Equities Continue Higher
Aug 21, 2018
Commentary:
Equities are in the green today with leadership from Energy, Consumer Discretionary, and Housing sectors. Currently the S&P 500 is +.5%, the Russell 2000 is +1.3%, and the Nasdaq is +.82%. WTI Crude oil is +1%, which is taking energy stocks higher as well with XOP +2.3% and XLE +1.2%. Bonds are lower with TLT -.5%. Gold is little change. Volatilities are moving lower with the VIX -2% to 12.24, RVX unchanged at 14.64, and VXN -4% to 15.65.
ETF 30d volatility changes
SPY: -2%
IWM: -1%
QQQ: -3%
Directional:
Bullish
TEVA Seller 5,000 Sep 25 calls to Buy 5,000 Sep 26.5 calls (rolls up, ref. 25.84)
DWDP Buyer 8,222 Oct 72.5 calls (ref. 69.16)
PAYX 4,000 Oct 77.5 calls trade (ref. 72.64)
RIG Buyer 12,500 Jan 14 calls (ref. 11.43)
SGMS Buyer 18,815 Jan20 40 calls (ref. 31.00)
M Buyer 10,000 Sep 40 – 42 1x2 call spreads (ref. 37.83)
SNAP Buyer 5,000 Jan20 13 calls (ref. 11.47)
SNAP Seller 11,504 Oct 11 puts (ref. 11.46)
TELL Buyer 4,000 Apr 12.5 calls (ref. 7.81)
Bearish
UNIT Buyer 10,000 Sep 17.5 puts (ref. 20.80)
F Buyer 8,7000 Mar 9 puts (ref. 9.80)8/23
ROST Seller 7,000 Sep 100 calls to Buy 7,000 Sep 92.5 – 90 put spreads (Earnings 8/23, ref. 92.49)
CSCO Seller 15,000 Jun 50 calls (ref. 46.37)
TAL 8,200 Sep 30 and 25 puts trade (ref. 30.66)
Macro:
Bullish
FXI Seller 23,500 Sep 40 puts to Buy 23,500 Sep 43 – 45 1x2 call spreads (ref. 42.28)
FEZ Seller 19,787 Nov 40 puts (appears to be closing, ref. 38.25)
Bearish
IWM Buyer 7,500 Oct 155 – 145 puts spreads (ref. 170.37)
VIX Buyer 50,000 Oct 30 calls (ref. 14.80)
Financing Trades:
QCOM 14,000 Aug 31st 90 RC trade (ref. 66.37)
Upcoming Earnings:
|
Underlying
|
Earnings Date
|
Imp Move
|
Historical Move
|
Cheap vs Expensive
|
Quantamize Rating
|
Average Daily Vega
|
|
URBN
|
8/21/2018
|
8.2
|
6.5
|
25.8%
|
B
|
25591
|
|
JKHY
|
8/21/2018
|
3.9
|
1.9
|
111.9%
|
A
|
4890
|
|
PSTG
|
8/21/2018
|
12.1
|
8.8
|
36.5%
|
D
|
10539
|
|
LB
|
8/22/2018
|
6.0
|
5.7
|
5.7%
|
F
|
36938
|
|
LOW
|
8/22/2018
|
5.0
|
5.3
|
-5.2%
|
C
|
95036
|
|
WSM
|
8/22/2018
|
6.3
|
4.3
|
45.7%
|
C
|
19748
|
|
TGT
|
8/22/2018
|
5.6
|
6.0
|
-7.1%
|
C
|
134168
|
|
ZAYO
|
8/22/2018
|
4.6
|
3.6
|
29.4%
|
D
|
8375
|
|
ADI
|
8/22/2018
|
3.4
|
2.6
|
28.2%
|
B
|
23294
|
|
PLCE
|
8/23/2018
|
7.1
|
