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Equity Markets Mixed on Light Trading

Aug 17, 2018

Commentary:

Equities started the day in the red, but stocks have rallied and are now mixed to higher with tech stocks lagging the overall market. Currently, the S&P is +.08%, the Russell is +.12%, and the Nasdaq is -.37% with particular weakness in FANG names ex-AAPL. TSLA continues to be weak following this week’s drama with shares -7.8% today. Energy is modestly higher with WTI crude +.47%. energy ETF’s are mixed with XOP +.28% and XLE -.05%. Bonds are in the green with TLT +.28% and the 10-year yield falling to 2.855%. Gold futures are up slight following this week’s sharp move lower with GLD +.37% and the Miners’ ETF GDX +.37%. Volatilities are mixed, and off earlier highs with the VIX -2% to 13.16, RVX +.6% to 14.56, and VXN +.5% to 16.52.

 

 

ETF 30d volatility changes

SPY:        -5%

IWM:      -2%

QQQ:       unch

 

Directional:

Bullish

GERN Buyers 3,000 Sep 6 calls (3.96)

NVDA Buyer 5,000 Sep 190 – Mar 200 call spread (246.65)

 

 

Bearish

AAPL Buyer 2,800 Oct 215 puts (214.37)

SPY Buyer 160,000 Dec 31st 320-330 call spread (283.97)

BABA Buyer 5,000 Jun 150-220 risk reversal (169.07)

SYMC Buyer 3,300 Oct 20 puts (19.32)

TGT Buyers 5,000 Aug 24th 80 and Aug 83 puts (83.11)

FL Buyer 4,545 Sep 45-40 put spread (50.00)

DWDP Buyer 2,500 Aug 67.5 calls .08 to close to buy Oct 62.5 – 67.5 risk reversal (67.24)

ORCL Buyer 7,500 Jan 2020 47 puts tied to 48.175

 

Macro:

Bullish

FXI Seller 5,000 Sep 37 put to Buy 10,000 Sep 44 – 46 1x2 call spreads (ref. 41.03)

FXI Seller 8,551 Aug 42 – Dec 39 put spread (40.62)

GDX Seller 10,000 Dec 18 puts (18.55)

XOP Seller 6,500 Sep 40 puts to buy Jan 43 calls (39.59)

 

 

 

Bearish

QQQ Buyer 12,500 Aug 31st 177-173-169 put fly

TLT Seller 5,800 Dec 122-126 call spread (121.37)

XAU Buyer 10,000 Sep 62.5 puts add to 20k bought yesterday (65.71)

 

Upcoming Earnings:

 

