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Equities Roll over on Trump Tariff Comments

Sep 14, 2018

Commentary: Equities have been modestly higher most of the morning, however we saw a recent dip on reports that the Trump admin is still readying $200B in tariffs on Chinese goods despite talks. Currently, the S&P is -.11%, the Russell is +.33%, and the Nasdaq is -.4%. Strength is in financials and energy, with weakness in both Consumer Staples and Discretionary, and tech. Gold is -.5%. Energy is higher with WTI Crude +1.4% and energy ETFs both up .7%. Bonds are lower with TLT -.43% and the 10-year yield rising to 2.99%. Volatilities are lower with the VIX -.5% to 12.12, RVX -2.7% to 14.46, and VXN -.6% to 16.45.

 

 

ETF 30d volatility changes

SPY:        +1%

IWM:      -2%

QQQ:      +2%

 

Directional:

Bullish

MRVL 20,000 Jan 20 calls trade (ref. 18.75)

GE Seller 34,500 Oct 12 – 11 put spreads (ref. 12.42)

EDU Buyer 12,841 Nov 75 – 80 call spreads (ref. 71.58)

MLCO 4,700 Oct and Jan 22 calls trade (ref. 21.01)

YNDX Buyer 5,114 Jan20 50 calls (ref. 32.12)

DVN Buyer 25,000 Jan 44 – 46 call spreads (ref. 40.52)

THO Buyer 15,500 Dec 120 calls (appears to be closing, ref. 97.11)

NVS Buyer 4,100 Oct 87.5 calls (ref. 85.02)

Bearish

SEAS Buyer 10,000 Dec 27 puts (ref. 32.31)

Macro:

Bullish

FXI Seller 60,000 Dec 38 puts to Buy 60,000 Dec 44 – 48 call spreads (ref. 41.48)

GDX Buyer 5,000 Jan 21 calls (ref. 18.00)

Bearish

SPY Buyer 15,500 Oct 12th 275 – 265 – 255 put flies (ref. 291.16)

SPX Buyer 36,000 Sep 2175 puts (ref. 2907.58)

Financing Trades:

CBS 2,500 Oct 62.5 RC trade (ref. 56.02)

 

 

Upcoming Earnings:

 

