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Midday Volatility: US Equity Markets Mixed on Light Trading

Aug 20, 2018

Commentary:

Equities are mixed to higher today with outperformance from the Russell 2000 and S&P 500 but tech lagging the overall market. Currently, the S&P 500 is +0.24%, the Russell 2000 is +0.32% and the Nasdaq is -0.19% on weakness in AAPL, AMZN, and NVDA. Bonds are strong again and reaching their highest levels in a month with TLT +0.6% and the 10-year yield down to 2.832%. In Energy, WTI crude is +0.2%, however energy stocks are outperforming with XOP +1.2% and XLE +0.92%. Consumer Discretionary and industrials are also moving higher, +0.6 and +0.78% respectively. Volatilities are mixed with the VIX -1.3% to 12.47, RVX +0.6% to 14.39, and VXN +4% to 16.54.

 

ETF 30d volatility changes

SPY:        -3%

IWM:      -2%

QQQ:      -1%

 

Directional:

Bullish

HD Seller 3,800 Sep 187.5 puts (ref. 196.17)

Z Seller 5,800 Nov 50 puts (appears to be closing, ref. 47.06)

CA 10,000 Sep 45 calls trade (ref. 43.72)

C Buyer 10,000 Oct 72.5 calls (ref. 69.97)

MRK Buyer 7,500 Jan 65 – 70 call spreads (ref. 69.61)

BIDU Buyer 8,670 Sep 270 calls (ref. 222.52)

RIG Buyer 9,998 Sep 28th 11 calls (ref. 11.12)

JNJ Buyer 7,000 Jan 130 – 135 call spreads (ref. 136.50)

CATM Buyer 3,000 Sep 40 calls (ref. 37.20)

Bearish

FLEX Buyer 120,000 Sep 13.5 puts (ref. 13.64)

AFL Seller 17,800 Jan 50 calls to Buy 17,800 Jan 37.5 puts (ref. 46.83)

JD Buyer 18,650 Dec 30 puts (ref. 33.09)

TSLA Buyer 6,553 Jan 50 puts (ref. 302.97)

VIPS Buyer 25,000 Jan 9 – 8 put stupids (appears to be closing, ref. 7.27)

 

Macro:

Bullish

FXI Buyer 7,000 Sep 43 – 44 call spreads (ref. 41.46)

TBT Buyer 16,500 Oct 36 calls (ref. 35.78)

IWM Seller 13,690 Sep 162 puts to Buy 20,575 Sep 156 puts (ref. 168.47)

SPY Buyer 50,000 Dec 31st 315 – 325 call spreads (ref. 285.23)

XLV Buyer 9,159 Sep 93 calls (ref. 91.44)

Bearish

XLU Seller 11,000 Dec 57 calls (ref. 54.32)

SPY Buyer 17,600 Mar 255 puts (ref. 285.50)

HYG Seller 20,000 Sep 81 puts to Buy 20,000 Nov 82 puts (ref. 86.07)

EFA Seller 34,000 Sep 63 puts to Buy 34,000 Oct 63 puts (rolls out, ref. 66.75)

 

Financing Trades:

QCOM 20,000 Aug 31st 90 RC trade (ref. 65.95)

EFA 17,000 Sep – Oct 63 JR trade (ref. 66.65)

 

Upcoming Earnings:

 

