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Equities Turn Lower on Turkish Lira Decline

Aug 10, 2018

Commentary: Equities are in the red today following an increase in trade tensions and a sharp move in the Turkish Lira. Currently, the S&P is -.48% though off earlier lows. The Nasdaq is -.5%, and the Russell is outperforming, +.3% on strength in biotech and energy. Bonds are rallying again with TLT +.64% and the 10-year yield falling to 2.879%. WTI Crude is rallying 1.23% which is taking energy ETFs higher with XOP +.9% and XLE +.3%. Gold is unchanged though GDX is -.77%. Volatilities are higher with the VIX +13.5% to 12.80, RVX +1% to 13.99, and VXN +6% to 15.83. Stock of the week TSLA started the day in the red on news that the Board may ask Elon Musk to recuse himself as they consider a possible bid to take the company private, however it has since rallied and is now +.5%.

 

ETF 30d volatility changes

SPY:        +7%

IWM:      +1%

QQQ:      +6%

 

Directional:

Bullish

HDP Buyer 2,000 Sep 22.5 calls (ref. 21.71)

ADT Seller 5,800 Nov 7.5 puts (ref. 8.81)

S Buyer 5,000 Jan 7 calls (ref. 6.08)

VIPS Seller 10,500 Feb 9 – 8 put stupids (similar flow yesterday, ref. 8.96)

EA Seller 6,775 Jan 97.5 puts to Buy 6,775 Jan 135 – 155 call spreads (ref. 128.75)

AA Seller 5,800 Aug 44.5 calls to Buy 5,800 Sep 48 calls (ref. 43.79)

HLF Buyer 4,000 Feb19 47.5 puts (ref. 58.03)

 

Bearish

CAT 11,550 Sep 130 puts trade (ref. 136.03)

AAL Buyer 4,498 Sep 36 puts (ref. 36.67)

FOXA Buyer 19,574 Jan 40 puts (ref. 45.51)

KMI Seller 9,250 Jan 20 calls (ref. 18.15)

 

Macro:

Bullish

TLT Buyer 5,000 Aug 122 calls (ref. 120.49)

HYG Buyer 50,000 Sep 82 puts to Sell 50,000 Oct 82 puts (ref. 85.97)

FXI Buyer 35,000 Oct 44 calls (ref. 42.64)

Bearish

EWZ Buyer 9,000 Jan20 30 puts (ref. 34.15)

FEZ Seller 11,000 Aug 38 – 33 put spreads to Buy 11,000 Sep 37 – 33 put spreads (rolls out and down, ref. 38.10))

 

Financing Trades:

AAPL 14,050 Sep 210 RC trade (ref. 208.42)

YNDX 3,000 Aug 30 RC trade (ref. 31.11)

AABA 47,000 Aug 100 RC trade (ref. 71.07)

 

 

Upcoming Earnings:

 

