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Equities Lower on US Canada Trade Uncertainty

Aug 31, 2018

Commentary: Equities are generally lower as the US and Canada look to make a trade deal with the S&P -.25%, the Russell  -.1%, and the Nasdaq flat. Energy is lower today as Saudi oil production increased in August.  Crude is -.4%,  XOP is -.72% and XLE is -1% in spite of  the stronger dollar. GDX is down 0.6%. Bonds are up slightly with TLT +.36%. Emerging markets are unchanged despite the dollar strength. Volatilities are higher with the VIX +1% to 13.70, RVX +0.5% to 14.68, and VXN +2% to 16.38.

 

ETF 30d volatility changes

SPY:        -3%

IWM:      -1%

QQQ:      +1%

 

Directional:

Bullish

DKS Buyer 5,519 Jan 40 calls (ref. 36.95)

DNR Seller 12,600 Sep 3.5 calls to Buy 12,600 Dec 3.5 calls (rolls out, ref. 5.45)

COTY Buyer 11,400 Jan 15 calls (ref. 12.20)

EA Seller 56,200 Mar 125 calls to Buy 49,200 Mar 115 calls (rolls down, ref. 113.99)

NLSN Buyer 5,000 Feb 30 calls (ref. 25.83)

PBR 14,100 Sep 11.5 and Oct 13 calls trade (ref. 10.70)

 

Bearish

F Buyer 15,819 Sep 28th 9.5 puts (ref. 9.59)

F Buyer 5,090 Mar 9 puts (ref. 9.59)

UNIT Buyer 3,675 Oct 17.5 puts (ref. 21.03)

CHK Buyer 7,600 Sep 7th 4.5 puts (ref. 4.42)

CSCO Buyer 3,000 Nov 48 – 42 put spreads (ref. 47.48)

AES Buyer 5,000 Oct 13 puts (ref. 13.65)

PAGS Seller 14,000 Nov 25 calls tied to stock (likely closing, ref. 29.51)

CROX Buyer 6,000 Mar 22 puts (ref. 20.57)

 

 

Macro:

Bullish

EWZ Seller 31,500 Sep 29 puts tied to stock (ref. 32.07)

 

Bearish

VXX Buyer 15,328 Oct 40 – 52 call spreads (ref. 29.08)

SPY Buyer 13,492 Oct 267 puts (ref. 289.79)

 

 

 

Upcoming Earnings:

 

