Equities Continue to Rise on Muted Volatility
Aug 07, 2018
Commentary: Equities continue to move higher despite continued trade tensions with the S&P +.4%, the Russell +.36%, and the Nasdaq +.28% with gains in Energy, Financials, and Industrials, while Consumer Staples, Utilities, and Real Estate lag. Bonds are off slightly. Gold is in the green and seeing generally bullish option activity. Energy is moving higher with WTI Crude +.46% and Energy ETF’s up as well with XLE +1.1% and XOP +.47%. Volatilities are lower and on or near lows for the year with the VIX -1% to 11.15 after dipping below 11 earlier today. VXN is -3.4% to 14.94, and RVX is -2.4% to 14.09.
ETF 30d volatility changes
SPY: -2%
IWM: -3%
QQQ: -1%
Directional:
Bullish
BABA Buyer 2,000 Aug 18.5 – 190 call spreads (ref. 180.34)
XRX Buyer 4,200 Aug 27 calls (ref. 26.59)
DWDP Buyer 5,000 Oct 70 calls (ref. 68.34)
WYNN 4,080 Dec 155 – 180 call spreads trade (ref. 153.49)
THC Buyer 5,000 Jan 38 calls (ref. 33.10)
TIVO 5,000 Oct and Jan 13 calls trade (ref. 12.07)
GRPN Seller 10,000 Sep 4 puts (ref. 4.40)
Bearish
AAPL Buyer 10,100 Nov 170 puts (ref. 208.01)
TXN Seller 10,000 Sep 120 calls (ref. 114.66)
FOXA Seller 5,100 Aug 46 calls and 32,659 Jan 46 puts and 9,863 Jan 43 puts to Buy 20,800 Apr 43 puts and 25,300 Apr 40 puts (rolls put stupid out and down, ref. 45.76)
IMMR Buyer 3,000 Nov 10 puts (ref. 11.35)
LLY Seller 9,875 Oct 110 calls (ref. 103.37)
VOD 5,750 Jan 23 puts trade (ref. 24.42)
WFT Buyer 40,000 Jan 3 puts (ref. 3.22)
Earnings Plays:
Bullish
OSTK Buyer 2,300 Aug 10th 40 calls (Earnings 8/9, ref. 38.35)
WB Seller 6,000 Jan 70 puts to Buy 6,000 Jan 100 calls (ref. 84.57)
Bearish
Macro:
Bullish
EEM 22,500 Aug 45.5 – 46 call spreads trade (ref. 44.47)
XLF Seller 10,000 Sep 28 puts to Buy 10,000 Sep 29 calls (ref. 28.48)
XLI Seller 6,000 Sep 73 – 72 put stupids (ref. 76.43)
EWZ Buyer 10,000 Sep 38 calls (ref. 37.48)
SPY Buyer 50,000 Aug 8th 287.5 – 288 call spreads (ref. 285.64)
Bearish
