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Bull Market in Equities Continues With Strength in Large-Cap Tech Names

Aug 24, 2018

Commentary:

Equities started the day in the green and have essentially moved higher all morning and now sit near highs with the S&P 500 up +.6%, the Russell 2000 +.5% and the Nasdaq +.9% on continued strength in big cap tech names. Gold is finally having a very strong day with GLD +1.85% and has appeared to have filled the gap down from early August. GDX, the gold-mining ETF is +3.3% on the move. Energy is faring well, too with WTI Crude oil +1.9%. This is lifting energy ETF’s as well with XOP +1.5% and XLE +1%. Bonds continue to move higher as the yield curve compresses with TLT +.1%. The bond move doesn’t seem to be impacting financials today as XLF is +.4%. We’ve seen put buying as of late in XLF. Current put/call skew is 1 standard deviation above its 1-year mean – a sign of bearish sentiment. Volatilities are lower with the VIX -4% to 11.90, RVX -3% to 14.17, and VXN -3% to 15.26.

 

 

ETF 30d volatility changes

SPY:        -3%

IWM:      -2%

QQQ:      -4%

Directional:

Bullish

PFE 10,000 Sep 43 calls trade (ref. 42.43)

HIG Buyer 4,200 Sep 51.5 calls (ref. 50.18)

LB Seller 21,800 Sep 26 puts (ref. 27.55)

SEAS Buyer 2,500 Sep 28 – 31 call spreads (ref. 27.29)

EXP Seller 3,000 Jan 105 calls to Buy 5,000 Apr 105 calls (rolls out, ref. 95.80)

HTZ 10,100 Oct 24 and 27 calls trade (ref. 19.50)

Bearish

MTZ Buyer 3,000 Oct 42 – 37 puts spreads (ref. 42.55)

JWN Buyer 2,000 Sep 60 – 57.5 1x2 put spreads (ref. 62.00)

 

 

Macro:

Bullish

XLI Seller 5,000 Oct 74 puts (ref. 76.37)

EEM Buyer 20,000 Mar 52 calls (ref. 43.29)

SPY Buyer 12,000 Nov 290 – 295 1x2 call spreads (ref. 287.23)

GLD Buyer 6,000 Oct 129 calls (ref. 114.32)

EEM Seller 35,000 Aug 31st 42.5 puts to Buy 35,000 Aug 31st 43.5 – 44.5 1x2 call spreads (ref. 43.33)

GDX Buyer 10,0001 Sep 28th 20 calls (ref.

Bearish

EEM Seller 22,500 Dec 42 puts to Buy 22,000 Jun 37 puts (rolls out and down, ref. 43.10)

FXI Buyer 15,630 Jan 40 puts (ref. 42.52)

VXX Buyer 7,000 Sep 7th 66 calls (ref. 28.50)

VXX Buyer 10,730 Sep 60 calls (ref. 28.53)

SPY Buyer 31,000 Sep 28th 270 puts to Sell 15,500 Sep 28th 260 puts (ref. 287.09)

 

Financing Trades:

QCOM 10,000 Aug 31st 90 RC trade (ref. 67.19)

VALE 10,000 Nov 13 RC trade (ref. 13.25)

 

 

Upcoming Earnings:

 

