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VIX unchanged in quiet trading

Jun 21, 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

The equity market is rather subdued this afternoon as we wrap an exciting week for global financial markets. Currently, the S&P is flat, the Russell is -.65% and the Nasdaq is +.05%. Bonds are meaningfully weaker today (TLT -1.0%, US 10-year up to 2.06%) as this morning’s ISM June flash PMI’s printed in line with expectations (Manufacturing 501 v. 50.5 est.; Services 50.7 v. 51.0 est.). Also worth noting, the dollar continues to remain soft (UUP -.25%) after data out of Europe overnight was slightly better than expected (FXE +.35%). In single name news, shares of Advanced Micro Devices are a bit softer (down 1.5%) after one of its affiliates (Higon) was added to the ‘entity list’ (5 Chinese firms added total.) Financials and Energy-related sectors are outperforming this afternoon (XLF +.35%; XLE +.55%) while Real Estate and Semis (IYR -1.15%, SMH -.35%) lag the broader market. Volatilities are mixed with VIX -1.0% at 14.61, VXN flat at 18.67, and RVX flat to 17.76.

 

ETF 30D Volatility Changes

SPY:    -1%

IWM:    -1%

QQQ:   -1%

Directional Options Strategies

Bullish Option Strategies

OPK Buyer 3,500 Sep 2 calls (paid $.40, ref. 2.02)

AA 5,000 Oct 24 calls trade (appears bought to add to existing position, $1.68, ref. 22.40)

OC 2,000 Nov 45 – 55 risk-reversals trade (appears bought to open (sp/bc), $.25, ref. 49.92)

EIX 2,000 Jul – Sep 65 call spreads trade (appears to roll calls out, $1.80, ref. 64.58)

LECO Buyer 1,000 Jul 85 calls (paid b/w $.50 and $.55, ref. 80.03)

BP 6,000 Jul 44 calls trade (appears bought to open, $.31, ref. 42.58)

 

Bearish Option Strategies

ORCL 6,213 Sep 55 puts trade (appears bought to open, $1.82, more than 10,000 trade total, ref. 56.63)

S Buyer 10,750 Aug – Jan 6 put spreads (paid $.34, ref. 7.04)

TJX 8,000 Jul 55 calls trade (appears sold to open write, $.55, ref. 53.65)

IOVA Seller 2,000 Jul 22.5 calls (collects $.70 to open write, ref. 21.32)

 

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

XSP 24,406 Jul 12th 300 calls trade vs. 48,812 Jul 12th 305 calls (appears to open 1x2, $.58, ref. 295.12)

EWW 10,000 Sep 44 puts trade tied to stock (appears sold to open, $1.53, ref. 44.34)

VIX Seller 6,700 Jul 24th 20 – 21 call stupids (collects $1.18, ref. 16.27 (Jul 24th))

 

Bearish Option Strategies

UUP Buyer 180,000 Jun – Jul 26 put spreads (paid $.16 to roll bearish dollar play out, ref. 26.05)

VIX Seller 10,000 Dec 26 calls to Buy 50,000 Dec 37.5 calls (paid $.91, ref. 16.91 (Dec))

EFA Buyer 30,000 Sep 62 puts tied to stock (paid $.53, ref. 65.41)

LQD Buyer 10,000 Dec 118 puts (paid $.53, ref. 123.64)

HYG Buyer 25,000 Aug 86 puts (untied, paid $.60, ref. 87.38)

GDX 8,000 Sep 25 puts trade (appears bought to open, $1.39, ref. 24.78)

IYR 10,000 Sep 94 calls trade vs. 10,000 Sep 88 – 83 put spreads (possibly closing, ref. 89.43)

 

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

 

 

Finance Trades Options Strategies

FCX 3,000 Jun 11 RevCons trade (ref. 11.31)

F 5,000 Jun 10 RevCons trade (ref. 10.01)

 

 

 

