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Equities Continue Higher

Aug 29, 2018

Commentary: Equities continue their ascent to new highs with the S&P +.56%, the Nasdaq +1%, and the Russell +.34%. Strength is across the board, but Technology, Energy, and Consumer Discretionary are standouts. Crude is rallying, +1.1% lifting energy stocks with XOP +1.2% and XLE +.71%. Bonds are unchanged. Gold is modestly higher +.3%. Brazil is a standout Emerging Market +1.77%. Volatilities are little changed with the VIX -1% to 12.38, RVX +.8% to 14.49, and VXN -.9% to 15.28.

 

 

ETF 30d volatility changes

SPY:        -2%

IWM:      unch

QQQ:      -2%

 

Directional:

Bullish

IGT Seller 2,500 Jan 17 puts to Buy 2,500 Jan 22 – 27 call spreads (ref. 20.98)

SUM Buyer 16,200 Nov 25 calls (ref. 21.42)

ZNGA 19,200 Oct 4.5 calls trade (ref. 4.05)

FOXA Seller 10,00 Sep 45 puts to Buy 10,000 Apr 50 – 40 risk reversals (ref. 45.24)

WWE Seller 3,500 Oct 65 – 80 calls spreads to Buy 3,500 Jan 90 – 100 call spreads (ref. 84.10)

PAA Buyer 5,000 Sep 26.5 calls (ref. 26.31)

APC Buyer Nov 70 calls (ref. 65.37)

SNAP Seller 25,000 Jan20 8 puts (ref. 11.19)

CZR 13,000 Sep 7th and Sep 14th 10.5 calls (ref. 10.53)

 

Bearish

MIK Buyer 10,000 Sep 17.5 puts (ref. 20.20)

ITUB Buyer 5,500 Jan 11 puts (Ref. 10.48)

GPS Buyer 3,600 Oct 30 puts (ref. 29.98)

EXAS Buyer 10,000 Jan20 50 – 40 put spreads (ref. 74.00)

 

Macro:

Bullish

EWZ Buyer 15,000 Nov 37 calls (ref. 32.28)

PBR Buyer 90,000 Sep 115 calls tied to 10.7646 stock

Bearish

GLD Seller 16,250 Jun 117 calls to Buy 16,250 Jun 106 puts (ref. 114.10)

QQQ Seller 51,282 Sep 168 puts to Buy 31,250 Oct 171 puts (rolls out and up, ref. 186.02)

SLV 40,000 Mar 13 – 11 put spreads trade (ref. 13.95)

EEM Buyer 10,000 Mar 40 puts (ref. 44.01)

 

 

Financing Trades:

VALE 10,000 Nov 13 RC trade (ref. 13.42)

BAC 65,000 Jan 30 RC trade (ref 31.29)

 

 

Upcoming Earnings:

 

