0001085146-19-002933.txt : 20191114 0001085146-19-002933.hdr.sgml : 20191114 20191114081954 ACCESSION NUMBER: 0001085146-19-002933 CONFORMED SUBMISSION TYPE: 13F-HR PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20190930 FILED AS OF DATE: 20191114 DATE AS OF CHANGE: 20191114 EFFECTIVENESS DATE: 20191114 FILER: COMPANY DATA: COMPANY CONFORMED NAME: ELLINGTON MANAGEMENT GROUP LLC CENTRAL INDEX KEY: 0001098490 IRS NUMBER: 061441140 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 13F-HR SEC ACT: 1934 Act SEC FILE NUMBER: 028-11539 FILM NUMBER: 191216452 BUSINESS ADDRESS: STREET 1: 53 FOREST AVENUE CITY: OLD GREENWICH STATE: CT ZIP: 06870 BUSINESS PHONE: 2036981200 MAIL ADDRESS: STREET 1: 53 FOREST AVENUE CITY: OLD GREENWICH STATE: CT ZIP: 06870 13F-HR 1 primary_doc.xml 13F-HR LIVE false false false 0001098490 XXXXXXXX 09-30-2019 09-30-2019 false ELLINGTON MANAGEMENT GROUP LLC

53 FOREST AVENUE OLD GREENWICH CT 06870

13F HOLDINGS REPORT 028-11539 N David Rice 203-698-1200 /s/ David Rice Greenwich CT 11-14-2019 0 563 552945 INFORMATION TABLE 2 form13fInfoTable.xml DESCRIPTION FOR INFORMATION TABLE 360 FINANCE INC ADS 88557W101 124 13900 SH SOLE 13900 0 0 58 COM INC SPON ADR REP A 31680Q104 365 7400 SH SOLE 7400 0 0 ABBOTT LABS COM 002824100 561 6700 SH SOLE 6700 0 0 ABBVIE INC COM 00287Y109 1136 15000 SH SOLE 15000 0 0 ACADIA PHARMACEUTICALS INC COM 004225108 288 8000 SH SOLE 8000 0 0 ACI WORLDWIDE INC COM 004498101 507 16200 SH SOLE 16200 0 0 ACTIVISION BLIZZARD INC COM 00507V109 222 4200 SH SOLE 4200 0 0 ADIENT PLC ORD SHS G0084W101 2526 110000 SH Put SOLE 110000 0 0 ADOBE INC COM 00724F101 967 3500 SH SOLE 3500 0 0 ADTALEM GLOBAL ED INC COM 00737L103 282 7400 SH SOLE 7400 0 0 ADVANCE AUTO PARTS INC COM 00751Y106 1571 9500 SH SOLE 9500 0 0 ADVANCED MICRO DEVICES INC COM 007903107 397 13700 SH SOLE 13700 0 0 AECOM COM 00766T100 1510 40200 SH SOLE 40200 0 0 AFFILIATED MANAGERS GROUP IN COM 008252108 217 2600 SH SOLE 2600 0 0 AGILENT TECHNOLOGIES INC COM 00846U101 835 10900 SH SOLE 10900 0 0 AK STL CORP NOTE 5.000%11/1 001546AP5 1801 1800000 PRN SOLE 1800000 0 0 ALASKA AIR GROUP INC COM 011659109 441 6800 SH SOLE 6800 0 0 ALLIANCE DATA SYSTEMS CORP COM 018581108 269 2100 SH SOLE 2100 0 0 ALLSTATE CORP COM 020002101 261 2400 SH SOLE 2400 0 0 ALLY FINL INC COM 02005N100 726 21900 SH SOLE 21900 0 0 AMBARELLA INC SHS G037AX101 861 13700 SH SOLE 13700 0 0 AMC NETWORKS INC CL A 00164V103 590 12003 SH SOLE 12003 0 0 AMEDISYS INC COM 023436108 262 2000 SH SOLE 2000 0 0 AMEREN CORP COM 023608102 544 6800 SH SOLE 6800 0 0 AMERICAN AXLE & MFG HLDGS IN COM 024061103 1439 175000 SH Call SOLE 175000 0 0 AMERICAN AXLE & MFG HLDGS IN COM 024061103 3124 380000 SH Put SOLE 380000 0 0 AMERICAN AXLE & MFG HLDGS IN COM 024061103 3786 460610 SH SOLE 460610 0 0 AMERICAN INTL GROUP INC COM NEW 026874784 401 7200 SH SOLE 7200 0 0 AMERICAN TOWER CORP NEW COM 03027X100 287 1300 SH SOLE 1300 0 0 AMERICAS CAR MART INC COM 03062T105 229 2500 SH SOLE 2500 0 0 AMERIPRISE FINL INC COM 03076C106 456 3100 SH SOLE 3100 0 0 AMERISOURCEBERGEN CORP COM 03073E105 609 7400 SH SOLE 7400 0 0 ANAPLAN INC COM 03272L108 240 5100 SH SOLE 5100 0 0 ANGIODYNAMICS INC COM 03475V101 309 16800 SH SOLE 16800 0 0 ANGLOGOLD ASHANTI LTD SPONSORED ADR 035128206 672 36800 SH SOLE 36800 0 0 ANTERO MIDSTREAM CORP COM 03676B102 459 62000 SH SOLE 62000 0 0 ANTERO RES CORP COM 03674X106 702 232288 SH SOLE 232288 0 0 ANTERO RES CORP COM 03674X106 1450 480000 SH Call SOLE 480000 0 0 ANTERO RES CORP COM 03674X106 1208 400000 SH Put SOLE 400000 0 0 ANTHEM INC COM 036752103 216 900 SH SOLE 900 0 0 AQUA AMERICA INC COM 03836W103 1201 26800 SH SOLE 26800 0 0 ARAMARK COM 03852U106 231 5300 SH SOLE 5300 0 0 ARCH COAL