blog

Latest from the Quantamize Blog

Equities Lower on Continued Trade Concerns

Sep 17, 2018

Commentary: Equities are in the red with tech a laggard today as trade fears continue to linger. Currently, the S&P is -.26%, the Russell is -.56%, and the Nasdaq is -.88%. FAANG names are notably weak with AMZN -2.3%, AAPL -1.8%, NFLX -2.4% and GOOG -1.1%. Staples, Industrials, and energy are outperforming sectors. Bonds are up slightly. Gold is rallying with GLD +.75% and GDX +2.3%. Energy prices are rallying today with WTI +.8%. Energy ETFs are in the green as well with XOP +.1% and XLE +.3%. Volatilities are higher with the VIX +6% to 12.79, RVX +4.4% to 14.24, and VXN +6% to 17.07.

 

 

ETF 30d volatility changes

SPY:        +1%

IWM:      +3%

QQQ:      +4%

 

Directional:

Bullish

INTC Seller 9,000 Nov 2nd 42 puts to Buy 9,000 Nov 2nd 46 – 49 call spreads (ref. 45.47)

PBR Buyer 13,250 Dec 13 – 15 call spreads (ref. 10.79)

GE 10,300 Sep 13 and Nov 14 calls trade (ref. 12.79)

AR Buyer 8,500 Nov 22.5 calls (ref. 18.86)

CI Buyer 12,271 Jan 220 calls (ref. 197.56)

F Buyer 50,000 Jan20 10 calls (ref. 9.54)

FB Buyer 4,000 Jun20 245 calls (ref. 160.34)

SNAP 25,000 Jan20 10 calls trade (ref. 9.32)

SNAP Buyer 15,000 Oct 10 calls (ref. 9.32)

BBBY Buyer 8,700 Nov 20 calls (ref. 19.42)

Bearish

SWKS Buyer 7,600 Oct 87.5 puts (ref. 86.73)

MO Seller 11,100 Sep 63 calls (ref. 62.39)

KHC Seller 20,000 Oct 62.5 calls to Buy 20,000 Apr 62.5 calls (rolls out, ref. 58.12)

COTY Seller 5,000 Jan 14 calls (ref. 12.13)

KR Buyer 5,516 Jan 30 puts (ref. 28.53)

 

Macro:

Bullish

GLD Buyer 7500 Mar 120 calls (ref. 113.96)

Bearish

EEM Buyer 18,000 Oct 42 puts to Sell 18,000 Nov 42 puts (rolls write, ref. 41.65)

 

Financing Trades:

AFSI 36,900 Sep – Oct 15 JR trade (ref. 14.48)

 

 

 

Upcoming Earnings:

 

 

