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Equities Stall in Listless Trading

Aug 28, 2018

                    

Quantamize Mid-Day Volatility Update    8/28/2018 1:00 pm

 


Commentary: Equities started in positive territory, but stocks have slowly moved lower since and are now slightly in the red with the S&P -.11%, the Russell -.39%, and the Nasdaq -.04%. AAPL and AMZN are keeping the Nasdaq outperforming today. Gold is down slightly. Bonds are lower as well with TLT -.46%, and the 10-year yield rising to 2.873%. Energy is a lagging sector today with WTI crude -.26%, while energy ETF’s are in the red as well XOP -1.1% and XLE -.2%. Volatilities are up generally higher with the VIX +1.2% to 12.31, RVX +1.3% to 14.27, and VXN -.6% to 15.50.

 

 

ETF 30d volatility changes

SPY:        +1%

IWM:      +2%

QQQ:      +1%

 

Directional:

Bullish

HAIN Seller 22,000 Nov 32 calls to Buy 22,000 Jan 30 calls (rolls down and out, ref. 27.75)

WDAY Seller 12,432 Jan 110 calls to Buy 12,432 Mar 140 calls (rolls out and up, ref. 151.96)

F Buyer 5,980 Dec 11 calls (ref. 10.01)

PBR Buyer 10,000 Dec 11 calls (ref. 10.38)

CPB Buyer 5,000 Jan 45 calls (ref. 39.97)

Bearish

FB Buyer 11,000 Jan20 125 puts (ref. 177.64)

AMD 7,300 Sep 25 puts trade (ref. 24.23)

ESPR Seller 7,000 Oct 30 puts to Buy 5,000 Jan 30 puts (rolls out, ref. 50.63)

 

Macro:

Bullish

HYG Buyer 20,000 Dec 87 calls (ref. 86.34)

EEM 10,000 Sep 45.5 – 47.5 call spreads trade (ref. 43.85)

Bearish

KRE Buyer 6,000 Sep 64 calls to Sell 12,000 Dec 64 calls (ref. 63.37)

FEZ Seller 40,700 Nov 38 puts (likely closing, ref. 39.27)

QQQ Buyer 67,000 Dec 144 puts (ref. 184.46)

SPY Buyer 23,000 Mar 255 puts (ref. 289.62)

 

Financing Trades:

C 5,000 Sep 72.5 RC trade (ref. 72.69)

XOP 4,750 Sep 50 RC trade (ref. 42.03)

BPY 6,100 Sep 25 RC trade (ref. 24.23)

 

 

 

 

 

Upcoming Earnings:

 

 

                    

Quantamize Mid-Day Volatility Update    8/28/2018 1:00 pm

 


Commentary: Equities started in positive territory, but stocks have slowly moved lower since and are now slightly in the red with the S&P -.11%, the Russell -.39%, and the Nasdaq -.04%. AAPL and AMZN are keeping the Nasdaq outperforming today. Gold is down slightly. Bonds are lower as well with TLT -.46%, and the 10-year yield rising to 2.873%. Energy is a lagging sector today with WTI crude -.26%, while energy ETF’s are in the red as well XOP -1.1% and XLE -.2%. Volatilities are up generally higher with the VIX +1.2% to 12.31, RVX +1.3% to 14.27, and VXN -.6% to 15.50.

 

 

ETF 30d volatility changes

SPY:        +1%

IWM:      +2%

QQQ:      +1%

 

Directional:

Bullish

HAIN Seller 22,000 Nov 32 calls to Buy 22,000 Jan 30 calls (rolls down and out, ref. 27.75)

WDAY Seller 12,432 Jan 110 calls to Buy 12,432 Mar 140 calls (rolls out and up, ref. 151.96)

F Buyer 5,980 Dec 11 calls (ref. 10.01)

PBR Buyer 10,000 Dec 11 calls (ref. 10.38)

CPB Buyer 5,000 Jan 45 calls (ref. 39.97)

Bearish

FB Buyer 11,000 Jan20 125 puts (ref. 177.64)

AMD 7,300 Sep 25 puts trade (ref. 24.23)

ESPR Seller 7,000 Oct 30 puts to Buy 5,000 Jan 30 puts (rolls out, ref. 50.63)

 

Macro:

Bullish

HYG Buyer 20,000 Dec 87 calls (ref. 86.34)

EEM 10,000 Sep 45.5 – 47.5 call spreads trade (ref. 43.85)

Bearish

KRE Buyer 6,000 Sep 64 calls to Sell 12,000 Dec 64 calls (ref. 63.37)

FEZ Seller 40,700 Nov 38 puts (likely closing, ref. 39.27)

QQQ Buyer 67,000 Dec 144 puts (ref. 184.46)

SPY Buyer 23,000 Mar 255 puts (ref. 289.62)

 

Financing Trades:

C 5,000 Sep 72.5 RC trade (ref. 72.69)

XOP 4,750 Sep 50 RC trade (ref. 42.03)

BPY 6,100 Sep 25 RC trade (ref. 24.23)

 

 

 

 

 

Upcoming Earnings:

 

 

