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Technology Stocks Lead Equity Markets Lower

Sep 05, 2018

Commentary: Equities are in the red today with tech being a notable laggard as several tech CEOs appear in front of the Senate to face questions about cyber security. Currently, the S&P is -.3%, the Russell is -.38%, and the Nasdaq is -1.07% though off earlier lows. Bonds are slightly in the red. Gold is in the green, +.32% though miners continue to make news lows, -.67%. Utilities and Consumer Staples are outperformers today, up 1% each. Energy is lower today following better than expected weather with WTI crude -1.4% and energy ETF’s XOP and XLE -.8% and -5% respectively. Volatilities are higher with the VIX +4% to 13.65, RVX +3% to 15.50, and VXN +7% to 18.35.

 

ETF 30d volatility changes

SPY:        +4%

IWM:      +2%

QQQ:      +6%

 

Directional:

Bullish

VALE Seller 20,000 Jan20 12 puts (likely closing, ref. 12.47)

MGM Buyer 9,600 Mar 30 calls (ref. 27.56)

FB Buyer 10,000 Jan20 270 calls (ref. 169.57)

JD Seller 15,000 Jan 27 puts (ref. 27.44)

PSTG 8,400 Nov 25 and Jan 30 calls (ref. 27.13)

Bearish

PVG Seller 5,525 Sep 8 puts to Buy 5,525 Jan 8 puts (rolls out, ref. 7.93)

NRG Seller 30,000 Sep 37 – 40 call spreads (likely closing, ref. 35.01)

AAPL Buyer 10,000 Sep 225 -217.5 1x2 put spreads (ref. 226.14)

FOXA Seller 7,000 Jan 50 calls to Buy 7,000 Jan 40 puts (ref. 45.36)

Macro:

Bullish

QQQ Seller 5,320 Dec 166 puts to Buy 10,650 Dec 200 calls (ref. 184.04)

QQQ Seller 25,000 Sep 190 calls to Buy 25,000 Nov 195 calls (ref. 183.16)

IWM Seller 5,500 Dec 155 puts to Buy 5,500 Dec 175 – 180 call spreads (ref. 170.58)

EWZ 7,500 Nov 32 – 38 call spreads trade (ref. 31.13)

NDX Seller 14,000 Sep 28th 6575 – 6525 put spreads (ref. 7500)

Bearish

SLV Seller 10,000 Jan 14 calls to Buy 10,000 Jan 13 puts (ref. 13.36)

EFA Buyer 20,000 Dec 63 puts (ref 66.13)

 

 

 

Upcoming Earnings:

 

 

