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Equities Lower On Weakness in Technology Stocks

Sep 12, 2018

Commentary: Equities are in the red today, though off earlier lows after a news headline stating the US will return to trade talks with China. Tech is notably weak today, while energy is strong. Currently, the S&P is unchanged, the Russell is -.7%, and the Nasdaq is -.54%. Crude oil prices are rallying today after an EIA report that showed a major draw in crude inventories with WTI currently +2.2%. Energy ETF’s are higher as well with XOP +1.3% and XLE +.8%. Gold is in the green with GLD +.7% and GDX +2.8%. Bonds are higher as well with TLT +.3% on lighter than expected Producer Prices. Volatilities are little changed with VIX +.8% to 13.31, RVX +.5% to 15.15, and VXN +1% to 18.01.

 

ETF 30d volatility changes

SPY:        -1%

IWM:      unch

QQQ:      +1%

 

Directional:

Bullish

T 8,805 Apr 34 calls trade (ref. 33.14)

LPX Buyer 3,100 Sep 31 calls (ref. 31.49)

BAC Seller 10,00 Oct 29 puts (ref. 30.68)

AAL Buyer 10,500 Oct 37 calls (ref. 40.14)

SEAS Seller 15,000 Sep 29.5 calls to Buy 15,000 Oct 5th 31.5 calls (ref. 31.39)

RIG Buyer 13,400 Nov 14 calls (ref. 11.47)

SNAP Seller 6,000 Jan20 10 puts (ref. 8.96)

Bearish

SNAP Seller 6,000 Dec 12 calls (likely closing, ref. 8.96)

PZZA Seller 6,600 Sep 50 – 60 call spreads (likely closing, ref. 46.51)

FB Seller 7,200 Sep 175 puts to Buy 7,200 Oct 160 puts (ref. 162.22)

 

Macro:

Bullish

EEM 27,100 Oct 42.5 calls trade (ref. 41.11)

EWZ Buyer 40,000 Nov 42 calls (ref. 31.48)

EWZ Buyer 50,000 Nov 44 calls (ref. 31.22)

FXI Seller 7,500 Sep 40 puts to Buy 7,500 Sep 42 calls (ref. 40.76)

Bearish

SPY Buyer 24,000 Oct 250 puts (ref. 288.90)

XLF Buyer 5,00 Nov 27 – 24 puts spreads (28.17)

USO Buyer 8,775 Jan 13 puts (ref. 14.88)

XBI Seller 18,000 Sep 93 puts to Buy 9,000 Oct 102 – 95 – 87 put spread collars (ref. 95.74)

XAU Buyer 10,000 Sep 62.5 puts (ref. 63.55)

 

 

Financing Trades:

GLD 2,000 Oct 125 RC trade (ref. 30.45)

EEM 10,000 Oct 44 RC trade (ref. 41.54)

SN 7,500 Jan 4 RC trade (ref. 2.62)

HYG 10,000 Oct 95 RC trade (ref. 86.03)

 

 

 

Upcoming Earnings:

 

