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Emerging Markets Drag Equities Lower

Aug 30, 2018

Commentary: Equities are generally lower today, although big cap tech continues its outperformance. Currently, the S&P is -.2%, the Russell is unchanged, and the Nasdaq is +.2%. Energy is a notable laggard even as crude trades +.5% higher. XOP is -.56% and XLE is -.74% as the rising dollar hits commodity-related stocks. GDX is down as well -1.6%. XLB, the materials sector ETF is -1.2%. Bonds are up slightly with TLT +.18%. Emerging markets are getting hit on the dollar strength with EEM -2.2%. Volatilities are higher with the VIX +4% to 12.76, RVX +1% to 14.54, and VXN +2% to 15.60.

 

 

ETF 30d volatility changes

SPY:        +2%

IWM:      +1%

QQQ:      +2%

 

Directional:

Bullish

EA Buyer 3,600 Jan 155 calls (ref. 119.91)            

AVGO Buyer 3,600 Sep 7th calls (Earnings 9/6, ref. 215.77)             

TSLA Buyer 4,000 Sep 325 – 350 call spreads (ref. 300.80)

FNV Buyer 10,400 Oct 65 calls (ref. 65.61)

P Buyer 11,700 Sep 14th 9.5 calls (ref. 9.08)

Bearish

GLU Buyer 3,000 Sep 7 puts (ref. 7.53)

SQ Buyer 10,000 Oct 5th 82.5 puts (ref. 86.98)

PCG Buyer 5,000 Dec 44 puts (ref. 47.65)

CRON 9,700 Sep 7th 11.5 put and Sep 11 puts trade (ref. 11.36)

IBM Buyer 5,000 Apr 120 puts (ref. 146.76)

YPF 11,300 Oct 14 and Jan 12 puts trade (ref. 14.58)

UAL Seller 7,346 Jan 85 calls (ref. 87.41)

ITUB 8,000 Jan20 10 puts trade (ref. 10.07)

WFT Buyer 250,000 Sep 3.5 puts tied to 22,500,000 shares (closed for .01 over parity)

 

Macro:

Bullish

EEM Buyer 55,000 Sep 45 calls (ref. 43.27)

EWZ 30,000 Dec 35 – 38 call spreads trade (ref. 31.89)

Bearish

SPY Buyer 20,000 Mar 255 puts (ref. 291.01)

SPY Buyer 45,325 Sep 12th 270 puts (ref. 291.05)

XOP Buyer 15,000 Nov 40 puts (ref. 42.44)

QQQ Buyer 71,700 Oct 5th 172 puts (ref. 186.94)

XLF Seller 12,345 Oct 27 puts to Buy 12,345 Nov 27 puts (rolls out, ref. 28.42)

 

Financing Trades:

BAC 9,000 Sep 32 RC trade (ref. 31.08)


 

 

 

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

NLY

60.98%

C

-12.69%

6.72

2813

 

 

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