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Equities Mixed in Light Trading

Sep 21, 2018

Commentary: Equities are mixed today and off earlier highs with strength in energy and emerging markets, but weakness in small caps and tech. Currently, the S&P is +.18%, the Nasdaq is unchanged, and the Russell is -.3%.  Biotech is generally weak as well with IBB -.3% and XBI -1.3%. Energy is rallying even as WTI Crude is unchanged with XOP +.55% and XLE +.31%. Emerging markets are generally strong despite the strong dollar, led by Brazil’s +2.77% gain. Bonds are slightly lower. Gold is -.92%. Volatilities are mixed to lower with the VIX -6% to 11.10, RVX +.5% to 13.47, and VXN -3% to 15.68.

 

ETF 30d volatility changes

SPY:        -5%

IWM:      unch

QQQ:      -5%

 

Directional:

 

Bullish

TER Seller 5,000 Oct 40 calls to Buy 5,000 Jan 40 calls (rolls out, ref. 38.18)

AMBA Buyer 3,400 Oct 42.5 calls trade (ref. 37.98)

BAC Buyer 10,000 Feb 33 calls (ref. 31.05)

ZION Buyer 7,360 Oct 55 calls (ref. 52.14)

CL Seller 3,500 Oct 65 puts to Buy 3,500 Oct 72.5 calls (ref. 69.02)

JNJ Buyer 6,492 Jan 140 – 145 call spreads (ref. 142.10)

 

Bearish

FOXA Buyer 3,000 Apr 40 puts (ref. 44.60)

SPPI 2,800 Oct and Nov 20 puts trade (ref. 21.27)

SYF Buyer 6,000 Oct 5th 33 puts (ref. 33.76)

RIG Seller 50,000 Jan 11 puts to Buy 50,000 Jan 12 puts (rolls up, ref. 13.24)

 

Macro:

Bullish

XLB Seller 6,600 Oct 60 calls to Buy 16,000 Oct 26th 61.5 calls (ref. 60.62)

EEM Buyer 27,000 Dec 31st 47 calls (ref. 43.17)

 

Bearish

FXI 30,000 Dec 38 puts trade (ref. 43.34)

VIX 116,000 Dec 17 calls trade (ref. 15.15)

EWZ 10,800 Nov 29 puts trade (ref. 33.42)

RSX Seller 14,300 Nov 22 calls (maybe closing, ref. 21.07)

EEM Buyer 15,000 Oct 41 puts (ref. 43.15)

XAU Buyer 10,000 Oct 65 puts (ref. 66.57)

 

Financing Trades:

EEM 24,180 Sep 43 RC trade (ref. 43.13)

FTV 27,000 Oct 110 RC trade (ref. 88.01)

FB 6,000 Oct 165 RC trade (ref. 164.72)

BABA 4,550 Sep – Oct 155 JR trade (ref. 166.81)

 

 

 

Upcoming Earnings:

 

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

Average Daily Vega

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