Upcoming Earnings

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
AVAV 6/25/2019 11.0 13.2 -16.7% F 7867
FDS 6/25/2019 5.4 4.4 21.8% A 30009
FDX 6/25/2019 4.7 4.5 3.4% D 206824
LEN 6/25/2019 5.7 4.6 25.6% B 15821
MU 6/25/2019 7.0 6.2 11.9% D 402427
FIZZ 6/26/2019 11.4 6.4 78.4% C 5482
GIS 6/26/2019 3.7 3.9 -6.5% C 21396
KBH 6/26/2019 6.6 4.9 35.8% D 14869
PAYX 6/26/2019 3.4 1.7 98.5% B 16559
CAG 6/27/2019 6.1 7.0 -13.9% C 12006
MKC 6/27/2019 4.4 4.2 3.3% B 25545
NKE 6/27/2019 4.8 5.1 -7.0% C 110766
WBA 6/27/2019 5.0 5.4 -7.1% C 42890
GBX 6/28/2019 7.7 6.2 23.0% C 1847
STZ 6/28/2019 5.2 6.0 -14.3% C 95699
AYI 7/2/2019 7.5 9.2 -18.7% B 9913
WAGE 7/5/2019 6.2 5.0 24.5% D 1946
HELE 7/9/2019 6.3 8.7 -27.6% C 1784
LNN 7/9/2019 5.8 6.4 -9.1% D 2049
PEP 7/9/2019 2.4 2.1 15.2% A 209314
WDFC 7/9/2019 5.3 4.4 19.0% B 1517
BBBY 7/10/2019 14.0 12.5 11.3% F 10300
FAST 7/10/2019 3.9 5.8 -34.1% C 6914
DAL 7/11/2019 3.2 2.0 61.6% A 70497
C 7/15/2019 2.1 1.7 23.5% C 645963
EROS 7/15/2019 13.3 4.8 176.4% F  
JBHT 7/15/2019 6.3 3.3 88.2% D 7456
CSX 7/16/2019 3.3 3.7 -12.2% A 38099
DPZ 7/16/2019 6.2 5.1 20.9% C 53385
FNF 7/16/2019 3.9 2.5 54.6% C 1904
GS 7/16/2019 2.6 3.4 -22.5% C 297842
IBKR 7/16/2019 5.6 2.3 149.8% D 1743
JNJ 7/16/2019 0.8 2.2 -61.5% A 296340
JPM 7/16/2019 2.8 1.7 69.0% B 529041
MLNX 7/16/2019 2.4 3.6 -34.7% C 46578
OMC 7/16/2019 5.1 4.3 17.6% C 5291
PLD 7/16/2019 2.0 1.8 14.3% D 11727
SCHW 7/16/2019 2.8 2.3 19.5% B 29230
UAL 7/16/2019 5.1 6.5 -22.1% B 88003
WFC 7/16/2019 3.3 1.9 74.6% C 247066
AA 7/17/2019 7.6 5.1 48.9% F 23468
ABT 7/17/2019 2.2 2.3 -6.2% B 131712
BAC 7/17/2019 2.6 2.1 24.2% B 450761
BK 7/17/2019 4.7 4.3 9.2% C 20144
CCI 7/17/2019 2.9 1.4 104.1% C 62580
CMA 7/17/2019 3.9 2.1 83.0% A 6136
EBAY 7/17/2019 5.2 5.7 -8.6% C 89102
IBM 7/17/2019 4.5 5.7 -21.6% B 187601
KMI 7/17/2019 1.9 1.6 19.7% C 46261
MS 7/17/2019 3.2 2.7 16.5% D 91846
NFLX 7/17/2019 6.9 5.8 17.9% D 3370318
PGR 7/17/2019 3.2 3.3 -1.4% A 17690
PNC 7/17/2019 3.0 1.9 55.6% B 40261
PTC 7/17/2019 3.3 5.0 -34.4% D 7298
TXT 7/17/2019 3.8 4.5 -15.0% C 3463
URI 7/17/2019 4.4 6.2 -29.4% B 44880
USB 7/17/2019 2.7 1.6 63.8% C 29367
ALLY 7/18/2019 4.0 3.0 30.8% A 20305
BBT 7/18/2019 3.0 2.1 47.4% C 20477
CE 7/18/2019 4.6 3.2 42.6% B 4432
COF 7/18/2019 3.5 3.6 -5.3% C 20248
CTAS 7/18/2019 5.1 4.2 18.9% B 3601
DHR 7/18/2019 3.1 2.6 17.9% C 20028
DOV 7/18/2019 3.2 3.3 -2.4% B 6157
ETFC 7/18/2019 5.0 2.3 121.6% B 9317
GPC 7/18/2019 3.3 4.2 -21.3% B 7244
HON 7/18/2019 2.8 2.0 42.0% A 92550
ISRG 7/18/2019 2.6 4.5 -41.5% C 177415
MSFT 7/18/2019 1.7 2.8 -37.7% A 2159069
MTB 7/18/2019 2.6 2.9 -9.5% A 2475
NUE 7/18/2019 0.8 2.2 -61.7% C 19400
PM 7/18/2019 3.4 3.5 -1.9% B 149244
PPG 7/18/2019 3.9 2.4 63.8% B 9324
SKX 7/18/2019 10.9 16.2 -32.7% C 5938
SNA 7/18/2019 5.7 6.9 -17.4% B 7689
STI 7/18/2019 2.2 1.8 26.4% C 5550
SWKS 7/18/2019 4.6 6.4 -28.7% D 45632
UNH 7/18/2019 3.0 3.3 -7.6% A 351268
UNP 7/18/2019 3.4 3.4 0.3% B 96436

