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Equities Roll Over on Continued Concerns Regarding Turkey

Aug 13, 2018

Commentary:  Equities were lower overnight due to continued concerns regarding Turkey. However, markets did open in the green but have rolled over and are now trading on lows with the S&P -.27%  and the Russell is -.75%. The Nasdaq is bucking the trend and is up +.08% with strength in FAANG names. Energy is particularly weak with WTI Crude -2.2%. Energy ETFs are lower as well with XOP -1.6% and XLE -.8%. Gold continues to make new lows for the year -1.35% with GDX -2.5%. Bonds are little changed. Volatilities are moving higher with the VIX +12% to 14.73, VXN +4% to 16.82, and RVX +4% to 15.41.

 

ETF 30d volatility changes

SPY:        +10%

IWM:      +5%

QQQ:      +7%

 

Directional:

Bullish

CMCSA Buyer 3,200 Aug 35 calls – continued buying (35.02)

NLSN Buyer 7,000 Jan 30 calls (24.45)

IGT Buyer 24,00 Jan 22-27 call spread to sell 17 puts

MGM Seller 7,000 Sep 27-30 risk reversal (29.07)

EA Buyer 3,000 Aug 31st 135-140 1x2 call spread (132.87)

UAA 6,400 Aug 21 and 21.5 calls trade (21.00)

ATVI Buyer 10,000 Feb 65 calls tied to 10.92

WWE Buyer 2,200 Sep 80-85 1x2 call spread

Bearish

FDC Buyers 3,000 Aug 23 puts on secondary offering (23.92)

FDC Seller 6,800 Oct 20 calls tied to 24.24 stock

FDC Seller 13,599 Jan 21 calls tied to 24.36

PAGS Buyer 2,934 Sep 27.5-25 put spread to sell 32.5 calls (28.30)

PM Seller 10,200 Sep 85 calls (81.74)

 

Earnings Plays:

Bullish

 

Bearish

 

Macro:

Bullish

HYG Seller 25,000 Sep 84 – Nov 83 put spread .305 (85.92)

EEM Seller 32,000 Sep 43-41 put spreads possibly closing (42.82)

EWZ Buyer 15,000 Sep 7th / Sep 21st 38 call spread .19 (33.55)

Bearish

EEM Seller 15,000 Aug 66 puts to buy 10,000 Sep 66 puts (66.66)

IWM Buyer 20,000 Oct 155-145 put spread

QQQ- Bought Aug (31) 179 Straddles 5.54 Sold 57,400 Aug (31) 166p .17, Sold 4900 Sep (28) 181 Straddles 7.74 , Bought 44,300 Sep (28) 167p .84

Financing Trades:

AABA 3,140 Aug 100 line

 

Upcoming Earnings:

 

