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Equities Rally in Light Tading

Aug 14, 2018

Commentary: Equities are bouncing today after the recent sell-off with the S&P +.6%, the Russell +1.07%, and the Nasdaq +.62% as stocks sit at highs for the day. Bonds are incrementally lower. Gold is having a rare day in the green, though it’s off earlier highs. The Gold miner ETF, GDX is unchanged. WTI crude is unchanged, however the Energy ETF’s are mixed to higher with XOP +.3% and XLE unchanged. Retail is a leading sector with XRT +1.55% and is now up 37% from its lows in late 2017. Volatilities are all in the red today with the VIX -10% to 13.34, RVX -6% to 14.33, and VXN -5% to 15.70.

 

ETF 30d volatility changes

SPY:        -9%

IWM:      -6%

QQQ:      -4%

 

Directional:

Bullish

STZ Seller 11,907 Oct 220 – 255 call spreads to Buy 11,907 Jan 220 – 250 – 195 call spread collars (rolls out, ref. 215.11)

MGM Buyer 4,800 Oct 29 calls (ref. 28.98)

PM Buyer 4,000 Oct 85 calls (ref. 82.28)

HUN 5,000 Jan 33 – 36 1x1.5 call spreads trade (ref. 32.10)

WYNN 10,500 Sep 160 and Oct 145 call trade (ref. 144.27)

JD 9,700 Aug 34 calls trade for $0.99 (Earnings Thursday AM, ref. 33.63)

 

BYD Buyer 5,000 Sep 37 – 40 call spreads (ref. 35.18)

Bearish

TWTR Buyer 7,000 Jan 23 puts (ref. 32.86)

AMD Seller 12,000 Aug 18 – 19.5 call spreads (likely closing, ref. 20.09)

GE Buyer 75,000 Oct 12 – 11 put spreads (ref. 12.51)

SNAP Seller 8,100 Sep 14 calls (ref. 12.63)

KSS Buyer 4,000 Aug 78 puts (ref. 78.26)

 

Macro:

Bullish

HYG Seller 25,000 Oct-Nov 83 put spread .23 (85.96)

X Buyer 3,600 Aug 31 calls (ref. 30.75)

Bearish

QQQ 28,200 Jan 165 – 155 put spreads trade (ref. 180.50)

GDX Seller 8,000 Jan 35 calls (ref. 19.89)

 

Financing Trades:

FXI 10,000 Jan 42 RC trade (ref. 41.80)

HYG 15,000 Aug – Sep 95 JR trade (ref. 85.96)

EEM 11,000 Sep 43 RC trade (ref. 42.60)

BABA 5,000 Oct 180 RC trade (ref. 172.56)

 

 

Upcoming Earnings:

 

