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Equities Trade Higher Led by Industrials,Staples and Utilities

Sep 10, 2018

Commentary: Equities are in the green today in spite of AAPL shares suffering on tariff fears with FAANG names generally lagging. Industrials, Staples, and Utilities are leading the way higher. Currently, the S&P is +.21%, the Russell is +.17%, and the Nasdaq is +.22%. Energy is mixed as WTI is -.5%, though Brent is +.2%. Energy stocks are little changed overall, as is Gold. Bonds are up modestly with TLT +.25% and the 10-year yield dropping to 2.935%. Volatilities are mostly lower with the VIX -4% to 14.27, RVX +.4% to 15.67, and VXN -1.5% to 19.46. Overall volumes are rather light on this Rosh Hashanah holiday.

 

 

ETF 30d volatility changes

SPY:        -7%

IWM:      -4%

QQQ:      -5%

 

Directional:

Bullish

PVG Buyer 4,800 Jan 7 calls (ref. 7.02)

ATUS Buyer 2,700 Oct 18 calls (ref. 18.46)

PBR Buyer 50,000 Jan 11 – 14 call spreads (ref. 10.99)

SGMS Buyer 4,000 Jan20 30 calls (ref. 27.25)

JNJ Buyer 7,639 Jan 135 – 140 call spreads (ref. 137.93)

COG Buyer 8,100 Oct 23 calls (ref. 22.00)

C Buyer 5,000 Nov 75 calls (ref. 70.18)

NBR Seller 5,000 Mar 5 puts to Buy 5,000 Mar 7 calls (ref. 5.80)

Bearish

TEVA 8,900 Sep 19.5 and 20 puts trade (ref. 21.48)

MTZ Buyer 4,000 Oct 39 – 32 put spreads (ref. 40.94)

CHK Buyer 9,500 Sep 14th 4 puts (ref. 4.11)

MU Seller 6,900 Jan 45 calls to Buy 6,900 Jun 45 puts (ref. 45.23)

QCOM Seller 14,990 Oct 70 – 72.5 call spreads (likely closing, ref. 72.38)

 

Macro:

Bullish

HYG Seller 15,000 Nov 83 – 81 put spreads (ref. 85.85)

Bearish

EEM Seller 15,000 Dec 44 calls (ref. 41.28)

EEM 17,500 Dec 42 - 38 puts 1x2 put spreads trade (ref. 41.24)

 

Financing Trades:

AMD 2,500 Oct 30 RC trade (ref. 28.99)

CBS 2,500 Oct 60 RC trade (ref. 54.10)

 

 

Upcoming Earnings:

 

