0001085146-20-000795.txt : 20200214 0001085146-20-000795.hdr.sgml : 20200214 20200214141411 ACCESSION NUMBER: 0001085146-20-000795 CONFORMED SUBMISSION TYPE: 13F-HR PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20191231 FILED AS OF DATE: 20200214 DATE AS OF CHANGE: 20200214 EFFECTIVENESS DATE: 20200214 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: 20617893 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 12-31-2019 12-31-2019 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 02-10-2020 0 497 469895 INFORMATION TABLE 2 form13fInfoTable.xml DESCRIPTION FOR INFORMATION TABLE 21VIANET GROUP INC SPONSORED ADS A 90138A103 128 17600 SH SOLE 17600 0 0 ABBVIE INC COM 00287Y109 266 3000 SH SOLE 3000 0 0 ACADIA PHARMACEUTICALS INC COM 004225108 325 7600 SH SOLE 7600 0 0 ACCENTURE PLC IRELAND SHS CLASS A G1151C101 232 1100 SH SOLE 1100 0 0 ACCO BRANDS CORP COM 00081T108 336 35900 SH SOLE 35900 0 0 ACUITY BRANDS INC COM 00508Y102 455 3300 SH SOLE 3300 0 0 ADOBE INC COM 00724F101 231 700 SH SOLE 700 0 0 AECOM COM 00766T100 358 8300 SH SOLE 8300 0 0 AERCAP HOLDINGS NV SHS N00985106 270 4400 SH SOLE 4400 0 0 AES CORP COM 00130H105 271 13631 SH SOLE 13631 0 0 AFFILIATED MANAGERS GROUP IN COM 008252108 720 8500 SH SOLE 8500 0 0 AGNICO EAGLE MINES LTD COM 008474108 209 3400 SH SOLE 3400 0 0 AIR PRODS & CHEMS INC COM 009158106 423 1800 SH SOLE 1800 0 0 ALEXANDERS INC COM 014752109 231 700 SH SOLE 700 0 0 ALIGN TECHNOLOGY INC COM 016255101 335 1200 SH SOLE 1200 0 0 ALLIANCE DATA SYSTEMS CORP COM 018581108 460 4100 SH SOLE 4100 0 0 ALLSTATE CORP COM 020002101 506 4500 SH SOLE 4500 0 0 ALLY FINL INC COM 02005N100 231 7550 SH SOLE 7550 0 0 ALTRIA GROUP INC COM 02209S103 8619 172700 SH Put SOLE 172700 0 0 AMARIN CORP PLC SPONS ADR NEW 023111206 307 14300 SH SOLE 14300 0 0 AMC NETWORKS INC CL A 00164V103 1373 34755 SH SOLE 34755 0 0 AMEDISYS INC COM 023436108 217 1300 SH SOLE 1300 0 0 AMERICA MOVIL SAB DE CV SPON ADR L SHS 02364W105 227 14200 SH SOLE 14200 0 0 AMERICAN AIRLS GROUP INC COM 02376R102 539 18811 SH SOLE 18811 0 0 AMERICAN AXLE & MFG HLDGS IN COM 024061103 4170 387500 SH Call SOLE 387500 0 0 AMERICAN AXLE & MFG HLDGS IN COM 024061103 1936 180000 SH Put SOLE 180000 0 0 AMERICAN AXLE & MFG HLDGS IN COM 024061103 2709 251740 SH SOLE 251740 0 0 AMERICAN TOWER CORP NEW COM 03027X100 230 1000 SH SOLE 1000 0 0 AMERIPRISE FINL INC COM 03076C106 366 2200 SH SOLE 2200 0 0 AMERISOURCEBERGEN CORP COM 03073E105 731 8600 SH SOLE 8600 0 0 AMPHENOL CORP NEW CL A 032095101 303 2800 SH SOLE 2800 0 0 ANDERSONS INC COM 034164103 313 12400 SH SOLE 12400 0 0 ANNALY CAP MGMT INC COM 035710409 912 96783 SH SOLE 96783 0 0 ANTERO MIDSTREAM CORP COM 03676B102 865 113981 SH SOLE 113981 0 0 ANTERO MIDSTREAM CORP COM 03676B102 2277 300000 SH Put SOLE 300000 0 0 ANTERO RES CORP COM 03674X106 1368 480000 SH Call SOLE 480000 0 0 AON PLC SHS CL A G0408V102 604 2900 SH SOLE 2900 0 0 APACHE CORP COM 037411105 315 12300 SH SOLE 12300 0 0 APPLE INC COM 037833100 1527 5200 SH SOLE 5200 0 0 AQUA AMERICA INC COM 03836W103 507 10800 SH SOLE 10800 0 0 ARAMARK COM 03852U106 418 9623 SH SOLE 9623 0 0 ARCHROCK INC COM 03957W106 119 11900 SH