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Equities are mixed after China Retaliation

Sep 19, 2018

Commentary: Equities are mixed after China retaliated with $60 billion in tariffs. Financials are strong while Technology is lagging. Currently, the S&P is +.15%, the Russell is -.03%, and the Nasdaq is -.30%. Energy is in the green with WTI Crude +1.2% and Sector ETF’s seeing gains with XOP +.93% and XLE +.44%. Gold is slightly stronger while bonds are getting hit with TLT -.5%. The 10-year yield sits currently at 3.074%. Volatilities are mixed with the VIX -7.5% to 11.82, RVX flat at 14.22, and VXN +.75% to 17.48.

 

ETF 30d volatility changes

SPY:        -4%

IWM:      -2%

QQQ:      -1%

 

Directional:

Bullish

INTC Seller 8,200 Nov 2nd 42 puts to Buy 8,200 Nov 2nd 47 – 51 call spreads (ref. 46.12)

BAC 24,978 Dec 33 calls trade (ref. 30.65)

AAL Seller 20,000 Jan 43 puts (ref. 41.62)

AXTA Buyer 10,000 Oct 34 calls (ref. 29.60)

WY Buyer 6,700 Jan 37 calls (ref. 34.01)

GS Buyer 4,116 Nov 255 calls (ref. 234.32)

Bearish

TEVA Buyer 10,000 Jan 22.5 puts (ref. 24.61)

GM Seller 16,400 Sep 38 puts to Buy 16,400 Oct 36 puts (rolls out and down, ref. 35.69)

 

Macro:

Bullish

FXI Buyer 10,000 Oct 45 – 47 call spreads (ref. 42.53)

EWZ Seller 10,000 Oct 32 puts to Buy 10,000 Oct 33 calls (ref. 32.73)

Bearish

SPY Buyer 16,190 Dec 275 – 265 put spreads (ref. 291.10)

VIX 30,000 Oct 17th 21 calls trade (ref. 14.38)

EEM Seller 60,000 Sep 42.5 calls (likely closing, ref. ref. 42.53)

EEM Seller 8,500 Dec 31st 48 calls (ref. 42.37)

EWZ Buyer 12,000 Nov 29 puts to Sell 18,000 Nov 25 puts (ref. 32.49)

 

Financing Trades:

TRI 10,000 Oct 60 RC trade (ref. 45.58)

IWM 8,000 Oct 175 RC trade (ref. 170.18)

 

 

 

 

Upcoming Earnings:

 

