Volatility Picking Up But Overall Levels Still Muted With Major US Stock Indices Little Changed
Aug 23, 2018
Commentary:
Equities started the day slightly in the green but have since leveled off and are mixed overall with leadership in tech. Currently, the S&P is -0.05%, the Russell is -0.03%, and the Nasdaq is +0.1% with particular strength in the FAANG names. Energy is weak today with WTI crude -0.34%. Energy ETFs are lower with XOP -0.22% and XLE -0.43%. Bonds are modestly higher. Gold is down with GLD -0.7% and GDX -3%. Volatilities are little changed with the VIX -0.25% to 12.22, RVX +0.5% to 14.41, and VXN +1% to 15.82.
ETF 30d volatility changes
SPY:Â Â -1%
IWM:Â +1%
QQQ:Â -2%
Directional:
Bullish
HPE Buyer 7,000 Aug 31st 5 calls (Earnings 8/28, ref. 16.00)
FDC Seller 5,510 Dec 25 calls to Buy 5,510 (ref. 25.10)
HTZ Buyer 6,000 Oct 27 calls (ref. 20.35)
JD Buyer 10,000 Jan 31 calls (ref. 32.26)
FLEX Seller 60,000 Sep 14 – 13.5 puts spreads (ref 14.01)
FEYE 8,600 Sep 7th 15 and 15.5 calls trade (ref. 15.09)
EDU Seller 11,000 No 80 calls to Buy 11,000 Dec 84.57 (rolls out and up, ref. 78.16)
DKS Buyer 5,500 Aug 24th 38 calls (ref. 38.25)
Bearish
SBUX Buyer 4,700 Nov 52.5 – 45 put spreads (ref. 52.90)
MYL Seller 6,700 Jan 40 – 50 call spreads to Buy 6,700 Jan 35 put spreads (ref. 37.94)
SGMS Seller 5,000 Jan 55 calls (ref. 30.95)
MS Seller 3,000 Jan20 65 calls to Buy 3,000 Jan20 47 puts (ref. 48.35)
Macro:
Bullish
HYG Buyer 25,000 Oct 82 puts to Sell 25,000 Nov 83 puts (rolls out and up, ref. 86.30)
Bearish
SPY Buyer 125,000 Oct 280 – 272 puts spreads (ref. 286.05)
SPY Buyer 90,000 Oct 278 – 269 puts spreads (ref. 285.65)
VXX Buyer 10,000 Aug 31st 26 – 27 – 28 put flies (ref. 28.63)
EWZ Seller 10,000 Nov 40 calls to Buy 10,000 Nov 29 puts (ref. 32.12)
HYG Seller 10,000 Sep 86 puts to Buy 10,000 Oct 86 puts (rolls out, ref. 86.26)
Financing Trades:
QCOM 11,000 Aug 31st 90 RC trade (ref. 67.17)
MU 10,000 Oct 50 RC trade (ref. 49.55)
GGP 25,000 Sep 25 RC trade (ref. 21.62)
Â
Upcoming Earnings:
|
Underlying
|
Earnings Date
|
Imp Move
|
Historical Move
|
Cheap vs Expensive
|
Quantamize Rating
|
Average Daily Vega
|
|
GPS
|
8/23/2018
|
6.8
|
7.1
|
-4.7%
|
F
|
29844
|
|
ROST