SOLE 11900 0 0 ARLINGTON ASSET INVT CORP CL A NEW 041356205 2968 532908 SH SOLE 532908 0 0 ARROW ELECTRS INC COM 042735100 441 5200 SH SOLE 5200 0 0 ASBURY AUTOMOTIVE GROUP INC COM 043436104 391 3500 SH SOLE 3500 0 0 ASSURANT INC COM 04621X108 315 2400 SH SOLE 2400 0 0 ASTEC INDS INC COM 046224101 441 10500 SH SOLE 10500 0 0 ASTRAZENECA PLC SPONSORED ADR 046353108 264 5300 SH SOLE 5300 0 0 ATLASSIAN CORP PLC CL A G06242104 301 2500 SH SOLE 2500 0 0 AUTOHOME INC SP ADR RP CL A 05278C107 496 6200 SH SOLE 6200 0 0 AVIS BUDGET GROUP INC COM 053774105 774 24011 SH SOLE 24011 0 0 AVNET INC COM 053807103 216 5100 SH SOLE 5100 0 0 AXCELIS TECHNOLOGIES INC COM NEW 054540208 226 9400 SH SOLE 9400 0 0 B & G FOODS INC NEW COM 05508R106 808 45069 SH SOLE 45069 0 0 BALL CORP COM 058498106 330 5100 SH SOLE 5100 0 0 BANCORP INC DEL COM 05969A105 139 10700 SH SOLE 10700 0 0 BANK NEW YORK MELLON CORP COM 064058100 604 12000 SH SOLE 12000 0 0 BARRICK GOLD CORPORATION COM 067901108 242 13000 SH SOLE 13000 0 0 BEACON ROOFING SUPPLY INC COM 073685109 291 9100 SH SOLE 9100 0 0 BEAZER HOMES USA INC COM NEW 07556Q881 278 19700 SH SOLE 19700 0 0 BED BATH & BEYOND INC COM 075896100 7266 420000 SH Put SOLE 420000 0 0 BERKSHIRE HATHAWAY INC DEL CL B NEW 084670702 498 2200 SH SOLE 2200 0 0 BERRY GLOBAL GROUP INC COM 08579W103 467 9828 SH SOLE 9828 0 0 BEST INC SPONSORED ADS 08653C106 77 13900 SH SOLE 13900 0 0 BGC PARTNERS INC CL A 05541T101 251 42200 SH SOLE 42200 0 0 BILIBILI INC SPONS ADS REP Z 090040106 207 11100 SH SOLE 11100 0 0 BIOMARIN PHARMACEUTICAL INC COM 09061G101 313 3700 SH SOLE 3700 0 0 BJS WHSL CLUB HLDGS INC COM 05550J101 439 19300 SH SOLE 19300 0 0 BLUCORA INC COM 095229100 251 9600 SH SOLE 9600 0 0 BLUE BIRD CORP COM 095306106 218 9500 SH SOLE 9500 0 0 BLUEBIRD BIO INC COM 09609G100 281 3200 SH SOLE 3200 0 0 BLUEPRINT MEDICINES CORP COM 09627Y109 224 2800 SH SOLE 2800 0 0 BOISE CASCADE CO DEL COM 09739D100 358 9800 SH SOLE 9800 0 0 BORGWARNER INC COM 099724106 295 6800 SH SOLE 6800 0 0 BOSTON BEER INC CL A 100557107 605 1600 SH SOLE 1600 0 0 BOSTON PROPERTIES INC COM 101121101 717 5200 SH SOLE 5200 0 0 BRANDYWINE RLTY TR SH BEN INT NEW 105368203 161 10200 SH SOLE 10200 0 0 BRF SA SPONSORED ADR 10552T107 206 23700 SH SOLE 23700 0 0 BRIGHTHOUSE FINL INC COM 10922N103 290 7400 SH SOLE 7400 0 0 BRIGHTSPHERE INVT GROUP INC COM 10948W103 452 44200 SH SOLE 44200 0 0 BRISTOL MYERS SQUIBB CO COM 110122108 969 15100 SH SOLE 15100 0 0 BRITISH AMERN TOB PLC SPONSORED ADR 110448107 739 17400 SH SOLE 17400 0 0 BROOKFIELD ASSET MGMT INC CL A LTD VT SH 112585104 694 12000 SH SOLE 12000 0 0 BROWN FORMAN CORP CL B 115637209 1095 16200 SH SOLE 16200 0 0 BRUNSWICK CORP COM 117043109 264 4400 SH SOLE 4400 0 0 BUNGE LIMITED COM G16962105 299 5200 SH SOLE 5200 0 0 BURLINGTON STORES INC COM 122017106 1437 6300 SH SOLE 6300 0 0 C H ROBINSON WORLDWIDE INC COM NEW 12541W209 391 5000 SH SOLE 5000 0 0 CALAVO GROWERS INC COM 128246105 1458 16100 SH SOLE 16100 0 0 CALERES INC COM 129500104 273 11500 SH SOLE 11500 0 0 CALIFORNIA RES CORP COM NEW 13057Q206 123 13607 SH SOLE 13607 0 0 CALIFORNIA RES CORP COM NEW 13057Q206 2032 225000 SH Put SOLE 