XLP Buyer 15,000 Aug 31st 54 puts (ref. 53.93)
TLT Buyer 7,500 Jan 120 puts (ref. 118.92)
GLD Seller 9,000 Oct 130 calls (ref. 114.66)
EEM Seller 12,847 Dec 39 puts to Buy 12,847 Jun 37 puts (ref. 44.54)
HYG Seller 25,000 Sep 83 puts to Buy 25,000 Oct 83 puts (ref. 153.49)
SPY Buyer 15,550 Sep 270 – 260 – 250 put flys (ref. 285.81)
XLF Buyer 14,000 Oct 29 puts (ref. 28.47)
Upcoming Earnings:
|
Underlying
|
Earnings Date
|
Imp Move
|
Historical Move
|
Cheap vs Expensive
|
Quantamize Rating
|
Average Daily Vega
|
|
ACAD
|
8/8/2018
|
8.3
|
10.8
|
-23.1%
|
F
|
3390
|
|
ADT
|
8/8/2018
|
8.6
|
10.0
|
-14.0%
|
F
|
390
|
|
ANGI
|
8/8/2018
|
6.6
|
4.4
|
51.4%
|
F
|
481
|
|
AOSL
|
8/8/2018
|
10.1
|
10.0
|
1.0%
|
C
|
|
|
APEI
|
8/8/2018
|
10.1
|
15.3
|
-34.1%
|
C
|
|
|
AQMS
|
8/8/2018
|
17.3
|
12.1
|
42.7%
|
F
|
|
|
ARCO
|
8/8/2018
|
8.7
|
5.5
|
58.9%
|
D
|
|
|
ASUR
|
8/8/2018
|
10.8
|
15.0
|
-27.5%
|
A
|
|
|
ATO
|
8/8/2018
|
3.6
|
1.0
|
255.9%
|
C
|
|
|
AVT
|
8/8/2018
|
3.4
|
2.8
|
21.4%
|
D
|
404
|
|
AYX
|
8/8/2018
|
8.4
|
10.7
|
-21.2%
|
D
|
2299
|
|
AZPN
|
8/8/2018
|
5.3
|
4.5
|
17.8%
|
C
|
1763
|
|
BATRK
|
8/8/2018
|
7.0
|
1.1
|
562.3%
|
C
|
|
|
BKNG
|
8/8/2018
|
5.3
|
7.1
|
-24.3%
|
B
|
1341633
|
|
BREW
|
8/8/2018
|
8.1
|
6.4
|
26.3%
|
C
|
335
|
|
CARS
|
8/8/2018
|
8.4
|
5.4
|
55.8%
|
D
|
3472
|
|
CECE
|
8/8/2018
|
10.8
|
15.0
|
-27.6%
|
D
|
|
|
CHH
|
8/8/2018
|
3.9
|
3.2
|
22.3%
|
A
|
|
|
CLNY
|
8/8/2018
|
6.3
|
2.9
|
117.1%
|
D
|
|
|
CNDT
|
8/8/2018
|
5.3
|
5.7
|
-5.6%
|
C
|
|
|
CNK
|
8/8/2018
|
3.5
|
3.0
|
19.4%
|
D
|
374
|
|
CNTY
|
8/8/2018
|
9.1
|
3.3
|
176.5%
|
D
|
|
|
CRL
|
8/8/2018
|
3.9
|
4.3
|
-8.0%
|
C
|
1336
|
|
CTL
|
8/8/2018
|
5.2
|
6.4
|
-18.3%
|
D
|
18771
|
|
CUB
|
8/8/2018
|
6.6
|
7.8
|
-15.6%
|
F
|
|
|
CVNA
|
8/8/2018
|
10.1
|
8.1
|
25.1%
|
F
|
5208
|
|
CVS
|
8/8/2018
|
3.5
|
3.7
|
-5.5%
|
B
|
121501
|
|
DAR
|
8/8/2018
|
5.6
|
5.6
|
-0.4%
|
D
|
568
|
|
DNB
|
8/8/2018
|
4.8
|
5.3
|
-10.2%
|
C
|
310
|
|
DOOR
|
8/8/2018
|
6.3
|
7.3
|
-13.5%
|
A
|
|