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

Average Daily Vega

HRB

8/28/2018

8.2

11.2

-26.3%

B

6070

DSW

8/28/2018

9.5

9.3

2.6%

B

4767

TIF

8/28/2018

6.7

6.7

0.0%

D

25011

BBY

8/28/2018

6.9

9.0

-23.2%

C

71214

HAIN

8/28/2018

8.1

3.4

137.3%

C

5224

BOX

8/28/2018

10.7

7.7

37.9%

D

14745

HPE

8/28/2018

6.1

7.1

-14.8%

D

7339

PVH

8/29/2018

4.8

4.4

8.8%

B

40084

AEO

8/29/2018

8.2

7.5

8.4%

C

10479

CHS

8/29/2018

13.8

10.1

37.0%

C

4593

GES

8/29/2018

12.5

16.6

-24.6%

F

2536

DKS

8/29/2018

9.8

11.4

-14.0%

D

24719

CRM

8/29/2018

4.5

2.4

86.1%

C

205074

ANF

8/30/2018

10.7

14.3

-25.6%

D

11576

LULU

8/30/2018

8.6

11.8

-27.2%

C

102724

ULTA

8/30/2018

6.8

5.5

24.5%

B

58645

CPB

8/30/2018

8.0

6.4

25.2%

C

27435

DLTR

8/30/2018

6.4

7.6

-15.3%

B

23101

DG

8/30/2018

5.2

6.1

-14.7%

A

58470

BURL

8/30/2018

6.1

5.6

8.7%

B

15431

COO

8/30/2018

4.6

3.8

22.8%

C

6283

NTNX

8/30/2018

11.0

8.0

37.6%

D

31405

YEXT

8/30/2018

9.7

8.5

14.5%

D

3387

ZUO

8/30/2018

15.5

19.0

-18.4%

D

10571

CIEN

8/30/2018

7.5

9.4

-20.8%

D

10182

AMBA

8/30/2018

10.3

12.0

-13.9%

F

9579

BIG

8/31/2018

7.8

4.8

64.8%

D

12434

PLAY

9/4/2018

8.2

7.0

18.0%

D

9784

CASY

9/4/2018

4.9

4.2

17.7%

C

5033

HQY

9/4/2018

6.3

5.8

8.8%

C

5001

WDAY

9/4/2018

5.8

4.7

23.4%

C

92363

COUP

9/4/2018

8.5

6.0

41.2%

D

4694

RH

9/5/2018

14.6

21.9

-33.3%

C

32665

OLLI

9/5/2018

6.6

3.1

116.4%

B

11523

AVAV

9/5/2018

10.9

12.5

-12.9%

D

3972

NAV

9/5/2018

7.4

4.5

64.5%

F

3824

MDB

9/5/2018

8.2

5.1

62.4%

C

8848

DOCU

9/5/2018

10.4

3.4

201.4%

D

23923

ZS

9/5/2018

15.0

23.3

-35.7%

D

10641

GME

9/6/2018

10.7

7.5

43.5%

D

22687

FIVE

9/6/2018

7.8

6.9

13.2%

B

18163

FIZZ

9/6/2018

6.6

5.9

13.0%

C

7045

PANW

9/6/2018

7.7

8.9

-13.4%

C

75544

OKTA

9/6/2018

8.9

6.8

31.1%

D

10543

FNSR

9/6/2018

9.4

7.4

26.3%

F

11424

AVGO

9/6/2018

4.3

3.8

12.1%

A

337765

GCO

9/7/2018

8.8

12.6

-30.2%

C

5862

 

Volatility Standouts:

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

NAVI

74.02%

D

-2.20%

24.11

170

EW

72.54%

B

0.22%

14.62

21196

FOLD

72.37%

D

-3.13%

39.53

4642

IMGN

71.18%

F

-1.49%

13.83

999

FL

68.91%

C

1.68%

87.75

55374

EDIT

68.90%

F

-2.54%

4.35

4050

EROS

67.09%

F

0.80%

0.00

1469

XRX

66.76%

D

-1.43%

65.22

7582

PK

66.43%

D

-0.90%

17.39

1347

KN

65.23%

C

0.43%

0.79

240

JNPR

64.46%

D

-1.34%

7.51

8789

CARS

63.00%

D

-0.48%

22.92

3826

GLPI

62.59%

B

-0.63%

8.30

1202

MLM

62.52%

A

-0.83%

0.40

28036

CDK

61.74%

A

7.91%

5.93

4606

IMPV

61.72%

C

-0.38%

8.70

596

ARMK

61.70%

C

-1.15%

43.87

4492

SNV

60.70%

A

-0.52%

4.35

3109

ZAYO

60.55%

D

-0.71%

0.00

13831

NLY

58.70%

C

-10.27%

17.79

4407

VICR

57.25%

F

-20.82%

71.54

3737

BERY

57.07%

A

-3.05%

73.12

5134

SRCL

56.77%

C

0.56%

1.98

2474

DLR

56.38%

D

0.25%

4.35

9674

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

CA

-55.41%

B

-2.20%

5.95

2169

DY

-55.34%

F

0.22%

50.59

6823

EXAS

-43.65%

F

-3.13%

12.25

49006

PVTL

-38.51%

F

-1.49%

63.10

3834

NVRO

-35.84%

D

1.68%

56.52

3336

LPNT

-35.52%

C

-2.54%

4.35

2264

ETP

-31.25%

C

0.80%

1.19

25294

FANG

-29.87%

D

-1.43%

40.71

34377

BIIB

-26.02%

C

-0.90%

5.53

140719

SKX

-24.44%

C

0.43%

46.64

9805

CLDR

-23.36%

F

-1.34%

35.18

1349

PI

-22.85%

D

-0.48%

50.20

675

RRGB

-20.71%

D

-0.63%

8.70

6732

ATHN

-19.75%

C

-0.83%

35.97

28691

SYY

-19.72%

A

7.91%

5.53

29301

ANF

-19.33%

D

-0.38%

52.17

11576

GSKY

-16.39%

F

-1.15%

41.67

2819

ZS

-15.82%

D

-0.52%

78.50

10641

SYF

-15.45%

D

-0.71%

18.97

17066

STZ

-15.36%

C

-10.27%

77.87

1401795

DNB

-14.95%

C

-20.82%

3.95

9466

KMB

-14.73%

D

0.00%

45.45

29817

INGR

-14.28%

C

-3.05%

72.33

1121

RH

-14.17%

C

0.56%

54.55

32665