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Technology Stocks Lead Equity Markets Higher

Sep 11, 2018

Commentary: Equities started the day in the red today on continued trade worries but have rebounded sharply led by technology stocks. Currently, the S&P is +.43%, the Russell +.41%, and the Nasdaq is +.73% led by AAPL and AMZN. Energy is strong today as hurricane fears are driving up WTI crude +2.5%. Energy stocks are following along with XOP +1.7% and XLE +1%. Bonds are in the red with TLT -.6% and the 10-year yield rising to 2.97%. Utilities and Consumer Staples are laggards today on a risk on type of day. Gold is unchanged. Volatilities are lower with the VIX -5% to 13.45, RVX -3% to 15.17, and VXN -5% to 18.07.

 

 

ETF 30d volatility changes

SPY:        -5%

IWM:      -3%

QQQ:      -5%

 

Directional:

Bullish

JCP Buyer 10,000 Oct 2 calls (ref. 1.75)

UNIT Buyer 10,000 Oct 20 calls (ref. 19.16)

SLB 15,000 Sep 72.5 calls trade (ref. 59.73)

C Buyer 10,000 Oct 70 – 72.5 call spreads (ref. 69.43)

Bearish

SBUX Seller 5,000 Nov 52.5 – 45 put spreads to Buy 5,000 Nov 55 – 50 put spreads (rolls up, ref. 54.94)

SNAP Seller 13,000 Apr 11 calls (ref. 10.04)

AKS Seller 10,000 Mar 5 calls (ref. 4.14)

AXP Buyer 3,100 Sep 28th 104 puts (ref. 107.60)

IBN 12,500 Sep 9 puts trade (ref. 8.91)

Macro:

Bullish

USO Buyer 6,000 Jan 14 calls (ref. 14.39)

KRE Buyer 13,600 Oct 5th 62 calls (ref. 63.25)

IWM Seller 20,000 Sep 157 puts (ref. 170.19)

GDX Seller 6,000 Jun 17 puts (ref. 17.38)

Bearish

SPY Seller 13,000 Nov 290 – 296 1x2 call spreads (ref. 287.64)

FXI 10,000 Sep 40 puts trade (ref. 40.04)

XLU Buyer 6,100 Sep 53.5 puts (ref. 54.33)

Financing Trades:

FB 3,800 Oct 180 RC trade (ref. 166.11)

FTV 10,000 Oct 110 RC trade (ref. 84.71)

 

 

 

Upcoming Earnings:

 

 