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

Average Daily Vega

FDX

9/17/2018

2.9

3.1

-5.0%

A

190961

ORCL

9/17/2018

5.3

6.4

-17.7%

C

112937

CBRL

9/18/2018

4.3

3.9

8.9%

A

10164

AZO

9/18/2018

5.3

5.3

-0.4%

C

66897

GIS

9/18/2018

3.8

3.0

24.4%

B

25529

CPRT

9/19/2018

4.8

4.2

15.8%

B

4178

RHT

9/19/2018

8.2

6.6

24.7%

C

91533

USAT

9/19/2018

8.5

7.3

16.6%

C

3659

THO

9/20/2018

8.8

6.5

36.8%

D

8873

LEN

9/20/2018

6.1

4.0

54.4%

D

29161

DRI

9/20/2018

5.6

6.7

-16.7%

B

10129

MU

9/20/2018

7.4

5.6

32.7%

A

1583014

KBH

9/25/2018

8.2

5.6

46.6%

C

8713

NKE

9/25/2018

5.0

4.9

3.7%

D

276276

CCL

9/25/2018

4.0

2.9

38.8%

B

20042

FDS

9/25/2018

4.4

4.6

-5.0%

A

8189

KMX

9/26/2018

5.7

5.6

1.7%

C

14448

BBBY

9/26/2018

10.5

9.2

13.5%

D

7471

CAG

9/27/2018

3.9

2.8

38.8%

C

9567

MKC

9/27/2018

4.7

4.0

19.1%

B

8350

MTN

9/28/2018

4.7

3.6

31.5%

C

6690

SFIX

10/1/2018

16.5

16.1

2.4%

F

30152

PEP

10/2/2018

2.3

1.3

71.5%

B

96934

PAYX

10/2/2018

3.8

2.3

65.1%

B

15995

AYI

10/3/2018

8.9

9.5

-7.2%

C

9083

STZ

10/4/2018

4.0

4.5

-11.2%

B

254118

COST

10/4/2018

3.6

2.7

35.1%

C

290673

FAST

10/10/2018

5.5

5.4

1.5%

B

9633

WBA

10/11/2018

4.0

4.0

0.8%

B

53807

BLK

10/11/2018

3.4

1.7

100.3%

B

65555

DAL

10/11/2018

4.2

2.1

96.7%

D

101108

C

10/12/2018

3.1

1.5

105.3%

C

381769

JPM

10/12/2018

3.1

1.3

130.2%

C

413660

WFC

10/12/2018

3.0

1.9

59.3%

C

291471

PNC

10/12/2018

3.2

1.0

228.4%

C

37631

CE

10/15/2018

6.7

2.9

134.5%

A

4389

BAC

10/15/2018

3.6

1.4

161.9%

C

595622

SCHW

10/15/2018

4.4

1.7

154.7%

C

36284

OMC

10/16/2018

7.4

3.9

91.1%

C

8344

NFLX

10/16/2018

8.1

8.0

0.9%

C

3857832

DPZ

10/16/2018

5.9

4.7

25.8%

B

23863

SONC

10/16/2018

4.5

4.6

-2.1%

A

10133

CMA

10/16/2018

3.6

2.3

53.0%

C

11273

GS

10/16/2018

3.7

1.9

95.2%

C

456374

IBKR

10/16/2018

5.2

2.4

111.5%

D

10780

MS

10/16/2018

4.4

1.7

157.2%

D

119788

PGR

10/16/2018

4.0

1.9

114.1%

B

11555

JNJ

10/16/2018

2.5

2.7

-4.6%

B

289845

UNH

10/16/2018

3.1

2.6

18.5%

A

223624

GWW

10/16/2018

8.1

8.8

-8.6%

B

33456

JBHT

10/16/2018

4.5

2.5

77.4%

B

10484

CSX

10/16/2018

5.4

4.6

16.7%

A

89560

IBM

10/16/2018

4.2

4.7

-12.2%

C

267887

LRCX

10/16/2018

3.9

4.1

-3.8%

C

265048

CREE

10/16/2018

9.1

7.2

26.3%

D

12860

MLNX

10/16/2018

10.5

3.3

216.6%

C

2811

 

 

Volatility Standouts:

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

KIM

74.00%

D

-0.51%

20.16

1189

TCS

73.21%

C

-0.19%

43.08

201

DECK

72.33%

D

-10.24%

46.25

6642

SRPT

71.96%

D

-1.60%

98.81

48674

DLR

71.86%

D

3.46%

10.67

3426

IDCC

71.84%

C

-2.89%

3.56

2619

RMBS

71.62%

D

3.95%

85.77

494

AXTI

71.53%

C

-2.22%

51.38

352

NYCB

70.39%

C

-1.58%

70.36

475

MIC

70.30%

C

0.26%

26.48

2037

MAT

68.30%

C

-1.40%

24.51

2903

AMG

67.52%

C

-2.68%

59.68

2059

CRAY

67.45%

C

-26.87%

30.43

544

GRA

66.99%

A

2.42%

29.64

7084

KAR

66.85%

A

0.13%

45.85

2429

USG

66.56%

C

-1.69%

3.95

663

LBRDK

66.11%

B

-16.70%

24.51

2135

AMC

65.80%

B

-2.33%

91.30

5861

ALLY

65.68%

C

-3.34%

29.64

5181

CARS

65.62%

F

-1.48%

41.50

1501

STWD

65.31%

C

-5.63%

5.93

1118

GLPI

65.05%

A

-2.25%

26.09

1794

COUP

64.03%

F

4.77%

23.72

17322

CNC

63.07%

C

-6.39%

13.44

11785

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

IDTI

-65.72%

C

-0.51%

0.79

39119

LPNT

-54.30%

C

-0.19%

3.56

248

ATHN

-37.66%

B

-10.24%

24.90

43347

CA

-34.34%

A

-1.60%

5.56

1762

NVRO

-32.17%

F

3.46%

91.30

2878

EXAS

-31.47%

F

-2.89%

22.13

26648

DY

-30.53%

F

3.95%

40.32

6917

SKX

-28.07%

D

-2.22%

93.68

8330

EA

-24.43%

C

-1.58%

74.31

1835161

DNB

-20.39%

B

0.26%

7.11

4138

GME

-19.49%

D

-1.40%

35.97

30692

MO

-19.04%

A

-2.68%

62.06

178654

DVA

-17.75%

D

-26.87%

65.61

31267

BKS

-17.53%

D

2.42%

17.79

3177

KLAC

-16.48%

A

0.13%

73.91

22477

SGMO

-16.37%

D

-1.69%

13.44

18516

FANG

-15.18%

C

-16.70%

58.50

30656

SNBR

-15.15%

D

-2.33%

47.83

1014

PYPL

-14.58%

C

-3.34%

52.17

297122

IBM

-14.04%

C

-1.48%

45.06

267887

TTS

-13.32%

D

-5.63%

56.92

37

LOCO

-12.95%

B

-2.25%

37.94

780

BIIB

-9.19%

C

4.77%

75.89

122229

EBAY

-8.95%

D

-6.39%

82.21

49523