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The Rally Continues as S&P 500 Makes Record High

Sep 20, 2018

Commentary: Equities are rallying today as several indexes make new record highs. Currently, the S&P is +.76%, the Russell is +.62%, and the Nasdaq is leading the way, +1%. Bonds are bouncing slightly after this week’s sell-off with TLT +.41% and the 10-year yield down to 3.06%. Gold is little changed. Crude is down slightly, while Nat Gas is rallying again, +2.5%. Energy ETF’s are little changed. Volatilities are lower with the VIX -1.3% to 11.60, RVX -4.4% to 13.58, and VXN -3.2% to 16.36.

 

 

ETF 30d volatility changes

SPY:        -1%

IWM:      -5%

QQQ:      -5%

 

Directional:

Bullish

GE 24,000 Nov 14 calls trade (ref. 12.44)

VIPS Buyer 5,000 Jan 8 calls (ref. 6.41)

CMCSA Buyer 3,000 Nov 37.5 calls (ref. 37.40)

CZR Seller 6,000 Dec 9 puts to Buy 4,000 Dec 12 – 14 call spreads (ref. 10.93)

FOXA Buyer 11,250 Apr 45 – 50 call spreads (ref. 44.69)

AXTA Seller 10,000 Apr 28 puts to Buy 10,000 Apr 32 – 38 call spreads (30.16)

Bearish

KO Seller 5,000 Oct 47 calls (ref. 46.34)

GPRO Buyer 5,024 Jan 7 puts (ref. 6.52)

SNAP Seller 27,000 Jan20 10 calls (ref. 9.04)

F Buyer 9,000 Jun 8 puts (ref. 9.83)

 

Macro:

Bullish

XLF Seller 35,000 Sep 29 calls to Buy 35,000 Oct 30 calls (ref. 29.00)

FXI Buyer 30,000 Oct 44 calls (ref. 42.70)

EWZ Seller 7,500 Jan20 25 puts to Buy 7,500 Jan20 38 calls (ref. 32.72)

SPY Buyer 25,000 Dec 31st 320 – 330 call spreads (ref. 293.14)

LQD Seller 10,000 Oct 113 puts and Seller 15,000 Oct 112 puts (114.67)

Bearish

XLE Buyer 5,242 Mar 29th 53 puts (ref. 75.20)

XAU Buyer 10,000 Oct 65 puts (ref. 66.47)

EEM Buyer 10,000 Dec 42 – 38 1x2 put spreads (ref. 42.84)

 

Financing Trades:

EBAY 7,500 Nov 41 RC trade (ref. 34.05)

AABA 12,000 Sep – Oct 70 JR trade (ref. 68.20)

IEF 20,000 Oct 101 RC trade (ref. 101.01)

 

 

 

Upcoming Earnings:

 