225000 0 0 CALLAWAY GOLF CO COM 131193104 220 10400 SH SOLE 10400 0 0 CALLON PETE CO DEL COM 13123X102 195 40459 SH SOLE 40459 0 0 CAMPBELL SOUP CO COM 134429109 208 4200 SH SOLE 4200 0 0 CAMPING WORLD HLDGS INC CL A 13462K109 305 20700 SH SOLE 20700 0 0 CANADIAN SOLAR INC COM 136635109 210 9500 SH SOLE 9500 0 0 CAPRI HOLDINGS LIMITED SHS G1890L107 1724 45200 SH SOLE 45200 0 0 CARDTRONICS PLC SHS CL A G1991C105 237 5300 SH SOLE 5300 0 0 CASEYS GEN STORES INC COM 147528103 366 2300 SH SOLE 2300 0 0 CATALYST BIOSCIENCES INC COM NEW 14888D208 129 18900 SH SOLE 18900 0 0 CENTRAIS ELETRICAS BRASILEIR SPONSORED ADR 15234Q207 234 25100 SH SOLE 25100 0 0 CHECK POINT SOFTWARE TECH LT ORD M22465104 211 1900 SH SOLE 1900 0 0 CHEESECAKE FACTORY INC COM 163072101 2254 58000 SH SOLE 58000 0 0 CHESAPEAKE ENERGY CORP COM 165167107 95 115000 SH Call SOLE 115000 0 0 CIENA CORP COM NEW 171779309 756 17700 SH SOLE 17700 0 0 CINCINNATI BELL INC NEW COM NEW 171871502 609 58154 SH SOLE 58154 0 0 CINTAS CORP COM 172908105 431 1600 SH SOLE 1600 0 0 CISCO SYS INC COM 17275R102 369 7700 SH SOLE 7700 0 0 CITIGROUP INC COM NEW 172967424 383 4800 SH SOLE 4800 0 0 CLARIVATE ANALYTICS PLC COM G21810109 176 10500 SH SOLE 10500 0 0 COCA COLA CO COM 191216100 1041 18800 SH SOLE 18800 0 0 COCA COLA FEMSA S A B DE C V SPONSORD ADR REP 191241108 521 8600 SH SOLE 8600 0 0 COHERENT INC COM 192479103 299 1800 SH SOLE 1800 0 0 COLFAX CORP COM 194014106 459 12609 SH SOLE 12609 0 0 COMMERCIAL METALS CO COM 201723103 454 20400 SH SOLE 20400 0 0 COMPANHIA DE SANEAMENTO BASI SPONSORED ADR 20441A102 253 16800 SH SOLE 16800 0 0 COMPANHIA PARANAENSE ENERG C SPON ADR PFD 20441B407 354 20900 SH SOLE 20900 0 0 CONCHO RES INC COM 20605P101 254 2900 SH SOLE 2900 0 0 CONOCOPHILLIPS COM 20825C104 410 6300 SH SOLE 6300 0 0 CONSTELLATION BRANDS INC CL A 21036P108 247 1300 SH SOLE 1300 0 0 COPA HOLDINGS SA CL A P31076105 357 3300 SH SOLE 3300 0 0 CORBUS PHARMACEUTICALS HLDGS COM 21833P103 113 20700 SH SOLE 20700 0 0 CORECIVIC INC COM 21871N101 351 20200 SH SOLE 20200 0 0 COUPA SOFTWARE INC COM 22266L106 819 5600 SH SOLE 5600 0 0 CREDICORP LTD COM G2519Y108 277 1300 SH SOLE 1300 0 0 CROCS INC COM 227046109 2731 65200 SH SOLE 65200 0 0 CURO GROUP HLDGS CORP COM 23131L107 443 36400 SH SOLE 36400 0 0 CVS HEALTH CORP COM 126650100 1917 25800 SH SOLE 25800 0 0 DANAHER CORPORATION COM 235851102 230 1500 SH SOLE 1500 0 0 DARDEN RESTAURANTS INC COM 237194105 654 6000 SH SOLE 6000 0 0 DARLING INGREDIENTS INC COM 237266101 278 9900 SH SOLE 9900 0 0 DECKERS OUTDOOR CORP COM 243537107 1283 7600 SH SOLE 7600 0 0 DELPHI TECHNOLOGIES PLC SHS G2709G107 256 2700 SH SOLE 2700 0 0 DELTA AIR LINES INC DEL COM NEW 247361702 3883 66400 SH SOLE 66400 0 0 DENBURY RES INC COM NEW 247916208 226 160000 SH Put SOLE 160000 0 0 DESIGNER BRANDS INC CL A 250565108 2536 161100 SH SOLE 161100 0 0 DESPEGAR COM CORP ORD SHS G27358103 136 10100 SH SOLE 10100 0 0 DEVON ENERGY CORP NEW COM 25179M103 574 22100 SH SOLE 22100 0 0 DIEBOLD NXDF INC COM 253651103 219 20700 SH SOLE 20700 0 0 DIGITAL TURBINE INC COM NEW 25400W102 154 21600 SH SOLE 21600 0 0 DILLARDS INC CL A 254067101 1139 15500 SH SOLE 15500 0 0 