|
EBIX
|
8/8/2018
|
4.5
|
4.5
|
0.6%
|
B
|
3496
|
|
ELF
|
8/8/2018
|
7.7
|
4.8
|
59.8%
|
D
|
225
|
|
ENS
|
8/8/2018
|
4.1
|
5.1
|
-19.3%
|
D
|
731
|
|
EQIX
|
8/8/2018
|
3.8
|
3.4
|
10.0%
|
C
|
25188
|
|
ETE
|
8/8/2018
|
2.2
|
3.5
|
-38.1%
|
C
|
28233
|
|
ETM
|
8/8/2018
|
6.2
|
6.4
|
-2.4%
|
F
|
604
|
|
ETP
|
8/8/2018
|
|
2.7
|
-100.0%
|
C
|
131708
|
|
EXTR
|
8/8/2018
|
10.8
|
11.2
|
-3.1%
|
F
|
320
|
|
FANG
|
8/8/2018
|
2.4
|
2.4
|
2.1%
|
D
|
10665
|
|
FLO
|
8/8/2018
|
5.7
|
5.9
|
-4.1%
|
B
|
258
|
|
FLS
|
8/8/2018
|
5.6
|
6.0
|
-7.4%
|
F
|
2648
|
|
FOXA
|
8/8/2018
|
|
2.5
|
-100.0%
|
D
|
139593
|
|
FTD
|
8/8/2018
|
25.1
|
9.4
|
167.1%
|
F
|
|
|
FWONK
|
8/8/2018
|
2.8
|
2.4
|
16.5%
|
F
|
|
|
GDEN
|
8/8/2018
|
11.2
|
4.3
|
162.3%
|
C
|
3030
|
|
GLIBA
|
8/8/2018
|
10.2
|
1.4
|
642.3%
|
D
|
|
|
GOGO
|
8/8/2018
|
9.5
|
9.0
|
6.2%
|
B
|
|
|
GVA
|
8/8/2018
|
5.4
|
5.1
|
6.4%
|
C
|
395
|
|
HCHC
|
8/8/2018
|
15.4
|
3.3
|
365.0%
|
D
|
|
|
HDSN
|
8/8/2018
|
13.7
|
10.6
|
29.5%
|
C
|
|
|
HRI
|
8/8/2018
|
7.1
|
6.6
|
8.5%
|
A
|
296
|
|
IAC
|
8/8/2018
|
5.0
|
4.9
|
1.8%
|
C
|
33338
|
|
IMKTA
|
8/8/2018
|
6.0
|
6.2
|
-4.3%
|
C
|
|
|
JACK
|
8/8/2018
|
6.2
|
5.7
|
9.5%
|
D
|
11681
|
|
JLL
|
8/8/2018
|
3.7
|
4.2
|
|
|
|
|
KAMN
|
8/8/2018
|
8.2
|
2.7
|
207.3%
|
C
|
|
|
KELYA
|
8/8/2018
|
5.6
|
6.4
|
-12.7%
|
D
|
|
|
LAMR
|
8/8/2018
|
3.9
|
4.2
|
-7.2%
|
C
|
736
|
|
LILAK
|
8/8/2018
|
|
5.9
|
-100.0%
|
D
|
|
|
LITE
|
8/8/2018
|
7.8
|
8.8
|
-11.3%
|
C
|
11995
|
|
LOPE
|
8/8/2018
|
6.6
|
6.5
|
1.4%
|
B
|
1889
|
|
LORL
|
8/8/2018
|
2.5
|
0.9
|
164.9%
|
D
|
508
|
|
MELI
|
8/8/2018
|
7.4
|
7.7
|
-3.3%
|
F
|
39178
|
|
MIDD
|
8/8/2018
|
8.2
|
6.5
|
25.9%
|
C
|
7357
|
|
MNST
|
8/8/2018
|
6.3
|
6.5
|
-2.5%
|
B
|
14603
|
|
MUR
|
8/8/2018
|
2.2
|
3.1
|
-29.6%
|
F
|
1623
|
|
MYL
|
8/8/2018
|
4.7
|
3.2
|
47.6%
|
D
|
48061
|
|
NKTR
|
8/8/2018
|
4.2
|
9.1
|
-54.4%
|
D
|
12951
|
|
NNBR
|
8/8/2018
|
7.1
|
5.4
|
31.6%
|
F
|
|
|
NOVT
|
8/8/2018
|
5.0
|
2.4
|
106.6%
|
B
|
|
|
NUAN
|
8/8/2018
|
