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Equities Led Higher by Technology Stocks

Sep 13, 2018

Commentary: Equities are higher today being led by tech names, and even more specifically Apple, a day after the new iPhone release. Currently, the S&P is +.55%, the Russell is +.1%, and the Nasdaq is +1.1% with AAPL +2.9%. Bonds are rallying with TLT +.43% and the 10-year yield falling to 2.953%. Energy is reversing yesterday’s strong gains with WTI crude -2.3%, though Energy ETF’s are little changed, being helped by the overall market. Gold was up earlier, but has since reversed and is now -.22% with the miners down as well -.12%. Tech, Health Care, and Utilities are leading sectors, while Retail and Consumer Staples are laggards. Volatilities are lower with the VIX -4.7% to 12.52, RVX -2.7% to 14.47, and VXN -5% to 16.60.

 

ETF 30d volatility changes

SPY:        -5%

IWM:      -3%

QQQ:      -6%

 

Directional:

Bullish

P Seller 11,705 Sep 28th 9.5 calls to Buy 11,705 Sep 28th 10.5 calls (rolls up, ref. 10.00)

CZR Buyer 14,236 Dec 11 calls (ref. 10.62)

MGM Buyer 10,000 Nov 28 calls (ref. 27.42)

SGMS Buyer 5,000 Jan20 50 calls (ref. 28.35)

BSX Buyer 3,000 Nov 38 calls (ref. 37.60)

PDD 7,900 Sep 25 and 30 calls trade (ref. 26.98)

CVS Seller 2,500 Oct 75 – 80 call spreads to Buy 2,500 Oct 80 – 85 call spreads (ref. 77.64)

Bearish

GNC Jan 2.5 puts trade (ref. 3.44)

AABA Buyer 10,000 Oct 60 – 50 put spreads (appears to be closing, ref. 68.30)

BAC Seller 4,000 Nov 33 calls to Buy 4,000 Nov 27 puts (ref. 30.26)

 

Macro:

Bullish

FXI Seller 15,630 Jan 40 puts (ref. 41.90)

EEM Buyer 10,000 Sep 42 calls (ref. 41.89)

EEM Buyer 60,000 Sep 42.5 calls (ref. 41.96)

Bearish

XLF Seller 5,000 Jan 30 calls (ref. 28.19)

EEM Buyer 12,000 Nov 39 puts (ref. 41.90)

VIX 35,400 Dec 37.5 calls trade (ref. 15.25)

QQQ Buyer 27,200 Oct 26th 170 puts (ref. 184.40)

 

Financing Trades:

INTC 30,000 Sep 45 – Oct 42 JR trade (ref. 45.19)

 

 

 

Upcoming Earnings:

 

 

