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Equities Move Higher on US-Mexico Trade Agreement

Aug 27, 2018

Commentary: Equities started the in the green and have since climbed higher on news of US-Mexico trade agreement. Currently, the S&P is +.79%, the Russell is +.38%, and the Nasdaq is +.96% with particular strength in the FAANG names. Energy is muted today with WTI crude -.07%. Energy ETFs are mildly stronger lower with XOP +.24% and XLE +.63%. Bonds are weaker with the 10-year ticking higher to 2.85. Gold is up with GLD +.4% and GDX +1.5%. Volatilities are surprisingly ticking up with the VIX +2% to 12.22, RVX +4% to 14.43, and VXN +2% to 15.52.

 

ETF 30d volatility changes

SPY:        -3%

IWM:      -1%

QQQ:      -3%

 

Directional:

Bullish

PYPL Buyer 3,938 Oct 100 calls (ref. 90.40)

AAL Seller 111,111 Oct 39 puts tied to stock (ref. 39.65)

F Buyer 10,100 Aug 31st 10 calls (ref. 9.94)

SQ Seller 18,600 Dec 55 calls to Buy 18,600 Mar 70 calls (rolls up and out, ref. 78.02)             

TWTR 9,900 Aug 31st 35 and 36 calls trade (ref. 34.95)

GS 12,200 Aug 31st 242.5 and 245 calls trade (ref. 242.11)

TTPH 4,200 Nov 5 calls trade (ref. 3.20)

LNG Seller 13,000 Sep 67.5 – 75 call spreads to Buy 13,000 Dec 70 – 80 call spreads (ref. 66.50)

 

Bearish

AEO Seller 5,000 Sep 30 calls (Earnings 8/29, ref. 27.85)

F Buyer 7,950 Mar 9 puts (ref. 9.90)

 

 

Macro:

Bullish

EEM Seller 118,000 Sep 45.5 calls to Buy 118,000 Dec 46 – 47.5 call spreads (rolls up and out, ref. 44.01)

GLD Buyer 4,700 Jan 120 – 128 call spreads (ref. 114.59)

FXI Buyer 10,000 Sep 46 – 47 call spreads (ref. 43.57)

 

Bearish

SPY Buyer 15,500 Oct 5th 272.5 – 262.5 – 252.5 put flies (ref. 289.31)

SPY Buyer 20,000 Mar 255 puts (ref. 289.30)

IWM Buyer 10,000 Dec 170 – 160 puts spreads (ref. 172.33)

VXX Seller 9,500 Oct 37 calls to Buy 9,500 Nov 40 calls (rolls out and up, ref. 28.73)

 

Financing Trades:

EEM 20,500 Sep 43 RC trade (ref. 44.08)

EWZ 6,500 Sep 33 RC trade (ref. 32.61)

EWJ 5,000 Sep 59 RC trade (ref. 58.40)

 

 

 

Upcoming Earnings:

 