INC CL A 039380407 319 4300 SH SOLE 4300 0 0 ARCHROCK INC COM 03957W106 107 10756 SH SOLE 10756 0 0 ARCOSA INC COM 039653100 216 6300 SH SOLE 6300 0 0 ARLINGTON ASSET INVT CORP CL A NEW 041356205 7128 1298378 SH SOLE 1298378 0 0 ARMOUR RESIDENTIAL REIT INC COM NEW 042315507 15278 912118 SH SOLE 912118 0 0 ARMSTRONG WORLD INDS INC NEW COM 04247X102 242 2500 SH SOLE 2500 0 0 ARROW ELECTRS INC COM 042735100 567 7600 SH SOLE 7600 0 0 ASSURANT INC COM 04621X108 239 1900 SH SOLE 1900 0 0 ASTEC INDS INC COM 046224101 264 8500 SH SOLE 8500 0 0 ATHENE HLDG LTD CL A G0684D107 336 8000 SH SOLE 8000 0 0 AVERY DENNISON CORP COM 053611109 795 7000 SH SOLE 7000 0 0 AVIS BUDGET GROUP INC COM 053774105 2250 79623 SH SOLE 79623 0 0 AVNET INC COM 053807103 262 5900 SH SOLE 5900 0 0 AXIS CAPITAL HOLDINGS LTD SHS G0692U109 587 8800 SH SOLE 8800 0 0 AXON ENTERPRISE INC COM 05464C101 812 14300 SH SOLE 14300 0 0 B & G FOODS INC NEW COM 05508R106 530 28006 SH SOLE 28006 0 0 BAKER HUGHES A GE CO CL A 05722G100 230 9900 SH SOLE 9900 0 0 BANCO MACRO SA SPON ADR B 05961W105 281 10800 SH SOLE 10800 0 0 BANK NEW YORK MELLON CORP COM 064058100 244 5400 SH SOLE 5400 0 0 BANKUNITED INC COM 06652K103 292 8700 SH SOLE 8700 0 0 BARCLAYS PLC ADR 06738E204 178 24200 SH SOLE 24200 0 0 BARRICK GOLD CORPORATION COM 067901108 846 48800 SH SOLE 48800 0 0 BAUSCH HEALTH COS INC COM 071734107 247 11300 SH SOLE 11300 0 0 BED BATH & BEYOND INC PUT 075896100 4469 420000 SH Put SOLE 420000 0 0 BENCHMARK ELECTRS INC COM 08160H101 436 15000 SH SOLE 15000 0 0 BERKSHIRE HATHAWAY INC DEL CL B NEW 084670702 208 1000 SH SOLE 1000 0 0 BERRY PETE CORP COM 08579X101 108 11500 SH SOLE 11500 0 0 BIG LOTS INC COM 089302103 537 21900 SH SOLE 21900 0 0 BIOGEN INC COM 09062X103 349 1500 SH SOLE 1500 0 0 BLUCORA INC COM 095229100 200 9240 SH SOLE 9240 0 0 BLUEBIRD BIO INC COM 09609G100 220 2400 SH SOLE 2400 0 0 BOINGO WIRELESS INC COM 09739C102 120 10800 SH SOLE 10800 0 0 BORGWARNER INC COM 099724106 330 9000 SH SOLE 9000 0 0 BRADY CORP CL A 104674106 212 4000 SH SOLE 4000 0 0 BRF SA SPONSORED ADR 10552T107 130 14200 SH SOLE 14200 0 0 BRINKER INTL INC COM 109641100 2176 51000 SH SOLE 51000 0 0 BRISTOL MYERS SQUIBB CO COM 110122108 314 6200 SH SOLE 6200 0 0 BROADCOM INC COM 11135F101 552 2000 SH SOLE 2000 0 0 BRUKER CORP COM 116794108 439 10000 SH SOLE 10000 0 0 BRUNSWICK CORP COM 117043109 276 5300 SH SOLE 5300 0 0 BUILDERS FIRSTSOURCE INC COM 12008R107 325 15800 SH SOLE 15800 0 0 BURLINGTON STORES INC COM 122017106 360 1800 SH SOLE 1800 0 0 CABOT OIL & GAS CORP COM 127097103 654 37200 SH SOLE 37200 0 0 CADENCE BANCORPORATION CL A 12739A100 216 12300 SH SOLE 12300 0 0 CALAVO GROWERS INC COM 128246105 1409 14800 SH SOLE 14800 0 0 CANNAE HLDGS INC COM 13765N107 285 10388 SH SOLE 10388 0 0 CARDLYTICS INC COM 14161W105 261 7800 SH SOLE 7800 0 0 CAREER EDUCATION CORP COM 141665109 350 22000 SH SOLE 22000 0 0 CARETRUST REIT INC COM 14174T107 299 12700 SH SOLE 12700 0 0 CARMAX INC COM 143130102 836 9500 SH SOLE 9500 0 0 CARPENTER TECHNOLOGY CORP COM 144285103 248 4800 SH SOLE 4800 0 0 CATERPILLAR INC DEL COM 149123101 404 3200 SH SOLE 3200 0 0 CATO CORP NEW CL A 149205106 204 11600 SH SOLE 11600 0 0 CBRE GROUP INC CL A 12504L109 832 15700 SH SOLE 15700 0 0 CENTRAL GARDEN & PET CO CL A NON-VTG 153527205 374 13500 SH SOLE 13500 0 0 CENTRAL GARDEN & PET CO COM 153527106 675 23100 SH SOLE 23100 0 0 CF INDS HLDGS INC COM 125269100 969 19700 SH SOLE 19700 0 0 CHEESECAKE FACTORY INC COM 163072101 1659 39800 SH SOLE 39800 0 0 CHEMED CORP NEW COM 16359R103 292 700 SH SOLE 700 0 0 CHESAPEAKE ENERGY CORP COM 165167107 341 242011 SH SOLE 242011 0 0 CHESAPEAKE ENERGY CORP COM 165167107 400 283800 SH Put SOLE 283800 0 0 CHEVRON CORP NEW COM 