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Equities Rally Despite Increased Trade Tensions

Sep 18, 2018

Commentary: Equities are rallying despite increased trade tensions, led by tech stocks which are bouncing following yesterday’s relatively sharp sell-off. Currently, the S&P is +.63%, the Russell is +.48%, and the Nasdaq is +1.1% with AMZN (+2.3%) and NFLX (+3.8%) notable gainers.  Energy is in the green with WTI Crude +.8% and natural gas rallying +2.7%. Energy stocks are seeing gains as well with XOP +1.15% and XLE +.76%. Gold is slightly lower. Bonds are getting hit with TLT -.9% as yields rise 3% - the 10-year yield is currently 3.04%. Volatilities are lower with the VIX -6% to 12.87, RVX -3% to 14.54, and VXN -7% to 17.22.

 

 

ETF 30d volatility changes

SPY:        -5%

IWM:      -3%

QQQ:      -8%

 

Directional:

Bullish

DLTR Buyer 3,500 Oct 87.5 calls (ref. 85.33)

ETE Buyer 5,000 Nov 18 calls (ref. 17.42)

GIS Seller 15,000 Oct 55 calls (likely closing ref. 44.02)

GIS Buyer 15,000 Apr 47.5 calls (ref. 43.80)

SGMS Seller 10,000 Jan 70 calls to Buy 15,000 Jan20 30 calls (ref. 25.75)

NSC Buyer 5,000 Nov 2nd 190 – 200 call spreads (ref. 185.68)

GGB Buyer 10,000 Dec 4 calls (ref. 3.94)

Bearish

PBR Seller 72,000 Sep 11.5 calls (likely closing, ref. 11.04)

MDT Buyer 7,500 Oct 92.5 puts (ref. 96.66)

CTRP Buyer 4,000 Oct 36 puts (ref. 37.58)

SEAS Buyer 10,000 Dec 27 puts to Sell 20,000 Dec 22 puts (ref. 31.22)

ABT Buyer 5,000 Oct 65 puts (ref. 68.29)

 

Macro:

Bullish

EWZ Buyer 25,000 Nov 37 – 39 call spreads (ref. 32.31)

EWJ Buyer 5,000 Oct 61 calls (ref. 59.19)

XLF Buyer 10,000 Oct 29 calls (ref. 28.21)

Bearish

HYG Buyer 20,000 Oct 26 puts (ref. 86.32)

SPY Buyer 15,000 Oct 275 – 265 – 255 put flies (ref. 291.08)

 

Financing Trades:

HYG 6,000 Oct 95 RC trade (ref. 86.34)

 

 

Upcoming Earnings:

 