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

Average Daily Vega

TLRD

9/12/2018

12.2

15.7

-22.0%

D

4793

PVTL

9/12/2018

20.0

33.0

-39.4%

F

3882

KR

9/13/2018

7.0

8.2

-15.3%

D

50614

ADBE

9/13/2018

3.9

3.2

24.2%

A

515992

PLAY

9/14/2018

8.8

7.1

24.8%

C

15118

FDX

9/17/2018

3.1

3.1

0.9%

A

148393

ORCL

9/17/2018

5.4

6.4

-15.6%

C

124971

CBRL

9/18/2018

3.7

3.9

-5.8%

A

7854

AZO

9/18/2018

5.4

5.3

2.0%

C

68802

GIS

9/18/2018

4.0

3.0

32.5%

B

20713

CPRT

9/19/2018

5.1

4.2

22.0%

B

3558

RHT

9/19/2018

7.2

6.6

10.4%

C

92540

THO

9/20/2018

8.6

6.5

33.0%

D

10983

LEN

9/20/2018

5.1

4.0

29.0%

D

20059

DRI

9/20/2018

5.7

6.7

-15.2%

B

9546

MU

9/20/2018

6.6

5.6

17.7%

A

1430730

NKE

9/25/2018

4.9

4.9

-0.3%

D

214573

CCL

9/25/2018

3.9

2.9

34.7%

B

35797

FDS

9/25/2018

4.5

4.6

-3.0%

A

9066

CTAS

9/25/2018

5.3

4.3

23.4%

B

3342

JBL

9/25/2018

6.1

5.9

3.6%

B

3060

KMX

9/26/2018

5.3

5.6

-6.8%

C

8237

BBBY

9/26/2018

9.8

9.2

5.7%

D

5893

KBH

9/27/2018

7.1

5.6

27.2%

C

4186

CAG

9/27/2018

3.8

2.8

38.0%

C

20247

MKC

9/27/2018

3.8

4.0

-5.7%

B

3426

MTN

9/28/2018

4.0

3.6

11.5%

C

7366

SFIX

10/1/2018

16.5

16.1

2.6%

F

25726

PEP

10/2/2018

2.2

1.3

63.0%

B

100909

PAYX

10/2/2018

3.6

2.3

57.6%

B

7106

AYI

10/3/2018

8.2

9.5

-13.8%

C

8312

STZ

10/4/2018

3.2

4.5

-28.5%

B

353506

COST

10/4/2018

3.2

2.7

21.3%

C

321060

FAST

10/10/2018

5.5

5.4

1.5%

B

13397

BLK

10/11/2018

2.5

1.7

46.4%

B

68203

DAL

10/11/2018

3.5

2.1

63.7%

D

112459

C

10/12/2018

1.8

1.5

21.1%

C

405643

JPM

10/12/2018

2.2

1.3

65.0%

C

421379

WFC

10/12/2018

2.6

1.9

38.7%

C

146815

PNC

10/12/2018

2.4

1.0

142.8%

C

36411

 

 

Volatility Standouts:

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

PK

74.49%

C

-3.72%

18.18

310

PF

71.00%

B

-1.12%

15.81

213

XRX

65.58%

D

1.86%

84.98

9565

UNIT

64.49%

C

-4.65%

84.19

12599

KIRK

63.23%

F

0.33%

75.49

406

BMS

62.33%

B

-1.30%

64.03

1351

VGR

61.57%

B

-3.52%

99.60

1250

CLVS

60.91%

D

-1.12%

99.21

3944

ZOES

58.12%

F

-2.80%

97.23

590

JNPR

55.08%

C

-2.65%

55.73

12547

SRCL

52.74%

D

-2.98%

25.30

1983

AXTA

50.69%

C

-3.03%

34.78

6029

VKTX

50.27%

F

4.09%

87.06

5363

MD

49.59%

C

4.53%

38.74

305

SCG

48.25%

C

-1.06%

41.11

350

CTXS

46.87%

C

-1.76%

18.18

25067

NCR

45.38%

C

-2.63%

59.68

1259

ALL

45.12%

C

-2.67%

16.60

9689

PX

45.08%

B

-5.47%

96.05

25199

WU

44.74%

C

-3.35%

30.43

761

FFIV

44.37%

B

-2.45%

98.81

22506

MDSO

43.38%

D

-1.35%

42.69

2936

FHN

43.08%

C

0.00%

20.16

246

GNRC

42.55%

B

-6.77%

42.69

3071

 

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

CA

-66.87%

A

-3.72%

5.56

1590

DNB

-63.87%

B

-1.12%

0.40

1148

DY

-47.04%

F

1.86%

33.99

8317

EXAS

-38.11%

F

-4.65%

17.79

79698

ATHN

-36.81%

B

0.33%

29.25

8709

NVRO

-36.38%

F

-1.30%

83.40

3079

LPNT

-35.03%

C

-3.52%

2.77

1479

PVTL

-31.15%

F

-1.12%

98.94

3882

BKS

-29.73%

D

-2.80%

53.75

2302

PI

-28.94%

D

-2.65%

66.01

436

SKX

-27.34%

D

-2.98%

84.98

6150

EA

-27.00%

C

-3.03%

46.25

1803947

GME

-26.26%

D

4.09%

98.02

27066

KLAC

-23.93%

A

4.53%

75.49

19041

ETP

-23.87%

D

-1.06%

11.86

9119

ANET

-22.79%

B

-1.76%

30.04

139913

SGMO

-22.22%

D

-2.63%

35.57

19551

SRE

-22.21%

B

-2.67%

22.13

5485

IDTI

-21.68%

C

-5.47%

47.43

20327

ALNY

-21.51%

F

-3.35%

16.21

37365

DVA

-21.16%

D

-2.45%

69.96

46641

LOCO

-20.56%

B

-1.35%

48.22

689

URBN

-19.99%

C

0.00%

12.25

14596

FANG

-19.96%

C

-6.77%

60.47

18687