|
8/23/2018
|
6.2
|
6.2
|
1.1%
|
C
|
62426
|
|
IMMU
|
8/23/2018
|
9.5
|
7.4
|
28.5%
|
F
|
6532
|
|
VEEV
|
8/23/2018
|
7.0
|
7.5
|
-6.2%
|
B
|
23520
|
|
ADSK
|
8/23/2018
|
6.7
|
8.2
|
-17.8%
|
F
|
67220
|
|
INTU
|
8/23/2018
|
5.0
|
3.2
|
55.0%
|
B
|
29411
|
|
SPLK
|
8/23/2018
|
7.0
|
7.6
|
-8.1%
|
C
|
39492
|
|
VMW
|
8/23/2018
|
5.3
|
5.2
|
2.7%
|
C
|
39751
|
|
HPQ
|
8/23/2018
|
4.6
|
4.6
|
0.0%
|
B
|
19371
|
|
FL
|
8/24/2018
|
12.8
|
16.4
|
-21.8%
|
C
|
34892
|
|
HIBB
|
8/24/2018
|
13.3
|
8.0
|
67.2%
|
C
|
8543
|
|
UBNT
|
8/24/2018
|
11.0
|
10.2
|
7.3%
|
B
|
13483
|
|
HRB
|
8/28/2018
|
7.9
|
11.2
|
-28.9%
|
B
|
5567
|
|
DSW
|
8/28/2018
|
9.7
|
9.2
|
5.0%
|
B
|
4694
|
|
TIF
|
8/28/2018
|
6.8
|
6.7
|
2.3%
|
D
|
28864
|
|
BBY
|
8/28/2018
|
6.8
|
9.0
|
-24.2%
|
C
|
70627
|
|
HAIN
|
8/28/2018
|
8.4
|
3.4
|
144.9%
|
C
|
5823
|
|
BOX
|
8/28/2018
|
10.7
|
7.7
|
38.7%
|
D
|
14900
|
|
HPE
|
8/28/2018
|
6.0
|
7.1
|
-14.9%
|
D
|
5217
|
|
PVH
|
8/29/2018
|
4.6
|
4.4
|
3.6%
|
B
|
39570
|
|
AEO
|
8/29/2018
|
8.1
|
7.5
|
7.8%
|
C
|
10619
|
|
CHS
|
8/29/2018
|
13.8
|
10.1
|
37.1%
|
C
|
4381
|
|
DKS
|
8/29/2018
|
9.3
|
11.4
|
-18.5%
|
D
|
22972
|
|
FIVE
|
8/29/2018
|
7.9
|
6.9
|
14.9%
|
B
|
16720
|
|
CRM
|
8/29/2018
|
4.6
|
2.4
|
91.4%
|
C
|
206547
|
|
ANF
|
8/30/2018
|
10.9
|
14.3
|
-24.0%
|
D
|
10835
|
|
LULU
|
8/30/2018
|
8.8
|
11.8
|
-25.6%
|
C
|
97577
|
|
ULTA
|
8/30/2018
|
6.9
|
5.5
|
25.1%
|
B
|
62178
|
|
CPB
|
8/30/2018
|
8.0
|
6.4
|
25.8%
|
C
|
29704
|
|
DLTR
|
8/30/2018
|
6.5
|
7.6
|
-14.6%
|
B
|
22818
|
|
DG
|
8/30/2018
|
5.2
|
6.1
|
-15.0%
|
A
|
54540
|
|
BURL
|
8/30/2018
|
6.2
|
5.6
|
11.0%
|
B
|
21111
|
|
COO
|
8/30/2018
|
4.3
|
3.8
|
15.6%
|
C
|
6037
|
|
NTNX
|
8/30/2018
|
10.3
|
8.0
|
29.6%
|
D
|
29928
|
|
YEXT
|
8/30/2018
|
7.2
|
8.5
|
-14.4%
|
D
|
3233
|
|
ZUO
|
8/30/2018
|
13.6
|
19.0
|
-28.4%
|
D
|
11776
|
|
CIEN
|
8/30/2018
|
7.4
|
9.4
|
-21.4%
|
D
|
10192
|
|
AMBA
|
8/30/2018
|
10.2
|
12.0
|
-15.3%
|
F
|
8659
|
|
BIG
|
8/31/2018
|
7.7
|
4.8
|
62.5%
|
D
|
11045
|
Volatility Standouts:Â
|
Underlying
|
2M Volatility vs Forecast
|
Q Rating
|
2M IV Change
|
IV 2M Percentile
|
Average Daily Vega
|
|
ZAYO
|
73.16%
|
D
|
-0.08%
|
25.30
|
9881
|
|
EXTR
|
73.09%
|
F
|
0.17%
|