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

Average Daily Vega

CPRT

9/19/2018

4.9

4.2

16.3%

B

7162

RHT

9/19/2018

7.9

6.6

20.7%

C

87082

USAT

9/19/2018

10.1

7.3

38.0%

C

3818

THO

9/20/2018

7.7

6.5

19.7%

D

44573

DRI

9/20/2018

5.6

6.7

-16.1%

B

15710

MU

9/20/2018

6.9

5.6

24.4%

A

1538049

KBH

9/25/2018

7.7

5.6

36.3%

C

7993

NKE

9/25/2018

4.9

4.9

0.2%

D

285698

CCL

9/25/2018

3.9

2.9

35.7%

B

33991

FDS

9/25/2018

4.2

4.6

-8.1%

A

6850

KMX

9/26/2018

5.8

5.6

2.2%

C

16475

BBBY

9/26/2018

10.1

9.2

9.2%

D

17363

CAG

9/27/2018

4.0

2.8

45.8%

C

8334

MKC

9/27/2018

4.7

4.0

18.9%

B

8801

MTN

9/28/2018

4.6

3.6

29.0%

C

7343

SFIX

10/1/2018

18.0

16.1

11.9%

F

46146

LEN

10/2/2018

6.0

4.0

50.5%

D

29745

PEP

10/2/2018

2.2

1.3

67.5%

B

93492

PAYX

10/2/2018

3.7

2.3

61.3%

B

15347

AYI

10/3/2018

8.7

9.5

-8.6%

C

9094

STZ

10/4/2018

4.4

4.5

-1.9%

B

275568

COST

10/4/2018

3.1

2.7

18.1%

C

335574

FAST

10/10/2018

5.6

5.4

3.8%

B

9940

WBA

10/11/2018

3.9

4.0

-2.4%

B

52654

BLK

10/11/2018

3.4

1.7

101.8%

B

53725

DAL

10/11/2018

4.1

2.1

90.6%

D

86987

C

10/12/2018

3.0

1.5

98.3%

C

320023

JPM

10/12/2018

3.0

1.3

122.5%

C

379130

WFC

10/12/2018

2.9

1.9

56.8%

C

375381

PNC

10/12/2018

3.3

1.0

236.3%

C

27869

CE

10/15/2018

6.8

2.9

137.3%

A

4546

BAC

10/15/2018

3.5

1.4

155.9%

C

575064

SCHW

10/15/2018

4.4

1.7

156.1%

C

31003

OMC

10/16/2018

7.5

3.9

92.7%

C

14406

NFLX

10/16/2018

7.5

8.0

-6.0%

C

3340249

DPZ

10/16/2018

5.4

4.7

14.5%

B

30878

SONC

10/16/2018

4.7

4.6

1.9%

A

10316

CMA

10/16/2018

3.6

2.3

51.9%

C

10552

GS

10/16/2018

3.7

1.9

91.2%

C

471117

IBKR

10/16/2018

4.7

2.4

93.6%

D

11014

MS

10/16/2018

4.2

1.7

141.9%

D

111132

PGR

10/16/2018

3.7

1.9

94.9%

B

12143

JNJ

10/16/2018

2.3

2.7

-12.6%

B

306488

UNH

10/16/2018

3.1

2.6

17.4%

A

218139

GWW

10/16/2018

8.2

8.8

-7.2%

B

35051

JBHT

10/16/2018

4.2

2.5

68.1%

B

9476

CSX

10/16/2018

5.2

4.6

13.6%

A

77136

IBM

10/16/2018

4.2

4.7

-12.1%

C

262091

LRCX

10/16/2018

3.9

4.1

-5.2%

C

248840

CREE

10/16/2018

8.9

7.2

23.6%

D

8449

MLNX

10/16/2018

11.0

3.3

230.8%

C

2812

 

 

Volatility Standouts:

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

STWD

73.57%

C

-0.24%

17.46

1253

SGEN

73.41%

F

-1.01%

14.29

1694

USG

73.20%

C

-4.10%

11.90

900

SYMC

73.10%

F

-0.22%

96.83

21872

EXTR

72.43%

C

-1.22%

87.30

2693

KIRK

72.41%

F

-6.60%

89.68

137

EW

71.28%

C

-0.34%

67.46

24484

STAY

70.55%

B

-2.89%

13.89

326

GBT

69.84%

F

-0.04%

42.86

8090

RMBS

69.41%

D

-1.74%

88.89

411

KBR

68.38%

F

-0.83%

10.71

544

SC

67.74%

D

-1.51%

29.76

2953

AET

67.54%

C

0.97%

2.78

46955

DLR

67.16%

D

-2.55%

10.71

3424

VUZI

66.65%

D

-3.59%

14.68

342

MAT

66.47%

C

-0.54%

22.62

4156

ASH

65.76%

D

-1.51%

9.52

2371

GRA

65.45%

A

-1.93%

16.27

2621

CARS

65.00%

F

-2.39%

47.62

1400

SNV

64.86%

C

0.00%

42.06

1078

AMG

64.26%

C

-2.59%

55.56

2780

ADM

64.16%

C

-0.72%

3.97

27775

MIC

64.16%

C

-1.59%

34.13

1950

COMM

64.03%

C

5.69%

56.75

409

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

DY

-34.31%

F

-0.24%

34.13

6236

NVRO

-33.99%

F

-1.01%

92.46

2594

SKX

-29.26%

D

-4.10%

88.10

8676

EXAS

-29.18%

F

-0.22%

53.17

29502

ESRX

-26.57%

A

-1.22%

0.00

79984

MO

-24.78%

A

-0.30%

39.68

204649

GME

-20.52%

D

-6.60%

43.25

32555

ATHN

-19.70%

B

-0.34%

30.56

48680

BKS

-17.11%

D

-2.89%

17.46

3348

CA

-16.44%

A

-0.04%

11.55

2347

KLAC

-15.58%

A

-1.74%

74.60

23329

IBM

-13.67%

C

-0.83%

50.79

262091

LOCO

-13.01%

B

-1.51%

38.49

803

KEX

-12.70%

C

0.97%

48.41

1565

RRGB

-11.73%

D

-2.55%

25.79

1313

SGMO

-11.71%

D

-3.59%

60.71

14132

WYNN

-11.69%

C

-0.54%

79.37

505339

URBN

-11.34%

C

-1.51%

12.30

10911

BIIB

-9.31%

C

-1.93%

73.41

102827

TAP

-9.04%

A

-2.39%

89.68

12842

ADTN

-8.69%

D

0.00%

66.27

444

URI

-8.14%

A

-2.59%

80.16

86889

DIN

-7.91%

A

-0.72%

65.87

3682

UAL

-7.77%

C

-1.59%

14.29

187009