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

Average Daily Vega

SWCH

8/13/2018

11.5

13.6

-15.1%

F

4542

EAT

8/14/2018

7.5

4.5

66.9%

B

3384

DDS

8/14/2018

10.7

8.8

20.4%

C

3818

HD

8/14/2018

3.8

1.5

147.3%

A

249957

TPR

8/14/2018

7.7

9.1

-14.7%

C

16229

AAP

8/14/2018

9.1

8.7

4.7%

C

13473

ARRY

8/14/2018

7.4

9.0

-17.6%

F

3617

A

8/14/2018

4.8

3.9

24.3%

C

16355

CREE

8/14/2018

9.4

7.1

32.7%

F

8224

M

8/15/2018

9.6

9.3

3.0%

B

58112

IMMU

8/15/2018

11.3

7.3

55.0%

F

4100

CSCO

8/15/2018

4.1

4.5

-8.0%

C

145258

NTAP

8/15/2018

7.0

6.4

9.6%

B

17067

JWN

8/16/2018

6.6

6.3

4.7%

B

14555

JCP

8/16/2018

16.4

10.5

56.7%

F

4267

MSG

8/16/2018

3.5

1.6

115.2%

C

10409

WMT

8/16/2018

4.1

5.0

-17.4%

C

246503

AMAT

8/16/2018

4.8

4.1

18.7%

C

156999

NVDA

8/16/2018

5.7

8.6

-33.3%

B

1369826

DE

8/17/2018

4.7

5.5

-15.2%

C

178766

EL

8/20/2018

6.4

5.4

17.7%

C

34079

AABA

8/20/2018

5.5

2.2

148.6%

B

207839

TOL

8/21/2018

5.8

5.9

-1.1%

B

7459

RRGB

8/21/2018

6.3

13.7

-54.0%

D

3019

TJX

8/21/2018

5.4

3.3

64.6%

A

26158

URBN

8/21/2018

9.4

6.7

40.5%

B

17329

KSS

8/21/2018

7.5

6.3

19.1%

C

33243

COTY

8/21/2018

9.1

10.2

-11.0%

D

5689

SJM

8/21/2018

5.7

5.2

9.5%

B

25807

PSTG

8/21/2018

12.9

8.8

45.7%

D

10985

PVH

8/22/2018

5.6

4.4

25.4%

B

27662

LB

8/22/2018

6.6

5.6

18.0%

F

23838

LOW

8/22/2018

4.7

5.1

-8.1%

C

57951

WSM

8/22/2018

7.6

4.3

76.1%

C

5470

TGT

8/22/2018

5.0

5.9

-16.6%

C

98284

ZAYO

8/22/2018

5.7

3.6

59.4%

D

4452

ADI

8/22/2018

3.8

2.6

43.4%

B

17907

 

 Volatility Standouts:

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

CTXS

73.38%

A

-0.46%

3.16

10654

F

72.98%

C

-2.25%

66.01

79338

ALNY

70.34%

D

-1.79%

89.33

20612

TIF

69.54%

D

-0.95%

97.63

26185

FTAI

69.37%

C

1.19%

53.36

895

PF

68.94%

B

-0.99%

8.70

429

SABR

68.92%

C

-2.56%

0.79

4898

CARS

68.20%

D

-4.12%

63.64

15441

EIX

68.15%

C

0.25%

63.24

16800

BGCP

65.69%

F

-2.08%

98.81

12946

SRCL

65.29%

C

-2.46%

4.35

6131

NLS

65.06%

D

-1.38%

18.97

298

BERY

65.02%

A

-1.58%

86.17

15308

BGFV

61.57%

F

-0.14%

43.48

191

CIT

61.02%

C

1.24%

0.40

1448

CAMP

60.77%

D

1.79%

7.51

428

SGMO

60.51%

F

-2.00%

10.28

6042

DMRC

59.78%

D

-4.86%

17.00

2272

RMBS

59.14%

C

1.80%

13.44

545

ZOES

58.34%

F

-0.13%

97.63

291

ARCC

57.93%

F

-2.38%

9.49

1953

STWD

57.71%

D

2.73%

20.16

1694

PK

5.66E-01

D

-1.97%

39.53

1411

EROS

56.13%

F

-3.56%

14.23

379

 

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

SVU

-66.83%

D

-0.46%

2.77

15932

PAY

-64.07%

C

-2.25%

0.00

637

NVRO

-50.53%

D

-1.79%

90.12

2281

CA

-44.98%

B

-0.95%

7.54

10236

PVTL

-44.38%

F

1.19%

85.33

2330

RCII

-42.42%

C

-0.99%

15.81

788

ETP

-40.20%

C

-2.56%

19.76

128338

PI

-37.59%

D

-4.12%

64.82

1246

BIIB

-36.86%

C

0.25%

6.32

212127

CLDR

-31.41%

F

-2.08%

36.36

1237

INGR

-27.38%

C

-2.46%

75.10

1574

MGM

-26.44%

D

-1.38%

7.51

121974

AGNC

-25.10%

C

-1.58%

9.09

12866

PTCT

-23.72%

F

-0.14%

28.17

1665

TSN

-23.69%

A

1.24%

11.46

45742

ZUO

-22.99%

D

1.79%

59.46

6042

SYY

-22.16%

A

-2.00%

93.28

20807

ICPT

-20.82%

F

-4.86%

4.74

25389

RH

-20.24%

C

1.80%

49.80

31107

PANW

-20.05%

C

-0.13%

62.85

116679

CMG

-18.88%

C

-2.38%

3.56

780723

IAC

-18.86%

C

2.73%

49.01

99958

ZS

-18.35%

D

-1.97%

97.96

3731

BEN

-17.60%

C

-3.56%

66.40

7622