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VIX up 8.5% in spite of equity rally. Iran fears possibly to blame.

Jun 20, 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

It’s been an interesting day as equities were set to follow through on yesterday’s Fed message before taking a breather post President Trump’s ‘Iran made a big mistake!’ tweet. Currently, the S&P is +.65%, the Russell is +.40% and the Nasdaq is +.70%. Bonds remain bid (curve steepening, TLT +.50%, US 10-year down to 1.985%) as tensions with Iran escalate after a US drone was shot down. Crude oil is bid (USO +4.15%) in sympathy with both a weaker dollar (UUP -.50%) and the  increasingly hawkish rhetoric between the US and Iran. In single name news, shares of Tesla are down more than 3% after Goldman Sachs lowered its price target to $158 from $200. Aerospace/Defense and Gold Miners are outperforming this afternoon (XAR +1.10%; GDX +4.25%) while Financials and Utilities (XLF -0.30%, XLU -.15%) lag the broader market. Volatilities are bid with the VIX +3.0% at 14.81, VXN +3.5% at 19.44, and RVX +1% to 17.83.

 

ETF 30D Volatility Changes

SPY:    +2%

IWM:    FLAT

QQQ:   +3%

 

 

Directional Options Strategies

Bullish Option Strategies

PSTG 9,600 Jul 17.5 calls trade (paid b/w $.35 and $.50, ref. 16.39)

TWTR 5,000 Aug 2nd 37 calls trade tied to stock (appears bought to open, $2.06, Earnings 7/26  ref. 35.38)

M 4,500 Aug 17 puts trade (appears sold to open, $.16, Earnings 8/14, ref. 21.70)

 

Bearish Option Strategies

FCX 8,500 Sep 9 puts trade (opening, $.17, ref. 11.44)

ORCL 5,000 Aug – Dec 52.5 put spreads trade (appears bought to open, $1.36, ref. 57.18)

 

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

EMLC Buyer 8,800 Oct 35 calls (EM Sovereign Debt ETF, paid $.33 to open, ref. 34.55)

QQQ 13,000 Sep 195 – 200 call spreads trade ($1.82, ref. 189.22)

IWM Buyer 20,000 Jul 162 – 166 call spreads (paid $.43, 75,000 trade total, ref. 155.75)

SPY 25,000 Aug 2nd 301 – 307.5 call spreads trade (opening, $1.65, ref. 295.98)

GLD Seller 13,530 Aug 127 – Jan 140 call spreads (collects $1.91, appears to monetize/roll out and up to maintain bullish exposure, ref. 130.25)

GDX Buyer 20,000 Dec 30 calls (paid $.52 to open, ref. 24.69)

VIX Seller 13,000 Jul 24th 20 calls trade (collects $.62 to open, ref. 16.15 (Jul 24th)

XLE 9,584 Jun 64.5 calls trade (appear bought to open, $.03, ref. 63.57)

OIH 10,000 Jun 14.5 – Jul 12th 15 call spreads trade (appears to roll out and up to maintain bullish exposure, ref. 14.45)

ASHR Seller 17,845 Jul12th 17.5 calls to Buy 11,786 Jul 12th 29 calls (monetizes, rolls up to maintain bullish exposure, ref. 28.20)

 

Bearish Option Strategies

EEM Seller 36,000 Jun 43 calls tied to stock (collects $.20, appears closing, ref. 43.04)

SPY 25,000 Jul 26th 265 - 250 - 235 put flies trade (opening, $.18, ref. 295.41)

XLF 10,000 Sep 25 puts trade (appears bought, $.33, ref. 27.30)

HYG Buyer 25,000 Aug 86 puts (paid $.56 to open, ref. 87.65)

VIX Buyer 10,000 Sep 30 – 60 call spreads (paid $.37, ref. 17.08 (Sep))

 

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

 

 

Finance Trades Options Strategies

SPY 10,000 Aug 290 RevCons trade (ref. 295.98)

 

 

 

