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
|