7.0
|
5.9
|
19.8%
|
B
|
2558
|
|
NXST
|
8/8/2018
|
4.6
|
2.3
|
101.0%
|
A
|
7433
|
|
NYT
|
8/8/2018
|
6.0
|
5.0
|
19.1%
|
C
|
2428
|
|
OCLR
|
8/8/2018
|
4.5
|
9.4
|
-52.6%
|
C
|
1347
|
|
OXY
|
8/8/2018
|
2.6
|
2.8
|
-6.0%
|
C
|
57503
|
|
PDCE
|
8/8/2018
|
5.2
|
4.3
|
22.8%
|
F
|
902
|
|
PEGA
|
8/8/2018
|
7.9
|
6.9
|
14.6%
|
D
|
325
|
|
PKOH
|
8/8/2018
|
5.3
|
8.2
|
-35.4%
|
C
|
|
|
PLUS
|
8/8/2018
|
6.4
|
0.4
|
1524.4%
|
C
|
|
|
QRTEA
|
8/8/2018
|
8.0
|
10.8
|
-26.2%
|
D
|
553
|
|
RGLD
|
8/8/2018
|
1.5
|
3.4
|
-54.9%
|
C
|
9313
|
|
ROKU
|
8/8/2018
|
13.6
|
15.9
|
-14.5%
|
F
|
64376
|
|
RRTS
|
8/8/2018
|
24.3
|
11.6
|
109.6%
|
D
|
|
|
SAIL
|
8/8/2018
|
7.8
|
10.9
|
-28.5%
|
C
|
1002
|
|
SBGI
|
8/8/2018
|
5.2
|
4.8
|
8.9%
|
C
|
6787
|
|
SBRA
|
8/8/2018
|
3.0
|
2.7
|
11.3%
|
C
|
244
|
|
SGMO
|
8/8/2018
|
9.2
|
16.1
|
-42.7%
|
F
|
6503
|
|
SJI
|
8/8/2018
|
7.1
|
2.1
|
244.5%
|
D
|
|
|
SO
|
8/8/2018
|
1.1
|
1.2
|
-8.8%
|
B
|
15152
|
|
SRPT
|
8/8/2018
|
4.8
|
8.6
|
-44.9%
|
F
|
55645
|
|
STWD
|
8/8/2018
|
3.7
|
1.6
|
131.3%
|
D
|
1055
|
|
SUP
|
8/8/2018
|
6.8
|
8.5
|
-20.6%
|
C
|
329
|
|
TGI
|
8/8/2018
|
8.3
|
11.1
|
-25.3%
|
F
|
323
|
|
TIVO
|
8/8/2018
|
10.9
|
4.2
|
156.9%
|
B
|
3656
|
|
TTGT
|
8/8/2018
|
8.8
|
3.9
|
128.8%
|
A
|
1607
|
|
UPLD
|
8/8/2018
|
5.3
|
8.0
|
-33.4%
|
B
|
1132
|
|
VRTU
|
8/8/2018
|
8.9
|
9.5
|
-6.4%
|
C
|
|
|
VSI
|
8/8/2018
|
12.0
|
15.0
|
-19.6%
|
C
|
|
|
WWW
|
8/8/2018
|
6.0
|
5.1
|
17.7%
|
C
|
|
|
XPER
|
8/8/2018
|
6.5
|
9.1
|
-28.9%
|
D
|
|
|
YELP
|
8/8/2018
|
12.4
|
13.0
|
-4.5%
|
D
|
33974
|
Volatility Standouts:
|
Underlying
|
2M Volatility vs Forecast
|
Q Rating
|
2M IV Change
|
IV 2M Percentile
|
Average Daily Vega
|
|
FTAI
|
70.36%
|
C
|
-1.59%
|
2.78
|
1332
|
|
ZS
|
69.68%
|
D
|
-1.61%
|
91.49
|
4717
|
|
NAVI
|
68.66%
|
D
|
-1.38%
|
5.16
|
665
|
|
ALNY
|
67.74%
|
D
|
-0.64%
|
86.90
|
19279
|
|
EROS
|
66.19%
|
F
|
-1.39%
|
10.32
|
581
|
|
FOLD
|
61.92%
|
D
|
-3.99%
|
42.06
|
4449
|
|
TIF
|
61.79%
|
D
|
-0.07%
|
87.70
|
32650
