blog

Latest from the Quantamize Blog

Technology and Energy Stocks Lead Equity Markets Lower

Sep 06, 2018

Commentary: Equities are in the red again with weakness in tech and energy. Currently, The S&P is -.5%, the Russell is -.6%, and the Nasdaq is -1.15% as FAANG names are notably weak. WTI crude is down 2.2% on inventory data. That combined with equity weakness is hitting the Energy ETF’s hard with XOP -2.9% and XLE -1.4% Bonds are rallying with TLT +.44% and the 10-year yield down to 2.877%. Volatilities have been in the green all morning, even when stocks were higher however, the mid-morning sell-off has driven them higher with the VIX +6% to 14.77, the RVX +7% to 16.52, and VXN +8% to 20.07.

 

ETF 30d volatility changes

SPY:        +5%

IWM:      +6%

QQQ:      +7%

 

Directional:

Bullish

CLF 6,100 Sep 9 and 11 calls trade (ref. 10.40)

MGM Buyer 10,000 Mar 29 – 34 call spreads (ref. 27.14)

IGT 7,000 Sep 20 and 21 calls trade (ref. 20.07)

UPS Buyer 7,500 Sep 127 – 132 call spreads (ref. 123.78)

Bearish

CAG Seller 3,500 Sep 36 puts to Buy 3,500 Oct 34 puts (rolls out and down, ref. 36.16)

TEVA 2,900 Sep 21 and 22 puts trade (ref. 22.45)

BCS Buyer 5,000 Dec 9 puts (ref. 9.33)

RIG Buyer 15,000 Oct 11 – 10 put spreads (ref. 10.90)

WIN Buyer 15,000 Nov 3 puts (ref. 4.38)

MRVL Buyer 9,262 Sep 7th 20 puts (ref. 20.27)

Macro:

Bullish

QQQ Seller 25,000 Sep 28th 174 – 160 put spreads (likely closing, ref. 183.43)

EWZ Seller 5,500 Sep 27 puts (ref. 31.51)

EFA Buyer 24,948 Oct 67 calls (ref. 65.92)

Bearish

XAU Buyer 10,000 Sep 62.5 puts (ref. 64.00)

QQQ Seller 10,000 Sep 189 calls (ref. 182.13)

 

Financing Trades:

RIG 5,000 Jan 11 RC trade (ref. 11.10)

HYG 10,000 Oct 95 RC trade (ref. 85.77)

EEM 13,000 Oct 43 RC trade (ref. 41.71)

 

 

 

Upcoming Earnings:

 

 