DISCOVERY INC COM SER A 25470F104 354 10800 SH SOLE 10800 0 0 DISH NETWORK CORP CL A 25470M109 2475 69775 SH SOLE 69775 0 0 DISNEY WALT CO COM DISNEY 254687106 260 1800 SH SOLE 1800 0 0 DOLBY LABORATORIES INC COM CL A 25659T107 378 5500 SH SOLE 5500 0 0 DOLLAR TREE INC COM 256746108 724 7700 SH SOLE 7700 0 0 DOMINOS PIZZA INC COM 25754A201 2791 9500 SH SOLE 9500 0 0 DONNELLEY FINL SOLUTIONS INC COM 25787G100 243 23200 SH SOLE 23200 0 0 DTE ENERGY CO COM 233331107 481 3700 SH SOLE 3700 0 0 DUNKIN BRANDS GROUP INC COM 265504100 1503 19900 SH SOLE 19900 0 0 DUPONT DE NEMOURS INC COM 26614N102 860 13400 SH SOLE 13400 0 0 DXC TECHNOLOGY CO COM 23355L106 515 13700 SH SOLE 13700 0 0 E TRADE FINANCIAL CORP COM NEW 269246401 218 4800 SH SOLE 4800 0 0 EATON CORP PLC SHS G29183103 313 3300 SH SOLE 3300 0 0 ECOLAB INC COM 278865100 444 2300 SH SOLE 2300 0 0 ELANCO ANIMAL HEALTH INC COM 28414H103 563 19125 SH SOLE 19125 0 0 ELASTIC N V ORD SHS N14506104 238 3700 SH SOLE 3700 0 0 ELECTRONIC ARTS INC COM 285512109 258 2400 SH SOLE 2400 0 0 ELLINGTON FINANCIAL INC COM 28852N109 15585 850250 SH SOLE 850250 0 0 EMPIRE ST RLTY TR INC CL A 292104106 410 29400 SH SOLE 29400 0 0 ENERGIZER HLDGS INC NEW COM 29272W109 528 10515 SH SOLE 10515 0 0 ENOVA INTL INC COM 29357K103 315 13100 SH SOLE 13100 0 0 ENSTAR GROUP LIMITED SHS G3075P101 352 1700 SH SOLE 1700 0 0 ENTERCOM COMMUNICATIONS CORP CL A 293639100 63 13500 SH SOLE 13500 0 0 EPR PPTYS COM SH BEN INT 26884U109 381 5400 SH SOLE 5400 0 0 EQT CORP COM 26884L109 126 11600 SH SOLE 11600 0 0 EQUINOR ASA SPONSORED ADR 29446M102 285 14300 SH SOLE 14300 0 0 EQUITY LIFESTYLE PPTYS INC COM 29472R108 239 3400 SH SOLE 3400 0 0 ESSENT GROUP LTD COM G3198U102 5130 98674 SH SOLE 98674 0 0 EURONET WORLDWIDE INC COM 298736109 536 3400 SH SOLE 3400 0 0 EVERI HLDGS INC COM 30034T103 318 23700 SH SOLE 23700 0 0 EVO PMTS INC CL A COM 26927E104 222 8400 SH SOLE 8400 0 0 EXTERRAN CORP COM 30227H106 116 14800 SH SOLE 14800 0 0 EXXON MOBIL CORP COM 30231G102 426 6100 SH SOLE 6100 0 0 EZCORP INC CL A NON VTG 302301106 297 43600 SH SOLE 43600 0 0 FEDERAL REALTY INVT TR SH BEN INT NEW 313747206 451 3500 SH SOLE 3500 0 0 FEDERATED INVS INC PA CL B 314211103 209 6400 SH SOLE 6400 0 0 FIBROGEN INC COM 31572Q808 403 9400 SH SOLE 9400 0 0 FIDELITY NATIONAL FINANCIAL FNF GROUP COM 31620R303 385 8500 SH SOLE 8500 0 0 FIRST BANCORP P R COM NEW 318672706 196 18500 SH SOLE 18500 0 0 FIRSTENERGY CORP COM 337932107 452 9300 SH SOLE 9300 0 0 FIVE BELOW INC COM 33829M101 1368 10700 SH SOLE 10700 0 0 FIVE9 INC COM 338307101 275 4200 SH SOLE 4200 0 0 FORD MTR CO DEL COM 345370860 7254 780000 SH Put SOLE 780000 0 0 FORD MTR CO DEL COM 345370860 23622 2540000 SH Call SOLE 2540000 0 0 FORTINET INC COM 34959E109 288 2700 SH SOLE 2700 0 0 FORTIVE CORP COM 34959J108 382 5000 SH SOLE 5000 0 0 FRESHPET INC COM 358039105 1300 22000 SH SOLE 22000 0 0 FRONT YD RESIDENTIAL CORP COM 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COM 58155Q103 373 2700 SH SOLE 2700 0 0 MDU RES GROUP INC COM 552690109 425 14300 SH SOLE 14300 0 0 MEDNAX INC COM 58502B106 585 21043 SH SOLE 21043 0 0 MELCO RESORTS AND ENTMT LTD ADR 585464100 336 13900 