blog

Latest from the Quantamize Blog

Equities Rally on China Trade Talk

Aug 16, 2018

Commentary: Equities are rallying on reports of planned trade talks between the United States and China and on strong earnings from Walmart. Currently, the S&P is up +1.14%, the Russell is +1.17%, and the Nasdaq is +.92%. Bonds are lower with TLT -.44% and the 10-year yield rising to 2.891%. Energy is in the green with WTI Crude +.6% and energy ETF’s up as well with XOP +1.5% and XLE +1.15%. Consumer Staples are a leading sector as XLP is +1.6%. Volatilities are receding after yesterday’s rally with VIX -11% to 13.07, RVX -11% to 14.22, and VXN -7% to 16.01.

 

 

ETF 30d volatility changes

SPY:        -12%

IWM:      -10%

QQQ:       -6%

 

Directional:

Bullish

PCG Buyer 3,400 Aug 44.5 calls (ref. 43.79)

AA Buyer 2,200 Aug 50 puts to Sell 2,200 Oct 50 puts (rolls write out, ref. 41.63)

JD Buyer 20,000 Jan 31 calls (ref. 32.35)

YNDX Buyer 5,758 Jan20 50 calls (ref. 31.68)

WYNN Buyer 3,900 Dec 145 – 155 call spreads (ref. 140.34)

BAC Seller 22,500 BAC Jan 15 calls to Buy 22,500 Jan20 20 calls (ref. 30.76)

Bearish

CTL Buyer 8,827 Jan 25 puts (ref. 23.19)

TEVA Buyer 9,000 Sep 22 puts (ref. 23.20)

CY Buyer 4,997 Sep 16 puts (ref. 16.15)

 

Macro:

Bullish

EEM Buyer 57,550 Aug 43.5 puts to Sell 57,550 Oct 42.5 puts (ref. 41.98)

EWH Buyer 5,000 Aug 24 calls (ref. 23.82)

Bearish

XAU Buyer 10,000 Sep 62.5 puts (ref.

XLE Buyer 5,000 Sep 76 – 71 1x2 put spreads (ref. 72.44)

XLP Buyer 9,260 Dec 54 puts (ref. 54.32)

XLF Seller 30,000 Sep 29 calls (ref. 28.17)

 

Financing Trades:

IBM 19,000 Oct 145 RC trade (ref. 145.28)

WFC 15,000 Aug – Oct 60 JR trade (ref. 58.56

 

 

Upcoming Earnings:

 

