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Equity Markets Mixed on Light Trading

Aug 03, 2018

Commentary: Equities are little changed overall with relative strength in Staples on strong earnings and takeover rumors in KHC, and Utilities, which are up with bonds. Currently, the S&P is +.15%, the Russell is -.64%, and the Nasdaq is unchanged. Energy is particularly weak as WTI Crude -1.5% dragging down the energy ETFs with XOP -1.9% and XLE -.9%. Bonds are rallying on the slightly lower than expected jobs number with TLT +.42% and the ten-year yield falling to 2.958%. Volatilities are mixed with the VIX -4% to 11.72, RVX +.87%, and VXN -.9% to 16.17.

 

ETF 30d volatility changes

SPY:        -3%

IWM:      +1%

QQQ:      +1%

 

Directional:

Bullish

JNJ Seller 5,300 Sep 125 puts (ref. 131.15)

LKQ Seller 9,800 Aug 30 calls to Buy 9,800 Feb 19 30 calls (rolls out, ref. 33.03)

CBS Buyer 8,898 Nov 55 calls (ref. 52.47)

BBBY Buyer 6,000 Feb19 30 calls (ref. 18.42)

TWLO Buyer 5,500 Jan 70 – 80 call spreads (ref. 61.19)

EA Buyer 4,080 Jan 135 – 155 call spreads (ref. 130.80)

Bearish

GPRO Seller 10,000 Aug 3rd 7 puts to Buy 10,000 Jan 7 puts (ref. 6.89)

GPRO Buyer 67,528 Jan 9 puts to Sell 68,000 Jan 7 puts (ref. 8.24)

MGM 4,000 Mar19 25 puts trade (ref. 28.66)

 

Earnings Plays:

Bullish

MYL Seller 6,700 Jan 35 puts to Buy 6,700 Jan 40 – 50 call spreads (Earnings 8/8, ref. 37.21)

Bearish

 

Macro:

Bullish

TLT 10,000 Aug 119 puts trade (ref. 118.91)

EWZ Seller 10,101 Aug 35 calls to Buy 15,150 Aug 38 calls (rolls up, ref. 37.31)

EEM Buyer 44,250 Sep 45.5 calls to Sell 51,000 Sep 47 calls (ref. 44.19)

FXI Seller 10,000 Jan20 30 puts (ref. 42.14)

Bearish

XLU Buyer 5,000 Sep 53 puts (ref. 53.18)

KBE Buyer 7,500 Sep 46 puts (ref. 48.87)

XLE 8,350 Jan 70 puts trade (ref. 75.06)

 

Financing Trades:

DWDP 3000 Jun19 75 RC trade (ref. 66.49)

AABA 17,000 Aug 100 RC trade (ref. 71.92)

 

 

Upcoming Earnings:

 

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

Average Daily Vega

AIN

8/6/2018

3.8

4.8

-22.0%

C

 

ANDV

8/6/2018

 

2.5

-100.0%

C

11795

ANSS

8/6/2018

4.7

4.2

11.8%

C

3353

ARNA

8/6/2018

0.8

6.0

-87.3%

F

3520

ATSG

8/6/2018

7.2

6.7

7.3%

A

204

BHF

8/6/2018

 

3.5

-100.0%

F

13019

BID

8/6/2018

5.7

7.7

-25.4%

C

1081

BRKS

8/6/2018

5.9

6.4

-7.5%

A

625

BWXT

8/6/2018

4.6

2.1

119.4%

C

437

CAH

8/6/2018

5.4

6.3

-13.8%

C

10848

CDEV

8/6/2018

6.0

2.8

115.3%

C

509

CFX

8/6/2018

5.7

5.7

0.0%

F

519

CPE

8/6/2018

5.3

4.0

32.1%

C

595

CRZO

8/6/2018

7.1

7.6

-6.1%

F

4780

CTB

8/6/2018

7.4

6.7

10.5%

F

2481

CVCO

8/6/2018

 

8.0

-100.0%

C

322

CVGI

8/6/2018

15.8

14.9

6.1%

A

 

DCO

8/6/2018

8.9

6.0

47.1%

D

 

EDIT

8/6/2018

12.0

6.4

88.4%

F

5137

EDR

8/6/2018

2.3

1.9

25.0%

C

386

ETSY

8/6/2018

10.0

9.5

5.4%

D

7361

EVBG

8/6/2018

3.3

4.6

-27.3%

B

2200

EVHC

8/6/2018

 

7.4

-100.0%

B

3550

FIVN

8/6/2018

7.7

6.5

19.2%

C

1105

FRGI

8/6/2018

10.4

10.8

-4.5%

C

463

FRPT

8/6/2018

7.8

9.1

-14.4%

C

696

GAIA

8/6/2018

2.9

4.4

-32.7%

C

 

HHC

8/6/2018

4.5

3.1

46.6%

C

1268

HSIC

8/6/2018

5.8

5.1

12.9%

C

9577

HTZ

8/6/2018

11.4

12.9

-11.4%

F

9390

ITRI

8/6/2018

8.3

7.5

10.9%

D

 

JEC

8/6/2018

4.3

5.1

-16.1%

C

2556

KMT

8/6/2018

4.9

4.5

8.6%

C

216

KOPN

8/6/2018

23.5

7.8

201.6%

F

 