SH SOLE 13900 0 0 MERCER INTL INC COM 588056101 133 10800 SH SOLE 10800 0 0 MERCK & CO INC COM 58933Y105 227 2500 SH SOLE 2500 0 0 MGIC INVT CORP WIS COM 552848103 6854 483688 SH SOLE 483688 0 0 MGM RESORTS INTERNATIONAL COM 552953101 2088 62755 SH SOLE 62755 0 0 MICHAELS COS INC COM 59408Q106 210 25900 SH SOLE 25900 0 0 MINERVA NEUROSCIENCES INC COM 603380106 127 17800 SH SOLE 17800 0 0 MITSUBISHI UFJ FINL GROUP IN SPONSORED ADS 606822104 264 48600 SH SOLE 48600 0 0 MOBILE TELESYSTEMS PJSC SPONSORED ADR 607409109 178 17500 SH SOLE 17500 0 0 MOHAWK INDS INC COM 608190104 464 3400 SH SOLE 3400 0 0 MOLINA HEALTHCARE INC COM 60855R100 760 5601 SH SOLE 5601 0 0 MOMO INC ADR 60879B107 482 14400 SH SOLE 14400 0 0 MONOLITHIC PWR SYS INC COM 609839105 285 1600 SH SOLE 1600 0 0 MONSTER BEVERAGE CORP NEW COM 61174X109 1322 20800 SH SOLE 20800 0 0 MRC GLOBAL INC COM 55345K103 289 21200 SH SOLE 21200 0 0 MURPHY OIL CORP COM 626717102 1244 46433 SH SOLE 46433 0 0 MURPHY USA INC COM 626755102 842 7200 SH SOLE 7200 0 0 NABORS INDS INC NEW NOTE 0.750% 1/1 62957HAB1 43407 57190000 PRN SOLE 57190000 0 0 NATIONAL OILWELL VARCO INC COM 637071101 493 19700 SH SOLE 19700 0 0 NAVIENT CORPORATION COM 63938C108 158 11514 SH SOLE 11514 0 0 NAVISTAR INTL CORP NEW COM 63934E108 284 9800 SH SOLE 9800 0 0 NCR CORP NEW COM 62886E108 222 6327 SH SOLE 6327 0 0 NETEASE INC SPONSORED ADS 64110W102 552 1800 SH SOLE 1800 0 0 NETFLIX INC COM 64110L106 324 1000 SH SOLE 1000 0 0 NETFLIX INC COM 64110L106 4206 13000 SH Call SOLE 13000 0 0 NEW RESIDENTIAL INVT CORP COM NEW 64828T201 461 28600 SH SOLE 28600 0 0 NEW SR INVT GROUP INC COM 648691103 234 30600 SH SOLE 30600 0 0 NEWMARK GROUP INC CL A 65158N102 487 36200 SH SOLE 36200 0 0 NEXTERA ENERGY INC COM 65339F101 218 900 SH SOLE 900 0 0 NIKE INC CL B 654106103 2148 21200 SH SOLE 21200 0 0 NN INC COM 629337106 303 32800 SH SOLE 32800 0 0 NORDSTROM INC COM 655664100 250 6100 SH SOLE 6100 0 0 NOVARTIS A G SPONSORED ADR 66987V109 265 2800 SH SOLE 2800 0 0 NOW INC COM 67011P100 202 18000 SH SOLE 18000 0 0 NUVASIVE INC COM 670704105 557 7200 SH SOLE 7200 0 0 NVIDIA CORP COM 67066G104 1224 5200 SH SOLE 5200 0 0 O REILLY AUTOMOTIVE INC NEW COM 67103H107 833 1900 SH SOLE 1900 0 0 OASIS PETE INC NEW COM 674215108 2814 863270 SH SOLE 863270 0 0 OLIN CORP COM PAR $1 680665205 909 52685 SH SOLE 52685 0 0 OLLIES BARGAIN OUTLT HLDGS I COM 681116109 1998 30600 SH SOLE 30600 0 0 OMEGA HEALTHCARE INVS INC COM 681936100 741 17500 SH SOLE 17500 0 0 OPERA LTD SPONSORED ADS 68373M107 143 15500 SH SOLE 15500 0 0 OPTINOSE INC COM 68404V100 152 16500 SH SOLE 16500 0 0 OSHKOSH CORP COM 688239201 473 5000 SH SOLE 5000 0 0 OWENS & MINOR INC NEW COM 690732102 324 62700 SH SOLE 62700 0 0 PAPA JOHNS INTL INC COM 698813102 272 4300 SH SOLE 4300 0 0 PARKER HANNIFIN CORP COM 701094104 515 2500 SH SOLE 2500 0 0 PAYPAL HLDGS INC COM 70450Y103 357 3300 SH SOLE 3300 0 0 PENN NATL GAMING INC COM 707569109 542 21201 SH SOLE 21201 0 0 PENNYMAC FINL SVCS INC COM 70932M107 1765 51864 SH SOLE 51864 0 0 PENTAIR PLC SHS G7S00T104 225 4900 SH SOLE 4900 0 0 PENUMBRA INC COM 70975L107 345 2100 SH SOLE 2100 0 0 PEPSICO INC COM 713448108 342 