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

Average Daily Vega

HRB

8/28/2018

8.3

11.2

-25.4%

B

6823

BOX

8/28/2018

11.6

7.7

49.7%

D

19151

HPE

8/28/2018

6.0

7.1

-16.1%

D

8547

PVH

8/29/2018

4.9

4.3

13.2%

B

45230

AEO

8/29/2018

8.2

7.5

8.7%

C

13786

CHS

8/29/2018

12.8

10.3

24.4%

C

5489

GES

8/29/2018

12.4

17.0

-27.4%

F

2842

DKS

8/29/2018

10.1

11.4

-11.3%

D

23364

HOME

8/29/2018

9.5

12.7

-25.0%

F

3030

CRM

8/29/2018

4.1

2.4

70.8%

C

280637

ANF

8/30/2018

11.1

14.3

-22.3%

D

10614

LULU

8/30/2018

8.4

11.8

-28.5%

C

114943

ULTA

8/30/2018

6.6

5.3

24.7%

B

66601

CPB

8/30/2018

7.5

6.4

17.4%

C

30259

DLTR

8/30/2018

6.6

7.6

-13.7%

B

26265

DG

8/30/2018

5.6

6.1

-7.5%

A

63127

BURL

8/30/2018

6.0

5.5

9.3%

B

16771

COO

8/30/2018

3.9

3.8

4.3%

C

6708

NTNX

8/30/2018

9.6

8.0

20.3%

D

39950

YEXT

8/30/2018

12.8

8.5

51.8%

D

5330

ZUO

8/30/2018

15.8

19.0

-17.0%

D

12845

CIEN

8/30/2018

7.3

9.4

-22.6%

D

14271

AMBA

8/30/2018

9.9

12.0

-17.7%

F

9961

BIG

8/31/2018

8.1

4.6

77.5%

D

10898

CASY

9/4/2018

5.0

4.2

18.1%

C

4917

HQY

9/4/2018

5.3

5.8

-8.7%

C

5915

WDAY

9/4/2018

4.9

4.6

7.0%

C

105971

COUP

9/4/2018

8.5

6.0

39.8%

D

6162

RH

9/5/2018

14.7

21.9

-32.7%

C

31958

OLLI

9/5/2018

5.2

3.1

71.2%

B

7527

AVAV

9/5/2018

10.9

12.5

-13.3%

D

3375

HDS

9/5/2018

5.6

6.0

-6.4%

C

3855

VRNT

9/5/2018

6.7

6.5

3.5%

B

3343

MDB

9/5/2018

6.5

5.1

29.0%

C

8899

DOCU

9/5/2018

9.2

3.4

168.3%

D

24172

ZS

9/5/2018

15.6

23.3

-33.1%

D

17435

GME

9/6/2018

11.0

7.5

46.5%

D

25692

FIVE

9/6/2018

7.8

6.9

13.8%

B

19483

FIZZ

9/6/2018

8.3

5.9

40.6%

C

7843

NAV

9/6/2018

6.3

4.5

39.8%

F

3526

PANW

9/6/2018

6.6

8.9

-26.3%

C

96952

OKTA

9/6/2018

8.3

6.8

22.3%

D

12245

FNSR

9/6/2018

8.3

7.4

11.8%

F

11677

AVGO

9/6/2018

3.5

3.7

-3.5%

A

336303

 

 

 

 

Volatility Standouts:

 

 

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

FTAI

72.73%

C

2.60%

6.35

424

NCS

67.38%

B

1.13%

96.83

632

PRSP

61.45%

C

1.82%

1.82

873

FOLD

61.30%

D

-0.47%

39.29

4131

COL

60.20%

B

-2.00%

86.11

9631

CTXS

55.27%

A

-4.95%

0.40

30160

FDP

53.33%

D

0.16%

24.60

134

DVA

51.33%

C

3.13%

25.00

27726

WU

49.58%

A

0.29%

14.68

1819

SGMO

49.11%

F

0.58%

3.17

7313

EXTR

47.05%

F

0.30%

30.95

1859

STWD

46.51%

D

-0.70%

23.81

810

ARCC

45.35%

F

19.01%

1.98

4404

EW

42.93%

B

2.42%

17.86

24381

MAT

42.66%

D

0.90%

13.89

3932

NLY

42.59%

C

-2.39%

29.37

4184

MD

41.47%

B

-2.21%

12.30

968

CLVS

41.14%

D

-0.47%

99.60

10056

FISV

38.63%

A

0.86%

7.14

9569

CARS

37.92%

D

0.98%

21.83

3437

VICR

36.69%

F

-1.99%

69.44

3636

SRCL

36.38%

C

1.42%

2.78

2447

EDIT

35.89%

F

5.45%

1.98

4171

SERV

35.61%

A

0.15%

6.35

5643

 

 

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

CA

-72.43%

B

2.60%

2.79

2536

EXAS

-49.53%

F

1.13%

6.75

53620

NVRO

-44.80%

D

1.82%

63.49

2982

DY

-44.77%

F

-0.47%

54.37

4847

LPNT

-43.78%

C

-2.00%

6.75

3047

PVTL

-39.98%

F

-4.95%

66.28

4486

FANG

-39.41%

D

0.16%

31.35

34253

ETP

-38.88%

C

3.13%

0.40

21545

OCLR

-35.24%

C

0.29%

0.79

398

DNB

-35.02%

C

0.58%

1.59

4019

SMCI

-34.59%

C

0.30%

87.65

6378

ALNY

-33.57%

D

-0.70%

12.70

27988

PI

-29.24%

D

19.01%

51.59

688

SKX

-29.17%

C

2.42%

49.21

9631

RRGB

-29.02%

D

0.90%

9.13

6990

CMG

-28.44%

C

-2.39%

10.32

784367

BIIB