166764100 403 3400 SH SOLE 3400 0 0 CHURCH & DWIGHT INC COM 171340102 504 6700 SH SOLE 6700 0 0 CHURCHILL DOWNS INC COM 171484108 235 1900 SH SOLE 1900 0 0 CIENA CORP COM NEW 171779309 1079 27500 SH SOLE 27500 0 0 CIMAREX ENERGY CO COM 171798101 350 7300 SH SOLE 7300 0 0 CINCINNATI BELL INC NEW COM NEW 171871502 479 94508 SH SOLE 94508 0 0 CINEMARK HOLDINGS INC COM 17243V102 614 15900 SH SOLE 15900 0 0 CISION LTD SHS G1992S109 122 15800 SH SOLE 15800 0 0 CITIGROUP INC COM NEW 172967424 511 7400 SH SOLE 7400 0 0 CITY OFFICE REIT INC COM 178587101 207 14360 SH SOLE 14360 0 0 CLOUDERA INC COM 18914U100 553 62400 SH SOLE 62400 0 0 CME GROUP INC COM 12572Q105 402 1900 SH SOLE 1900 0 0 CNOOC LTD SPONSORED ADR 126132109 335 2200 SH SOLE 2200 0 0 CNX RESOURCES CORPORATION COM 12653C108 78 10800 SH SOLE 10800 0 0 COCA COLA EUROPEAN PARTNERS SHS G25839104 837 15100 SH SOLE 15100 0 0 COCA COLA FEMSA S A B DE C V SPONSORD ADR REP 191241108 527 8700 SH SOLE 8700 0 0 COEUR MNG INC COM NEW 192108504 217 45200 SH SOLE 45200 0 0 COHEN & STEERS INC COM 19247A100 450 8200 SH SOLE 8200 0 0 COMCAST CORP NEW CL A 20030N101 221 4900 SH SOLE 4900 0 0 COMMERCIAL METALS CO COM 201723103 480 27600 SH SOLE 27600 0 0 COMPANHIA DE SANEAMENTO BASI SPONSORED ADR 20441A102 176 14800 SH SOLE 14800 0 0 COMPANHIA PARANAENSE ENERG C SPON ADR PFD 20441B407 155 12900 SH SOLE 12900 0 0 CONAGRA BRANDS INC COM 205887102 430 14000 SH SOLE 14000 0 0 CONCERT PHARMACEUTICALS INC COM 206022105 102 17300 SH SOLE 17300 0 0 CONOCOPHILLIPS COM 20825C104 393 6900 SH SOLE 6900 0 0 CONSOLIDATED EDISON INC COM 209115104 312 3300 SH SOLE 3300 0 0 CONSTELLATION BRANDS INC CL A 21036P108 560 2700 SH SOLE 2700 0 0 CONTURA ENERGY INC COM 21241B100 449 16051 SH SOLE 16051 0 0 COOPER COS INC COM NEW 216648402 208 700 SH SOLE 700 0 0 COPART INC COM 217204106 370 4600 SH SOLE 4600 0 0 CORBUS PHARMACEUTICALS HLDGS COM 21833P103 121 24900 SH SOLE 24900 0 0 CORELOGIC INC COM 21871D103 217 4700 SH SOLE 4700 0 0 CORTEVA INC COM 22052L104 277 9900 SH SOLE 9900 0 0 COUSINS PPTYS INC COM NEW 222795502 474 12600 SH SOLE 12600 0 0 CROSS CTRY HEALTHCARE INC COM 227483104 170 16500 SH SOLE 16500 0 0 CUMMINS INC COM 231021106 537 3300 SH SOLE 3300 0 0 CURO GROUP HLDGS CORP COM 23131L107 247 18600 SH SOLE 18600 0 0 CYBERARK SOFTWARE LTD SHS M2682V108 270 2700 SH SOLE 2700 0 0 CYTOMX THERAPEUTICS INC COM 23284F105 104 14100 SH SOLE 14100 0 0 DANA INCORPORATED COM 235825205 153 10600 SH SOLE 10600 0 0 DARDEN RESTAURANTS INC COM 237194105 780 6600 SH SOLE 6600 0 0 DAVITA INC COM 23918K108 217 3800 SH SOLE 3800 0 0 DEERE & CO COM 244199105 202 1200 SH SOLE 1200 0 0 DEL TACO RESTAURANTS INC COM 245496104 124 12100 SH SOLE 12100 0 0 DELL TECHNOLOGIES INC CL C 24703L202 2028 39100 SH SOLE 39100 0 0 DENBURY RES INC COM NEW 247916208 904 760000 SH Put SOLE 760000 0 0 DESIGNER BRANDS INC CL A 250565108 1197 69900 SH SOLE 69900 0 0 DHT HOLDINGS INC SHS NEW Y2065G121 117 19000 SH SOLE 19000 0 0 DIAMOND OFFSHORE DRILLING IN COM 25271C102 562 101103 SH SOLE 101103 0 0 DIAMOND OFFSHORE DRILLING IN COM 25271C102 1446 260000 SH Put SOLE 260000 0 0 DIAMOND S SHIPPING INC COM Y20676105 120 10900 SH SOLE 10900 0 0 DICKS SPORTING GOODS INC COM 253393102 2759 67600 SH SOLE 67600 0 0 DIGITAL TURBINE INC COM NEW 25400W102 128 19800 SH SOLE 19800 0 0 DILLARDS INC CL A 254067101 1778 26900 SH SOLE 26900 0 0 DISCOVERY INC COM SER A 25470F104 360 13500 SH SOLE 13500 0 0 DISH NETWORK CORP CL A 25470M109 2365 69410 SH SOLE 69410 0 0 DOCUSIGN INC COM 256163106 1077 17400 SH SOLE 17400 0 0 DOLLAR GEN CORP NEW COM 256677105 509 3200 SH SOLE 3200 0 0 DOLLAR TREE INC COM 256746108 491 4300 SH SOLE 4300 0 0 DONALDSON INC COM 257651109 245 4700 SH SOLE 4700 0 0 