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Equities Lower on Additional Chinese Tariff Rumors

Sep 07, 2018

Commentary: Equities are in the red on choppy trading. The most recent selloff is believed to be due to a new round of tariffs on China. Currently, the S&P -.2%, the Russell unchanged, and the Nasdaq -.1%. Bonds are lower after this morning’s strong jobs report with TLT -.7%, and the 10-year yield rallying to 2.93%. Utilities are a lagging sector on the bonds move with XLU -.9%. Energy is lower again with WTI crude -.7%, XOP -1.3% and XLE -.35%. Volatilities are higher with the VIX +5% to 15.37, RVX +1.2% to 16.46, and VXN +4% to 19.89.

 

 

ETF 30d volatility changes

SPY:        +3%

IWM:      +1%

QQQ:      +3%

 

Directional:

Bullish

TWTR 8,500 Sep 7th 31 and Sep 32 calls trade (ref. 30.91)

BUD Buyer 6,500 Dec 110 calls to Sell 6,500 Oct 95 calls (rolls write closer, ref. 88.88)

CBS Buyer 9,000 Mar 75 calls (ref. 56.66)

ETE Buyer 4,093 Jan 18 calls (ref. 17.35)

BABA Buyer 5,500 Oct 170 – 180 – 190 call flies (ref. 162.88)

EXP Buyer 5,000 Apr 92.5 – 105 call spreads (ref. 88.89)

DIS Buyer 10,000 Sep 112 – 115 call spreads (ref. 110.72)

Bearish

INTC 5,000 Jun 35 puts trade (ref. 47.07)

X 8,500 Apr 27 puts trade (ref. 29.46)

JD 22,000 Dec 30 puts trade (ref. 27.07)

Macro:

Bullish

EWZ Buyer 5,700 Nov 38 – 42 call spreads (ref. 32.72)

VXX Buyer 8,000 Sep 85 calls (ref. 30.74)

Bearish

QQQ Buyer 30,000 Dec 154 puts (ref. 181.22)

FXI Buyer 10,000 Sep 35 puts (ref. 41.09)

Financing Trades:

FDC 28,750 Nov 25 RC trade (ref. 25.19)

 

 

Upcoming Earnings:

 

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

Average Daily Vega

TLRD

9/12/2018

14.0

15.7

-10.8%

D

4372

PVTL

9/12/2018

19.3

33.0

-41.4%

F

3395

KR

9/13/2018

6.4

8.0

-20.1%

D

47530

ADBE

9/13/2018

4.7

3.2

49.3%

A

512427

PLAY

9/14/2018

8.6

7.1

21.2%

C

12996

FDX

9/17/2018

3.6

3.1

15.1%

A

147483

ORCL

9/17/2018

5.4

6.4

-15.7%

C

124826

CBRL

9/18/2018

4.2

3.9

6.1%

A

8957

AZO

9/18/2018

5.4

5.3

0.8%

C

71016

GIS

9/18/2018

4.2

3.0

37.7%

B

24144

CPRT

9/19/2018

5.3

4.2

26.9%

B

2570

RHT

9/19/2018

7.4

6.6

13.1%

C

91913

THO

9/20/2018

8.9

6.5

38.5%

D

11027

LEN

9/20/2018

6.6

4.0

68.0%

D

9426

DRI

9/20/2018

6.0

6.7

-11.3%

B

9247

MU

9/20/2018

8.1

5.6

44.7%

A

1439032

NKE

9/25/2018

5.2

4.9

7.4%

D

194606

CCL

9/25/2018

4.5

2.9

57.1%

B

32966

FDS

9/25/2018

3.9

4.6

-15.7%

A

7091

CTAS

9/25/2018

5.6

4.3

31.1%

B

2934

JBL

9/25/2018

6.5

5.9

10.6%

B

3167

KMX

9/26/2018

5.9

5.6

5.0%

C

7727

BBBY

9/26/2018

10.2

9.2

10.0%

D

6079

KBH

9/27/2018

8.6

5.6

54.0%

C

4235

CAG

9/27/2018

4.6

2.8

64.2%

C

20767

MKC

9/27/2018

4.6

4.0

15.4%

B

3216

MTN

9/28/2018

4.9

3.6

36.4%

C

6980

SFIX

10/1/2018

18.4

16.1

14.5%

F

24888

PEP

10/2/2018

3.1

1.3

131.6%

B

110378

PAYX

10/2/2018

4.4

2.3

89.9%

B

8606

AYI

10/3/2018

9.2

9.5

-3.5%

C

7818

COST

10/4/2018

3.8

2.7

42.6%

C

278518

STZ

10/5/2018

4.1

4.5

-8.8%

B

369189

 

Volatility Standouts:

 

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

COMM

74.10%

C

0.14%

23.72

1057

ZAYO

73.67%

C

4.93%

3.95

7263

BOJA

73.20%

C

0.15%

11.07

211

MDSO

71.20%

D

-0.66%

53.75

2841

DLR

70.98%

D

4.53%

9.49

3472

TROW

70.97%

B

-0.15%

62.45

7708

DIS

69.92%

C

1.62%

15.42

260839

RDFN

69.16%

D

0.09%

28.06

2977

LLY

68.96%

B

0.28%

90.51

58066

ALLY

68.80%

C

0.74%

27.67

8726

SYMC

67.94%

F

-3.40%

62.45

18346

HBAN

67.72%

C

-0.68%

11.46

1080

TRU

67.48%

C

2.24%

21.74

1970

IDCC

67.43%

C

-3.55%

6.72

2797

SC

67.17%

D

0.94%

21.74

4748

CARS

67.05%

F

3.20%

37.15

4039

HEAR

66.74%

F

0.48%

9.59

10339

BCOR

66.15%

B

1.05%

20.55

373

CNC

65.80%

C

-0.33%

10.67

13628

GLPI

65.65%

A

-1.08%

10.67

405

PBYI

65.50%

F

-0.45%

14.62

2491

GLW

65.23%

C

0.00%

92.89

38367

CARG

65.16%

D

1.33%

23.78

2801

KBR

65.15%

F

0.30%

5.53

338

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

LPNT

-70.97%

C

0.14%

5.53

1920

XRM

-59.94%

F

4.93%

4.35

317

CA

-53.10%

A

0.15%

7.14

1569

DY

-40.98%

F

-0.66%

26.09

8365

PVTL

-33.83%

F

4.53%

100.00

3395

EXAS

-30.02%

F

-0.15%

14.62

96049

ATHN

-27.89%

B

1.62%

12.25

6673

SKX

-25.61%

D

0.09%

86.17

7026

ALNY

-25.25%

F

0.28%

11.46

34746

NVRO

-23.89%

F

0.74%

85.77

3131

PI

-23.77%

D

-3.40%

63.64

464

SMCI

-23.41%

D

-0.68%

84.52

619

GME

-20.35%

D

2.24%

93.68

25077

SGMO

-18.27%

D

-3.55%

40.71

19169

EA

-16.43%

C

0.94%

52.57

1773629

SNBR

-15.16%

D

3.20%

32.41

265

IDTI

-12.51%

C

0.48%

18.97

17701

ANET

-11.58%

B

1.05%

31.62

140116

KLAC

-11.15%

A

-0.33%

68.77

15964

LOCO

-9.87%

B

-1.08%

41.11

668

IONS

-8.44%

D

-0.45%

98.41

15787

URBN

-8.01%

C

0.00%

13.04

17212

ETP

-7.79%

D

1.33%

8.70

9142

ESRX

-6.88%

A

0.30%

11.86

49441