Upcoming Earnings

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
RHT 6/20/2019 0.5 4.9 -89.1% C 56,555
WAGE 6/20/2019 6.5 5.0 30.6% D 1,832
KMX 6/21/2019 6.4 5.6 12.7% C 22,722
AVAV 6/25/2019 11.2 13.2 -15.4% F 6,925
FDS 6/25/2019 4.7 4.4 7.0% A 31,942
FDX 6/25/2019 4.6 4.4 2.6% D 206,421
LEN 6/25/2019 5.7 4.4 29.8% B 15,913
MU 6/25/2019 6.8 6.2 9.6% D 402,060
FIZZ 6/26/2019 11.0 6.4 71.4% C 5,373
GIS 6/26/2019 3.8 3.9 -3.1% C 20,359
KBH 6/26/2019 6.8 4.8 41.5% D 13,922
PAYX 6/26/2019 3.4 1.7 99.4% B 14,015
CAG 6/27/2019 6.0 7.0 -14.1% C 9,512
MKC 6/27/2019 4.5 4.2 6.0% B 24,424
NKE 6/27/2019 4.9 5.1 -4.7% C 105,085
WBA 6/27/2019 5.2 5.4 -3.9% C 42,571
GBX 6/28/2019 8.5 6.2 36.0% C 1,966
STZ 6/28/2019 5.0 6.0 -16.1% C 104,799
AYI 7/2/2019 7.7 9.2 -16.4% B 10,644
HELE 7/9/2019 6.3 8.7 -27.1% C 1,804
LNN 7/9/2019 6.1 6.4 -4.0% D 2,183
PEP 7/9/2019 2.7 2.1 25.6% A 255,848
BBBY 7/10/2019 14.4 12.5 14.5% F 16,686
FAST 7/10/2019 4.6 5.8 -21.2% C 8,497
DAL 7/11/2019 3.4 2.0 72.7% A 68,673
FRC 7/12/2019 4.6 3.5 31.7% C 961
EROS 7/15/2019 5.8 4.8 19.9% F  
JBHT 7/15/2019 6.5 3.3 93.0% D 7,489
BLK 7/16/2019 1.1 2.5 -57.4% B 36,576
CSX 7/16/2019 3.9 3.7 5.0% A 41,240
DPZ 7/16/2019 6.3 5.1 24.0% C 53,278
FNF 7/16/2019 4.5 2.5 77.7% C 1,989
GS 7/16/2019 2.9 3.4 -15.4% C 298,224
IBKR 7/16/2019 5.8 2.3 156.0% D 1,585
JNJ 7/16/2019 0.9 2.2 -58.7% A 283,879
JPM 7/16/2019 3.0 1.7 76.1% B 503,145
MLNX 7/16/2019 3.0 3.6 -15.8% C 49,838
OMC 7/16/2019 5.2 4.3 20.4% C 5,203
PLD 7/16/2019 2.0 1.8 12.0% D 11,845
SCHW 7/16/2019 3.4 2.3 46.8% B 26,500
UAL 7/16/2019 5.1 6.5 -20.9% B 88,102
WFC 7/16/2019 3.4 1.9 82.1% C 244,948
AA 7/17/2019 7.5 5.1 46.3% F 21,718
ABT 7/17/2019 2.3 2.3 -1.9% B 109,768
BAC 7/17/2019 3.3 2.1 58.0% B 454,186
BK 7/17/2019 4.9 4.3 13.9% C 19,571
CCI 7/17/2019 2.8 1.4 94.6% C 80,423
CMA 7/17/2019 4.1 2.1 91.6% A 5,593
EBAY 7/17/2019 5.4 5.7 -4.9% C 74,376
IBM 7/17/2019 4.5 5.7 -20.2% B 184,226
KMI 7/17/2019 1.7 1.6 8.9% C 43,799
MS 7/17/2019 2.8 2.7 2.1% D 92,218
NFLX 7/17/2019 7.1 5.8 21.5% D 3,308,078
PGR 7/17/2019 3.3 3.3 0.5% A 22,646
PNC 7/17/2019 3.5 1.9 81.8% B 37,535
PTC 7/17/2019 3.9 5.0 -22.2% D 7,023
TXT 7/17/2019 4.5 4.5 1.0% C 3,239
URI 7/17/2019 4.8 6.2 -22.4% B 44,074
USB 7/17/2019 3.2 1.6 95.5% C 31,930

 

Volatility Standouts

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
BREW 73.36% F 0.34% 99.21 931
VICI 61.60% A 40.06% 30.95 1,582
SCOR 59.85% C 14.15% 99.21 109
SCS 58.83% B -24.87% 84.92 686
HTZ 54.44% D 1.60% 100.00 21,265
STWD 52.69% C 64.78% 63.49 515
GPK 52.08% C -8.96% 77.38 1,102
DFRG 51.19% F -7.99% 85.32 1,153
EVRI 50.72% C 6.80% 34.92 294
SPTN 50.39% D -8.86% 99.60 71
CTXS 50.27% C -5.90% 51.19 30,026
ADT 5.02E-01 B 0.00% 41.67 260
VHC 50.03% D 0.93% 31.35 955
PETS 47.91% D 3.27% 77.78 2,430
SRPT 47.57% C -2.78% 73.02 69,253
L 46.85% B 0.47% 15.08 2,392
HIIQ 46.25% F -0.67% 83.33 10,614
NHTC 45.97% D 1.26% 56.35 394
TLYS 45.82% D -7.89% 26.98 92
CNK 45.63% D 8.07% 27.78 247
GLUU 45.37% C 0.55% 71.83 2,372
PBYI 44.89% F 1.73% 36.51 901
PSTG 44.24% D 16.70% 18.25 7,575
WWE 43.50% F 1.03% 69.84 18,854
 
Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
MDSO -72.17% F 12.22% 1.19 32,336
DATA -70.90% C -0.12% 9.52 28,179
BKS -68.31% C 0.63% 0.40 5,763
OZK -50.96% C 5.60% 71.83 377
APC -45.55% C 1.79% 9.92 115,268
MRTX -44.72% F -7.68% 1.19 16,715
SFLY -41.28% C 43.51% 2.78 59,502
ELY -37.62% C -5.12% 79.37 1,279
KHC -37.55% F -3.07% 89.68 65,109
SGH -36.60% C -0.43% 53.57 726
CRAY -36.54% D 64.22% 2.78 566
USM -34.24% A 0.48% 57.14 6,332
SKX -34.02% C 1.41% 68.65 5,841
TDS -32.42% B -6.50% 86.51 1,509
AABA -31.02% D -5.30% 0.79 88,946
SPWR -3.04E-01 D 2.32% 43.25 5,952
AXTA -28.11% B -12.33% 88.10 4,171
MDB -27.29% F -1.04% 23.41 290,397
SUM -27.17% D 3.19% 68.25 3,585
QCOM -26.07% D 0.44% 81.75 477,920
ADI -2.55E-01 C -1.50% 53.57 32,961
EBIX -24.39% B -4.65% 76.98 6,467
DXCM -23.23% F -3.13% 17.86 22,910
UTX -23.08% C -1.76% 54.76 139,080
 
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE
OptionsQuantitatively derived options trades TRANSPARENT AND EASILY EXECUTABLE