2500 SH SOLE 2500 0 0 PERFORMANCE FOOD GROUP CO COM 71377A103 227 4400 SH SOLE 4400 0 0 PERRIGO CO PLC SHS G97822103 387 7500 SH SOLE 7500 0 0 PETROCHINA CO LTD SPONSORED ADR 71646E100 237 4700 SH SOLE 4700 0 0 PETROLEO BRASILEIRO SA PETRO SP ADR NON VTG 71654V101 236 15800 SH SOLE 15800 0 0 PETROLEO BRASILEIRO SA PETRO SPONSORED ADR 71654V408 282 17700 SH SOLE 17700 0 0 PG&E CORP COM 69331C108 236 21700 SH SOLE 21700 0 0 PITNEY BOWES INC COM 724479100 1339 332363 SH SOLE 332363 0 0 PLEXUS CORP COM 729132100 315 4100 SH SOLE 4100 0 0 PNC FINL SVCS GROUP INC COM 693475105 208 1300 SH SOLE 1300 0 0 POLARIS INC COM 731068102 224 2200 SH SOLE 2200 0 0 POPULAR INC COM NEW 733174700 382 6500 SH SOLE 6500 0 0 POSCO SPONSORED ADR 693483109 283 5600 SH SOLE 5600 0 0 POST HLDGS INC COM 737446104 1083 9925 SH SOLE 9925 0 0 POWELL INDS INC COM 739128106 299 6100 SH SOLE 6100 0 0 PPG INDS INC COM 693506107 294 2200 SH SOLE 2200 0 0 PPL CORP COM 69351T106 248 6900 SH SOLE 6900 0 0 PRA HEALTH SCIENCES INC COM 69354M108 245 2200 SH SOLE 2200 0 0 PRESTIGE CONSMR HEALTHCARE I COM 74112D101 300 7404 SH SOLE 7404 0 0 PRICE T ROWE GROUP INC COM 74144T108 292 2400 SH SOLE 2400 0 0 PRIMO WTR CORP COM 74165N105 351 31300 SH SOLE 31300 0 0 PROCTER & GAMBLE CO COM 742718109 587 4700 SH SOLE 4700 0 0 PROLOGIS INC COM 74340W103 428 4800 SH SOLE 4800 0 0 PROQR THRAPEUTICS N V SHS EURO N71542109 151 15200 SH SOLE 15200 0 0 PROVIDENCE SVC CORP COM 743815102 207 3500 SH SOLE 3500 0 0 PULTE GROUP INC COM 745867101 4656 120000 SH Put SOLE 120000 0 0 QUANEX BUILDING PRODUCTS COR COM 747619104 446 26100 SH SOLE 26100 0 0 QUANTA SVCS INC COM 74762E102 415 10200 SH SOLE 10200 0 0 QURATE RETAIL INC COM SER A 74915M100 379 44953 SH SOLE 44953 0 0 RADIAN GROUP INC COM 750236101 5422 215490 SH SOLE 215490 0 0 RANGE RES CORP COM 75281A109 64 13284 SH SOLE 13284 0 0 RE MAX HLDGS INC CL A 75524W108 254 6600 SH SOLE 6600 0 0 READY CAP CORP COM 75574U101 2075 134570 SH SOLE 134570 0 0 REALTY INCOME CORP COM 756109104 427 5800 SH SOLE 5800 0 0 REATA PHARMACEUTICALS INC CL A 75615P103 450 2200 SH SOLE 2200 0 0 REDWOOD TR INC COM 758075402 6634 401104 SH SOLE 401104 0 0 REGENERON PHARMACEUTICALS COM 75886F107 300 800 SH SOLE 800 0 0 RELIANCE STEEL & ALUMINUM CO COM 759509102 347 2900 SH SOLE 2900 0 0 RENAISSANCERE HOLDINGS LTD COM G7496G103 412 2100 SH SOLE 2100 0 0 RENEWABLE ENERGY GROUP INC COM NEW 75972A301 226 8400 SH SOLE 8400 0 0 REPLIGEN CORP COM 759916109 222 2400 SH SOLE 2400 0 0 RESTAURANT BRANDS INTL INC COM 76131D103 1658 26000 SH SOLE 26000 0 0 RETAIL VALUE INC COM 76133Q102 202 5476 SH SOLE 5476 0 0 RH COM 74967X103 1366 6400 SH SOLE 6400 0 0 RPM INTL INC COM 749685103 261 3400 SH SOLE 3400 0 0 RPT REALTY SH BEN INT 74971D101 262 17400 SH SOLE 17400 0 0 RUBICON PROJ INC COM 78112V102 143 17500 SH SOLE 17500 0 0 RUSH ENTERPRISES INC CL A 781846209 558 12000 SH SOLE 12000 0 0 RYANAIR HLDGS PLC SPONSORED ADS 783513203 394 4500 SH SOLE 4500 0 0 S&P GLOBAL INC COM 78409V104 437 1600 SH SOLE 1600 0 0 SANDERSON FARMS INC COM 800013104 458 2600 SH SOLE 2600 0 0 SANMINA CORPORATION COM 801056102 431 12600 SH SOLE 12600 0 0 SCHLUMBERGER LTD COM 806857108 