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Equities Drift in Listless Trading

Aug 09, 2018

Commentary: Equities are little changed on narrow trading with small cap names outperforming. Currently, the S&P is unchanged, the Nasdaq is +.15%, and the Russell is +.42%. Energy is in the red again with WTI crude -.04%, but Energy ETF’s are down more with XOP -.8% and XLE -.9%. Bonds are rallying with TLT +.43% and the 10-year yield falling to 2.939%. Gold is unchanged however GDX is up .34%. Consumer Discretionary is a leading sector +.5%. Volatilities are fairly stable with VIX +.09% to 10.86, VXN -1% to 14.67, and RVX -.9% to 13.66.

 

ETF 30d volatility changes

SPY:        -1%

IWM:      -3%

QQQ:      unch

 

Directional:

Bullish

DHI Seller 10,000 Jan 43 calls to Buy 10,000 Jan 50 calls (rolls up, ref. 44.18)

PZZA Buyer 6,000 Oct 45 calls (ref. 40.56)

TAHO Buyer 10,000 Dec 5 calls (ref. 4.46)

ITUB Buyer 10,000 Nov 13 – 12 strangles (ref. 11.85)

WIN Buyer 8,000 Nov 5 calls (ref. 4.45)

VIPS Seller 25,00 Jan 9 – 8 puts spreads trade (ref. 9.12)

Bearish

BLK Buyer 2,500 Oct 480 – 470 puts spreads (ref. 486.05)

HAS Buyer 2,200 Oct 95 – 90 put spreads (ref. 97.42)

TERA Buyer 5,000 Oct 43 puts (ref. 43.19)

ABX Buyer 5,000 Jan 12 – Jan20 10 1x2 put spreads (ref. 10.96)

SEAS Seller 6,000 Aug 23 calls to Buy 10,000 Sep 27 calls (rolls out and sizes up, ref. 26.00)

TSLA Buyer 3,000 Oct 75 – 50 1x2 put spreads (ref. 355.85)

KOS 15,000 Sep 7.5 puts trade (ref. 7.94)

 

Macro:

Bullish

GLD Buyer 2,500 Sep 119 – 124 – 129 call flys (ref. 115.07)

EEM 67,000 Sep 46.5 – 47 call spreads trade (ref. 44.26)

TLT Seller 21,317 Jan 118 puts to Buy 21,317 Jan 120 calls (ref. 119.29)

Bearish

IWO Buyer 24,000 Aug 200 puts (ref. 211.50)

QQQ Buyer 26,600 Sep 28th 168 puts (ref. 182.33)

SPY Buyer 35,000 Mar 255 puts (ref. 285.80)

XLF Buyer 55,000 Sep 26 puts (ref. 28.37)

VIX 20,000 Sep 19th 19 calls trade (ref. 13.80)

 

Financing Trades:

AAPL 8,0000 Aug 10th 225 RC trade (ref. 209.33)

AABA 100,000 Aug 100 RC trade likely closing (ref. 71.03)

 

 

Upcoming Earnings:

 

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

Average Daily Vega

AIT

8/10/2018

6.4

3.5

84.5%

B

 

MDP

8/10/2018

7.9

4.3

81.9%

F

 

RUTH

8/10/2018

5.6

5.6

-0.2%

A

 

CPLG

8/13/2018

 

1.6

-100.0%

F

 

EQH

8/13/2018

6.2

1.1

463.6%

F

 

NXTD

8/13/2018

84.1

6.7

1159.7%

D

 

SWCH

8/13/2018

10.4

13.6

-23.5%

F

1945

SYY

8/13/2018

2.5

3.5

-28.9%

A

18486

A

8/14/2018

4.0

3.9

1.5%

C

16283

AAP

8/14/2018

7.7

8.6

-10.8%

C

10790

ARRY

8/14/2018

4.9

9.0

-45.8%

F

4309

CDK

8/14/2018

3.6

2.4

47.6%

A

576

CREE

8/14/2018

7.9

7.1

11.1%

F

5721

EAT

8/14/2018

6.4

4.5

42.0%

B

2736

HD

8/14/2018

3.1

1.5

102.4%

A

279212

MARK

8/14/2018

20.1

16.8

19.6%

C

 

PI

8/14/2018

3.7

23.2

-84.2%

D

1364

TPR

8/14/2018

6.7

9.1

-26.4%

C

21051

VIAV

8/14/2018

6.3

5.2

21.1%

C

 

BGG

8/15/2018

8.8

8.2

7.1%

C

 