DUNKIN BRANDS GROUP INC COM 265504100 1317 16600 SH SOLE 16600 0 0 E L F BEAUTY INC COM 26856L103 1133 64700 SH SOLE 64700 0 0 E TRADE FINANCIAL CORP COM NEW 269246401 205 4700 SH SOLE 4700 0 0 EASTMAN CHEMICAL CO COM 277432100 790 10700 SH SOLE 10700 0 0 ECHOSTAR CORP CL A 278768106 269 6797 SH SOLE 6797 0 0 ELASTIC N V ORD SHS N14506104 823 10000 SH SOLE 10000 0 0 ELEMENT SOLUTIONS INC COM 28618M106 186 18300 SH SOLE 18300 0 0 ELLINGTON FINANCIAL INC COM 28852N109 18586 1028556 SH SOLE 1028556 0 0 EMBRAER S A SPONSORED ADS 29082A107 217 12600 SH SOLE 12600 0 0 EMERSON ELEC CO COM 291011104 368 5500 SH SOLE 5500 0 0 ENCOMPASS HEALTH CORP COM 29261A100 304 4800 SH SOLE 4800 0 0 ENERGIZER HLDGS INC NEW COM 29272W109 1856 42599 SH SOLE 42599 0 0 ENOVA INTL INC COM 29357K103 417 20100 SH SOLE 20100 0 0 ENPHASE ENERGY INC COM 29355A107 831 37400 SH SOLE 37400 0 0 ENTEGRIS INC COM 29362U104 494 10500 SH SOLE 10500 0 0 EQT CORP COM 26884L109 150 14100 SH SOLE 14100 0 0 EQUITRANS MIDSTREAM CORPORAT COM 294600101 292 20100 SH SOLE 20100 0 0 ESSENT GROUP LTD COM G3198U102 4370 91674 SH SOLE 91674 0 0 ETSY INC COM 29786A106 232 4100 SH SOLE 4100 0 0 EVERCORE INC CLASS A 29977A105 481 6000 SH SOLE 6000 0 0 EVEREST RE GROUP LTD COM G3223R108 399 1500 SH SOLE 1500 0 0 EVERSOURCE ENERGY COM 30040W108 350 4100 SH SOLE 4100 0 0 EXPEDIA GROUP INC COM NEW 30212P303 2782 20700 SH SOLE 20700 0 0 EZCORP INC CL A NON VTG 302301106 307 47600 SH SOLE 47600 0 0 F M C CORP COM NEW 302491303 745 8500 SH SOLE 8500 0 0 F5 NETWORKS INC COM 315616102 267 1900 SH SOLE 1900 0 0 FAIR ISAAC CORP COM 303250104 243 800 SH SOLE 800 0 0 FARFETCH LTD ORD SH CL A 30744W107 90 10400 SH SOLE 10400 0 0 FIAT CHRYSLER AUTOMOBILES N SHS N31738102 593 45800 SH SOLE 45800 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COM NEW 45254P508 408 51900 SH SOLE 51900 0 0 ING GROEP N V SPONSORED ADR 456837103 182 17400 SH SOLE 17400 0 0 INSIGHT ENTERPRISES INC COM 45765U103 317 5700 SH SOLE 5700 0 0 INSMED INC COM PAR $.01 457669307 429 24300 SH SOLE 24300 0 0 INSTRUCTURE INC COM 45781U103 732 18900 SH SOLE 18900 0 0 INTERCEPT PHARMACEUTICALS IN COM 45845P108 226 3400 SH SOLE 3400 0 0 INTERCONTINENTAL EXCHANGE IN COM 45866F104 1135 12300 SH SOLE 12300 0 0 INTERNATIONAL BUSINESS MACHS COM 459200101 683 4700 SH SOLE 4700 0 0 INTERNATIONAL GAME TECHNOLOG SHS USD G4863A108 227 16000 SH SOLE 16000 0 0 IONIS PHARMACEUTICALS INC COM 462222100 767 12800 SH SOLE 12800 0 0 IQIYI INC SPONSORED ADS 46267X108 748 46400 SH SOLE 46400 0 0 IRONWOOD PHARMACEUTICALS INC COM CL A 46333X108 119 13900 SH SOLE 13900 0 0 J2 GLOBAL INC COM 48123V102 945 10400 SH SOLE 10400 0 0 JABIL INC COM 466313103 640 17900 SH SOLE 17900 0 0 JANUS HENDERSON GROUP PLC ORD SHS G4474Y214 350 15600 SH SOLE 15600 0 0 JD COM INC SPON ADR CL A 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1300 0 0 LAUREATE EDUCATION INC CL A 518613203 224 13500 SH SOLE 13500 0 0 LCI INDS COM 50189K103 312 3400 SH SOLE 3400 0 0 LENDINGCLUB CORP COM NEW 52603A208 272 20800 SH SOLE 20800 0 0 LEXINFINTECH HLDGS LTD ADR 528877103 150 15000 SH SOLE 15000 0 0 LEXINGTON REALTY TRUST COM 529043101 131 12766 SH SOLE 12766 0 0 LHC GROUP INC COM 50187A107 886 7800 SH SOLE 7800 0 0 LIBERTY GLOBAL PLC SHS CL A G5480U104 307 12400 SH SOLE 12400 0 0 LIBERTY TRIPADVISOR HLDGS IN COM SER A 531465102 225 23900 SH SOLE 23900 0 0 LIFE STORAGE INC COM 53223X107 1022 9700 SH SOLE 9700 0 0 LKQ CORP COM 501889208 415 13200 SH SOLE 13200 0 0 LOCKHEED MARTIN CORP COM 539830109 390 1000 SH SOLE 1000 0 0 LPL FINL HLDGS INC COM 50212V100 573 7000 SH SOLE 7000 0 0 LULULEMON ATHLETICA INC COM 550021109 3292 17100 SH SOLE 17100 0 0 LYFT INC CL A COM 55087P104 1254 30700 SH SOLE 30700 0 0 LYON