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

Average Daily Vega

GME

9/6/2018

11.3

7.5

49.9%

D

28324

FIVE

9/6/2018

8.5

7.0

21.4%

C

23009

FIZZ

9/6/2018

7.6

5.9

29.7%

C

6732

PANW

9/6/2018

6.9

8.9

-22.9%

D

108331

OKTA

9/6/2018

9.3

6.8

36.0%

F

19452

FNSR

9/6/2018

8.4

7.4

13.2%

F

9912

AVGO

9/6/2018

5.2

3.7

41.2%

B

334680

CASY

9/10/2018

5.2

4.2

22.9%

D

2342

TLRD

9/12/2018

12.8

15.7

-18.6%

D

5033

PVTL

9/12/2018

17.7

33.0

-46.3%

F

3087

KR

9/13/2018

6.3

8.0

-21.2%

D

54787

ADBE

9/13/2018

4.6

3.2

45.3%

A

526041

ORCL

9/13/2018

5.0

6.4

-21.5%

C

124046

PLAY

9/14/2018

8.5

7.0

21.7%

C

12634

FDX

9/17/2018

3.3

3.1

7.8%

A

154307

CBRL

9/18/2018

4.0

3.9

3.0%

A

9604

AZO

9/18/2018

5.5

5.3

3.0%

C

79822

GIS

9/18/2018

4.1

3.0

34.1%

B

25976

CPRT

9/19/2018

5.0

4.2

20.4%

B

2551

RHT

9/19/2018

7.5

6.6

14.2%

C

90056

THO

9/20/2018

8.7

6.5

35.3%

D

10869

LEN

9/20/2018

6.1

4.0

54.5%

D

9946

DRI

9/20/2018

5.8

6.7

-14.1%

B

9563

MU

9/20/2018

9.1

5.6

63.1%

A

1195722

NKE

9/25/2018

5.6

4.9

15.7%

D

180314

CCL

9/25/2018

4.5

2.9

58.9%

B

37326

FDS

9/25/2018

4.0

4.6

-13.9%

A

6852

CTAS

9/25/2018

5.6

4.3

29.8%

B

3255

JBL

9/25/2018

6.2

5.9

6.6%

B

2958

KMX

9/26/2018

5.9

5.6

4.0%

C

6597

BBBY

9/26/2018

10.2

9.2

9.9%

D

6202

KBH

9/27/2018

8.0

5.6

42.7%

C

3842

CAG

9/27/2018

4.7

2.8

69.2%

C

18477

MKC

9/27/2018

4.6

4.0

15.1%

B

2875

 

 

Volatility Standouts:

 

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

SLM

74.75%

F

-1.04%

4.74

65

NCR

74.27%

C

-0.09%

41.90

1384

EDIT

73.65%

F

-0.41%

3.56

3138

NLY

72.42%

C

-1.02%

19.37

2877

IDCC

72.17%

C

1.56%

7.91

3189

ADM

71.15%

C

-1.35%

13.04

10200

ZAYO

71.06%

C

1.04%

3.56

10357

PBYI

70.84%

F

-1.37%

28.85

2631

ALLY

70.68%

C

-1.49%

15.42

9707

SC

70.50%

D

1.71%

13.44

4830

COMM

70.01%

C

-3.29%

19.37

1059

AAPL

69.96%

A

-0.43%

75.10

10294280

CLDR

68.39%

F

1.39%

84.98

4556

FFIV

67.25%

B

7.64%

43.08

23498

VRNT

67.25%

B

-2.14%

60.87

4295

FIS

67.23%

A

10.27%

39.92

6901

CNC

66.66%

C

-0.95%

9.49

13557

HEAR

66.49%

F

0.20%

25.00

10390

BOJA

66.12%

C

0.62%

11.46

200

DAR

65.80%

C

0.79%

6.32

256

GLPI

65.70%

A

-6.04%

3.56

370

BCOR

65.65%

B

-0.86%

16.21

342

DF

65.50%

C

-0.18%

73.12

4798

DLR

65.33%

D

-15.74%

9.49

3911

 

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

CA

-68.44%

A

-1.04%

2.38

1252

XRM

-60.37%

F

-0.09%

0.40

346

LPNT

-56.39%

C

-0.41%

4.35

2104

EXAS

-47.17%

F

-1.02%

12.65

114088

DY

-41.65%

F

1.56%

24.51

8358

PVTL

-32.87%

F

-1.35%

98.91

3087

ATHN

-30.16%

B

1.04%

17.39

6157

NVRO

-27.22%

F

-1.37%

79.45

4265

PI

-26.85%

D

-1.49%

62.85

504

SKX

-25.79%

D

1.71%

63.24

6861

ALNY

-22.98%

F

-3.29%

5.93

35615

EA

-16.56%

C

-0.43%

67.19

1761119

PANW

-16.15%

D

1.39%

66.01

108331

IDTI

-14.49%

C

7.64%

27.27

14256

SMCI

-14.41%

D

-2.14%

42.06

5691

SNBR

-13.36%

D

10.27%

28.85

207

ANET

-11.44%

B

-0.95%

33.20

134529

LOCO

-11.32%

B

0.20%

39.92

630

ETP

-11.20%

D

0.62%

3.56

10512

IBM

-8.50%

C

0.79%

58.50

249594

KR

-6.59%

D

-6.04%

60.47

54787

DVA

-6.24%

D

-0.86%

64.43

45875

SCG

-5.15%

C

-0.18%

30.43

370

ACIA

-4.65%

F

-15.74%

12.25

4528