7.3
|
-2.5%
|
D
|
22817
|
|
GPS
|
8/23/2018
|
7.1
|
7.1
|
-0.8%
|
F
|
27939
|
|
ROST
|
8/23/2018
|
5.7
|
6.2
|
-7.8%
|
C
|
13472
|
|
HRL
|
8/23/2018
|
4.5
|
3.6
|
24.6%
|
B
|
4829
|
|
SAFM
|
8/23/2018
|
5.6
|
4.0
|
39.6%
|
D
|
5711
|
|
IMMU
|
8/23/2018
|
8.6
|
7.4
|
16.0%
|
F
|
5741
|
|
VEEV
|
8/23/2018
|
5.5
|
7.5
|
-26.9%
|
B
|
13510
|
|
ADSK
|
8/23/2018
|
6.9
|
8.2
|
-15.8%
|
F
|
55368
|
|
INTU
|
8/23/2018
|
4.5
|
3.2
|
40.0%
|
B
|
26186
|
|
SPLK
|
8/23/2018
|
7.1
|
7.6
|
-6.8%
|
C
|
31220
|
|
VMW
|
8/23/2018
|
5.4
|
5.2
|
3.8%
|
C
|
35058
|
|
HPQ
|
8/23/2018
|
4.4
|
4.6
|
-2.5%
|
B
|
16780
|
|
FL
|
8/24/2018
|
11.2
|
16.4
|
-31.4%
|
C
|
24058
|
|
BIG
|
8/24/2018
|
7.7
|
4.8
|
62.3%
|
D
|
17656
|
|
UBNT
|
8/24/2018
|
9.9
|
10.2
|
-3.4%
|
B
|
11246
|
|
HRB
|
8/28/2018
|
7.6
|
11.2
|
-32.1%
|
B
|
8438
|
|
DSW
|
8/28/2018
|
9.2
|
9.2
|
0.0%
|
B
|
3756
|
|
TIF
|
8/28/2018
|
6.6
|
6.7
|
-0.9%
|
D
|
32684
|
|
BBY
|
8/28/2018
|
7.1
|
9.0
|
-20.9%
|
C
|
48034
|
|
HAIN
|
8/28/2018
|
7.5
|
3.4
|
118.9%
|
C
|
5656
|
|
OLLI
|
8/28/2018
|
5.1
|
3.1
|
67.8%
|
B
|
10206
|
|
BOX
|
8/28/2018
|
10.3
|
7.7
|
33.1%
|
D
|
14367
|
|
HPE
|
8/28/2018
|
5.3
|
7.1
|
-25.4%
|
D
|
4866
|
|
PVH
|
8/29/2018
|
3.7
|
4.4
|
-16.9%
|
B
|
41880
|
|
AEO
|
8/29/2018
|
7.2
|
7.5
|
-4.3%
|
C
|
9001
|
|
CHS
|
8/29/2018
|
13.1
|
10.1
|
30.0%
|
C
|
4528
|
|
DKS
|
8/29/2018
|
8.9
|
11.4
|
-21.7%
|
D
|
19245
|
|
FIVE
|
8/29/2018
|
7.9
|
6.9
|
14.0%
|
B
|
15523
|
|
CRM
|
8/29/2018
|
4.0
|
2.4
|
65.8%
|
C
|
216152
|
|
ANF
|
8/30/2018
|
9.8
|
14.3
|
-31.4%
|
D
|
10019
|
|
LULU
|
8/30/2018
|
8.8
|
11.8
|
-25.3%
|
C
|
87272
|
|
ULTA
|
8/30/2018
|
6.5
|
5.5
|
19.2%
|
B
|
47033
|
|
CPB
|
8/30/2018
|
8.3
|
6.4
|
31.0%
|
C
|
32021
|
|
DLTR
|
8/30/2018
|
6.2
|
7.6
|
-18.3%
|
B
|
22315
|
|
DG
|
8/30/2018
|
5.0
|
6.1
|
-18.0%
|
A
|
30236
|
|
BURL
|
8/30/2018
|
6.1
|
5.6
|
8.9%
|
B
|
17485
|
|
COO
|
8/30/2018
|
4.0
|
3.8
|
7.6%
|
C
|
4557
|
|
NTNX
|
8/30/2018
|
8.9
|
8.0
|
12.4%
|
D
|
27241
|
|
ZUO
|
8/30/2018
|
11.7
|
19.0
|
-38.3%
|
D
|
13006
|
|
CIEN
|
8/30/2018
|
7.5
|
9.4
|
-20.4%
|
D
|
7389
|
|
AMBA
|
8/30/2018
|
9.9
|
12.0
|
-18.0%
|
F
|
9219
|
Volatility Standouts:
|
Underlying
|
2M Volatility vs Forecast
|
Q Rating
|
2M IV Change
|
IV 2M Percentile
|
Average Daily Vega
|
|
ARCC
|
5.34E-01
|