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

Average Daily Vega

EL

8/20/2018

6.2

5.4

15.3%

C

40454

AABA

8/20/2018

5.7

2.2

156.3%

B

218629

TOL

8/21/2018

5.7

5.9

-2.4%

B

8587

RRGB

8/21/2018

7.4

13.7

-45.8%

D

2052

TJX

8/21/2018

5.2

3.3

59.2%

A

25495

URBN

8/21/2018

8.6

6.5

32.0%

B

22598

KSS

8/21/2018

7.7

6.3

21.9%

C

57729

COTY

8/21/2018

10.8

10.2

6.5%

D

8914

SJM

8/21/2018

5.8

5.2

9.7%

B

28512

JKHY

8/21/2018

4.2

1.9

128.2%

A

3725

PSTG

8/21/2018

13.2

8.8

49.4%

D

8075

LB

8/22/2018

6.3

5.6

12.7%

F

27661

LOW

8/22/2018

5.2

5.1

2.1%

C

80822

WSM

8/22/2018

7.6

4.3

76.0%

C

14509

TGT

8/22/2018

5.1

5.9

-13.6%

C

114545

ZAYO

8/22/2018

5.3

3.6

48.8%

D

5049

ADI

8/22/2018

4.1

2.6

55.4%

B

16678

PLCE

8/23/2018

7.3

7.3

-0.1%

D

20817

GPS

8/23/2018

8.0

7.0

14.2%

F

24073

ROST

8/23/2018

6.3

6.1

2.0%

C

14341

HRL

8/23/2018

4.4

3.6

22.2%

B

5014

IMMU

8/23/2018

12.4

7.3

70.6%

F

4224

VEEV

8/23/2018

6.6

7.5

-11.9%

B

8290

ADSK

8/23/2018

6.8

8.2

-16.7%

F

42359

INTU

8/23/2018

5.3

3.4

55.7%

B

21694

SPLK

8/23/2018

7.6

7.6

-0.6%

C

28613

VMW

8/23/2018

5.2

5.2

0.2%

C

30499

HPQ

8/23/2018

4.8

4.6

4.1%

B

14199

FL

8/24/2018

12.6

15.7

-19.9%

C

14650

BIG

8/24/2018

8.9

4.8

87.3%

D

21925

UBNT

8/24/2018

9.7

10.2

-4.7%

B

10540

HRB

8/28/2018

8.4

11.2

-24.6%

B

10866

DSW

8/28/2018

10.8

9.2

17.1%

B

2992

TIF

8/28/2018

7.1

6.7

6.9%

D

29506

BBY

8/28/2018

8.0

9.0

-11.0%

C

36343

HAIN

8/28/2018

7.9

3.4

131.6%

C

5130

OLLI

8/28/2018

5.9

3.1

94.6%

B

6414

BOX

8/28/2018

10.4

7.7

34.1%

D

12855

HPE

8/28/2018

5.6

7.1

-21.6%

D

4783

PVH

8/29/2018

5.3

4.4

19.6%

B

45702

AEO

8/29/2018

8.9

7.6

17.0%

C

7491

CHS

8/29/2018

13.8

10.1

37.0%

C

4576

DKS

8/29/2018

10.2

11.4

-10.2%

D

16068

FIVE

8/29/2018

8.3

6.9

20.7%

B

12322

CRM

8/29/2018

4.5

2.6

74.6%

C

218318

 

 

Volatility Standouts:

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

NCS

72.41%

B

1.27%

85.38

328

CAMP

70.10%

D

1.74%

16.60

188

JNPR

69.16%

D

2.28%

15.42

5860

OCLR

67.80%

C

-1.66%

16.60

3243

ALNY

67.38%

D

-2.59%

84.98

25814

KAR

66.97%

A

-11.90%

40.71

3318

FDP

66.24%

D

2.64%

48.62

635

SCG

65.14%

D

4.17%

34.39

3346

KN

62.67%

C

-3.57%

9.09

70

PBI

62.10%

C

-0.09%

10.28

828

KBR

61.80%

C

-2.82%

4.74

339

STWD

61.13%

D

0.63%

19.37

1713

SBGI

60.43%

C

3.61%

25.69

9712

MD

59.57%

B

6.40%

70.36

1375

CPB

58.74%

C

-0.90%

99.21

48789

CARS

58.41%

D

1.04%

72.33

14919

BGCP

58.10%

F

-0.62%

89.33

752

IMGN

58.07%

F

-0.53%

16.21

1052

NAVI

57.79%

D

0.04%

1.58

128

MLM

57.76%

A

-1.33%

6.72

19434

BERY

57.61%

A

-1.64%

85.77

6117

XRX

56.61%

D

1.41%

79.45

8826

RHT

56.16%

B

0.85%

86.56

57487

SRCL

56.05%

C

-0.60%

8.30

4952

 

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

SVU

-60.97%

D

1.27%

2.37

2087

ZOES

-59.38%

F

1.74%

100.00

1691

DY

-51.88%

F

2.28%

72.33

6097

LPNT

-50.93%

C

-1.66%

3.16

1319

NVRO

-50.87%

D

-2.59%

87.75

2277

PVTL

-46.11%

F

-11.90%

96.20

1485

BIIB

-3.59E-01

C

2.64%

0.79

141834

CA

-35.55%

B

4.17%

8.73

6370

PI

-32.33%

D

-3.57%

66.01

1137

CLDR

-30.10%

F

-0.09%

45.06

1140

FANG

-27.67%

D

-2.82%

43.08

27403

ETP

-25.45%

C

0.63%

15.42

36136

STZ

-22.99%

C

3.61%

56.13

1260916

RH

-22.01%

C

6.40%

43.87

34196

ZS

-21.86%

D

-0.90%

99.02

3653

ICPT

-21.37%

F

1.04%

10.67

24281

ANF

-21.35%

D

-0.62%

60.47

9795

PTCT

-21.15%

F

-0.53%

30.56

1970

BPL

-19.15%

D

0.04%

66.40

11644

BMRN

-1.84E-01

C

-1.33%

0.79

25171

PANW

-17.42%

C

-1.64%

71.15

70756

RCII

-16.62%

C

1.41%

96.05

1260

GTT

-16.53%

C

0.85%

92.09

5471

ORCL

-16.43%

B

-0.60%

68.77

76858