99.60
|
2746
|
|
MLM
|
66.20%
|
A
|
-13.18%
|
0.40
|
30690
|
|
SABR
|
66.05%
|
C
|
-1.04%
|
0.79
|
242
|
|
EROS
|
65.53%
|
F
|
0.33%
|
23.72
|
1319
|
|
IMGN
|
64.71%
|
F
|
0.03%
|
16.21
|
1056
|
|
DVA
|
64.48%
|
C
|
-2.42%
|
3.95
|
18653
|
|
BGFV
|
6.24E-01
|
F
|
0.18%
|
79.05
|
90
|
|
XRX
|
62.14%
|
D
|
0.23%
|
72.33
|
7635
|
|
EW
|
61.94%
|
B
|
-0.07%
|
9.88
|
20008
|
|
KN
|
61.69%
|
C
|
-0.62%
|
1.19
|
233
|
|
STAY
|
61.28%
|
A
|
0.32%
|
4.74
|
98
|
|
JNPR
|
60.94%
|
D
|
8.51%
|
2.37
|
9074
|
|
NCS
|
60.74%
|
B
|
3.10%
|
99.21
|
362
|
|
STWD
|
59.68%
|
D
|
0.26%
|
31.62
|
1483
|
|
SGMO
|
58.41%
|
F
|
0.09%
|
10.67
|
9329
|
|
CDK
|
58.37%
|
A
|
-1.17%
|
3.56
|
4243
|
|
SNV
|
57.38%
|
A
|
-4.04%
|
3.56
|
2772
|
|
NAVI
|
56.92%
|
D
|
-0.65%
|
21.34
|
177
|
|
VICR
|
56.83%
|
F
|
-0.46%
|
71.94
|
3818
|
|
SGEN
|
56.82%
|
F
|
-2.73%
|
1.58
|
3092
|
|
GLPI
|
56.45%
|
B
|
-1.41%
|
4.35
|
1129
|
|
QCOM
|
56.09%
|
C
|
-5.25%
|
13.04
|
258217
|
|
CARS
|
56.09%
|
D
|
0.39%
|
21.74
|
2820
|
Â
|
Underlying
|
2M Volatility vs Forecast
|
Q Rating
|
2M IV Change
|
IV 2M Percentile
|
Average Daily Vega
|
|
CA
|
-58.71%
|
B
|
-0.08%
|
3.97
|
2717
|
|
DY
|
-56.43%
|
F
|
0.17%
|
49.01
|
6952
|
|
NVRO
|
-45.59%
|
D
|
-13.18%
|
63.64
|
3425
|
|
EXAS
|
-44.39%
|
F
|
-1.04%
|
1.19
|
32758
|
|
PVTL
|
-39.16%
|
F
|
0.33%
|
56.63
|
3879
|
|
ETP
|
-32.21%
|
C
|
0.03%
|
0.40
|
27629
|
|
FANG
|
-31.74%
|
D
|
-2.42%
|
38.34
|
34138
|
|
SKX
|
-27.25%
|
C
|
0.18%
|
41.11
|
9874
|
|
BIIB
|
-26.12%
|
C
|
0.23%
|
2.77
|
97338
|
|
CLDR
|
-24.71%
|
F
|
-0.07%
|
29.25
|
1470
|
|
PI
|
-21.49%
|
D
|
-0.62%
|
59.29
|
647
|
|
SYY
|
-21.26%
|
A
|
0.32%
|
5.53
|
23256
|
|
ANF
|
-21.24%
|
D
|
8.51%
|
56.52
|
10835
|
|
RRGB
|
-20.35%
|
D
|
3.10%
|
7.51
|
6793
|
|
LPNT
|
-20.19%
|
C
|
0.26%
|
7.51
|
2015
|
|
STZ
|
-19.09%
|
C
|
0.09%
|
69.57
|
1389734
|
|
ZOES
|
-17.72%
|
F
|
-1.17%
|
100.00
|
2500
|
|
GSKY
|
-17.68%
|
F
|
-4.04%
|
33.90
|
2943
|
|
BPL
|
-16.50%
|
D
|
-0.65%
|
48.62
|
7761
|
|
ATHN
|
-1.64E-01
|
C
|
-0.46%
|
37.15
|
29852
|
|
ZS
|
-15.30%
|
D
|
-2.73%
|
69.81
|
9761
|
|
KMB
|
-14.58%
|
D
|
-1.41%
|
46.25
|
29831
|
|
RH
|
-14.40%
|
C
|
-5.25%
|
52.57
|
35446
|
|
CMG
|
-14.28%
|
C
|
0.39%
|
6.32
|
722705
|