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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