F
|
0.52%
|
2.78
|
2422
|
|
FOLD
|
51.04%
|
D
|
-1.18%
|
43.25
|
3890
|
|
CTXS
|
50.42%
|
A
|
-2.92%
|
0.40
|
17264
|
|
CLVS
|
46.14%
|
D
|
-0.45%
|
99.60
|
13146
|
|
COMM
|
45.34%
|
D
|
-1.52%
|
0.00
|
3378
|
|
COL
|
44.44%
|
B
|
-2.72%
|
81.75
|
96113
|
|
KN
|
43.79%
|
C
|
-0.53%
|
2.38
|
216
|
|
PCG
|
4.33E-01
|
A
|
0.01%
|
84.52
|
48548
|
|
MD
|
42.52%
|
B
|
-2.11%
|
29.76
|
1400
|
|
NDLS
|
40.95%
|
B
|
-0.93%
|
9.92
|
415
|
|
WU
|
40.45%
|
A
|
-1.15%
|
13.49
|
1384
|
|
AIZ
|
40.01%
|
C
|
0.02%
|
73.81
|
11722
|
|
MAT
|
39.70%
|
D
|
3.93%
|
15.87
|
4242
|
|
XRX
|
39.39%
|
D
|
-3.27%
|
75.79
|
10094
|
|
BGFV
|
37.50%
|
F
|
-2.05%
|
34.52
|
88
|
|
BGCP
|
37.19%
|
F
|
-2.07%
|
37.30
|
2186
|
|
FDP
|
36.91%
|
D
|
-1.46%
|
19.05
|
628
|
|
JKHY
|
36.56%
|
A
|
-2.54%
|
70.24
|
4890
|
|
EXTR
|
36.53%
|
F
|
-0.67%
|
28.97
|
2459
|
|
PF
|
35.89%
|
B
|
-3.63%
|
11.11
|
111
|
|
IMGN
|
34.35%
|
F
|
3.22%
|
13.89
|
1029
|
|
CPB
|
34.34%
|
C
|
-4.76%
|
95.24
|
32021
|
|
SABR
|
33.74%
|
C
|
0.84%
|
0.79
|
203
|
|
VICR
|
32.98%
|
F
|
-1.10%
|
72.62
|
4835
|
|
Underlying
|
2M Volatility vs Forecast
|
Q Rating
|
2M IV Change
|
IV 2M Percentile
|
Average Daily Vega
|
|
CA
|
-65.86%
|
B
|
0.52%
|
7.97
|
4043
|
|
DNB
|
-65.37%
|
C
|
-1.18%
|
0.40
|
22013
|
|
DY
|
-59.58%
|
F
|
-2.92%
|
43.65
|
6458
|
|
NVRO
|
-5.14E-01
|
D
|
-0.45%
|
76.98
|
1892
|
|
EVHC
|
-46.70%
|
B
|
-1.52%
|
19.44
|
3487
|
|
PVTL
|
-41.03%
|
F
|
-2.72%
|
44.44
|
3366
|
|
ETP
|
-40.89%
|
C
|
-0.53%
|
0.40
|
28046
|
|
LPNT
|
-40.71%
|
C
|
0.01%
|
6.75
|
1687
|
|
FANG
|
-40.22%
|
D
|
-2.11%
|
30.95
|
31326
|
|
TRCO
|
-38.01%
|
C
|
-0.93%
|
43.25
|
20518
|
|
BIIB
|
-36.08%
|
C
|
-1.15%
|
1.19
|
133511
|
|
GSKY
|
-29.40%
|
F
|
0.02%
|
31.58
|
3709
|
|
SKX
|
-27.65%
|
C
|
3.93%
|
42.86
|
10750
|
|
CLDR
|
-27.59%
|
F
|
-3.27%
|
37.70
|
1541
|
|
CMG
|
-27.12%
|
C
|
-2.05%
|
4.37
|
737848
|
|
ANF
|
-26.98%
|
D
|
-2.07%
|
50.79
|
10019
|
|
BPL
|
-26.56%
|
D
|
-1.46%
|
61.51
|
10514
|
|
COP
|
-26.50%
|
C
|
-2.54%
|
20.24
|
73093
|
|
SYY
|
-26.08%
|
A
|
-0.67%
|
7.94
|
21602
|
|
EQM
|
-26.03%
|
D
|
-3.63%
|
47.22
|
3942
|
|
STZ
|
-25.32%
|
C
|
3.22%
|
57.94
|
1406694
|
|
PI
|
-2.48E-01
|
D
|
-4.76%
|
64.68
|
704
|
|
AAN
|
-24.68%
|
C
|
0.84%
|
0.79
|
1232
|
|
ANDV
|
-23.59%
|
C
|
-1.10%
|
13.89
|
9965
|