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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:    -1%
IWM: +1%
QQQ:  -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)
 

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: 

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

 

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