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

Average Daily Vega

MU

9/20/2018

7.0

5.6

24.6%

A

1569695

KBH

9/25/2018

7.1

5.6

26.1%

C

8877

NKE

9/25/2018

4.8

4.9

-2.0%

D

262708

FDS

9/25/2018

4.1

4.6

-11.4%

A

6311

KMX

9/26/2018

5.3

5.6

-6.7%

C

19866

BBBY

9/26/2018

9.8

9.2

6.1%

D

22084

CCL

9/27/2018

3.2

2.9

12.1%

B

40856

CAG

9/27/2018

3.4

2.8

20.9%

C

7054

MKC

9/27/2018

4.2

4.0

6.6%

B

9479

MTN

9/28/2018

4.2

3.6

17.4%

C

6998

USAT

9/28/2018

8.5

7.3

16.7%

C

4674

PEP

10/2/2018

1.9

1.3

43.7%

B

95927

PAYX

10/2/2018

3.3

2.3

44.1%

B

15152

LEN

10/3/2018

5.4

4.1

32.0%

D

29817

AYI

10/3/2018

7.8

9.5

-18.1%

C

8410

STZ

10/4/2018

4.4

4.5

-1.4%

B

437756

COST

10/4/2018

2.8

2.7

5.8%

C

332970

FAST

10/10/2018

4.8

5.4

-11.2%

B

11272

WBA

10/11/2018

3.5

4.0

-12.3%

B

68925

BLK

10/11/2018

1.9

1.7

12.9%

B

51465

DAL

10/11/2018

3.3

2.1

53.0%

D

81052

C

10/12/2018

1.0

1.5

-31.1%

C

375947

JPM

10/12/2018

0.9

1.3

-33.3%

C

466014

WFC

10/12/2018

1.9

1.9

2.1%

C

390972

PNC

10/12/2018

2.3

1.0

133.3%

C

22493

CE

10/15/2018

5.3

2.9

86.3%

A

3779

BAC

10/15/2018

1.5

1.4

5.4%

C

663998

SCHW

10/15/2018

2.3

1.7

35.9%

C

28398

OMC

10/16/2018

6.8

3.9

74.5%

C

15136

NFLX

10/16/2018

7.0

8.0

-12.1%

C

3283967

DPZ

10/16/2018

4.5

4.7

-4.4%

B

28066

SONC

10/16/2018

2.9

4.6

-37.2%

A

10107

CMA

10/16/2018

1.8

2.3

-25.3%

C

11428

GS

10/16/2018

1.5

1.9

-23.5%

C

560635

IBKR

10/16/2018

2.8

2.4

13.1%

D

10804

MS

10/16/2018

2.0

1.7

14.3%

D

119335

PGR

10/16/2018

2.7

1.9

42.8%

B

12615

JNJ

10/16/2018

2.0

2.7

-23.3%

B

304474

UNH

10/16/2018

1.9

2.6

-27.6%

A

239771

GWW

10/16/2018

7.3

8.8

-16.9%

B

40975

JBHT

10/16/2018

2.7

2.5

5.2%

B

8700

CSX

10/16/2018

4.0

4.6

-13.9%

A

81860

IBM

10/16/2018

3.6

4.7

-24.2%

C

283120

LRCX

10/16/2018

2.3

4.1

-43.2%

C

207145

CREE

10/16/2018

7.5

7.2

4.2%

D

7794

 

 

Volatility Standouts:

 

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

PK

73.51%

C

-0.06%

21.74

169

PF

73.33%

B

-0.04%

13.83

1583

CLVS

72.45%

D

0.41%

98.81

3138

SABR

67.69%

C

-1.75%

33.60

1819

XRX

66.01%

D

-0.13%

81.42

26059

NWSA

65.68%

D

-0.81%

78.66

6609

STAY

64.60%

B

-5.03%

27.27

372

AXTI

62.98%

C

-2.90%

60.87

364

RMBS

60.97%

D

-0.70%

75.10

593

TSRO

57.03%

D

-2.89%

97.23

9118

FTV

56.85%

B

-1.29%

98.42

431479

GBT

55.60%

F

-1.79%

54.94

10794

EW

55.25%

C

-0.84%

79.05

27677

DRI

54.70%

B

-6.23%

99.60

27191

TIVO

53.37%

C

-3.41%

82.21

1778

DF

51.54%

C

-2.06%

79.45

2267

ETFC

50.87%

C

-0.51%

99.21

76205

BOJA

50.23%

C

-3.45%

96.84

176

KIRK

48.32%

F

-1.03%

92.89

109

CDK

46.37%

A

-2.81%

61.66

5732

ZAYO

43.88%

C

0.00%

4.35

4776

PTCT

43.68%

D

-7.49%

89.68

2548

GLUU

42.40%

D

-2.13%

66.01

749

SRCL

41.25%

D

0.14%

51.78

2619

 

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

IDTI

-65.91%

C

-0.06%

0.79

28226

LPNT

-52.41%

C

-0.04%

0.00

304

DY

-42.73%

F

0.41%

37.55

1906

ESRX

-42.12%

A

-1.75%

1.19

57298

VKTX

-40.65%

F

-0.13%

53.37

13705

EXAS

-39.57%

F

-0.81%

56.52

22070

NVRO

-39.14%

F

-5.03%

93.68

2165

USG

-35.53%

C

-2.90%

1.58

963

DNB

-33.00%

B

-0.70%

10.28

7273

MO

-32.58%

A

-2.89%

45.06

196278

ATHN

-32.08%

B

-1.29%

26.48

66659

MMC

-31.98%

C

-1.79%

22.92

2715

SKX

-31.66%

D

-0.84%

83.79

8409

BIIB

-26.53%

C

-6.23%

56.52

98710

CA

-25.10%

A

-3.41%

3.97

1958

MAN

-24.79%

C

-2.06%

91.70

2266

RRGB

-23.55%

D

-0.51%

38.74

1215

AVGO

-23.08%

B

-3.45%

13.83

712885

URI

-21.77%

A

-1.03%

45.06

93484

BKS

-21.62%

D

-2.81%

27.67

3058

UNP

-21.04%

A

0.00%

22.13

183760

IBM

-20.45%

C

-7.49%

35.57

283120

SONO

-19.82%

F

-2.13%

46.67

11563

ATVI

-19.59%

C

0.14%

39.53

181915