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Equities Selloff on Trade Tensions and Chinese Tech Earnings

Aug 15, 2018

Commentary: Equities are getting hit today on trade tensions along with weak Chinese tech earnings. Economic slowdown fears seem to be increasing as well, with a sharp move lower in commodities. Currently, the S&P is -1%, the Russell is -1.2%, and the Nasdaq is -1.6%. Energy is particularly weak with WTI crude –3.3%. Energy ETF’s are sharply lower with XOP -4.2% and XLE -3.2%. XOP, in particular, is seeing elevated levels of option activity on today’s move. Gold continues to make new lows for the year with GLD -1.5% and GDX, the Miners ETF -6%. Bonds are moving higher as TLT is +.48%. This is lifting utility stocks with XLU +1.1%. Volatilities are up with the market move down as the VIX is +19% to 15.84, RVX +17% to 16.73, and VXN +20% to 18.30.

 

 

ETF 30d volatility changes

SPY:        +16%

IWM:      +14%

QQQ:      +17%

 

Directional:

Bullish

CGC Buyer 3,300 Aug 35 calls (ref. 32.10)

BSX Buyer 4,500 Sep 36 calls (ref. 33.95)

STZ Buyer 3,000 Jan20 280 calls (ref. 202.24)

STZ Buyer 14,381 Jan 215 -225 call spreads (ref. 203.71)

BABA Buyer 20,000 Oct 170 – 180 call spreads (Earnings 8/23, ref. 166.86)

Bearish

BAC Seller 10,000 Nov 33 calls to Buy 10,000 Nov 28 puts (ref. 30.45)

BBBY Seller 7,700 Aug 18.5 puts to Buy 7,700 Sep 17.5 puts (rolls out and down, ref. 18.23)

ALLY Seller 5,000 Jan20 37 calls (ref. 26.93)

 

Macro:

Bullish

GDX Seller 7,000 Mar 18 puts and 9,000 Dec 17 puts (ref. 18.50)

XOP Buyer 8,000 Dec 45 – 50 call spreads (ref. 39.20)

Bearish

XOP Buyer 30,000 Feb 30 puts (ref. 40.21)

XOP Seller 100,000 Oct 39 puts to Buy 100,000 Nov 36 puts (rolls out and down, ref. 39.32)

XME Buyer 30,000 Jan 28 puts for (ref. 33.04)

QQQ Seller 30,000 Sep 28th 144 puts to Buy 30,000 Oct 144 puts (ref. 179.70)

XBI Seller 5,000 Aug 94 puts to Buy 5,000 Oct 93 – 86 put spreads (rolls out and down, ref. 92.94)

SPY Seller 14,611 Jun 325 calls (ref. 280.79)

SMH Buyer 19,200 Sep 100 puts (ref. 102.90)

VIX 20,000 Sep 30 calls trade (ref. 16.067)

HYG Buyer 26,041 Dec 82 puts (ref. 85.79)

EFA 20,000 Mar 63 puts (ref. 65.28)

 

 

Upcoming Earnings:

 