Und

EarnDate

MyImpliedPctMove

PctMove

Cheap vs Expensive

Quantamize Rating

Average Daily Vega

CONN

9/4/2018

15.0

15.6

-4.3%

C

1428

RH

9/4/2018

14.2

21.9

-35.3%

C

35516

CASY

9/4/2018

4.9

4.2

16.2%

C

4759

HQY

9/4/2018

6.7

5.8

15.9%

C

6914

WDAY

9/4/2018

5.1

4.6

11.5%

C

150614

COUP

9/4/2018

9.6

6.0

58.3%

D

6861

OLLI

9/5/2018

6.0

3.1

96.7%

B

7582

AVAV

9/5/2018

11.8

12.7

-6.9%

D

2831

HDS

9/5/2018

5.9

6.0

-1.1%

C

3795

VRNT

9/5/2018

6.5

6.5

0.6%

B

3327

CLDR

9/5/2018

13.4

15.3

-12.3%

F

1862

MDB

9/5/2018

8.7

5.1

72.1%

C

8817

DOCU

9/5/2018

11.8

3.4

243.1%

D

26316

GWRE

9/5/2018

6.2

3.9

58.1%

B

8851

ZS

9/5/2018

19.1

23.3

-18.2%

D

19929

GME

9/6/2018

10.2

7.5

35.8%

D

26597

FIVE

9/6/2018

8.0

6.9

16.0%

B

19981

LE

9/6/2018

10.8

13.5

-20.0%

C

2421

FIZZ

9/6/2018

7.8

5.9

32.2%

C

8348

NAV

9/6/2018

7.4

4.5

64.4%

F

3559

PANW

9/6/2018

7.2

8.9

-19.5%

C

96856

OKTA

9/6/2018

8.7

6.8

27.8%

D

12267

FNSR

9/6/2018

8.0

7.4

7.8%

F

11467

AVGO

9/6/2018

4.8

3.7

30.2%

A

329811

GCO

9/7/2018

9.1

12.6

-27.6%

C

3343

CBRL

9/12/2018

4.3

3.9

9.6%

B

12255

TLRD

9/12/2018

13.2

15.7

-15.5%

D

4212

PVTL

9/12/2018

17.0

33.0

-48.4%

F

4552

KR

9/13/2018

7.1

8.0

-11.7%

D

80181

ADBE

9/13/2018

4.2

3.2

32.7%

A

466275

ORCL

9/13/2018

4.6

6.4

-28.3%

B

160215

PLAY

9/14/2018

8.8

7.0

26.3%

D

13365

FDX

9/17/2018

3.6

3.1

15.7%

C

175818

AZO

9/18/2018

5.5

5.3

3.3%

C

105198

GIS

9/18/2018

3.9

3.0

27.8%

C

28124

CPRT

9/19/2018

5.0

4.2

19.0%

A

3330

RHT

9/19/2018

6.9

6.6

5.6%

B

57679

 

Volatility Standouts:

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

MIK

73.71%

D

8.30%

3.95

5021

VICR

71.93%

F

69.17%

58.10

167147

DIS

7.18E-01

A

38.74%

47.43

16778

AOBC

71.35%

F

24.51%

-10.17

692

DLTR

71.33%

B

10.28%

4.74

9527

EW

71.17%

B

5.14%

10.67

248

SLM

70.75%

D

3.56%

50.99

35149

SRCL

70.66%

C

35.18%

2.77

9312

MDSO

69.78%

D

45.06%

21.34

776

CARS

69.73%

D

19.76%

0.00

1791

SGEN

69.61%

F

7.51%

5.08

2038

MD

68.89%

B

17.79%

52.57

22741

EDIT

68.60%

F

49.01%

31.62

8094

CDK

68.52%

A

6.32%

19.37

36629

SFLY

67.06%

C

3.95%

9.49

6761

FHN

66.98%

D

43.87%

5.14

19920

ORLY

66.79%

B

9.09%

33.60

9798

EXTR

66.74%

F

6.32%

6.72

44322

FIS

65.17%

A

18.18%

37.15

498

CARG

65.11%

F

20.95%

0.79

1308

SC

64.80%

C

1.98%

77.47

15013

NCR

64.56%

C

8.00%

3.56

12401

SNV

64.51%

A

56.13%

2.37

4266

ALLY

63.01%

C

15.42%

-0.41

18773

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

CA

-69.76%

B

8.30%

31.62

451781

XRM

-61.76%

F

69.17%

0.40

6816

EXAS

-48.10%

F

38.74%

13.44

1934

DY

-47.20%

F

24.51%

40.71

25525

DNB

-41.57%

C

10.28%

87.75

32185

LPNT

-41.24%

C

5.14%

3.95

282634

PVTL

-37.27%

F

3.56%

33.99

24639

NVRO

-37.25%

D

35.18%

1.98

19376

ETP

-27.83%

C

45.06%

77.87

50071

PI

-26.43%

D

19.76%

48.22

155297

ALNY

-26.35%

D

7.51%

-3.38

23827

SKX

-25.67%

C

17.79%

15.81

51080

CLDR

-22.87%

F

49.01%

4.35

24451

RRGB

-21.42%

D

6.32%

20.16

6157

ATHN

-20.35%

C

3.95%

4.33

2994

BIIB

-17.37%

C

43.87%

79.45

10759

OCLR

-15.98%

C

9.09%

22.13

411

EA

-15.34%

C

6.32%

60.47

4638

PANW

-15.19%

C

18.18%

2.37

2206

RH

-14.73%

C

20.95%

1.19

897

ANET

-1.45E-01

B

1.98%

-0.60

4453

AMTD

-12.28%

C

8.00%

-0.13

4177

SMCI

-11.65%

C

56.13%

50.20

9224

IONS

-10.81%

D

15.42%

31.23

483610