|
|
PCG
|
61.78%
|
A
|
0.85%
|
84.13
|
47509
|
|
STWD
|
61.18%
|
D
|
1.86%
|
24.21
|
1055
|
|
TRCO
|
60.88%
|
C
|
-2.32%
|
61.51
|
171
|
|
ESRX
|
60.76%
|
A
|
0.09%
|
98.02
|
61263
|
|
PK
|
60.14%
|
D
|
-0.67%
|
74.21
|
986
|
|
IMGN
|
59.93%
|
F
|
3.49%
|
3.57
|
841
|
|
HD
|
59.37%
|
A
|
0.91%
|
49.21
|
341277
|
|
SRCL
|
59.33%
|
C
|
-2.91%
|
0.79
|
6185
|
|
WTW
|
59.12%
|
B
|
-8.77%
|
38.89
|
25299
|
|
JNPR
|
59.05%
|
D
|
-0.49%
|
11.51
|
19133
|
|
SABR
|
58.39%
|
C
|
-1.95%
|
0.79
|
4939
|
|
BG
|
58.20%
|
D
|
-0.68%
|
0.40
|
18862
|
|
DF
|
57.02%
|
C
|
0.83%
|
94.84
|
445
|
|
MLM
|
5.69E-01
|
A
|
-1.27%
|
7.54
|
55232
|
|
ARCC
|
5.60E-01
|
F
|
-0.76%
|
27.78
|
2061
|
|
EGN
|
55.70%
|
D
|
0.14%
|
17.86
|
5215
|
|
IMMR
|
55.04%
|
B
|
2.86%
|
7.54
|
1819
|
|
Underlying
|
2M Volatility vs Forecast
|
Q Rating
|
2M IV Change
|
IV 2M Percentile
|
Average Daily Vega
|
|
SVU
|
-71.64%
|
D
|
-1.59%
|
1.98
|
38218
|
|
PAY
|
-71.24%
|
C
|
-1.61%
|
0.79
|
874
|
|
CA
|
-67.23%
|
B
|
-1.38%
|
2.79
|
8433
|
|
NVRO
|
-66.26%
|
D
|
-0.64%
|
90.87
|
6609
|
|
LPNT
|
-63.30%
|
C
|
-1.39%
|
0.79
|
1133
|
|
RCII
|
-47.06%
|
C
|
-3.99%
|
99.60
|
702
|
|
BIIB
|
-45.05%
|
C
|
-0.07%
|
6.35
|
543377
|
|
PVTL
|
-42.71%
|
F
|
0.85%
|
94.37
|
3841
|
|
ETP
|
-36.56%
|
C
|
1.86%
|
23.41
|
131708
|
|
TTD
|
-36.50%
|
C
|
-2.32%
|
85.71
|
20901
|
|
SYF
|
-3.49E-01
|
D
|
0.09%
|
6.35
|
50805
|
|
PI
|
-31.41%
|
D
|
-0.67%
|
88.10
|
1259
|
|
AAN
|
-30.71%
|
C
|
3.49%
|
5.95
|
2928
|
|
UNFI
|
-30.44%
|
C
|
0.91%
|
37.30
|
5114
|
|
PTCT
|
-2.96E-01
|
F
|
-2.91%
|
46.61
|
1125
|
|
DXC
|
-29.51%
|
B
|
-8.77%
|
57.77
|
8111
|
|
SYY
|
-28.42%
|
A
|
-0.49%
|
53.57
|
18382
|
|
CLDR
|
-27.71%
|
F
|
-1.95%
|
38.49
|
1050
|
|
INFN
|
-27.41%
|
D
|
-0.68%
|
66.67
|
3106
|
|
INGR
|
-26.57%
|
C
|
0.83%
|
68.25
|
2715
|
|
ARNC
|
-26.30%
|
D
|
-1.27%
|
25.40
|
23318
|
|
MGM
|
-26.24%
|
D
|
-0.76%
|
6.35
|
129162
|
|
FOXA
|
-2.60E-01
|
D
|
0.14%
|
5.16
|
139593
|
|
CMG
|
-25.70%
|
C
|
2.86%
|
0.00
|
734320
|