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

Average Daily Vega

PVTL

9/12/2018

23.1

33.0

-29.8%

F

6303

TLRD

9/12/2018

12.1

15.7

-22.6%

D

5649

ADBE

9/13/2018

3.7

3.2

18.2%

A

479052

KR

9/13/2018

6.9

8.2

-16.1%

D

59916

PLAY

9/14/2018

8.5

7.1

20.4%

C

11292

FDX

9/17/2018

3.2

3.1

3.0%

A

187571

ORCL

9/17/2018

5.4

6.4

-15.8%

C

124720

AZO

9/18/2018

5.4

5.3

1.6%

C

62128

CBRL

9/18/2018

3.9

3.9

-0.8%

A

8084

GIS

9/18/2018

4.1

3.0

36.1%

B

25041

CPRT

9/19/2018

5.3

4.2

25.9%

B

3851

RHT

9/19/2018

7.5

6.6

14.6%

C

116933

DRI

9/20/2018

5.7

6.7

-16.0%

B

10978

LEN

9/20/2018

6.2

4.0

56.5%

D

29152

MU

9/20/2018

7.3

5.6

30.3%

A

1486185

THO

9/20/2018

8.8

6.5

36.9%

D

10314

CCL

9/25/2018

4.2

2.9

45.0%

B

27658

CTAS

9/25/2018

5.2

4.3

20.7%

B

2790

FDS

9/25/2018

4.6

4.6

-0.1%

A

8666

JBL

9/25/2018

6.2

5.9

6.1%

B

2917

KBH

9/25/2018

7.6

5.6

34.5%

C

4398

NKE

9/25/2018

4.8

4.9

-1.8%

D

259320

BBBY

9/26/2018

9.9

9.2

7.6%

D

5097

KMX

9/26/2018

5.7

5.6

1.3%

C

13340

CAG

9/27/2018

3.7

2.8

34.9%

C

13591

MKC

9/27/2018

4.4

4.0

9.5%

B

7277

MTN

9/28/2018

4.2

3.6

17.1%

C

7129

USAT

9/28/2018

13.5

7.3

85.4%

C

3496

SFIX

10/1/2018

17.0

16.1

5.8%

F

25517

PAYX

10/2/2018

3.6

2.3

56.4%

B

6649

PEP

10/2/2018

2.2

1.3

64.6%

B

101761

AYI

10/3/2018

8.5

9.5

-11.4%

C

9205

COST

10/4/2018

3.5

2.7

31.8%

C

322578

STZ

10/4/2018

3.3

4.5

-26.7%

B

292952

FAST

10/10/2018

5.2

5.4

-3.0%

B

9922

BLK

10/11/2018

3.2

1.7

87.1%

B

66044

DAL

10/11/2018

3.6

2.1

69.5%

D

112095

WBA

10/11/2018

3.2

4.0

-18.6%

B

48181

C

10/12/2018

2.8

1.5

85.0%

C

395858

JPM

10/12/2018

2.5

1.3

87.5%

C

384093

PNC

10/12/2018

2.8

1.0

184.6%

C

37598

WFC

10/12/2018

2.9

1.9

54.8%

C

158158

 

 

Volatility Standouts:

 

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

PF

74.20%

B

-0.81%

11.86

215

XRX

73.83%

D

-1.25%

89.72

10854

FTAI

73.45%

B

-2.45%

45.85

74

SRCL

72.59%

D

3.16%

26.88

1989

SABR

71.96%

C

1.41%

24.90

1905

CFX

68.62%

D

-1.09%

34.39

548

EXTR

67.66%

C

-0.07%

100.00

2982

JNPR

63.32%

C

0.39%

54.94

11888

PX

63.14%

B

-0.11%

94.07

28304

CLVS

63.12%

D

1.25%

98.02

4021

VKTX

62.63%

F

-1.08%

91.28

5173

KIRK

60.44%

F

-1.13%

26.48

382

CARS

59.79%

F

-17.44%

36.36

1729

FHN

59.32%

C

-0.85%

12.25

255

MD

59.23%

C

0.55%

45.85

233

AIZ

58.57%

C

10.95%

73.91

1566

TIVO

57.41%

C

-1.34%

59.68

1687

SERV

57.40%

C

7.87%

49.01

2699

SLM

55.81%

F

-0.51%

12.25

57

COL

55.71%

A

-2.92%

73.91

101661

BERY

54.13%

C

-1.32%

83.00

4877

BMS

51.73%

B

0.86%

88.54

457

NCR

51.44%

C

0.55%

54.55

5666

PK

50.05%

C

-0.06%

16.60

319

 

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

LPNT

-58.24%

C

-0.81%

0.00

504

CA

-55.06%

A

-1.25%

2.78

1351

IDTI

-39.71%

C

-2.45%

0.00

32984

DY

-36.88%

F

3.16%

32.02

8296

EXAS

-34.11%

F

1.41%

20.16

78447

ATHN

-33.67%

B

-1.09%

23.72

36567

PI

-31.38%

D

-0.07%

64.43

431

SKX

-28.62%

D

0.39%

83.00

5152

NVRO

-27.52%

F

-0.11%

86.17

3049

GME

-26.54%

D

1.25%

7.51

24544

EA

-25.83%

C

-1.08%

61.26

1825339

SMCI

-25.67%

D

-1.13%

78.17

264

BKS

-25.40%

D

-17.44%

21.34

2803

FANG

-24.70%

C

-0.85%

57.31

22156

SNBR

-24.65%

D

0.55%

45.06

869

LOCO

-24.21%

B

10.95%

38.34

725

ETP

-23.97%

D

-1.34%

7.51

10538

PVTL

-23.38%

F

7.87%

98.96

6303

SGMO

-22.84%

D

-0.51%

22.53

20282

DVA

-22.03%

D

-2.92%

48.22

38424

KLAC

-21.66%

A

-1.32%

58.50

18796

BIIB

-20.07%

C

0.86%

77.47

135635

URBN

-19.17%

C

0.55%

11.86

12369

EROS

-18.48%

F

-0.06%

15.81

1663