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

Average Daily Vega

SYY

8/13/2018

3.4

3.5

-2.6%

A

16134

AABA

8/13/2018

4.9

2.2

121.5%

B

222907

EAT

8/14/2018

7.0

4.5

54.6%

B

3145

DDS

8/14/2018

9.9

8.6

14.7%

C

4140

HD

8/14/2018

3.2

1.5

109.2%

A

266975

TPR

8/14/2018

7.5

9.1

-16.8%

C

14434

AAP

8/14/2018

9.0

8.6

4.4%

C

13280

ARRY

8/14/2018

4.9

9.0

-45.5%

F

4146

A

8/14/2018

4.4

3.9

13.9%

C

15913

CREE

8/14/2018

8.4

7.1

17.7%

F

7458

M

8/15/2018

9.4

9.3

0.9%

B

51457

IMMU

8/15/2018

4.1

7.3

-43.6%

F

4445

CSCO

8/15/2018

4.0

4.5

-9.8%

C

150891

NTAP

8/15/2018

7.0

6.4

9.2%

B

17117

JWN

8/16/2018

6.4

6.4

-0.6%

B

13678

JCP

8/16/2018

17.1

10.4

65.2%

F

3974

MSG

8/16/2018

2.3

1.6

37.3%

C

9169

WMT

8/16/2018

4.0

5.0

-20.6%

C

228980

AMAT

8/16/2018

4.4

4.1

6.9%

C

159432

NVDA

8/16/2018

5.7

8.6

-33.7%

B

1450695

DE

8/17/2018

4.4

5.5

-19.2%

C

181752

EL

8/20/2018

5.4

5.4

0.2%

C

27515

TOL

8/21/2018

5.3

5.9

-10.2%

B

7793

RRGB

8/21/2018

5.4

13.7

-60.3%

D

2974

TJX

8/21/2018

4.6

3.3

42.4%

A

28272

URBN

8/21/2018

9.4

6.7

39.6%

B

16815

KSS

8/21/2018

7.2

6.4

13.0%

C

31729

COTY

8/21/2018

9.7

10.1

-3.6%

D

5006

SJM

8/21/2018

5.7

5.2

8.4%

B

24369

PSTG

8/21/2018

11.4

8.8

29.1%

D

11261

PVH

8/22/2018

3.7

4.4

-17.7%

B

24913

LB

8/22/2018

14.9

5.6

168.7%

F

23413

LOW

8/22/2018

4.3

5.1

-15.1%

C

55463

WSM

8/22/2018

5.9

4.3

36.8%

C

4597

TGT

8/22/2018

4.7

5.9

-20.6%

C

106741

ZAYO

8/22/2018

4.0

3.6

11.6%

D

4513

ADI

8/22/2018

3.7

2.6

40.7%

B

16856

 

Volatility Standouts:

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

TIF

73.63%

D

1.44%

81.42

28931

SGMO

72.03%

F

0.51%

13.04

6303

BGFV

71.09%

F

2.06%

23.32

170

CARS

69.04%

D

3.70%

54.55

15514

FTAI

68.50%

C

5.02%

70.36

1198

SABR

67.59%

C

-0.86%

1.19

4945

BGCP

66.09%

F

2.85%

63.24

12803

EIX

65.41%

C

3.06%

61.66

15510

PF

65.19%

B

0.68%

11.86

475

SRCL

64.98%

C

-0.22%

3.56

6337

NLS

62.38%

D

2.91%

37.15

303

DAR

62.33%

D

2.86%

0.00

435

CTXS

6.22E-01

A

-5.37%

0.79

13221

VST

61.29%

F

-0.14%

28.05

581

PK

59.26%

D

2.35%

44.27

1284

CIT

58.82%

C

13.36%

0.00

1433

VECO

58.39%

F

1.63%

7.51

377

MLM

58.27%

A

4.01%

6.72

47754

EROS

57.91%

F

1.99%

9.49

444

WTW

55.77%

B

-0.35%

7.91

42731

SFM

55.55%

D

1.05%

2.77

6705

ZOES

54.06%

F

0.00%

92.49

290

CAMP

53.61%

D

0.27%

7.11

550

LPI

53.54%

F

-3.35%

3.56

267

 

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

SVU

-67.25%

D

1.44%

1.98

16531

NVRO

-57.96%

D

0.51%

86.17

2344

CA

-57.14%

B

2.06%

7.94

10199

RCII

-51.74%

C

3.70%

98.81

799

PAY

-48.18%

C

5.02%

24.51

931

PVTL

-43.62%

F

-0.86%

98.65

2423

ETP

-42.43%

C

2.85%

20.16

129994

OCLR

-35.12%

C

3.06%

0.40

3570

BIIB

-34.56%

C

0.68%

7.91

225211

PI

-33.77%

D

-0.22%

65.61

1344

CLDR

-31.95%

F

2.91%

37.94

1220

MGM

-28.83%

D

2.86%

3.95

123200

AAN

-27.11%

C

-5.37%

3.16

2276

EQM

-26.30%

D

-0.14%

97.63

4428

TSN

-25.42%

A

2.35%

6.32

45260

EVHC

-25.21%

B

13.36%

6.72

4275

AGNC

-25.20%

C

1.63%

7.11

13404

PTCT

-24.01%

F

4.01%

18.65

1640

CMG

-23.90%

C

1.99%

1.19

824044

PANW

-23.24%

C

-0.35%

58.10

121925

INGR

-21.73%

C

1.05%

69.96

1645

ZUO

-21.20%

D

0.00%

57.53

5560

SYY

-19.31%

A

0.27%

52.96

16134

ZS

-19.28%

D

-3.35%

94.85

3977