WILLIAM HOMES CL A NEW 552074700 328 16100 SH SOLE 16100 0 0 MADDEN STEVEN LTD COM 556269108 913 25500 SH SOLE 25500 0 0 MAGNA INTL INC COM 559222401 427 8000 SH SOLE 8000 0 0 MANHATTAN ASSOCS INC COM 562750109 218 2700 SH SOLE 2700 0 0 MANITOWOC CO INC COM NEW 563571405 239 19100 SH SOLE 19100 0 0 MANPOWERGROUP INC COM 56418H100 219 2600 SH SOLE 2600 0 0 MARCUS CORP COM 566330106 296 8000 SH SOLE 8000 0 0 MARINEMAX INC COM 567908108 200 12900 SH SOLE 12900 0 0 MARKETAXESS HLDGS INC COM 57060D108 786 2400 SH SOLE 2400 0 0 MARRIOTT INTL INC NEW CL A 571903202 1778 14300 SH SOLE 14300 0 0 MARTIN MARIETTA MATLS INC COM 573284106 548 2000 SH SOLE 2000 0 0 MASTEC INC COM 576323109 714 11000 SH SOLE 11000 0 0 MASTERCRAFT BOAT HLDGS INC COM 57637H103 364 24400 SH SOLE 24400 0 0 MATCH GROUP INC COM 57665R106 1093 15300 SH SOLE 15300 0 0 MATRIX SVC CO COM 576853105 305 17800 SH SOLE 17800 0 0 MATTEL INC COM 577081102 372 32700 SH SOLE 32700 0 0 MBIA INC COM 55262C100 134 14500 SH SOLE 14500 0 0 MCKESSON CORP COM 58155Q103 396 2900 SH SOLE 2900 0 0 MCKESSON CORP COM 58155Q103 205 1500 SH Put SOLE 1500 0 0 MEDIFAST INC COM 58470H101 1036 10000 SH SOLE 10000 0 0 MERITOR INC COM 59001K100 233 12600 SH SOLE 12600 0 0 MGIC INVT CORP WIS COM 552848103 3162 251388 SH SOLE 251388 0 0 MGIC INVT CORP WIS COM 552848103 9940 790100 SH Call SOLE 790100 0 0 MGM RESORTS INTERNATIONAL COM 552953101 2778 100201 SH SOLE 100201 0 0 MOLSON COORS BREWING CO CL B 60871R209 460 8000 SH SOLE 8000 0 0 MONOLITHIC PWR SYS INC COM 609839105 825 5300 SH SOLE 5300 0 0 MONRO INC COM 610236101 996 12600 SH SOLE 12600 0 0 MOODYS CORP COM 615369105 369 1800 SH SOLE 1800 0 0 MUELLER INDS INC COM 624756102 413 14400 SH SOLE 14400 0 0 MYOVANT SCIENCES LTD COM G637AM102 73 14100 SH SOLE 14100 0 0 NABORS INDS INC NEW NOTE 0.750% 1/1 62957HAB1 20617 32100000 PRN SOLE 32100000 0 0 NASDAQ INC COM 631103108 626 6300 SH SOLE 6300 0 0 NATIONAL OILWELL VARCO INC COM 637071101 365 17200 SH SOLE 17200 0 0 NATIONAL RETAIL PPTYS INC COM 637417106 214 3800 SH SOLE 3800 0 0 NATIONAL VISION HLDGS INC COM 63845R107 1004 41700 SH SOLE 41700 0 0 NAVIENT CORPORATION COM 63938C108 179 14000 SH SOLE 14000 0 0 NAVISTAR INTL CORP NEW COM 63934E108 374 13300 SH SOLE 13300 0 0 NCR CORP NEW COM 62886E108 587 18600 SH SOLE 18600 0 0 NEOPHOTONICS CORP COM 64051T100 162 26600 SH SOLE 26600 0 0 NETAPP INC COM 64110D104 373 7100 SH SOLE 7100 0 0 NETEASE INC SPONSORED ADS 64110W102 506 1900 SH SOLE 1900 0 0 NETFLIX INC COM 64110L106 2516 9400 SH SOLE 9400 0 0 NETFLIX INC COM 64110L106 14184 53000 SH Call SOLE 53000 0 0 NETGEAR INC COM 64111Q104 367 11400 SH SOLE 11400 0 0 NEW ORIENTAL ED & TECH GRP I SPON ADR 647581107 332 3000 SH SOLE 3000 0 0 NEWELL BRANDS INC COM 651229106 464 24800 SH SOLE 24800 0 0 NEWS CORP NEW CL A 65249B109 234 16800 SH SOLE 16800 0 0 NEWS CORP NEW CL B 65249B208 147 10300 SH SOLE 10300 0 0 NIKE INC CL B 654106103 2282 24300 SH SOLE 24300 0 0 NN INC COM 629337106 227 31800 SH SOLE 31800 0 0 NOBLE ENERGY INC COM 655044105 225 10000 SH SOLE 10000 0 0 NORDSON CORP COM 655663102 212 1451 SH SOLE 1451 0 0 NOVARTIS A G SPONSORED ADR 66987V109 391 4500 SH SOLE 4500 0 0 NOVOCURE LTD ORD SHS G6674U108 359 4800 SH SOLE 4800 0 0 NOVO-NORDISK A S ADR 670100205 548 10600 SH SOLE 10600 0 0 NOW INC COM 67011P100 287 25000 SH SOLE 25000 0 0 NRG ENERGY INC COM NEW 629377508 1370 34600 SH SOLE 34600 0 0 NUTANIX INC CL A 67059N108 265 10100 SH SOLE 10100 0 0 OASIS PETE INC NEW COM 674215108 1244 359679 SH SOLE 359679 0 0 OFFICE PPTYS INCOME TR COM SHS BEN INT 67623C109 347 11318 SH SOLE 11318 0 0 OGE ENERGY CORP COM 670837103 535 11800 SH SOLE 11800 0 0 OKTA INC CL A 679295105 1034 10500 SH SOLE 10500 0 0 OLIN CORP COM PAR $1 680665205 766 40921 SH SOLE 40921 0 0 OLLIES BARGAIN OUTLT HLDGS I COM 681116109 1337 22800 SH SOLE 22800 0 0 OMEGA HEALTHCARE INVS INC COM 681936100 230 5500 SH SOLE 5500 0 0 OPORTUN FINL CORP COM 68376D104 1958 120700 SH SOLE 120700 0 0 ORBCOMM INC COM 68555P100 92 19300 SH SOLE 19300 0 0 OWENS & MINOR INC NEW COM 690732102 412 70900 SH SOLE 70900 0 0 OWENS CORNING NEW COM 690742101 284 4500 SH SOLE 4500 0 0 OXFORD INDS INC COM 691497309 739 10300 SH SOLE 10300 0 0 PACCAR INC COM 693718108 357 5100 SH SOLE 5100 0 0 PACIRA BIOSCIENCES COM 695127100 700 18400 SH SOLE 18400 0 0 PAMPA ENERGIA S A SPONS ADR LVL I 697660207 299 17200 SH SOLE 17200 0 0 PAN AMERICAN SILVER CORP COM 697900108 230 14700 SH SOLE 14700 0 0 PAPA JOHNS INTL INC COM 698813102 1235 23600 SH SOLE 23600 0 0 PARSLEY ENERGY INC CL A 701877102 323 19200 SH SOLE 19200 0 0 PAYPAL HLDGS INC COM 70450Y103 684 6600 SH SOLE 6600 0 0 PENN NATL GAMING INC COM 707569109 824 44236 SH SOLE 44236 0 0 PENNYMAC FINL SVCS INC COM 70932M107 1088 35828 SH SOLE 35828 0 0 PEPSICO INC COM 713448108 384 2800 SH SOLE 2800 0 0 PERKINELMER INC COM 714046109 1065 12500 SH SOLE 12500 0 0 PETROLEO BRASILEIRO SA PETRO SP ADR NON VTG 71654V101 294 22400 SH SOLE 22400 0 0 PETROLEO BRASILEIRO SA PETRO SPONSORED ADR 71654V408 1362 94100 SH SOLE 94100 0 0 PG&E CORP COM 69331C108 210 21000 SH SOLE 21000 0 0 PHASEBIO PHARMACEUTICALS INC COM 717224109 45 10800 SH SOLE 10800 0 0 PHILLIPS 66 COM 718546104 471 4600 SH SOLE 4600 0 0 PINDUODUO INC SPONSORED ADS 722304102 284 8800 SH SOLE 8800 0 0 PITNEY BOWES INC COM 724479100 1463 320053 SH SOLE 320053 0 0 PNM RES INC COM 69349H107 219 4200 SH SOLE 4200 0 0 POOL CORPORATION COM 73278L105 444 2200 SH SOLE 2200 0 0 PRICE T ROWE GROUP INC COM 74144T108 560 4900 SH SOLE 4900 0 0 PRIMO WTR CORP COM 74165N105 216 17600 SH SOLE 17600 0 0 PROCTER & GAMBLE CO COM 742718109 846 6800 SH SOLE 6800 0 0 PROLOGIS INC COM 74340W103 375 4400 SH SOLE 4400 0 0 PRUDENTIAL PLC ADR 74435K204 215 5900 SH SOLE 5900 0 0 PS BUSINESS PKS INC CALIF COM 69360J107 273 1500 SH SOLE 1500 0 0 PURE STORAGE INC CL A 74624M102 407 24000 SH SOLE 24000 0 0 PVH CORP COM 693656100 274 3100 SH SOLE 3100 0 0 QUAD / GRAPHICS INC COM CL A 747301109 268 25500 SH SOLE 25500 0 0 QUAKER CHEM CORP COM 747316107 253 1600 SH SOLE 1600 0 0 QUALCOMM INC COM 747525103 435 5700 SH SOLE 5700 0 0 QUANEX BUILDING PRODUCTS COR COM 747619104 305 16894 SH SOLE 16894 0 0 QUDIAN INC ADR 747798106 83 12000 SH SOLE 12000 0 0 QURATE RETAIL INC COM SER A 74915M100 1910 185200 SH SOLE 185200 0 0 RADIAN GROUP INC COM 750236101 2544 111400 SH Call SOLE 111400 0 0 RADIAN GROUP INC COM 750236101 4140 181246 SH SOLE 181246 0 0 RAMBUS INC DEL COM 750917106 247 18800 SH SOLE 18800 0 0 REDWOOD TR INC COM 758075402 2281 139011 SH SOLE 139011 0 0 REGENCY CTRS CORP COM 758849103 222 3200 SH SOLE 3200 0 0 REGENERON PHARMACEUTICALS COM 75886F107 804 2900 SH SOLE 2900 0 0 REINSURANCE GRP OF AMERICA I COM NEW 759351604 272 1700 SH SOLE 1700 0 0 RENT A CTR INC NEW COM 76009N100 266 10300 SH SOLE 10300 0 0 RESMED INC COM 761152107 352 2608 SH SOLE 2608 0 0 RESOURCES CONNECTION INC COM 76122Q105 231 13600 SH SOLE 13600 0 0 RESTAURANT BRANDS INTL INC COM 76131D103 1288 18100 SH SOLE 18100 0 0 RETAIL VALUE INC COM 76133Q102 311 8400 SH SOLE 8400 0 0 REV GROUP INC COM 749527107 283 24800 SH SOLE 24800 0 0 REVANCE THERAPEUTICS INC COM 761330109 303 23300 SH SOLE 23300 0 0 RMR GROUP INC CL A 74967R106 250 5500 SH SOLE 5500 0 0 ROYAL CARIBBEAN CRUISES LTD COM V7780T103 1582 14600 SH SOLE 14600 0 0 RPM INTL INC COM 749685103 220 3200 SH SOLE 3200 0 0 RUBICON PROJ INC COM 78112V102 180 20700 SH SOLE 20700 0 0 RYANAIR HLDGS PLC SPONSORED ADS 783513203 213 3216 SH SOLE 