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

Average Daily Vega

CSCO

8/15/2018

4.3

4.5

-2.9%

C

164039

NTAP

8/15/2018

7.3

6.4

14.5%

B

20167

AMAT

8/16/2018

5.0

4.1

23.6%

C

135678

DDS

8/16/2018

11.1

8.8

25.2%

C

6022

IMMU

8/16/2018

9.7

7.3

34.0%

F

3078

JCP

8/16/2018

15.4

10.5

47.2%

F

5306

JWN

8/16/2018

6.9

6.3

10.4%

B

20360

MSG

8/16/2018

4.0

1.6

145.1%

C

14818

NVDA

8/16/2018

6.1

8.6

-29.0%

B

1433648

WMT

8/16/2018

4.0

5.0

-20.4%

C

300645

DE

8/17/2018

5.1

5.5

-7.8%

C

140667

AABA

8/20/2018

5.5

2.2

148.9%

B

230645

EL

8/20/2018

6.2

5.4

15.4%

C

40093

COTY

8/21/2018

10.3

10.2

1.6%

D

7207

JKHY

8/21/2018

4.0

1.9

112.4%

A

3701

KSS

8/21/2018

8.2

6.3

29.6%

C

46058

PSTG

8/21/2018

11.8

8.8

34.0%

D

9711

RRGB

8/21/2018

6.7

13.7

-50.9%

D

2585

SJM

8/21/2018

5.3

5.2

0.6%

B

26356

TJX

8/21/2018

5.1

3.3

56.8%

A

24584

TOL

8/21/2018

5.8

5.9

-1.4%

B

8075

URBN

8/21/2018

9.3

6.7

38.9%

B

22283

ADI

8/22/2018

4.2

2.6

60.2%

B

16711

LB

8/22/2018

6.1

5.6

9.1%

F

23505

LOW

8/22/2018

5.4

5.1

5.4%

C

78556

TGT

8/22/2018

5.6

5.9

-5.5%

C

102284

WSM

8/22/2018

7.2

4.3

66.7%

C

14474

ZAYO

8/22/2018

5.0

3.6

40.3%

D

4464

ADSK

8/23/2018

7.0

8.2

-14.3%

F

42430

DLTR

8/23/2018

6.2

7.6

-19.0%

B

14026

GPS

8/23/2018

8.2

7.0

17.4%

F

20643

HPQ

8/23/2018

4.7

4.6

2.2%

B

12210

HRL

8/23/2018

4.2

3.6

14.9%

B

3601

INTU

8/23/2018

5.0

3.4

46.7%

B

20277

PLCE

8/23/2018

7.7

7.3

6.6%

D

18720

ROST

8/23/2018

5.9

6.1

-4.1%

C

13975

SPLK

8/23/2018

7.8

7.6

1.8%

C

33239

VEEV

8/23/2018

6.2

7.5

-16.7%

B

8256

VMW

8/23/2018

5.0

5.2

-3.1%

C

28404

BIG

8/24/2018

8.6

4.8

80.7%

D

22969

FL

8/24/2018

12.8

15.7

-18.6%

C

10414

UBNT

8/24/2018

9.2

10.2

-10.1%

B

10075

 

Volatility Standouts:

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

MD

74.62%

B

-18.30%

85.77

1659

ESPR

69.31%

F

7.08%

99.21

4895

PCG

69.26%

A

4.28%

88.54

40238

COL

68.09%

B

7.02%

86.96

90177

JBL

65.96%

C

4.14%

54.94

2385

PRSP

6.41E-01

C

8.60%

30.43

454

ZOES

62.28%

F

-4.35%

98.02

1074

RCII

61.97%

C

9.88%

97.23

854

TIF

58.65%

D

6.65%

96.05

28693

RHT

54.85%

B

3.61%

88.93

44022

NLS

53.55%

D

1.28%

15.02

278

FTAI

53.39%

C

7.04%

84.19

436

ISBC

52.24%

A

15.46%

39.53

21

BGCP

50.36%

F

8.08%

73.12

11669

CTXS

49.49%

A

1.53%

3.95

11215

SABR

48.31%

C

7.30%

0.40

4732

JNPR

46.27%

D

10.28%

9.49

6599

CARS

42.21%

D

9.38%

64.82

15171

NAVI

40.18%

D

7.79%

2.37

348

STWD

40.04%

D

3.33%

18.18

1628

KN

39.27%

C

6.21%

5.93

494

ATHN

38.97%

C

7.15%

29.25

27059

TRCO

38.54%

C

1.35%

64.82

20512

BERY

38.38%

A

2.44%

84.98

12348

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

LPNT

-72.66%

C

-18.30%

2.77

1293

SVU

-70.89%

D

7.08%

2.37

1693

DY

-53.84%

F

4.28%

80.24

7620

NVRO

-52.08%

D

7.02%

86.56

2602

ETP

-4.58E-01

C

4.14%

16.21

129002

PVTL

-44.93%

F

8.60%

98.70

1685

EVHC

-44.23%

B

-4.35%

3.95

3786

BIIB

-4.04E-01

C

9.88%

1.19

177939

PTCT

-37.91%

F

6.65%

35.71

1567

PI

-36.02%

D

3.61%

65.22

1110

CA

-32.46%

B

1.28%

5.56

7319

CLDR

-31.65%

F

7.04%

40.32

1286

ICPT

-30.65%

F

15.46%

4.74

25401

S

-30.54%

D

8.08%

3.95

8329

FOXA

-27.40%

D

1.53%

2.77

229963

AGNC

-26.57%

C

7.30%

4.74

12132

BMRN

-25.90%

C

10.28%

0.00

14635

AET

-24.11%

C

9.38%

15.42

47635

RH

-23.76%

C

7.79%

46.25

37546

ABBV

-23.17%

B

3.33%

9.09

155143

SYY

-23.13%

A

6.21%

25.69

20289

PCRX

-22.88%

F

7.15%

0.79

3458

AAN

-22.58%

C

1.35%

11.46

1299

ZUO

-22.36%

D

2.44%

68.42

7101