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

Average Daily Vega

FDX

9/17/2018

2.7

3.0

-8.3%

A

191193

ORCL

9/17/2018

5.1

6.5

-21.2%

C

120531

CBRL

9/18/2018

4.1

3.8

8.4%

A

11799

AZO

9/18/2018

5.0

5.3

-7.0%

C

71581

GIS

9/18/2018

3.6

3.0

18.0%

B

25766

CPRT

9/19/2018

5.0

4.2

18.8%

B

4525

RHT

9/19/2018

7.9

6.6

20.5%

C

96128

USAT

9/19/2018

11.7

7.3

60.0%

C

3755

THO

9/20/2018

8.4

6.5

29.6%

D

42692

DRI

9/20/2018

5.7

6.7

-15.6%

B

11146

MU

9/20/2018

6.9

5.6

23.9%

A

1501157

KBH

9/25/2018

6.7

5.6

19.5%

C

7933

NKE

9/25/2018

4.6

4.9

-5.7%

D

273818

CCL

9/25/2018

3.5

2.9

21.1%

B

28336

FDS

9/25/2018

4.2

4.6

-7.8%

A

8036

CTAS

9/25/2018

4.9

4.3

14.5%

B

2424

KMX

9/26/2018

5.4

5.6

-4.3%

C

17187

BBBY

9/26/2018

9.3

9.2

0.1%

D

7444

CAG

9/27/2018

3.2

2.8

15.2%

C

8848

MKC

9/27/2018

4.3

4.0

8.8%

B

8603

MTN

9/28/2018

4.2

3.6

17.6%

C

6494

SFIX

10/1/2018

16.8

16.1

4.2%

F

44741

LEN

10/2/2018

5.3

4.0

34.9%

D

29547

PEP

10/2/2018

1.7

1.3

29.2%

B

95573

PAYX

10/2/2018

3.4

2.3

45.8%

B

15936

AYI

10/3/2018

8.2

9.5

-14.6%

C

8899

STZ

10/4/2018

3.8

4.5

-14.3%

B

240429

COST

10/4/2018

3.1

2.7

15.5%

C

335749

FAST

10/10/2018

4.8

5.4

-11.3%

B

9532

WBA

10/11/2018

3.3

4.0

-16.0%

B

52814

BLK

10/11/2018

2.8

1.7

62.7%

B

57367

DAL

10/11/2018

2.8

2.1

29.4%

D

87355

C

10/12/2018

2.4

1.5

59.2%

C

335192

JPM

10/12/2018

2.3

1.3

74.0%

C

393912

WFC

10/12/2018

2.0

1.9

9.6%

C

326201

PNC

10/12/2018

2.8

1.0

184.6%

C

26733

CE

10/15/2018

5.7

2.9

98.2%

A

4572

BAC

10/15/2018

2.7

1.4

92.7%

C

588708

SCHW

10/15/2018

3.3

1.7

91.2%

C

30639

 

 

Volatility Standouts:

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

KIRK

68.21%

F

-2.27%

91.70

176

COL

67.95%

A

-1.34%

98.81

48351

FTV

67.77%

B

7.57%

83.40

317452

SABR

65.66%

C

-1.24%

29.25

1870

XRX

64.48%

D

0.32%

85.77

21095

UNM

64.08%

B

-3.10%

97.23

11453

UNIT

64.05%

C

3.96%

88.93

23883

FTAI

62.45%

B

0.55%

39.53

76

NWSA

58.71%

D

-1.21%

80.63

4884

NCR

57.10%

C

-2.38%

26.09

5840

TIVO

56.19%

C

1.85%

67.98

1816

AXTA

54.30%

C

-5.48%

17.00

5299

CLVS

54.26%

D

-2.25%

99.21

3722

CTXS

53.64%

C

-0.91%

5.14

15276

CSOD

52.57%

D

-2.12%

22.92

750

VKTX

51.77%

F

-1.24%

92.00

3542

JNPR

50.59%

C

-0.92%

49.01

5248

SLM

49.65%

F

-2.42%

13.83

71

RMBS

47.77%

D

-0.90%

73.52

428

EVHC

47.61%

B

0.55%

8.30

863

AIZ

46.39%

C

0.00%

73.52

3464

BMS

46.17%

B

-6.26%

15.81

471

SYMC

44.39%

F

2.10%

98.42

24680

AMZN

44.28%

B

-3.08%

87.75

24263812

 

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

IDTI

-62.86%

C

-2.27%

1.58

39646

LPNT

-60.19%

C

-1.34%

6.32

262

DNB

-44.51%

B

7.57%

6.72

4170

DY

-40.70%

F

-1.24%

29.25

6414

NVRO

-38.52%

F

0.32%

93.28

2471

EXAS

-38.31%

F

-3.10%

28.46

25446

NRZ

-35.11%

D

3.96%

16.21

7158

ATHN

-33.25%

B

0.55%

19.37

43744

SKX

-32.35%

D

-1.21%

86.56

8327

MO

-31.76%

A

-2.38%

50.20

198711

BKS

-27.64%

D

1.85%

58.50

3631

GME

-27.63%

D

-5.48%

54.55

32681

SGMO

-25.70%

D

-2.25%

31.23

16006

LOCO

-25.44%

B

-0.91%

39.13

777

KLAC

-24.99%

A

-2.12%

73.12

22299

WYNN

-22.26%

C

-1.24%

80.63

504837

FANG

-21.68%

C

-0.92%

50.59

32715

ESRX

-21.51%

A

-2.42%

0.40

63339

BIIB

-21.42%

C

-0.90%

68.38

105509

ETP

-20.32%

D

0.55%

5.53

7956

URBN

-20.23%

C

0.00%

11.07

10582

KEX

-19.50%

C

-6.26%

37.55

1585

EROS

-18.77%

F

2.10%

14.23

1504

RRGB

-18.74%

D

-3.08%

37.55

1247