3216 0 0 S&P GLOBAL INC COM 78409V104 539 2200 SH SOLE 2200 0 0 SABRA HEALTH CARE REIT INC COM 78573L106 308 13400 SH SOLE 13400 0 0 SANMINA CORPORATION COM 801056102 395 12300 SH SOLE 12300 0 0 SASOL LTD SPONSORED ADR 803866300 179 10500 SH SOLE 10500 0 0 SCIENCE APPLICATNS INTL CP N COM 808625107 262 3000 SH SOLE 3000 0 0 SCIPLAY CORP CL A 809087109 172 16100 SH SOLE 16100 0 0 SCOTTS MIRACLE GRO CO CL A 810186106 1242 12200 SH SOLE 12200 0 0 SEAGATE TECHNOLOGY PLC SHS G7945M107 882 16400 SH SOLE 16400 0 0 SEATTLE GENETICS INC COM 812578102 1435 16800 SH SOLE 16800 0 0 SEAWORLD ENTMT INC COM 81282V100 1882 71500 SH SOLE 71500 0 0 SERVICE CORP INTL COM 817565104 837 17500 SH SOLE 17500 0 0 SERVICE PPTYS TR COM SH BEN INT 81761L102 384 14900 SH SOLE 14900 0 0 SERVICENOW INC COM 81762P102 305 1200 SH SOLE 1200 0 0 SHAKE SHACK INC CL A 819047101 1843 18800 SH SOLE 18800 0 0 SHOE CARNIVAL INC COM 824889109 250 7700 SH SOLE 7700 0 0 SILICON MOTION TECHNOLOGY CO SPONSORED ADR 82706C108 216 6100 SH SOLE 6100 0 0 SIX FLAGS ENTMT CORP NEW COM 83001A102 217 4273 SH SOLE 4273 0 0 SJW GROUP COM 784305104 314 4600 SH SOLE 4600 0 0 SKECHERS U S A INC CL A 830566105 2431 65100 SH SOLE 65100 0 0 SKYLINE CHAMPION CORPORATION COM 830830105 307 10200 SH SOLE 10200 0 0 SLM CORP COM 78442P106 336 38100 SH SOLE 38100 0 0 SM ENERGY CO COM 78454L100 1880 193993 SH SOLE 193993 0 0 SNAP INC CL A 83304A106 194 12300 SH SOLE 12300 0 0 SONOS INC COM 83570H108 180 13400 SH SOLE 13400 0 0 SONY CORP SPONSORED ADR 835699307 1106 18700 SH SOLE 18700 0 0 SPIRIT AEROSYSTEMS HLDGS INC COM CL A 848574109 362 4400 SH SOLE 4400 0 0 SPIRIT AIRLS INC COM 848577102 2773 76400 SH SOLE 76400 0 0 SPLUNK INC COM 848637104 448 3800 SH SOLE 3800 0 0 SPORTSMANS WHSE HLDGS INC COM 84920Y106 102 19600 SH SOLE 19600 0 0 SPOTIFY TECHNOLOGY S A SHS L8681T102 205 1800 SH SOLE 1800 0 0 SPROUTS FMRS MKT INC COM 85208M102 872 45100 SH SOLE 45100 0 0 SPX FLOW INC COM 78469X107 347 8800 SH SOLE 8800 0 0 SQUARE INC CL A 852234103 985 15900 SH SOLE 15900 0 0 STARBUCKS CORP COM 855244109 283 3200 SH SOLE 3200 0 0 STATE STR CORP COM 857477103 219 3700 SH SOLE 3700 0 0 SUMMIT HOTEL PPTYS INC COM 866082100 357 30800 SH SOLE 30800 0 0 SVB FINL GROUP COM 78486Q101 1254 6000 SH SOLE 6000 0 0 SYNCHRONOSS TECHNOLOGIES INC COM 87157B103 464 85900 SH SOLE 85900 0 0 SYNCHRONY FINL COM 87165B103 416 12200 SH SOLE 12200 0 0 SYNNEX CORP COM 87162W100 768 6800 SH SOLE 6800 0 0 SYNOPSYS INC COM 871607107 357 2600 SH SOLE 2600 0 0 TAIWAN SEMICONDUCTOR MFG LTD SPONSORED ADS 874039100 1032 22200 SH SOLE 22200 0 0 TAKEDA PHARMACEUTICAL CO LTD SPONSORED ADS 874060205 182 10600 SH SOLE 10600 0 0 TAPESTRY INC COM 876030107 4257 163400 SH SOLE 163400 0 0 TARGA RES CORP COM 87612G101 840 20900 SH SOLE 20900 0 0 TAUBMAN CTRS INC COM 876664103 612 15000 SH SOLE 15000 0 0 TD AMERITRADE HLDG CORP COM 87236Y108 341 7300 SH SOLE 7300 0 0 TECH DATA CORP COM 878237106 813 7800 SH SOLE 7800 0 0 TELARIA INC COM 879181105 78 11300 SH SOLE 11300 0 0 TELENAV INC COM 879455103 125 26100 SH SOLE 26100 0 0 TELEPHONE & DATA SYS INC COM NEW 879433829 263 10200 SH SOLE 10200 0 0 TENARIS S A SPONSORED ADS 88031M109 521 24600 SH SOLE 24600 0 0 TENCENT MUSIC ENTMT GROUP SPON ADS 88034P109 193 15100 SH SOLE 15100 0 0 TERADYNE INC COM 880770102 851 14700 SH SOLE 14700 0 0 TEREX CORP NEW COM 880779103 423 16300 SH SOLE 16300 0 0 TESLA INC COM 88160R101 3781 15700 SH Put SOLE 15700 0 0 TEXAS CAPITAL BANCSHARES INC COM 88224Q107 213 3900 SH SOLE 3900 0 0 TEXAS INSTRS INC COM 882508104 556 4300 SH SOLE 4300 0 0 THE CHARLES SCHWAB CORPORATI COM 808513105 301 7200 SH SOLE 7200 0 0 THIRD PT REINS LTD COM G8827U100 262 26200 SH SOLE 26200 0 0 THOR INDS INC COM 885160101 