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

Average Daily Vega

OLLI

9/5/2018

6.3

3.1

106.8%

B

7335

AVAV

9/5/2018

12.9

12.7

1.3%

F

3114

VRNT

9/5/2018

6.9

6.4

8.4%

B

3654

CLDR

9/5/2018

14.4

15.3

-6.1%

F

3262

MDB

9/5/2018

9.9

5.1

96.0%

D

16228

DOCU

9/5/2018

12.9

3.4

273.1%

D

29207

GWRE

9/5/2018

7.0

3.9

79.3%

C

14114

ZS

9/5/2018

21.9

23.3

-6.0%

D

21769

GIII

9/6/2018

12.1

11.9

1.6%

D

1826

GME

9/6/2018

11.5

7.5

53.0%

D

21537

FIVE

9/6/2018

9.2

7.0

32.0%

C

21166

LE

9/6/2018

11.4

14.1

-19.6%

C

3758

FIZZ

9/6/2018

7.4

5.9

26.5%

C

6618

NAV

9/6/2018

7.3

4.3

67.7%

C

2960

PANW

9/6/2018

7.1

8.9

-20.1%

D

94534

OKTA

9/6/2018

10.0

6.8

47.1%

F

16850

FNSR

9/6/2018

8.7

7.4

17.1%

F

10852

AVGO

9/6/2018

5.2

3.7

42.9%

B

295142

GCO

9/7/2018

10.6

12.7

-16.0%

C

2356

CASY

9/10/2018

5.2

4.2

22.9%

D

2503

TLRD

9/12/2018

13.2

15.7

-15.7%

D

5460

PVTL

9/12/2018

18.0

33.0

-45.5%

F

3607

KR

9/13/2018

6.3

8.0

-21.8%

D

52904

ADBE

9/13/2018

5.1

3.2

61.2%

A

481020

ORCL

9/13/2018

5.1

6.4

-20.0%

C

130324

PLAY

9/14/2018

8.7

7.0

25.8%

C

12283

FDX

9/17/2018

3.5

3.1

14.3%

A

182951

CBRL

9/18/2018

4.2

3.9

7.5%

A

10356

AZO

9/18/2018

5.6

5.3

5.4%

C

77277

GIS

9/18/2018

4.1

3.0

35.7%

B

23955

 

 

Volatility Standouts:

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

NCR

74.71%

C

1.30%

37.70

1411

ZAYO

74.53%

C

3.33%

2.78

10125

SGEN

74.15%

F

6.18%

5.95

1849

VRSN

73.01%

B

1.71%

57.94

7613

FHN

73.01%

C

1.93%

10.32

289

SABR

72.66%

C

2.14%

7.54

285

TSRO

72.15%

D

1.32%

76.19

5982

UNIT

71.71%

C

0.09%

78.97

16006

EW

71.34%

C

4.40%

33.73

20801

ADM

70.98%

C

1.71%

10.71

11999

AAPL

70.89%

A

0.24%

67.06

10137541

CARG

70.67%

D

5.39%

6.38

2089

FIVE

70.55%

C

1.38%

77.78

21166

BDX

69.79%

D

-6.41%

15.48

18600

CAKE

69.74%

C

-0.37%

26.98

2648

ALLY

69.04%

C

-1.14%

17.06

12491

HEAR

68.54%

F

11.48%

14.08

12564

NUAN

68.32%

B

3.77%

5.56

753

ANTM

68.14%

A

2.09%

6.35

28074

TRU

67.86%

C

-4.64%

16.67

1353

WM

67.28%

A

-0.82%

10.71

19282

SC

67.22%

D

6.54%

15.87

5040

TCS

67.13%

C

1.78%

23.81

198

EDIT

67.11%

F

0.78%

1.98

3197

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

LPNT

-69.81%

C

1.30%

0.40

2270

CA

-64.53%

A

3.33%

3.19

1099

XRM

-60.69%

F

6.18%

2.78

369

EXAS

-47.03%

F

1.71%

5.16

108467

DNB

-45.34%

B

1.93%

0.40

1733

DY

-42.81%

F

2.14%

22.22

9050

NVRO

-36.74%

F

1.32%

68.65

3566

PVTL

-34.34%

F

0.09%

97.80

3607

ATHN

-26.82%

B

4.40%

38.49

6541

ALNY

-25.22%

F

1.71%

5.95

37321

SKX

-24.97%

D

0.24%

62.30

6719

PI

-24.64%

D

5.39%

61.11

611

CLDR

-19.14%

F

1.38%

70.24

3262

SMCI

-18.39%

D

-6.41%

65.74

5939

BIIB

-16.49%

C

-0.37%

28.97

127181

EA

-15.71%

C

-1.14%

68.65

2247144

PANW

-13.32%

D

11.48%

63.10

94534

ETP

-10.18%

D

3.77%

5.56

13297

IDTI

-9.90%

C

2.09%

41.27

9027

SNBR

-9.15%

D

-4.64%

28.97

184

AMTD

-8.67%

C

-0.82%

28.57

32268

DVA

-7.75%

D

6.54%

63.49

44662

IBM

-7.10%

C

1.78%

55.95

258832

KR

-7.02%

D

0.78%

56.75

52904