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

Average Daily Vega

TOL

8/21/2018

5.4

5.9

-7.6%

B

6906

TJX

8/21/2018

4.8

3.3

46.2%

A

36347

URBN

8/21/2018

8.0

6.5

22.2%

B

23173

KSS

8/21/2018

6.6

6.3

4.1%

C

64272

COTY

8/21/2018

11.6

10.2

13.6%

D

11896

SJM

8/21/2018

5.5

5.2

5.3%

B

17072

JKHY

8/21/2018

3.7

1.9

100.9%

A

3772

PSTG

8/21/2018

12.3

8.8

39.0%

D

7707

LB

8/22/2018

5.7

5.7

1.0%

F

29745

LOW

8/22/2018

5.0

5.3

-5.1%

C

81420

WSM

8/22/2018

7.4

4.3

72.0%

C

14806

TGT

8/22/2018

5.8

6.0

-4.0%

C

126727

ZAYO

8/22/2018

4.7

3.6

31.1%

D

6861

ADI

8/22/2018

3.8

2.6

43.1%

B

15699

PLCE

8/23/2018

6.9

7.3

-4.5%

D

20897

GPS

8/23/2018

7.6

7.1

7.3%

F

25701

ROST

8/23/2018

5.7

6.2

-6.8%

C

13509

HRL

8/23/2018

4.3

3.6

21.3%

B

4171

SAFM

8/23/2018

5.7

4.0

42.9%

D

4556

IMMU

8/23/2018

12.0

7.4

62.0%

F

5439

VEEV

8/23/2018

5.6

7.5

-24.4%

B

8140

ADSK

8/23/2018

6.5

8.2

-20.3%

F

43118

INTU

8/23/2018

4.5

3.2

39.1%

B

24363

SPLK

8/23/2018

7.3

7.6

-3.6%

C

27628

VMW

8/23/2018

5.2

5.2

0.7%

C

30217

HPQ

8/23/2018

4.7

4.6

3.6%

B

15593

FL

8/24/2018

12.3

16.4

-24.6%

C

19358

BIG

8/24/2018

8.0

4.8

67.3%

D

19793

UBNT

8/24/2018

8.9

10.2

-13.1%

B

10897

HRB

8/28/2018

7.7

11.2

-31.5%

B

10986

DSW

8/28/2018

9.3

9.2

0.9%

B

3751

TIF

8/28/2018

6.6

6.7

-0.7%

D

29956

BBY

8/28/2018

7.4

9.0

-18.2%

C

40903

HAIN

8/28/2018

6.9

3.4

103.2%

C

4710

OLLI

8/28/2018

6.3

3.1

107.9%

B

6924

BOX

8/28/2018

8.9

7.7

15.4%

D

12876

HPE

8/28/2018

5.4

7.1

-24.6%

D

4444

PVH

8/29/2018

4.1

4.4

-7.8%

B

50233

AEO

8/29/2018

7.9

7.5

5.2%

C

7688

CHS

8/29/2018

13.0

10.1

28.8%

C

4319

DKS

8/29/2018

9.8

11.4

-13.4%

D

16054

FIVE

8/29/2018

7.8

6.9

13.3%

B

12574

CRM

8/29/2018

3.9

2.4

62.4%

C

212427

 

Volatility Standouts:

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

MD

74.91%

B

0.00%

60.47

1317

EVHC

70.12%

B

-2.39%

6.72

3569

PK

70.05%

D

-7.47%

24.11

825

WRD

69.88%

D

-1.34%

47.43

3436

BGCP

68.17%

F

0.00%

92.09

781

CTXS

65.50%

A

0.00%

5.53

15531

SGMO

64.97%

F

0.00%

9.88

7077

NRZ

64.08%

C

-0.14%

0.79

1431

ADT

6.31E-01

F

0.00%

23.40

3307

PETS

61.19%

C

-0.83%

1.19

1469

COL

57.54%

B

0.00%

79.84

92856

TTGT

56.09%

A

0.32%

89.33

1892

TRCO

55.44%

C

0.00%

46.64

20488

SBGI

54.86%

C

0.00%

36.76

10807

FOLD

51.16%

D

0.00%

37.55

3918

WATT

49.45%

D

0.00%

18.97

5105

SYF

49.39%

D

-0.64%

5.93

15933

ACAD

47.62%

F

0.00%

83.40

4396

PCG

47.15%

A

0.00%

91.30

41516

HLF

46.70%

C

0.00%

8.70

21063

ESIO

46.27%

C

0.00%

18.58

943

GGP

46.22%

C

-3.11%

13.44

3393

IMMU

45.56%

F

0.00%

48.62

5439

XRX

45.50%

D

0.00%

79.45

9279

 

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

DNB

-70.25%

C

0.00%

1.58

20468

USG

-59.34%

C

-2.39%

9.49

1227

DY

-57.48%

F

-7.47%

72.33

6199

NVRO

-5.46E-01

D

-1.34%

88.14

2077

PVTL

-49.60%

F

0.00%

96.25

2877

BIIB

-38.48%

C

0.00%

0.40

135883

FANG

-38.09%

D

0.00%

32.81

30417

AAN

-37.72%

C

-0.14%

15.42

969

ETP

-37.36%

C

0.00%

0.79

29547

GSKY

-35.28%

F

-0.83%

44.64

3578

ANF

-28.54%

D

0.00%

52.96

9906

ICPT

-28.52%

F

0.32%

12.25

23544

S

-28.31%

D

0.00%

6.72

8131

ILG

-27.98%

C

0.00%

2.37

182

SYY

-27.00%

A

0.00%

28.46

21241

SBRA

-26.91%

C

0.00%

10.67

704

CMG

-26.91%

C

-0.64%

5.14

784012

RRGB

-26.43%

D

0.00%

97.63

1994

CA

-25.99%

B

0.00%

5.56

6334

SKX

-25.81%

C

0.00%

44.27

9174

STZ

-25.58%

C

0.00%

56.52

1287889

ZUO

-25.24%

D

-3.11%

70.89

8541

INGR

-25.22%

C

0.00%

72.33

1683

COP

-25.17%

C

0.00%

32.81

67340