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

Average Daily Vega

PVH

8/29/2018

5.0

4.3

15.4%

B

49158

GES

8/29/2018

13.9

17.0

-18.5%

F

2994

HOME

8/29/2018

10.3

12.7

-18.8%

F

4207

CRM

8/29/2018

4.2

2.4

73.6%

C

311125

ANF

8/30/2018

11.4

14.3

-20.1%

D

9218

LULU

8/30/2018

8.9

11.8

-24.2%

C

121155

ULTA

8/30/2018

6.7

5.3

25.7%

B

68509

MIK

8/30/2018

10.5

8.4

24.6%

D

4598

CPB

8/30/2018

7.2

6.4

13.3%

C

36970

DLTR

8/30/2018

6.7

7.6

-11.8%

B

32185

DG

8/30/2018

5.4

6.1

-11.3%

A

63998

BURL

8/30/2018

6.1

5.5

11.8%

B

21048

COO

8/30/2018

4.4

3.8

16.5%

C

7679

NTNX

8/30/2018

10.1

8.0

26.7%

D

43903

YEXT

8/30/2018

15.3

8.5

81.6%

D

5341

ZUO

8/30/2018

20.7

19.0

8.8%

D

12926

CIEN

8/30/2018

7.2

9.4

-23.5%

D

15358

AMBA

8/30/2018

10.2

12.0

-15.4%

F

9684

BIG

8/31/2018

8.3

4.6

80.8%

D

10759

RH

9/4/2018

14.2

21.9

-35.3%

C

35516

CASY

9/4/2018

4.5

4.2

7.2%

C

4759

HQY

9/4/2018

6.6

5.8

12.7%

C

6914

WDAY

9/4/2018

5.1

4.6

12.5%

C

150614

COUP

9/4/2018

8.9

6.0

46.7%

D

6861

OLLI

9/5/2018

5.8

3.1

91.2%

B

7582

AVAV

9/5/2018

11.1

12.5

-11.5%

D

2831

HDS

9/5/2018

5.9

6.0

-1.3%

C

3795

VRNT

9/5/2018

7.0

6.5

7.7%

B

3327

MDB

9/5/2018

8.3

5.1

63.2%

C

8817

DOCU

9/5/2018

10.8

3.4

213.7%

D

26316

GWRE

9/5/2018

5.5

3.8

44.5%

B

8851

ZS

9/5/2018

19.2

23.3

-17.7%

D

19929

GME

9/6/2018

10.6

7.5

41.2%

D

26597

FIVE

9/6/2018

8.1

6.9

17.2%

B

19981

FIZZ

9/6/2018

7.8

5.9

33.2%

C

8348

NAV

9/6/2018

8.7

4.5

94.1%

F

3559

PANW

9/6/2018

6.9

8.9

-22.8%

C

96856

OKTA

9/6/2018

9.3

6.8

36.9%

D

12267

FNSR

9/6/2018

8.9

7.4

20.4%

F

11467

AVGO

9/6/2018

4.1

3.7

13.0%

A

329811

GCO

9/7/2018

9.0

12.6

-28.6%

C

3343

 

Volatility Standouts:

 

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

BOJA

73.67%

D

-0.18%

3.95

444

PBYI

72.68%

F

-0.46%

28.85

2994

PRSP

72.56%

C

-2.03%

17.86

678

EW

72.02%

B

-0.13%

20.55

26051

EDIT

71.08%

F

1.53%

1.19

3725

SGEN

70.50%

F

0.68%

4.35

2388

MD

69.38%

B

-0.10%

23.32

831

CDK

69.14%

A

0.49%

1.58

2974

XRX

68.30%

D

1.89%

64.82

8040

STWD

66.96%

D

0.84%

18.97

780

SNV

65.78%

A

0.49%

1.19

2923

DNKN

65.49%

A

0.89%

0.79

8951

CARS

6.50E-01

D

0.14%

20.16

3597

DIS

64.81%

A

0.06%

6.32

266464

TXRH

64.17%

B

3.11%

0.00

1337

VICR

63.91%

F

-0.65%

69.96

3128

FHN

63.78%

D

0.13%

12.65

177

COMM

63.30%

D

-1.46%

1.58

2138

ORLY

62.48%

B

-2.65%

3.16

20939

JNPR

61.75%

D

-6.62%

9.88

12892

KN

61.42%

C

-0.34%

3.56

227

MLM

61.32%

A

-2.01%

1.98

28900

ADP

61.09%

B

-0.37%

20.95

36154

 

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

CA

-59.29%

B

-0.18%

1.98

2916

EXAS

-46.15%

F

-0.46%

9.88

66439

DY

-41.35%

F

-2.03%

60.47

4638

DNB

-41.18%

C

-0.13%

5.14

3107

PVTL

-36.10%

F

0.48%

80.46

4552

FANG

-29.99%

D

1.53%

34.78

33773

NVRO

-28.66%

D

0.68%

55.34

2993

ETP

-28.57%

C

-0.10%

2.37

21836

SMCI

-28.43%

C

0.49%

55.95

6533

SKX

-25.59%

C

1.89%

50.20

9224

LPNT

-24.83%

C

0.84%

7.11

3163

PI

-24.65%

D

0.49%

50.59

714

RRGB

-22.57%

D

0.89%

13.83

6897

CLDR

-22.08%

F

0.14%

52.96

1862

ATHN

-1.99E-01

C

0.06%

41.11

14417

ALNY

-19.51%

D

3.11%

9.09

30908

PLD

-18.58%

D

-0.65%

96.05

6089

PANW

-18.28%

C

0.13%

52.57

96856

CMG

-1.79E-01

C

-1.46%

8.70

764167

OCLR

-16.75%

C

-2.65%

1.19

474

BIIB

-16.72%

C

-6.62%

7.11

102271

ANET

-16.63%

B

-0.34%

10.67

120598

KMB

-15.98%

D

-2.01%

32.81

29552

CIEN

-15.34%

D

-0.37%

44.66

15358