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Equities Continue to Drift Sideways

Aug 08, 2018

Commentary: Equities are modestly in the red with a relatively narrow range overall. Currently, the S&P is -.06%, the Russell is -.09%, and the Nasdaq is +.04% on relative strength in AMZN (+1.1%) and GOOG (+.9%). Bonds are little changed. Gold is slightly lower. Energy is in the red after a lower drawdown in crude inventories this morning with WTI Crude -3.8% dragging energy ETF’s lower XOP -2.4% and XLE -1.3%. Volatilities are little changed with the VIX -.5% to 10.88, RVX +.6% to 13.88, and VXN +2% to 15.06.

 

ETF 30d volatility changes

SPY:        -1%

IWM:      -3%

QQQ:      +2%

 

Directional:

Bullish

CZR Buyer 3,800 Aug 10 calls (ref. 9.90)

S Buyer 10,000 Jan 7 calls (ref. 6.08)

FCAU Seller 130,000 Sep 17 puts (ref. 17.03)

AAPL Seller 5,200 Oct 195 puts (ref. 206.87)

CARS Buyer 4,000 Dec 30 – 40 1x2 call spreads (ref. 29.02)

WYNN Buyer 7,500 Aug 10th 160 calls (ref. 155.15)

EA Seller 8,000 Nov 100 puts to Buy 8,000 Nov 135 – 145 call spreads (ref. 127.41)

LLY 9,200 Oct 105 calls trade (ref. 102.37)

Bearish

FOSL Buyer 1,500 Sep 20 – 17 put spreads (ref. 28.00)

CMCSA Buyer 13,340 Aug 32.5 puts (ref. 35.04)

SNAP Buyer 11,794 Oct 11 puts (ref. 12.65)

DBD Buyer 9,950 Nov 5 puts (ref. 6.07)

ESRX Buyer 4,500 Jan 75 – 60 put spreads (ref. 79.25)

 

Earnings Plays:

Bullish

JCP 25,000 Aug 10th – Aug 17th 2.5 call spreads trade (Earnings 8/16, ref. 2.40)

Bearish

AG Buyer 2,600 Jan 9 puts (Earnings 8/13, ref. 6.31)

 

Macro:

Bullish

IWO Seller 8,000 Aug 210 puts (ref. 209.20)

SMH Seller 10,000 Aug 115 calls to Buy 10,000 Nov 115 calls (ref. 109.19)

Bearish

FXI 18,200 Aug – Oct 40 put spreads trade (ref. 42.34)

XHB Seller 41,000 Dec 41 calls (ref. 39.89)

EWZ Seller 8,500 Jan 45 – 31 strangles (ref. 36.63)

TLT Buyer 5,000 Jan 120 puts (ref. 118.78)

XLU Buyer 11,000 Dec 48 puts (ref. 53.00)

XOP 7,500 Jan 40 puts trade (ref. 41.45)

QQQ Buyer 15,277 Dec 171 puts (ref. 181.79)

 

Financing Trades:

AABA 12,458 Aug 100 RC trade (ref. 70.64)

QQQ 2,500 Oct 181 RC trade (ref. 181.82)

 

 

Upcoming Earnings:

 

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

Average Daily Vega

ACXM

8/9/2018

4.5

6.2

-27.7%

D

1413

AL

8/9/2018

3.3

3.2

1.6%

C

 

APPS

8/9/2018

 

4.8

-100.0%

C

 

ASYS

8/9/2018

12.8

6.4

100.3%

C

 

AVID

8/9/2018

12.0

10.6

13.7%

F

 

AVYA

8/9/2018

9.4

8.5

11.2%

F

 

BW

8/9/2018

 

18.3

-100.0%

D

 

BXC

8/9/2018

 

7.2

-100.0%

D

 

CDAY

8/9/2018

8.9

2.4

271.3%

F

 

CHUY

8/9/2018

6.7

3.8

75.5%

B

 

DBX

8/9/2018

8.9

2.3

295.3%

C

36839

DDS

8/9/2018

8.9

8.6

3.5%

C

2966

DSKE

8/9/2018

9.2

5.2

75.9%

A

 

ECOM

8/9/2018

12.5

9.4

32.7%

C

 

EDR

8/9/2018

3.7

1.9

99.8%

C

 

ENT

8/9/2018

29.6

15.4

92.1%

C

 

EPAY

8/9/2018

6.7

6.1

10.5%

D

1078

FSCT

8/9/2018

9.0

0.8

987.8%

D

512

GCI

8/9/2018

6.9

7.4

-6.9%

C

 

ICUI

8/9/2018

7.3

5.3

39.7%

B

1394

IMKTA

8/9/2018

5.5

6.2

-11.1%

C

 

INVH

8/9/2018

3.8

2.9

34.4%

C

 

INWK

8/9/2018

14.9

9.5

57.4%

D

 

JCOM

8/9/2018

5.0

3.5

45.0%

F

 

KODK

8/9/2018

12.7

10.5

20.9%

D

 

LAUR

8/9/2018

5.7

6.3

-10.2%

D

 

LHO

8/9/2018

5.5

4.2

31.3%

D

 

LNG

8/9/2018

3.0

2.5

16.3%

C

26678

LOXO

8/9/2018

3.7

2.2

68.7%

D

2178

MCHP

8/9/2018

4.1

4.4

-7.7%

C

10026

MMS

8/9/2018

4.9

4.1

19.1%

C

 

MPAA

8/9/2018

7.0

5.7

23.9%

D

 

NCLH

8/9/2018

4.6

4.7

-3.0%

C

6698

NWSA

8/9/2018

14.4

4.6

214.1%

C

 

OGE

8/9/2018

6.3

1.6

282.0%

A

 

