 47.31% D 7.62% 97.62 69
CARB 45.18% D 1.40% 28.97 477
ROL 44.60% C 6.94% 76.19 690
WWE 44.26% F 1.73% 73.41 17,419
QUAD 44.15% C 10.80% 61.51 305
CNDT 42.60% C 0.99% 77.38 363
STWD 40.63% C 56.25% 36.90 415
 
Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
BKS -71.32% C -9.15% 1.98 5,691
DATA -69.43% C 1.35% 9.52 27,660
RHT -59.97% C 46.75% 30.56 40,006
OZK -54.20% C -13.08% 58.33 357
APC -49.43% C -3.41% 11.90 110,646
CRAY -49.07% D 37.39% 1.98 532
MRTX -43.87% F -8.33% 0.00 48,905
ELY -37.69% C -4.12% 80.16 1,327
USM -37.37% A -0.64% 46.43 6,507
KHC -36.29% F -3.18% 92.86 66,205
SKX -34.96% C 6.72% 59.52 6,062
SGH -34.80% C 1.42% 46.03 643
TDS -33.37% B -6.69% 92.06 1,151
SUM -29.33% D 2.61% 66.67 4,608
AABA -28.93% D 5.40% 0.79 87,021
SPWR -28.80% D -2.81% 42.86 5,549
TPCO -28.00% F -11.79% 72.62 1,235
QCOM -27.82% D 0.38% 81.75 793,401
LZB -27.08% C -27.02% 95.24 2,612
KEYS -25.22% A -0.47% 46.83 10,099
BIIB -25.02% B -3.29% 45.63 113,200
MDB -24.87% F -1.30% 34.92 261,281
CREE -24.29% F -1.77% 22.62 15,878
CELG -24.11% A 0.14% 19.44 37,242
 

 

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