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

Average Daily Vega

JWN

8/16/2018

6.7

6.3

7.5%

B

22149

AMAT

8/16/2018

4.8

4.1

18.3%

C

133257

NVDA

8/16/2018

6.2

8.6

-28.0%

B

1563726

DE

8/17/2018

4.4

5.5

-19.3%

C

134959

EL

8/20/2018

6.3

5.4

17.4%

C

39882

AABA

8/20/2018

5.6

2.2

151.6%

B

229388

IMMU

8/20/2018

11.8

7.3

61.8%

F

3549

TOL

8/21/2018

5.8

5.9

-0.6%

B

8429

RRGB

8/21/2018

6.3

13.7

-54.0%

D

2600

TJX

8/21/2018

5.4

3.3

66.0%

A

24163

URBN

8/21/2018

9.2

6.5

41.0%

B

23564

KSS

8/21/2018

7.7

6.3

21.6%

C

49803

COTY

8/21/2018

10.6

10.2

4.5%

D

8096

SJM

8/21/2018

5.9

5.2

12.8%

B

28329

JKHY

8/21/2018

4.1

1.9

120.7%

A

3776

PSTG

8/21/2018

13.2

8.8

48.9%

D

9076

LB

8/22/2018

6.3

5.6

13.5%

F

29402

LOW

8/22/2018

5.1

5.1

0.3%

C

81734

WSM

8/22/2018

7.8

4.3

79.9%

C

14676

TGT

8/22/2018

5.4

5.9

-8.7%

C

128160

ZAYO

8/22/2018

5.2

3.6

45.3%

D

4522

ADI

8/22/2018

4.2

2.6

60.1%

B

17215

PLCE

8/23/2018

7.5

7.3

3.5%

D

19910

GPS

8/23/2018

8.0

7.0

15.1%

F

22115

ROST

8/23/2018

6.2

6.1

1.4%

C

14599

HRL

8/23/2018

4.5

3.6

25.1%

B

4740

VEEV

8/23/2018

7.0

7.5

-6.8%

B

8259

ADSK

8/23/2018

6.9

8.2

-16.1%

F

33667

INTU

8/23/2018

5.5

3.4

61.9%

B

21194

SPLK

8/23/2018

7.9

7.6

3.9%

C

33304

VMW

8/23/2018

5.4

5.2

3.5%

C

29468

HPQ

8/23/2018

4.9

4.6

5.4%

B

14242

FL

8/24/2018

13.0

15.7

-17.6%

C

11715

BIG

8/24/2018

8.7

4.8

83.1%

D

23363

UBNT

8/24/2018

9.3

10.2

-9.5%

B

10490

HRB

8/28/2018

8.6

11.2

-23.3%

B

10362

TIF

8/28/2018

7.3

6.7

8.7%

D

28819

BBY

8/28/2018

8.2

9.0

-9.4%

C

34638

HAIN

8/28/2018

8.2

3.6

130.4%

C

5307

OLLI

8/28/2018

6.0

3.1

95.2%

B

7673

BOX

8/28/2018

10.8

7.7

39.3%

D

15177

HPE

8/28/2018

5.7

7.1

-19.4%

D

5938

 

 Volatility Standouts:

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

OCLR

72.31%

C

-11.83%

5.53

3613

ALNY

70.55%

D

-3.96%

86.96

21801

ZOES

68.90%

F

2.22%

99.60

1131

EIX

68.72%

C

-5.09%

57.31

11198

KBR

68.36%

C

-2.06%

7.51

306

CUBE

68.18%

C

-3.43%

21.74

158

NLS

6.69E-01

D

-2.39%

13.04

299

CARS

63.58%

D

-2.74%

77.08

15027

ATHN

63.30%

C

-1.70%

48.62

24954

STWD

63.08%

D

-2.14%

33.20

1631

CAMP

62.89%

D

-6.28%

17.00

212

FDP

6.23E-01

D

-5.49%

53.36

661

FOLD

62.25%

D

-9.72%

6.72

3914

SABR

61.05%

C

-5.55%

3.95

4711

BGCP

59.35%

F

-1.07%

78.26

9445

ARCC

59.32%

F

-2.81%

19.76

2171

PWR

58.74%

D

-4.50%

19.37

3908

EDIT

58.54%

F

-2.18%

27.67

5186

PK

57.31%

D

-5.20%

23.72

1449

KN

57.30%

C

-1.92%

10.67

67

MAT

57.13%

D

-3.27%

14.62

5449

TXT

56.95%

C

-5.28%

12.25

5470

HD

55.73%

A

0.00%

33.20

434155

XRX

55.16%

D

-3.98%

63.24

5398

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

LPNT

-67.16%

C

-11.83%

2.37

1513

SVU

-63.21%

D

-3.96%

2.37

1526

PAY

-60.21%

C

2.22%

0.79

623

DY

-52.19%

F

-5.09%

86.17

7608

NVRO

-49.03%

D

-2.06%

91.30

2554

PVTL

-44.72%

F

-3.43%

97.44

1636

ETP

-39.56%

C

-2.39%

22.92

123939

CA

-39.03%

B

-2.74%

9.13

6410

BIIB

-3.43E-01

C

-1.70%

5.14

157676

PI

-30.67%

D

-2.14%

66.01

1158

CLDR

-30.54%

F

-6.28%

44.27

1292

FANG

-29.34%

D

-5.49%

56.52

22051

PTCT

-25.13%

F

-9.72%

52.78

1856

RH

-21.70%

C

-5.55%

38.74

36051

ICPT

-21.31%

F

-1.07%

14.62

26335

ANF

-21.21%

D

-2.81%

66.40

9757

BMRN

-19.82%

C

-4.50%

1.98

14609

PANW

-19.71%

C

-2.18%

83.40

81948

STZ

-17.58%

C

-5.20%

57.71

1103494

BPL

-17.43%

D

-1.92%

69.96

12326

ZS

-17.39%

D

-3.27%

100.00

3477

AGNC

-17.32%

C

-5.28%

33.20

8238

IAC

-16.89%

C

0.00%

77.87

101538

ZUO

-15.94%

D

-3.98%

71.43

7504