OLED

8/9/2018

9.2

11.6

-20.8%

D

36906

OSTK

8/9/2018

13.6

10.2

33.4%

D

17714

PBYI

8/9/2018

10.6

11.3

-5.6%

F

4623

PCTY

8/9/2018

6.9

7.2

-4.6%

A

 

PICO

8/9/2018

6.8

2.0

233.4%

F

 

PLNT

8/9/2018

9.0

7.8

15.1%

B

5913

PLUG

8/9/2018

9.0

8.3

7.7%

D

 

PRTY

8/9/2018

7.4

6.1

21.4%

D

 

PTLA

8/9/2018

4.2

8.8

-52.0%

F

3140

RESN

8/9/2018

15.9

6.0

164.4%

C

 

REV

8/9/2018

11.9

9.4

26.4%

F

810

RICK

8/9/2018

4.8

4.6

4.2%

B

 

RUN

8/9/2018

10.8

8.2

31.8%

F

1714

SCOR

8/9/2018

11.3

1.9

507.0%

D

 

SNCR

8/9/2018

72.3

11.3

541.4%

C

 

SPPI

8/9/2018

4.8

9.9

-51.0%

F

934

SYNA

8/9/2018

7.2

9.0

-20.3%

F

5328

TRCO

8/9/2018

6.0

2.0

198.7%

C

 

TRGP

8/9/2018

1.2

3.8

-68.7%

F

6075

TRNC

8/9/2018

4.9

7.8

-37.3%

D

 

TRUE

8/9/2018

11.0

12.5

-12.1%

#N/A

 

TTD

8/9/2018

13.6

26.8

-49.1%

C

18380

UNIT

8/9/2018

6.3

2.9

116.1%

D

8104

VHC

8/9/2018

19.0

5.1

273.8%

C

 

VIAB

8/9/2018

4.7

5.6

-14.7%

D

6267

VRTV

8/9/2018

12.7

13.3

-4.0%

C

 

VSAT

8/9/2018

5.7

4.1

38.8%

D

2144

VSTO

8/9/2018

12.0

11.0

8.8%

F

 

VUZI

8/9/2018

10.6

4.1

161.1%

D

557

WBT

8/9/2018

3.7

3.7

1.1%

B

 

WMS

8/9/2018

7.8

6.0

31.0%

C

 

WOW

8/9/2018

13.8

24.1

-42.5%

D

 

WP

8/9/2018

3.5

3.1

11.1%

C

7474

XONE

8/9/2018

12.6

8.9

41.6%

D

 

AIT

8/10/2018

3.8

3.5

11.0%

B

 

MDP

8/10/2018

4.4

4.3

1.0%

F

 

RUTH

8/10/2018

7.3

5.6

28.6%

A

 

 

 

Volatility Standouts:

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

FOLD

73.97%

D

-2.56%

31.62

4794

JBL

71.73%

C

-0.84%

10.28

1756

NAVI

69.30%

D

-0.37%

9.88

586

REGN

68.57%

B

-0.88%

0.79

155901

CIT

67.87%

C

-0.48%

1.19

855

TRCO

65.47%

C

-23.66%

67.59

125

EROS

64.05%

F

0.11%

13.83

558

ARCC

63.57%

F

0.50%

18.97

2254

ESRX

63.42%

A

-19.82%

99.60

77562

HD

62.36%

A

-0.69%

56.92

316630

TIF

61.14%

D

2.98%

86.17

30678

VST

61.12%

F

-1.30%

6.33

650

BG

60.75%

D

11.34%

1.98

19459

NYCB

60.40%

C

2.09%

62.45

2232

FTAI

59.16%

C

2.06%

0.40

1208

PK

59.11%

D

0.33%

29.64

1040

VER

59.02%

D

-0.63%

5.53

250

MLM

58.76%

A

-1.02%

6.72

55880

IMGN

57.78%

F

1.44%

86.56

824

CAMP

55.76%

D

-1.69%

3.16

719

BGCP

55.53%

F

-0.42%

63.64

12766

CAH

54.53%

C

0.54%

17.79

13716

LPI

54.41%

F

-2.14%

1.19

249

DMRC

53.80%

D

-2.27%

14.62

2117

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

SVU

-69.67%

D

-2.56%

1.58

36057

CA

-68.60%

B

-0.84%

5.95

9711

NVRO

-64.88%

D

-0.37%

81.03

4625

BIIB

-45.12%

C

-0.88%

9.09

457219

RCII

-43.78%

C

-0.48%

4.74

661

PVTL

-38.97%

F

-23.66%

88.89

3534

OCLR

-38.71%

C

0.11%

5.53

1383

ETP

-35.87%

C

0.50%

33.20

132833

TTD

-35.48%

C

-19.82%

95.26

18380

SYF

-33.52%

D

-0.69%

3.56

53184

PI

-33.13%

D

2.98%

64.82

1248

AAN

-32.80%

C

-1.30%

2.37

2872

UNFI

-30.79%

C

11.34%

32.41

5071

CLDR

-29.68%

F

2.09%

40.71

1011

SYY

-28.20%

A

2.06%

59.68

18321

ARNC

-27.70%

D

0.33%

19.76

25203

MGM

-27.43%

D

-0.63%

4.74

129743

INGR

-26.18%

C

-1.02%

68.77

2610

AGNC

-24.67%

C

1.44%

2.37

12458

TSN

-24.42%

A

-1.69%

7.91

45820

SRE

-24.19%

D

-0.42%

45.45

5359

CMG

-24.10%

C

0.54%

0.40

767165

ZUO

-22.43%

D

-2.14%

63.38

4763

BEN

-2.21E-01

C

-2.27%

47.83

8078