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

Average Daily Vega

ADBE

9/13/2018

4.0

3.2

25.6%

A

506659

PLAY

9/14/2018

9.4

7.1

33.9%

C

11728

FDX

9/17/2018

3.3

3.1

4.8%

A

187302

ORCL

9/17/2018

5.4

6.4

-16.2%

C

116149

CBRL

9/18/2018

4.1

3.9

4.7%

A

10511

AZO

9/18/2018

5.6

5.3

4.1%

C

63837

GIS

9/18/2018

4.1

3.0

36.4%

B

24297

CPRT

9/19/2018

4.7

4.2

11.6%

B

4115

RHT

9/19/2018

8.3

6.6

26.8%

C

112641

USAT

9/19/2018

8.9

7.3

21.7%

C

3487

THO

9/20/2018

9.2

6.5

42.6%

D

9134

LEN

9/20/2018

6.6

4.0

67.0%

D

29615

DRI

9/20/2018

5.6

6.7

-16.5%

B

10525

MU

9/20/2018

7.4

5.6

32.2%

A

1572734

KBH

9/25/2018

8.6

5.6

52.9%

C

4433

NKE

9/25/2018

5.1

4.9

4.8%

D

260042

CCL

9/25/2018

4.2

2.9

45.4%

B

30580

FDS

9/25/2018

4.5

4.6

-2.9%

A

8682

CTAS

9/25/2018

5.5

4.3

27.9%

B

2450

JBL

9/25/2018

6.4

5.9

9.6%

B

2403

KMX

9/26/2018

5.9

5.6

4.2%

C

13082

BBBY

9/26/2018

10.4

9.2

12.6%

D

5992

CAG

9/27/2018

4.1

2.8

48.3%

C

9745

MKC

9/27/2018

4.8

4.0

21.1%

B

7754

MTN

9/28/2018

4.8

3.6

34.1%

C

6738

SFIX

10/1/2018

18.2

16.1

13.5%

F

26841

PEP

10/2/2018

2.5

1.3

85.2%

B

97089

PAYX

10/2/2018

3.9

2.3

69.8%

B

15734

AYI

10/3/2018

9.5

9.5

-0.7%

C

10652

STZ

10/4/2018

4.1

4.5

-8.3%

B

274383

COST

10/4/2018

3.6

2.7

33.7%

C

324120

FAST

10/10/2018

5.8

5.4

7.1%

B

9663

WBA

10/11/2018

3.8

4.0

-5.1%

B

54756

BLK

10/11/2018

3.8

1.7

120.0%

B

64883

DAL

10/11/2018

4.6

2.1

113.7%

D

101757

C

10/12/2018

3.3

1.5

120.0%

C

387307

JPM

10/12/2018

3.1

1.3

133.3%

C

385943

WFC

10/12/2018

3.4

1.9

84.3%

C

207318

PNC

10/12/2018

3.6

1.0

259.0%

C

40196

 

 

Volatility Standouts:

 

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

DECK

74.74%

D

-2.24%

72.73

2442

EXTR

74.51%

C

-0.75%

94.07

97209

CTXS

73.54%

C

-0.32%

30.04

823

CARS

72.84%

F

-2.15%

71.94

291107

ALLY

71.98%

C

6.62%

76.68

35701

DLR

71.51%

D

-2.39%

12.25

1092

AVY

71.47%

C

-0.19%

17.79

2519

CSOD

71.43%

D

-4.41%

18.18

90098

DF

71.39%

C

-3.54%

35.57

8117

COUP

70.59%

F

-0.54%

55.73

53192

STWD

70.40%

C

0.56%

73.52

274383

WU

70.21%

C

-3.15%

79.05

69501

AMC

68.80%

B

1.46%

17.79

1642

BCOR

68.73%

B

0.82%

23.32

18905

MAT

68.58%

C

1.72%

49.41

1773

BMS

67.53%

B

-1.34%

13.83

100405

FFIV

67.51%

B

-1.77%

60.47

366

ADM

67.25%

C

-2.38%

30.83

34072

VST

66.82%

C

0.84%

47.83

5130

BERY

66.56%

C

-1.14%

15.02

20354

AVB

65.51%

B

-1.87%

41.90

650576

BOOT

65.37%

C

0.00%

54.94

43474

ASH

65.09%

D

-2.18%

19.76

43976

PLAY

64.90%

C

-0.99%

9.49

12660

 

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

LPNT

-66.44%

C

-2.24%

37.15

2725

IDTI

-39.72%

C

-0.75%

41.90

8340

SKX

-30.58%

D

-0.32%

56.13

169492

DY

-30.39%

F

-2.15%

58.50

1828065

ATHN

-27.98%

B

6.62%

21.74

2769

EXAS

-27.61%

F

-2.39%

11.86

8357

CA

-25.24%

A

-0.19%

53.36

10270

NVRO

-24.54%

F

-4.41%

38.34

18832

EA

-22.98%

C

-3.54%

93.98

1158

GME

-22.12%

D

-0.54%

77.87

9485

SGMO

-20.71%

D

0.56%

99.21

47894

BKS

-17.23%

D

-3.15%

75.49

803

HSIC

-14.12%

C

1.46%

15.42

1669

KLAC

-13.06%

A

0.82%

83.40

22569

PYPL

-13.02%

C

1.72%

62.06

13913

LOCO

-12.72%

B

-1.34%

49.41

9586

FANG

-12.37%

C

-1.77%

66.01

9663

IBM

-12.26%

C

-2.38%

8.30

12151

URBN

-9.59%

C

0.84%

67.98

79929

IEP

-9.44%

B

-1.14%

72.73

61410

DVA

-8.64%

D

-1.87%

12.65

117660

ETP

-8.57%

D

0.00%

52.57

17403

WYNN

-8.54%

C

-2.18%

19.76

106443

SNBR

-8.52%

D

-0.99%

70.36

18972