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

Average Daily Vega

A

8/14/2018

4.8

3.9

23.8%

C

20420

CREE

8/14/2018

9.4

7.1

31.9%

F

10788

M

8/15/2018

8.9

9.3

-4.3%

B

62428

IMMU

8/15/2018

12.0

7.3

65.3%

F

3776

CSCO

8/15/2018

4.4

4.5

-2.2%

C

152208

NTAP

8/15/2018

6.9

6.4

7.5%

B

17624

DDS

8/16/2018

10.4

8.8

17.8%

C

4952

JWN

8/16/2018

6.5

6.3

4.3%

B

15444

JCP

8/16/2018

14.3

10.5

36.7%

F

4194

MSG

8/16/2018

3.6

1.6

122.0%

C

13015

WMT

8/16/2018

3.9

5.0

-22.0%

C

260702

AMAT

8/16/2018

4.6

4.1

13.6%

C

158481

NVDA

8/16/2018

5.8

8.6

-32.9%

B

1332527

DE

8/17/2018

4.5

5.5

-18.1%

C

170675

EL

8/20/2018

6.5

5.4

19.7%

C

33532

AABA

8/20/2018

5.8

2.2

160.6%

B

192237

TOL

8/21/2018

5.8

5.9

-0.6%

B

7761

RRGB

8/21/2018

5.8

13.7

-57.5%

D

2995

TJX

8/21/2018

5.5

3.3

67.7%

A

28347

URBN

8/21/2018

9.9

6.7

47.3%

B

16041

KSS

8/21/2018

7.6

6.3

20.1%

C

37524

COTY

8/21/2018

8.4

10.2

-17.7%

D

6681

SJM

8/21/2018

5.5

5.2

5.6%

B

26438

JKHY

8/21/2018

4.2

1.9

125.6%

A

3566

PSTG

8/21/2018

13.0

8.8

47.1%

D

11435

LB

8/22/2018

6.2

5.6

11.7%

F

24145

LOW

8/22/2018

5.4

5.1

6.4%

C

72784

WSM

8/22/2018

7.7

4.3

79.2%

C

14363

TGT

8/22/2018

5.6

5.9

-6.5%

C

100762

ZAYO

8/22/2018

5.5

3.6

54.7%

D

4534

ADI

8/22/2018

3.9

2.6

49.3%

B

16966

PLCE

8/23/2018

7.9

7.3

8.8%

D

14508

GPS

8/23/2018

7.6

7.0

8.3%

F

19402

ROST

8/23/2018

6.2

6.1

1.5%

C

13166

HRL

8/23/2018

4.3

3.6

17.4%

B

3855

SAFM

8/23/2018

6.0

4.0

50.5%

D

2446

DLTR

8/23/2018

6.5

7.6

-15.0%

B

15566

VEEV

8/23/2018

7.0

7.5

-5.6%

B

8251

ADSK

8/23/2018

6.9

8.2

-16.1%

F

47760

INTU

8/23/2018

5.3

3.4

57.0%

B

22238

SPLK

8/23/2018

7.2

7.6

-5.7%

C

33759

VMW

8/23/2018

5.3

5.2

1.8%

C

29514

HPQ

8/23/2018

4.7

4.6

1.2%

B

11548

 

 

Volatility Standouts:

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

ISBC

74.85%

A

-1.85%

17.46

21

MD

74.52%

B

1.80%

91.27

1540

IMGN

72.18%

F

0.75%

73.41

1199

HD

70.23%

A

-1.83%

67.06

316355

PAY

69.02%

C

-3.28%

19.05

636

SABR

68.84%

C

1.12%

1.98

4791

EIX

67.05%

C

-33.23%

59.92

18784

RHT

65.74%

B

0.66%

88.89

40772

CFR

65.49%

A

-2.81%

7.54

569

RMBS

65.34%

C

-2.48%

20.24

506

JNPR

65.02%

D

-1.53%

13.49

7419

CARS

64.85%

D

-2.27%

72.62

15513

ALNY

64.25%

D

-9.46%

86.51

23224

EROS

63.23%

F

6.74%

13.89

426

BGCP

62.85%

F

3.36%

73.81

12168

TIF

62.80%

D

5.08%

99.60

28241

STWD

62.65%

D

-0.62%

7.94

1688

NYCB

61.78%

C

-2.11%

61.11

1181

WAIR

61.72%

C

-1.46%

1.19

157

DRI

61.35%

A

-3.44%

70.63

10969

CIT

61.02%

C

-2.07%

1.98

1452

SRCL

60.87%

C

-1.87%

6.75

6047

CUBE

60.84%

C

-2.36%

17.06

272

PBYI

60.30%

F

-0.83%

33.73

6694

 

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

SVU

-66.17%

D

-1.85%

1.98

1751

RCII

-58.70%

C

1.80%

97.62

903

LPNT

-57.86%

C

0.75%

0.79

1300

NVRO

-48.97%

D

-1.83%

88.49

2593

DY

-45.35%

F

-3.28%

92.46

6770

ETP

-43.85%

C

1.12%

17.86

129720

PVTL

-43.68%

F

-33.23%

92.11

1888

BIIB

-36.27%

C

0.66%

4.76

198258

PI

-30.82%

D

-2.81%

65.87

1129

CLDR

-29.90%

F

-2.48%

39.68

1341

AGNC

-29.62%

C

-1.53%

3.57

12350

PTCT

-29.29%

F

-2.27%

29.08

1531

CMG

-24.73%

C

-9.46%

0.79

793415

MGM

-2.25E-01

D

6.74%

13.89

139655

S

-22.27%

D

3.36%

0.79

7699

ICPT

-20.58%

F

5.08%

4.76

26167

RH

-20.15%

C

-0.62%

51.59

37007

ZS

-19.89%

D

-2.11%

98.99

3306

ZUO

-18.88%

D

-1.46%

69.33

5995

IAC

-17.76%

C

-3.44%

48.41

95512

PANW

-16.09%

C

-2.07%

63.10

97397

BEN

-15.92%

C

-1.87%

69.05

4909

BMRN

-15.87%

C

-2.36%

0.40

14723

AAN

-15.27%

C

-0.83%

11.11

1149