1093 19300 SH SOLE 19300 0 0 TIFFANY & CO NEW COM 886547108 398 4300 SH SOLE 4300 0 0 TIVO CORP COM 88870P106 179 23500 SH SOLE 23500 0 0 TOLL BROTHERS INC COM 889478103 868 21157 SH SOLE 21157 0 0 TRADEWEB MKTS INC CL A 892672106 277 7500 SH SOLE 7500 0 0 TRANSDIGM GROUP INC COM 893641100 17440 33500 SH Put SOLE 33500 0 0 TRANSOCEAN LTD REG SHS H8817H100 138 30800 SH SOLE 30800 0 0 TRANSUNION COM 89400J107 803 9900 SH SOLE 9900 0 0 TRIPLE-S MGMT CORP CL B 896749108 332 24800 SH SOLE 24800 0 0 TRONOX HOLDINGS PLC SHS G9087Q102 1144 137773 SH SOLE 137773 0 0 TTM TECHNOLOGIES INC COM 87305R109 215 17600 SH SOLE 17600 0 0 UBER TECHNOLOGIES INC COM 90353T100 518 17000 SH SOLE 17000 0 0 ULTA BEAUTY INC COM 90384S303 652 2600 SH SOLE 2600 0 0 UNILEVER N V N Y SHS NEW 904784709 288 4800 SH SOLE 4800 0 0 UNILEVER PLC SPON ADR NEW 904767704 325 5400 SH SOLE 5400 0 0 UNISYS CORP COM NEW 909214306 834 112200 SH SOLE 112200 0 0 UNITED AIRLINES HLDGS INC COM 910047109 2308 26100 SH SOLE 26100 0 0 UNITED RENTALS INC COM 911363109 532 4267 SH SOLE 4267 0 0 UNITED RENTALS INC COM 911363109 997 8000 SH Put SOLE 8000 0 0 UNITED STATES STL CORP NEW COM 912909108 346 29996 SH SOLE 29996 0 0 UNITED STATES STL CORP NEW COM 912909108 3269 283000 SH Put SOLE 283000 0 0 UNITED TECHNOLOGIES CORP COM 913017109 300 2200 SH SOLE 2200 0 0 UNITI GROUP INC COM 91325V108 1698 218677 SH SOLE 218677 0 0 UNITI GROUP INC COM 91325V108 442 57000 SH Put SOLE 57000 0 0 URBAN OUTFITTERS INC COM 917047102 4067 144800 SH SOLE 144800 0 0 V F CORP COM 918204108 2385 26800 SH SOLE 26800 0 0 VALE S A SPONSORED ADS 91912E105 244 21200 SH SOLE 21200 0 0 VECTOR GROUP LTD COM 92240M108 167 14000 SH SOLE 14000 0 0 VEECO INSTRS INC DEL COM 922417100 235 20100 SH SOLE 20100 0 0 VEREIT INC COM 92339V100 204 20900 SH SOLE 20900 0 0 VERSO CORP CL A 92531L207 182 14700 SH SOLE 14700 0 0 VIAVI SOLUTIONS INC COM 925550105 350 25000 SH SOLE 25000 0 0 VIKING THERAPEUTICS INC COM 92686J106 156 22700 SH SOLE 22700 0 0 VISTRA ENERGY CORP COM 92840M102 802 30000 SH SOLE 30000 0 0 VULCAN MATLS CO COM 929160109 318 2100 SH SOLE 2100 0 0 WALGREENS BOOTS ALLIANCE INC COM 931427108 254 4600 SH SOLE 4600 0 0 WALMART INC COM 931142103 1697 14300 SH SOLE 14300 0 0 WARRIOR MET COAL INC COM 93627C101 533 27300 SH SOLE 27300 0 0 WAYFAIR INC CL A 94419L101 2231 19900 SH SOLE 19900 0 0 WD-40 CO COM 929236107 532 2900 SH SOLE 2900 0 0 WEC ENERGY GROUP INC COM 92939U106 989 10400 SH SOLE 10400 0 0 WENDYS CO COM 95058W100 841 42100 SH SOLE 42100 0 0 WESTROCK CO COM 96145D105 576 15800 SH SOLE 15800 0 0 WHIRLPOOL CORP COM 963320106 1219 7700 SH SOLE 7700 0 0 WHITING PETE CORP NEW COM NEW 966387409 2500 311287 SH SOLE 311287 0 0 WHITING PETE CORP NEW NOTE 1.250% 4/0 966387AL6 28215 28740000 PRN SOLE 28740000 0 0 WILLIAMS COS INC DEL COM 969457100 241 10000 SH SOLE 10000 0 0 WILLIAMS SONOMA INC COM 969904101 3752 55200 SH SOLE 55200 0 0 WINGSTOP INC COM 974155103 1292 14800 SH SOLE 14800 0 0 WIX COM LTD SHS M98068105 595 5100 SH SOLE 5100 0 0 WOLVERINE WORLD WIDE INC COM 978097103 805 28500 SH SOLE 28500 0 0 WORKIVA INC COM CL A 98139A105 202 4600 SH SOLE 4600 0 0 WPX ENERGY INC COM 98212B103 225 21200 SH SOLE 21200 0 0 WW INTL INC COM 98262P101 1830 48400 SH SOLE 48400 0 0 WYNN RESORTS LTD COM 983134107 4330 39831 SH SOLE 39831 0 0 XPERI CORP COM 98421B100 290 14000 SH SOLE 14000 0 0 XYLEM INC COM 98419M100 669 8400 SH SOLE 8400 0 0 YANDEX N V SHS CLASS A N97284108 403 11500 SH SOLE 11500 0 0 YUM BRANDS INC COM 988498101 760 6700 SH SOLE 6700 0 0 ZIMMER BIOMET HLDGS INC COM 98956P102 467 3400 SH SOLE 3400 0 0 ZTO EXPRESS CAYMAN INC SPONSORED ADS A 98980A105 343 16100 SH SOLE 16100 0 0 ZUMIEZ INC COM 989817101 586 18500 SH SOLE 18500 0 0