 

Volatility Standouts

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
CNDT 65.57% C 11.24% 76.19 211
FDP 64.94% D 10.84% 57.54 1462
GPK 62.51% C -3.63% 79.76 1030
DFRG 60.06% F 3.02% 84.13 776
CTXS 59.05% C -7.53% 61.51 68502
VHC 59.03% D 4.87% 33.33 967
BREW 56.00% F -9.32% 98.81 916
ADT 5.55E-01 B 0.00% 45.24 275
SEE 55.34% D 17.31% 38.10 1663
HIIQ 54.74% F -0.98% 90.87 11739
S 53.52% F 17.87% 90.87 59586
WLH 53.17% D 16.58% 22.22 169
TLYS 52.85% D 10.68% 18.25 83
STWD 52.07% C 62.32% 68.65 519
WWE 50.50% F -0.82% 76.19 17017
EPAY 49.65% C 10.12% 64.29 1842
AAOI 49.08% D 0.67% 26.19 1056
SAIC 47.67% C 22.67% 8.73 1441
EVRI 45.53% C 4.39% 30.95 139
UIS 45.21% C 7.03% 30.95 250
SRPT 45.11% C -1.68% 71.43 73335
CARS 44.86% C 1.58% 56.35 3845
AVYA 44.73% C -2.79% 94.84 954
INGN 44.49% D 3.91% 51.19 1386

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
DATA -70.81% C 0.00% 8.73 24320
BKS -67.41% C 3.43% 0.79 5334
OZK -54.25% C 0.16% 66.67 443
APC -47.17% C -1.31% 12.30 112853
MRTX -40.84% F -0.68% 0.40 14173
VFC -39.50% F -19.73% 61.75 4550
KHC -38.88% F 1.89% 87.70 64658
ELY -37.99% C -2.44% 76.98 1293
SGH -35.35% C 6.05% 39.29 622
CRAY -35.21% D 67.68% 0.00 482
AXTA -35.02% B -7.86% 66.27 7310
USM -34.04% A 1.98% 57.54 4798
SKX -33.57% C 1.33% 65.48 5938
SPWR -33.35% D -3.11% 45.24 6527
AABA -31.66% D -3.88% 0.40 87788
RHT -31.10% C 15.26% 0.79 134721
TDS -30.66% B 2.17% 94.84 1422
QCOM -28.17% D -3.95% 84.92 448736
SUM -28.07% D 1.23% 79.37 4431
UTX -27.13% C -0.42% 48.02 146073
ADI -2.67E-01 C -3.48% 50.40 33965
MDB -26.14% F 2.50% 15.48 272628
EBIX -25.62% B -0.09% 69.84 6502
TNDM -23.35% F 0.11% 8.73 41756

 

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