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Stocks in the green for 4th straight day with volatility muted across the board

Aug 22, 2018

Commentary:

Equities started the day in the red on concerns related to the Manafort and Cohen news late yesterday and how it could impact President Trump. Nevertheless, we have slowly rallied off lows and are in the green overall. Currently, the S&P 500 is up .02%, the Russell 2000 is +0.16%, and the Nasdaq is +0.24%. Bonds continue to make new highs for the month with TLT +0.3%, and the 10-year yield falling to 2.824%. Energy is the leading sector today with WTI Crude oil +3.2% on a larger than expected drawdown in oil inventories. Energy ETF’s XOP and XLE are higher by 1.8% and 1.3% respectively. Volatilities are mostly lower with the VIX -5% to 12.22, RVX -.2% to 14.31, and VXN -2.3% to 15.85.

 

ETF 30d volatility changes

SPY:        -1%

IWM:      +1%

QQQ:      -2%

Directional:

Bullish

MLCO Buyer 3,000 Oct 26 calls (ref. 23.67)

QCOM Buyer 5,000 Sep 67.5 – 70 1x2 call spreads (ref. 66.56)

SMCI Seller 3,200 Sep 15 puts (ref. 15.43)

BABA Buyer 20,000 Sep 190 calls (Earnings 8/23, ref. 176.69)

FCAU 7,500 Sep 18 and Jan 19 (ref. 16.46)

Bearish

DF Seller 22,000 Dec 7 puts to Buy 25,000 Mar 6 puts (rolls out and down, ref. 7.88)

TGT Seller 8,100 Sep 95 calls (ref. 88.07)

WMT 99934 Sep 82.5 puts trade (ref. 96.34)

RSX Buyer 4,000 Oct 20 puts (ref. 19.80)

 

Macro:

Bullish

EWZ Buyer 10,000 Nov 35 – 38 call spreads (ref. 31.95)

GDXJ 6,918 Feb 36 calls trade (ref. 28.03)

EEM Seller 23,000 Dec 40 puts to Buy 23,000 Dec 44 – 47 call spreads (ref. 43.13)

Bearish

FXI Seller 20,000 Sep 46 calls (ref. 42.74)

VIX 22,500 Sep 30 calls trade (ref. 14.43)

XLU Seller 10,000 Dec 56 calls (ref. 53.70)

 

 

Financing Trades:

QCOM 38,000 Aug 31st 90 RC trade (ref. 66.49)

XBI 15,000 Sep 14th 93 RC trade (ref. 96.34)

 

Financing Trades:

QCOM 38,000 Aug 31st 90 RC trade (ref. 66.49)

XBI 15,000 Sep 14th 93 RC trade (ref. 96.34)

 

 

Upcoming Earnings:

 