CACI

8/15/2018

4.7

6.0

-21.3%

B

940

CSCO

8/15/2018

3.6

4.5

-19.2%

C

148277

IMMU

8/15/2018

5.1

7.3

-29.2%

F

6967

M

8/15/2018

8.8

9.3

-5.4%

B

49110

MSGN

8/15/2018

3.6

3.8

-6.6%

C

 

NTAP

8/15/2018

6.2

6.4

-2.0%

B

17079

PFGC

8/15/2018

7.7

4.7

63.0%

C

 

SPTN

8/15/2018

8.8

13.0

-32.2%

B

 

WAGE

8/15/2018

7.8

5.3

47.2%

D

547

AMAT

8/16/2018

3.8

4.1

-8.5%

C

153351

ATGE

8/16/2018

7.8

5.9

31.3%

C

1698

CRMT

8/16/2018

16.5

8.6

93.0%

B

 

JCP

8/16/2018

12.7

10.4

22.1%

F

4601

JWN

8/16/2018

6.4

6.4

0.1%

B

5195

LANC

8/16/2018

3.4

5.5

-38.5%

C

 

LYTS

8/16/2018

18.5

7.8

137.1%

C

 

MSG

8/16/2018

1.6

1.6

-4.5%

C

8088

NVDA

8/16/2018

5.2

8.6

-39.1%

B

1540511

PLCE

8/16/2018

6.4

7.3

-12.0%

D

12285

SPWH

8/16/2018

15.7

11.5

36.2%

D

 

WMT

8/16/2018

3.9

5.0

-22.3%

C

246810

ZOES

8/16/2018

15.9

13.8

15.1%

F

 

DE

8/17/2018

4.0

5.5

-27.2%

C

179195

 

 Volatility Standouts:

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

NCS

73.22%

B

0.05%

81.42

162

NAVI

71.04%

D

0.16%

9.88

533

ISBC

69.84%

A

-6.73%

59.68

14

ALNY

69.56%

D

-1.12%

87.35

20154

ESRX

69.42%

A

-6.32%

100.00

125323

PK

67.79%

D

-3.75%

45.06

1144

STWD

66.54%

D

-0.54%

5.93

1328

HD

65.46%

A

0.31%

58.10

279212

VST

64.66%

F

-4.47%

32.58

658

IMGN

64.59%

F

-1.50%

29.64

819

JBL

62.98%

C

-1.53%

10.28

1495

SABR

62.52%

C

-0.61%

1.98

4949

SRCL

62.34%

C

-24.20%

3.16

6380

EROS

62.31%

F

-4.61%

9.09

420

MD

62.26%

B

1.39%

83.79

1410

CARS

61.14%

D

-0.12%

75.10

14666

TIF

60.97%

D

-1.26%

86.17

26578

BGCP

59.74%

F

-0.26%

71.54

12762

DAR

58.76%

D

-0.11%

16.21

454

PF

57.41%

B

-2.10%

10.67

2477

NLS

56.74%

D

-0.84%

25.30

298

BGFV

56.14%

F

-1.72%

41.11

170

F

55.62%

C

-1.96%

13.44

91961

CTXS

54.64%

A

0.68%

1.19

15387

 

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

CA

-68.94%

B

0.05%

5.95

9675

SVU

-67.55%

D

0.16%

1.58

35312

LPNT

-60.61%

C

-6.73%

3.16

1099

RCII

-58.11%

C

-1.12%

5.53

783

NVRO

-52.12%

D

-6.32%

86.96

2672

BIIB

-46.45%

C

-3.75%

5.93

362502

PVTL

-44.03%

F

-0.54%

98.63

2381

ETP

-41.02%

C

0.31%

37.55

132750

AAN

-35.21%

C

-4.47%

5.53

2663

TTD

-34.35%

C

-1.50%

98.42

18486

SYF

-33.80%

D

-1.53%

2.77

53208

PI

-32.65%

D

-0.61%

64.82

1364

UNFI

-31.63%

C

-24.20%

31.62

5048

CLDR

-30.27%

F

-4.61%

37.15

1120

SYY

-29.37%

A

1.39%

58.10

18486

INGR

-28.62%

C

-0.12%

72.33

2538

AGNC

-27.93%

C

-1.26%

0.79

13568

MGM

-27.79%

D

-0.26%

5.14

119650

ARNC

-27.68%

D

-0.11%

18.97

24724

TSN

-26.37%

A

-2.10%

5.93

44965

CMG

-25.41%

C

-0.84%

0.79

839105

SERV

-23.03%

A

-1.72%

2.37

2813

BEN

-22.83%

C

-1.96%

40.71

8280

PTCT

-22.13%

F

0.68%

27.38

1324