402 10000 SH SOLE 10000 0 0 SCOTTS MIRACLE GRO CO CL A 810186106 255 2400 SH SOLE 2400 0 0 SEALED AIR CORP NEW COM 81211K100 539 13528 SH SOLE 13528 0 0 SEI INVESTMENTS CO COM 784117103 216 3300 SH SOLE 3300 0 0 SERVICEMASTER GLOBAL HLDGS I COM 81761R109 309 8003 SH SOLE 8003 0 0 SHAKE SHACK INC CL A 819047101 953 16000 SH SOLE 16000 0 0 SIERRA WIRELESS INC COM 826516106 164 17200 SH SOLE 17200 0 0 SIRIUS XM HLDGS INC COM 82968B103 3575 500000 SH Call SOLE 500000 0 0 SITE CENTERS CORP COM 82981J109 164 11700 SH SOLE 11700 0 0 SIX FLAGS ENTMT CORP NEW COM 83001A102 2746 60869 SH SOLE 60869 0 0 SKYWORKS SOLUTIONS INC COM 83088M102 375 3100 SH SOLE 3100 0 0 SL GREEN RLTY CORP COM 78440X101 763 8300 SH SOLE 8300 0 0 SLM CORP COM 78442P106 152 17100 SH SOLE 17100 0 0 SM ENERGY CO COM 78454L100 4640 412825 SH SOLE 412825 0 0 SM ENERGY CO NOTE 1.500% 7/0 78454LAM2 3966 4161000 PRN SOLE 4161000 0 0 SONY CORP SPONSORED ADR 835699307 313 4600 SH SOLE 4600 0 0 SPARTANNASH CO COM 847215100 147 10300 SH SOLE 10300 0 0 SPIRIT AEROSYSTEMS HLDGS INC COM CL A 848574109 452 6200 SH SOLE 6200 0 0 SPIRIT AIRLS INC COM 848577102 1729 42900 SH SOLE 42900 0 0 SPOTIFY TECHNOLOGY S A SHS L8681T102 867 5800 SH SOLE 5800 0 0 SS&C TECHNOLOGIES HLDGS INC COM 78467J100 228 3720 SH SOLE 3720 0 0 STAG INDL INC COM 85254J102 224 7100 SH SOLE 7100 0 0 STARWOOD PPTY TR INC COM 85571B105 236 9500 SH SOLE 9500 0 0 STATE STR CORP COM 857477103 712 9000 SH SOLE 9000 0 0 STEEL DYNAMICS INC COM 858119100 671 19700 SH SOLE 19700 0 0 STERICYCLE INC COM 858912108 396 6200 SH SOLE 6200 0 0 STERLING BANCORP DEL COM 85917A100 251 11900 SH SOLE 11900 0 0 STITCH FIX INC COM CL A 860897107 2107 82100 SH SOLE 82100 0 0 STMICROELECTRONICS N V NY REGISTRY 861012102 433 16100 SH SOLE 16100 0 0 STRATEGIC ED INC COM 86272C103 207 1300 SH SOLE 1300 0 0 SUMITOMO MITSUI FINL GROUP I SPONSORED ADR 86562M209 110 14800 SH SOLE 14800 0 0 SUN CMNTYS INC COM 866674104 210 1400 SH SOLE 1400 0 0 SUNCOKE ENERGY INC COM 86722A103 469 75300 SH SOLE 75300 0 0 SURMODICS INC COM 868873100 261 6300 SH SOLE 6300 0 0 TAKEDA PHARMACEUTICAL CO LTD SPONSORED ADS 874060205 233 11800 SH SOLE 11800 0 0 TAPESTRY INC COM 876030107 1540 57100 SH SOLE 57100 0 0 TARGET CORP COM 87612E106 1103 8600 SH SOLE 8600 0 0 TECHNIPFMC PLC COM G87110105 470 21900 SH SOLE 21900 0 0 TELADOC HEALTH INC COM 87918A105 293 3500 SH SOLE 3500 0 0 TELEFONICA BRASIL SA SPONSORED ADR 87936R106 153 10700 SH SOLE 10700 0 0 TELEFONICA S A SPONSORED ADR 879382208 141 20300 SH SOLE 20300 0 0 TENARIS S A SPONSORED ADS 88031M109 518 22900 SH SOLE 22900 0 0 TEREX CORP NEW COM 880779103 378 12700 SH SOLE 12700 0 0 TESLA INC COM 88160R101 6568 15700 SH Put SOLE 15700 0 0 TEVA PHARMACEUTICAL INDS LTD SPONSORED ADS 881624209 521 53171 SH SOLE 53171 0 0 TEVA PHARMACEUTICAL INDS LTD SPONSORED ADS 881624209 2548 260000 SH Put SOLE 260000 0 0 THE CHARLES SCHWAB CORPORATI COM 808513105 637 13400 SH SOLE 13400 0 0 TIMKEN CO COM 887389104 270 4800 SH SOLE 4800 0 0 TJX COS INC NEW COM 872540109 2357 38600 SH SOLE 38600 0 0 TOLL BROTHERS INC COM 889478103 654 16559 SH SOLE 16559 0 0 TRANSDIGM GROUP INC COM 893641100 3080 5500 SH Put