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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