LEXEA

8/6/2018

 

2.9

-100.0%

D

 

LGND

8/6/2018

5.6

3.4

62.0%

A

3266

MAR

8/6/2018

3.4

2.0

69.0%

C

86794

MG

8/6/2018

7.2

6.9

5.4%

C

 

MOS

8/6/2018

4.3

4.8

-11.6%

F

13654

MTSC

8/6/2018

4.9

5.8

-16.9%

C

 

MTW

8/6/2018

5.7

5.1

10.4%

D

2399

MWA

8/6/2018

5.0

6.4

-21.0%

C

 

MXWL

8/6/2018

13.4

4.7

183.6%

C

 

NCMI

8/6/2018

8.6

9.7

-11.9%

B

 

NPTN

8/6/2018

15.8

11.4

37.9%

F

 

NWL

8/6/2018

5.0

7.6

-34.6%

C

21205

OAS

8/6/2018

2.4

4.4

-46.7%

F

1557

PI

8/6/2018

15.4

23.2

-33.6%

D

1067

PLOW

8/6/2018

6.8

8.3

-17.9%

D

 

RBC

8/6/2018

4.1

3.9

4.3%

C

 

RNG

8/6/2018

6.4

4.9

31.4%

D

8080

RPD

8/6/2018

7.4

6.1

22.3%

C

1181

SEAS

8/6/2018

9.2

5.6

63.5%

D

4416

SNHY

8/6/2018

4.1

5.7

-28.0%

C

 

SRE

8/6/2018

 

1.3

-100.0%

D

6018

SREV

8/6/2018

32.2

8.9

260.2%

C

 

SYKE

8/6/2018

7.3

5.2

40.4%

C

657

THC

8/6/2018

9.6

11.2

-14.0%

D

23545

TSN

8/6/2018

4.0

3.7

6.2%

A

28105

TWIN

8/6/2018

7.3

7.7

-5.2%

D

 

TWLO

8/6/2018

13.0

13.0

0.3%

C

34494

VST

8/6/2018

3.3

0.9

277.4%

F

305

WTW

8/6/2018

10.9

11.9

-8.2%

B

29296

Z

8/6/2018

7.3

5.1

42.6%

C

13819

 

 

Volatility Standouts:

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

SCG

7.40E-01

D

-0.70%

17.00

2087

PCG

73.44%

A

-1.21%

82.61

47060

NAVI

73.11%

D

-0.46%

8.70

736

ONCE

69.50%

F

-1.41%

96.03

3934

ARCC

69.04%

F

-1.63%

33.20

2069

ALNY

68.89%

D

1.93%

84.58

17536

XRX

68.23%

D

-0.87%

71.94

8116

ZS

65.17%

D

-0.92%

85.87

6757

BOJA

65.01%

D

0.58%

85.38

284

MLM

64.68%

A

-2.92%

17.00

55603

BGCP

63.67%

F

-2.81%

83.40

14545

ALLY

62.48%

C

-0.71%

48.62

13764

JNPR

62.06%

D

10.45%

13.83

19091

BG

61.68%

D

2.20%

3.95

20638

ESRX

61.63%

A

-19.55%

99.21

55967

HAIN

6.12E-01

C

-0.66%

94.47

6696

F

61.18%

C

-0.98%

72.33

120980

SABR

61.13%

C

-2.80%

6.72

851

SWN

61.03%

F

-0.59%

83.40

9363

CTXS

6.08E-01

A

-0.67%

5.53

17865

FOLD

60.18%

D

-0.28%

50.99

4236

RCII

60.01%

C

-1.91%

4.35

608

TIF

59.43%

D

1.14%

90.51

35895

EROS

57.69%

F

-1.93%

12.25

634

 

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

SVU

-74.10%

D

-0.70%

1.19

41023

PAY

-72.09%

C

-1.21%

2.37

1539

CA

-71.16%

B

-0.46%

3.97

4954

LPNT

-68.48%

C

-1.41%

0.79

1488

NVRO

-6.67E-01

D

-1.63%

95.65

6385

BIIB

-50.20%

C

1.93%

9.49

559763

EVHC

-49.80%

B

-0.87%

9.09

3550

PVTL

-41.14%

F

-0.92%

95.65

4839

TTD

-37.46%

C

0.58%

81.42

24795

ETP

-35.87%

C

-2.92%

28.06

122120

OCLR

-34.73%

C

-2.81%

2.77

1248

SYF

-32.25%

D

-0.71%

8.30

54686

AAN

-30.74%

C

10.45%

6.32

2971

UNFI

-29.65%

C

2.20%

52.57

4916

CLDR

-26.99%

F

-19.55%

38.74

1126

ARNC

-26.85%

D

-0.66%

24.51

23354

SNAP

-26.53%

F

-0.98%

81.03

96460

INFN

-26.10%

D

-2.80%

72.73

3194

FOSL

-25.37%

F

-0.59%

58.10

3923

PTCT

-25.25%

F

-0.67%

58.73

1746

MGM

-24.50%

D

-0.28%

17.39

117640

DXC

-24.26%

B

-1.91%

67.06

12451

SYY

-22.08%

A

1.14%

75.49

16791

CMG

-21.50%

C

-1.93%

0.40

633604