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

Average Daily Vega

HRB

8/28/2018

8.1

11.2

-27.3%

B

6054

DSW

8/28/2018

9.7

9.3

4.3%

B

4855

TIF

8/28/2018

8.1

7.0

16.1%

D

34309

BBY

8/28/2018

7.0

9.0

-22.3%

C

73424

HAIN

8/28/2018

8.5

3.4

148.9%

C

5011

BOX

8/28/2018

10.9

7.7

41.1%

D

15933

HPE

8/28/2018

5.8

7.1

-18.7%

D

7530

PVH

8/29/2018

5.3

4.3

23.6%

B

42931

AEO

8/29/2018

8.8

7.5

17.0%

C

10663

CHS

8/29/2018

13.4

10.3

30.3%

C

4919

GES

8/29/2018

12.7

17.0

-25.2%

F

2609

DKS

8/29/2018

9.6

11.4

-15.5%

D

26890

KLXI

8/29/2018

5.7

4.1

38.9%

A

3498

CRM

8/29/2018

4.4

2.4

79.7%

C

246985

ANF

8/30/2018

11.0

14.3

-23.2%

D

9872

LULU

8/30/2018

8.3

11.8

-29.5%

C

109175

ULTA

8/30/2018

6.3

5.3

18.5%

B

64819

CPB

8/30/2018

7.6

6.4

19.0%

C

31371

DLTR

8/30/2018

6.4

7.6

-15.1%

B

23661

DG

8/30/2018

5.6

6.1

-7.9%

A

62021

BURL

8/30/2018

6.1

5.5

11.0%

B

14688

COO

8/30/2018

4.4

3.8

17.8%

C

6602

NTNX

8/30/2018

10.9

8.0

36.7%

D

32238

YEXT

8/30/2018

12.7

8.5

49.9%

D

3269

ZUO

8/30/2018

16.8

19.0

-11.5%

D

11558

CIEN

8/30/2018

7.2

9.4

-23.8%

D

9238

AMBA

8/30/2018

10.2

12.0

-15.2%

F

9817

BIG

8/31/2018

8.1

4.6

75.7%

D

12411

PLAY

9/4/2018

7.9

7.0

13.4%

D

11502

CASY

9/4/2018

4.3

4.2

3.3%

C

4973

HQY

9/4/2018

6.2

5.8

6.7%

C

4925

WDAY

9/4/2018

5.2

4.6

14.5%

C

103431

COUP

9/4/2018

9.0

6.0

48.8%

D

4633

RH

9/5/2018

14.8

21.9

-32.5%

C

33887

OLLI

9/5/2018

5.9

3.1

93.7%

B

11872

AVAV

9/5/2018

10.8

12.5

-13.7%

D

3337

HDS

9/5/2018

6.0

6.0

-0.1%

C

4119

NAV

9/5/2018

6.2

4.5

39.6%

F

3629

MDB

9/5/2018

8.0

5.1

58.4%

C

9031

DOCU

9/5/2018

10.1

3.4

193.8%

D

23607

ZS

9/5/2018

15.1

23.3

-35.2%

D

12340

 

Volatility Standouts:

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

EXTR

74.33%

F

-4.70%

99.60

1899

FOLD

73.98%

D

-0.97%

26.88

4765

IMGN

73.81%

F

-2.36%

17.79

1027

EW

72.52%

B

-3.36%

17.39

22307

STWD

68.69%

D

0.39%

17.39

888

MD

68.45%

B

-4.59%

30.04

1100

ARCC

68.38%

F

-1.33%

9.88

2633

SGMO

65.10%

F

-1.57%

7.11

7546

PCG

64.53%

A

-4.00%

81.03

51817

XRX

64.42%

D

-2.99%

61.66

7612

CARG

6.24E-01

F

-4.22%

3.70

1120

KN

61.58%

C

-2.45%

0.79

235

MLM

60.22%

A

-11.63%

0.40

29249

EDIT

58.59%

F

-3.13%

8.70

4065

SABR

58.24%

C

0.64%

6.72

255

JNPR

57.51%

D

-0.88%

10.67

8968

HAIN

57.35%

C

-1.81%

77.47

5011

CARS

57.34%

D

-2.05%

24.90

3267

RRR

56.96%

A

-1.60%

66.01

3327

VICR

56.78%

F

2.24%

70.75

3947

ZAYO

56.29%

D

-0.30%

0.00

13776

UBNT

56.15%

B

-4.14%

2.37

15839

BERY

55.95%

A

0.48%

73.91

5004

QCOM

55.85%

C

-1.58%

8.30

280812

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

LPNT

-71.17%

C

-4.70%

2.37

2150

CA

-66.96%

B

-0.97%

8.33

2616

XRM

-57.58%

F

-2.36%

80.63

581

DY

-55.68%

F

-3.36%

51.38

7031

EXAS

-45.87%

F

0.39%

12.25

50808

PVTL

-38.25%

F

-4.59%

67.06

4057

NVRO

-37.64%

D

-1.33%

56.13

3274

FANG

-33.41%

D

-1.57%

47.04

33964

ETP

-33.22%

C

-4.00%

0.79

24485

DNB

-28.60%

C

-2.99%

3.16

8434

SKX

-25.70%

C

-4.22%

54.94

9152

PI

-24.36%

D

-2.45%

58.50

675

CLDR

-22.80%

F

-11.63%

41.90

1628

ANF

-19.76%

D

-3.13%

64.03

9872

RRGB

-19.25%

D

0.64%

9.88

6759

ATHN

-18.86%

C

-0.88%

33.60

15107

BIIB

-18.33%

C

-1.81%

6.72

113319

PANW

-17.90%

C

-2.05%

55.34

87258

ANET

-16.77%

B

-1.60%

17.79

105628

IBM

-16.66%

B

2.24%

24.51

365939

SYY

-16.13%

A

-0.30%

6.32

22605

GSKY

-16.11%

F

-4.14%

42.62

2441

ZS

-15.70%

D

0.48%

71.30

12340

OCLR

-15.08%

C

-1.58%

0.00

474