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

Average Daily Vega

PVTL

9/12/2018

21.1

33.0

-35.8%

F

4319

TLRD

9/12/2018

13.1

15.7

-16.5%

D

4996

USAT

9/12/2018

14.8

7.3

103.5%

C

3004

ADBE

9/13/2018

4.0

3.2

25.1%

A

479567

KR

9/13/2018

6.2

8.2

-24.5%

D

52749

PLAY

9/14/2018

9.0

7.1

27.7%

C

11944

FDX

9/17/2018

3.3

3.1

5.3%

A

156198

ORCL

9/17/2018

5.4

6.4

-16.2%

C

125679

AZO

9/18/2018

5.4

5.3

1.4%

C

64441

CBRL

9/18/2018

3.6

3.9

-7.0%

A

8245

GIS

9/18/2018

3.9

3.0

29.2%

B

24121

CPRT

9/19/2018

5.1

4.2

22.8%

B

3716

RHT

9/19/2018

7.4

6.6

12.1%

C

96685

DRI

9/20/2018

5.6

6.7

-16.3%

B

9800

LEN

9/20/2018

5.7

4.0

43.5%

D

26349

MU

9/20/2018

7.2

5.6

29.6%

A

1466904

THO

9/20/2018

8.9

6.5

37.9%

D

11128

CCL

9/25/2018

3.9

2.9

37.7%

B

27590

CTAS

9/25/2018

5.2

4.3

22.1%

B

2935

FDS

9/25/2018

4.6

4.6

-0.8%

A

8758

JBL

9/25/2018

6.1

5.9

4.3%

B

3100

NKE

9/25/2018

4.6

4.9

-4.5%

D

239303

BBBY

9/26/2018

10.0

9.2

8.0%

D

5857

KMX

9/26/2018

5.7

5.6

1.7%

C

13630

CAG

9/27/2018

3.8

2.8

38.6%

C

19955

KBH

9/27/2018

7.3

5.6

30.3%

C

4352

MKC

9/27/2018

3.7

4.0

-6.6%

B

3809

MTN

9/28/2018

4.2

3.6

17.3%

C

7279

SFIX

10/1/2018

17.2

16.1

7.1%

F

26090

PAYX

10/2/2018

3.7

2.3

62.1%

B

6764

PEP

10/2/2018

2.3

1.3

69.1%

B

101939

AYI

10/3/2018

8.3

9.5

-12.9%

C

9097

COST

10/4/2018

3.6

2.7

33.7%

C

332520

STZ

10/4/2018

3.3

4.5

-27.1%

B

325186

FAST

10/10/2018

5.2

5.4

-2.9%

B

10270

BLK

10/11/2018

3.2

1.7

89.1%

B

67669

DAL

10/11/2018

3.8

2.1

75.5%

D

117035

WBA

10/11/2018

3.7

4.0

-6.7%

B

38721

C

10/12/2018

2.8

1.5

87.8%

C

407130

JPM

10/12/2018

2.6

1.3

94.1%

C

424745

PNC

10/12/2018

2.7

1.0

174.7%

C

37564

WFC

10/12/2018

2.8

1.9

50.4%

C

148166

 

 

Volatility Standouts:

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

SRCL

74.50%

D

-1.31%

28.97

2096

VGR

74.50%

B

1.13%

100.00

1275

FTAI

74.40%

B

5.92%

34.92

75

CLVS

71.52%

D

0.70%

97.62

3832

LEG

69.88%

C

0.82%

20.63

2157

XRX

69.59%

D

5.19%

85.71

9618

UNM

68.57%

B

-0.11%

99.21

13867

BMS

66.48%

B

-2.98%

70.24

520

AIZ

66.10%

C

-0.11%

79.76

3449

SABR

65.85%

C

0.49%

25.79

1996

UNIT

65.35%

C

4.96%

81.75

12077

COL

65.29%

A

0.48%

84.92

98058

KIRK

61.71%

F

6.94%

77.78

391

NCR

61.08%

C

1.35%

48.41

1246

VKTX

60.20%

F

-1.55%

90.06

5420

CTXS

57.84%

C

2.08%

10.32

25589

PK

57.46%

C

0.42%

11.11

305

JNPR

57.41%

C

0.75%

53.57

12643

SNV

56.27%

C

-0.20%

14.68

1391

NWSA

50.18%

D

0.53%

87.30

2026

SLM

49.92%

F

4.63%

11.11

87

FHN

49.29%

C

1.76%

7.14

255

AXTA

49.10%

C

7.65%

16.27

5652

GRA

48.21%

A

-1.98%

23.81

7967

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

LPNT

-71.82%

C

-1.31%

1.59

1406

IDTI

-60.59%

C

1.13%

23.02

21035

DNB

-56.35%

B

5.92%

1.19

1587

DY

-47.68%

F

0.70%

25.79

8346

CA

-47.18%

A

0.82%

1.20

1219

EXAS

-37.46%

F

5.19%

19.44

76674

ATHN

-34.47%

B

-0.11%

14.29

18927

NVRO

-33.26%

F

-2.98%

84.52

3042

USG

-32.69%

C

-0.11%

4.37

526

SKX

-30.29%

D

0.49%

84.52

5675

PI

-30.29%

D

4.96%

65.48

424

PVTL

-27.85%

F

0.48%

98.95

4319

GME

-27.74%

D

6.94%

14.29

26447

ETP

-27.10%

D

1.35%

15.48

11021

EA

-25.85%

C

-1.55%

59.92

1812833

KLAC

-23.08%

A

2.08%

61.90

19044

DVA

-22.23%

D

0.42%

47.22

39554

LOCO

-21.43%

B

0.75%

41.67

712

SNBR

-21.09%

D

-0.20%

25.40

504

SMCI

-19.89%

D

0.53%

91.24

315

BIIB

-19.12%

C

4.63%

80.16

135563

FANG

-18.90%

C

1.76%

49.60

21163

MSG

-17.91%

D

7.65%

76.98

1283

EXPR

-17.65%

C

-1.98%

12.70

5793