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

Average Daily Vega

RHT

9/19/2018

8.0

6.6

22.3%

C

93089

USAT

9/19/2018

11.3

7.3

54.5%

C

3908

THO

9/20/2018

7.9

6.5

22.6%

D

47403

DRI

9/20/2018

5.6

6.7

-16.4%

B

16053

MU

9/20/2018

6.9

5.6

22.9%

A

1623816

KBH

9/25/2018

7.2

5.6

27.6%

C

8545

NKE

9/25/2018

5.1

4.9

5.1%

D

268256

CCL

9/25/2018

3.5

2.9

22.0%

B

39111

FDS

9/25/2018

4.1

4.6

-11.4%

A

6829

CTAS

9/25/2018

5.2

4.3

21.1%

B

2295

KMX

9/26/2018

5.5

5.6

-2.9%

C

19809

BBBY

9/26/2018

10.3

9.2

11.0%

D

20554

CAG

9/27/2018

4.0

2.8

43.9%

C

7567

MKC

9/27/2018

4.6

4.0

15.7%

B

8765

MTN

9/28/2018

4.5

3.6

24.7%

C

7483

SFIX

10/1/2018

18.6

16.1

15.6%

F

41978

LEN

10/2/2018

5.7

4.0

44.7%

D

30182

PEP

10/2/2018

2.1

1.3

58.9%

B

101815

PAYX

10/2/2018

3.8

2.3

64.9%

B

15989

AYI

10/3/2018

8.6

9.5

-9.9%

C

9290

STZ

10/4/2018

4.6

4.5

3.4%

B

406591

COST

10/4/2018

3.1

2.7

16.5%

C

335995

FAST

10/10/2018

5.6

5.4

3.3%

B

11152

WBA

10/11/2018

3.8

4.0

-4.5%

B

53118

BLK

10/11/2018

3.4

1.7

100.5%

B

49775

DAL

10/11/2018

4.0

2.1

85.0%

D

81891

C

10/12/2018

2.8

1.5

86.4%

C

319034

JPM

10/12/2018

2.9

1.3

116.7%

C

374434

WFC

10/12/2018

2.7

1.9

45.0%

C

370159

PNC

10/12/2018

3.1

1.0

213.2%

C

21446

CE

10/15/2018

6.9

2.9

139.0%

A

4098

BAC

10/15/2018

3.2

1.4

135.1%

C

573146

SCHW

10/15/2018

4.1

1.7

138.7%

C

26042

OMC

10/16/2018

7.7

3.9

97.8%

C

15032

NFLX

10/16/2018

8.0

8.0

-0.3%

C

3452933

DPZ

10/16/2018

5.2

4.7

10.8%

B

31290

SONC

10/16/2018

4.7

4.6

1.9%

A

10120

CMA

10/16/2018

3.3

2.3

40.0%

C

10615

GS

10/16/2018

3.4

1.9

76.9%

C

474342

IBKR

10/16/2018

5.3

2.4

116.2%

D

11151

MS

10/16/2018

4.0

1.7

132.1%

D

112024

PGR

10/16/2018

3.4

1.9

82.5%

B

12464

JNJ

10/16/2018

2.4

2.7

-11.0%

B

321325

UNH

10/16/2018

3.0

2.6

12.7%

A

239303

GWW

10/16/2018

7.8

8.8

-11.9%

B

40210

JBHT

10/16/2018

4.3

2.5

70.1%

B

9087

CSX

10/16/2018

4.8

4.6

4.3%

A

84248

IBM

10/16/2018

4.1

4.7

-13.4%

C

267498

LRCX

10/16/2018

3.4

4.1

-15.9%

C

228140

CREE

10/16/2018

8.5

7.2

18.7%

D

8191

MLNX

10/16/2018

11.4

3.3

243.2%

C

1904

 

 

Volatility Standouts:

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

STWD

73.89%

C

-2.33%

16.21

1284

BMS

73.79%

B

0.46%

89.33

222

STAY

72.59%

B

-2.33%

31.23

376

FFIV

71.73%

B

1.18%

70.36

13554

UTHR

70.97%

D

-0.78%

34.39

837

CDK

70.80%

A

0.42%

63.64

4875

BOJA

70.31%

C

0.81%

67.19

174

PTCT

69.82%

D

0.27%

89.68

2539

DF

68.88%

C

-1.93%

66.40

903

MAT

68.52%

C

-0.79%

21.34

3659

NXST

67.84%

B

0.38%

45.45

3300

FSLR

67.39%

D

-1.78%

28.06

30639

DLR

66.48%

D

0.40%

10.67

2868

JNPR

65.83%

C

1.62%

35.18

6866

SC

65.20%

D

-3.07%

26.88

2669

SGEN

65.04%

F

-2.56%

6.72

1637

PPC

64.97%

D

-1.63%

35.97

3397

ASH

64.61%

D

-1.05%

9.88

2377

GRA

63.98%

A

-0.44%

30.43

3893

CARS

63.01%

F

0.00%

32.81

1453

ORLY

62.93%

B

0.36%

33.20

17234

KBR

62.76%

F

-3.70%

6.32

571

RES

62.71%

F

2.65%

63.64

685

TGT

62.53%

C

-1.58%

3.16

120282

 

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

LPNT

-70.47%

C

-2.33%

3.16

273

IDTI

-68.18%

C

0.46%

0.79

33659

DY

-35.18%

F

-2.33%

33.99

2037

SKX

-31.52%

D

-1.94%

85.77

9182

ATHN

-30.36%

B

1.18%

72.73

62224

EXAS

-29.71%

F

-0.78%

54.94

25819

NVRO

-29.35%

F

0.42%

92.09

2423

VKTX

-27.62%

F

0.81%

56.50

11420

MO

-25.64%

A

0.27%

38.34

202731

ESRX

-22.09%

A

-1.93%

0.40

77414

SVU

-22.04%

C

-0.79%

1.98

2567

COP

-21.67%

C

0.38%

42.69

67078

BKS

-21.65%

D

-1.78%

14.62

3231

GME

-20.18%

D

0.40%

95.26

31305

KLAC

-17.42%

A

1.62%

62.45

26772

IBM

-14.89%

C

-3.07%

46.64

267498

URI

-14.18%

A

-2.56%

39.53

86772

SGMO

-12.94%

D

-1.63%

30.83

10660

RRGB

-12.80%

D

-1.05%

43.87

1322

RST

-12.73%

C

-0.44%

28.46

617

WYNN

-12.61%

C

0.00%

76.68

430976

KMI

-12.46%

C

0.36%

18.58

25303

FANG

-12.36%

C

-3.70%

66.80

33604

URBN

-12.33%

C

2.65%

12.25

9535