SOLE 5500 0 0 TRONOX HOLDINGS PLC SHS G9087Q102 558 48851 SH SOLE 48851 0 0 TTEC HLDGS INC COM 89854H102 372 9400 SH SOLE 9400 0 0 TUTOR PERINI CORP COM 901109108 181 14100 SH SOLE 14100 0 0 TWITTER INC COM 90184L102 282 8800 SH SOLE 8800 0 0 TWO HBRS INVT CORP COM NEW 90187B408 412 28203 SH SOLE 28203 0 0 UBER TECHNOLOGIES INC COM 90353T100 1581 53176 SH SOLE 53176 0 0 UBIQUITI INC COM 90353W103 435 2300 SH SOLE 2300 0 0 UNDER ARMOUR INC CL A 904311107 348 16100 SH SOLE 16100 0 0 UNISYS CORP COM NEW 909214306 778 65600 SH SOLE 65600 0 0 UNITED RENTALS INC COM 911363109 421 2523 SH SOLE 2523 0 0 UNITED RENTALS INC COM 911363109 1334 8000 SH Put SOLE 8000 0 0 UNITED STATES STL CORP NEW COM 912909108 3309 290000 SH Put SOLE 290000 0 0 UNITED THERAPEUTICS CORP DEL COM 91307C102 564 6400 SH SOLE 6400 0 0 UNITEDHEALTH GROUP INC COM 91324P102 235 800 SH SOLE 800 0 0 UNITI GROUP INC COM 91325V108 242 29516 SH SOLE 29516 0 0 UNITI GROUP INC COM 91325V108 468 57000 SH Put SOLE 57000 0 0 UPWORK INC COM 91688F104 150 14100 SH SOLE 14100 0 0 URBAN OUTFITTERS INC COM 917047102 825 29700 SH SOLE 29700 0 0 V F CORP COM 918204108 3438 34500 SH SOLE 34500 0 0 VALE S A SPONSORED ADS 91912E105 326 24700 SH SOLE 24700 0 0 VERSO CORP CL A 92531L207 224 12400 SH SOLE 12400 0 0 VIACOMCBS INC CL B 92556H206 747 17800 SH SOLE 17800 0 0 VICI PPTYS INC COM 925652109 345 13500 SH SOLE 13500 0 0 VIRGIN GALACTIC HOLDINGS INC COM 92766K106 356 30800 SH SOLE 30800 0 0 VISA INC COM CL A 92826C839 789 4200 SH SOLE 4200 0 0 VISTA OUTDOOR INC COM 928377100 310 41500 SH SOLE 41500 0 0 VISTRA ENERGY CORP COM 92840M102 336 14603 SH SOLE 14603 0 0 VODAFONE GROUP PLC NEW SPONSORED ADR 92857W308 483 25000 SH SOLE 25000 0 0 VORNADO RLTY TR SH BEN INT 929042109 426 6400 SH SOLE 6400 0 0 W & T OFFSHORE INC COM 92922P106 56 10000 SH SOLE 10000 0 0 WALKER & DUNLOP INC COM 93148P102 407 6300 SH SOLE 6300 0 0 WALMART INC COM 931142103 2721 22900 SH SOLE 22900 0 0 WARRIOR MET COAL INC COM 93627C101 273 12900 SH SOLE 12900 0 0 WESTERN ASSET MTG CAP CORP NOTE 6.750%10/0 95790DAA3 1020 1000000 PRN SOLE 1000000 0 0 WESTROCK CO COM 96145D105 373 8700 SH SOLE 8700 0 0 WEYERHAEUSER CO COM 962166104 239 7900 SH SOLE 7900 0 0 WHITING PETE CORP NEW NOTE 1.250% 4/0 966387AL6 7741 7893000 PRN SOLE 7893000 0 0 WILLIAMS COS INC DEL COM 969457100 346 14600 SH SOLE 14600 0 0 WILLIAMS SONOMA INC COM 969904101 962 13100 SH SOLE 13100 0 0 WINMARK CORP COM 974250102 238 1200 SH SOLE 1200 0 0 WIX COM LTD SHS M98068105 404 3300 SH SOLE 3300 0 0 WOODWARD INC COM 980745103 296 2500 SH SOLE 2500 0 0 WW INTL INC COM 98262P101 3156 82600 SH SOLE 82600 0 0 WYNDHAM HOTELS & RESORTS INC COM 98311A105 314 5000 SH SOLE 5000 0 0 WYNN RESORTS LTD COM 983134107 2147 15464 SH SOLE 15464 0 0 XPERI CORP COM 98421B100 710 38400 SH SOLE 38400 0 0 YUM BRANDS INC COM 988498101 253 2512 SH SOLE 2512 0 0 ZIMMER BIOMET HLDGS INC COM 98956P102 524 3500 SH SOLE 3500 0 0 ZOETIS INC CL A 98978V103 251 1900 SH SOLE 1900 0 0 ZTO EXPRESS CAYMAN INC SPONSORED ADS A 98980A105 495 21200 SH SOLE 21200 0 0 ZUMIEZ INC COM 989817101 1178 34100 SH SOLE 34100 0 0 ZYNGA INC CL A 98986T108 337 55100 SH SOLE 55100 0 0