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

Average Daily Vega

LB

8/22/2018

6.6

5.7

16.1%

F

35410

WSM

8/22/2018

8.1

4.3

87.0%

C

21690

ZAYO

8/22/2018

5.1

3.6

43.5%

D

8831

PLCE

8/23/2018

7.0

7.3

-3.7%

D

23983

GPS

8/23/2018

7.0

7.1

-1.6%

F

27746

ROST

8/23/2018

6.3

6.2

1.6%

C

37746

HRL

8/23/2018

4.7

3.6

32.1%

B

6155

SAFM

8/23/2018

5.3

4.0

32.7%

D

6955

IMMU

8/23/2018

10.1

7.4

37.0%

F

6127

VEEV

8/23/2018

6.4

7.5

-14.2%

B

15455

ADSK

8/23/2018

7.0

8.2

-14.9%

F

58238

INTU

8/23/2018

5.0

3.2

57.0%

B

29405

SPLK

8/23/2018

7.4

7.6

-3.0%

C

32554

VMW

8/23/2018

5.5

5.2

5.5%

C

32263

HPQ

8/23/2018

4.5

4.6

-0.3%

B

17882

FL

8/24/2018

11.9

16.4

-27.3%

C

27717

HIBB

8/24/2018

13.3

8.0

67.7%

C

7570

UBNT

8/24/2018

10.3

10.2

0.7%

B

15345

HRB

8/28/2018

8.1

11.2

-27.1%

B

8457

DSW

8/28/2018

9.4

9.2

2.4%

B

4481

TIF

8/28/2018

6.9

6.7

3.9%

D

31272

BBY

8/28/2018

7.5

9.0

-16.9%

C

56673

HAIN

8/28/2018

8.1

3.4

138.4%

C

6167

OLLI

8/28/2018

6.0

3.1

95.2%

B

10341

BOX

8/28/2018

10.5

7.7

35.7%

D

13518

HPE

8/28/2018

5.6

7.1

-21.8%

D

5431

PVH

8/29/2018

4.5

4.4

0.6%

B

37725

AEO

8/29/2018

8.8

7.5

16.8%

C

9882

CHS

8/29/2018

13.4

10.1

33.6%

C

4409

DKS

8/29/2018

9.4

11.4

-17.3%

D

19866

FIVE

8/29/2018

7.9

6.9

14.7%

B

13696

CRM

8/29/2018

4.4

2.4

80.9%

C

205829

ANF

8/30/2018

10.9

14.3

-23.9%

D

10892

LULU

8/30/2018

8.9

11.8

-24.4%

C

95509

ULTA

8/30/2018

6.8

5.5

24.6%

B

53238

MIK

8/30/2018

9.3

8.2

12.9%

D

1781

CPB

8/30/2018

8.4

6.4

31.4%

C

26645

DLTR

8/30/2018

6.5

7.6

-14.2%

B

20729

DG

8/30/2018

5.3

6.1

-13.7%

A

30364

BURL

8/30/2018

6.3

5.6

11.3%

B

20806

COO

8/30/2018

4.5

3.8

21.1%

C

3973

NTNX

8/30/2018

10.8

8.0

35.1%

D

28682

ZUO

8/30/2018

13.8

19.0

-27.5%

D

13431

CIEN

8/30/2018

7.6

9.4

-19.9%

D

9979

AMBA

8/30/2018

10.3

12.0

-14.5%

F

9416

 

 

Volatility Standouts:

 

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

WU

74.86%

A

0.58%

7.51

1355

CLVS

74.47%

D

0.40%

99.60

11608

COMM

72.28%

D

-0.83%

0.79

1514

PCG

70.02%

A

2.10%

82.61

49885

FDP

68.96%

D

0.60%

20.16

650

SGMO

68.28%

F

1.76%

5.93

9064

EXTR

68.14%

F

1.37%

91.70

3699

MD

67.69%

B

0.11%

22.13

1600

PX

67.03%

C

-0.53%

90.51

37017

KN

66.88%

C

0.33%

3.56

220

SABR

66.32%

C

-0.17%

2.37

180

NAVI

65.98%

D

-0.24%

0.00

176

IMGN

65.80%

F

-8.99%

15.81

1081

GDEN

63.71%

C

0.59%

35.18

1668

SGEN

63.70%

F

0.76%

5.53

3098

XRX

63.61%

D

-0.03%

68.38

10238

MLM

62.90%

A

-0.02%

0.40

35935

NLY

61.41%

C

-6.70%

0.00

4340

DVA

61.23%

C

0.57%

3.16

18311

BGFV

60.59%

F

0.24%

7.51

81

AIZ

60.14%

C

-0.75%

72.73

14332

JNPR

59.65%

D

-0.44%

5.53

9099

NCS

58.23%

B

6.21%

98.81

373

MAC

58.15%

F

-4.07%

2.77

5316

 

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

CA

-61.61%

B

0.58%

4.76

2706

DY

-56.05%

F

0.40%

49.01

7817

NVRO

-47.15%

D

-0.83%

77.87

1892

PVTL

-37.99%

F

2.10%

76.83

3882

FANG

-32.96%

D

0.60%

1.98

32252

DNB

-32.17%

C

1.76%

2.77

20425

ETP

-31.85%

C

1.37%

1.19

27646

LPNT

-28.24%

C

0.11%

5.14

1797

BIIB

-27.18%

C

-0.53%

1.58

114386

SKX

-25.33%

C

0.33%

45.06

10182

CLDR

-22.59%

F

-0.17%

31.62

1557

ANF

-20.93%

D

-0.24%

52.57

10892

BPL

-19.69%

D

-8.99%

49.01

7975

GSKY

-18.16%

F

0.59%

27.59

3276

SYY

-18.10%

A

0.76%

8.30

22368

PI

-1.80E-01

D

-0.03%

63.24

738

STZ

-17.89%

C

-0.02%

66.01

1398420

ATHN

-16.81%

C

-6.70%

34.78

30517

INGR

-15.79%

C

0.57%

74.70

1391

RRGB

-15.51%

D

0.24%

91.30

6127

SYF

-15.44%

D

-0.75%

43.08

15607

RH

-14.76%

C

-0.44%

45.06

32749

JELD

-14.36%

B

6.21%

76.28

2214

CMG

-1.43E-01

C

-4.07%

5.93

752996