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Equities Trade Lower on Trade Tensions

Sep 24, 2018

Commentary: Equities are in the red today as trade tensions continue to be an issue. Currently, the S&P is -.4%, the Russell is -.8%, and the Nasdaq is -.1% on outperformance from FAANG names. Energy is higher today as oil prices rise about $70 in WTI and $80 in Brent with both up over 2% today. Energy ETF’s are well in the green as well with XOP +2.11% and XLE +1.5%. Gold and the miners are up slightly after a bullish Barron’s feature this weekend. Bonds are down modestly. Industrials (-1.44%) and Consumer Staples (-1.5%) are the biggest laggards today. Volatilities are higher with the VIX +10% to 12.81, RVX +11% to 15.38, and VXN +6% to 17.93.

 

 

ETF 30d volatility changes

SPY:        +5%

IWM:      +4%

QQQ:      +1%

 

Directional:

 

Bullish

YNDX Buyer 2,200 Nov 33 calls (ref. 33.07)

CLF Buyer 4,500 Oct 10 calls (ref. 12.56)

GM Buyer 46,000 Mar 14 calls (ref. 11.70)

PBR Buyer 10,000 Oct 12 calls (ref. 11.59)

 

Bearish

JD Buyer 5,000 Oct 22 puts (ref. 25.37)

TRU Seller 9,100 Oct 75 calls (ref. 74.18)

RAD Buyer 10,000 Jan 1 puts (ref. 1.24)

HUN Buyer 4,600 Jan 28 puts (ref. 28.37)

 

Macro:

Bullish

GLD Buyer 5,148 Nov 115 calls (ref. 113.86)

SPY 20,000 Dec 31st 320 – 330 call spreads trade (291.13)

USO 30,000 Oct 14 – 15 call spreads trade (likely rolls up, ref. 15.23)

EWZ Seller 6,000 Jan20 25 puts to Buy 6,000 Jan20 40 calls (ref. 33.36)

 

Bearish

XOP Seller 20,000 Nov 36 puts to Buy 20,000 Jan 37 puts (rolls up and out, ref. 43.37)

GDX 11,842 Oct 5th 18.5 puts trade (ref. 18.97)

 

Financing Trades:

AAPL 3,000 Oct 215 RC trade (ref. 219.87)

SLV 10,000 Oct 13.5 RC trade (ref. 13.46)

SLV 7,500 Jan 13.5 RC trade (ref. 13.48)

 

 

 

Upcoming Earnings:

 

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

Average Daily Vega

KBH

9/25/2018

7.9

5.7

38.9%

C

9456

NKE

9/25/2018

5.2

4.9

5.9%

D

254054

FDS

9/25/2018

4.2

4.7

-10.1%

A

4055

CTAS

9/25/2018

5.0

4.3

15.5%

B

3019

KMX

9/26/2018

5.5

5.7

-3.4%

C

21069

BBBY

9/26/2018

9.4

9.7

-2.7%

D

22765

CCL

9/27/2018

3.6

2.9

24.7%

B

42833

CAG

9/27/2018

3.6

2.8

30.0%

C

4655

MKC

9/27/2018

4.5

4.0

12.0%

B

9639

MTN

9/28/2018

4.6

3.6

28.7%

C

8095

USAT

9/28/2018

13.4

7.3

84.5%

C

4388

SFIX

10/1/2018

14.2

16.1

-11.6%

F

51718

PEP

10/2/2018

2.3

1.3

74.1%

B

80369

PAYX

10/2/2018

3.5

2.3

52.0%

B

16223

LEN

10/3/2018

6.1

4.1

49.5%

D

24815

AYI

10/3/2018

9.1

9.5

-4.7%

C

8964

STZ

10/4/2018

4.6

4.5

3.3%

B

463708

COST

10/4/2018

3.1

2.7

17.7%

C

265466

FAST

10/10/2018

5.5

5.4

1.4%

B

7013

WBA

10/11/2018

3.7

4.0

-7.1%

B

73397

BLK

10/11/2018

3.0

1.7

74.3%

B

47535

DAL

10/11/2018

4.1

2.1

90.9%

D

97227

C

10/12/2018

2.6

1.5

72.6%

C

491279

JPM

10/12/2018

2.0

1.3

48.0%

C

573153

WFC

10/12/2018

2.6

1.9

37.9%

C

399297

PNC

10/12/2018

2.8

1.0

182.8%

C

24282

BAC

10/15/2018

2.8

1.4

103.0%

C

729776

SCHW

10/15/2018

3.9

1.7

125.7%

C

23692

NFLX

10/16/2018

8.1

8.0

2.0%

C

3008913

DPZ

10/16/2018

5.1

4.7

7.6%

B

30796

SONC

10/16/2018

4.6

4.6

-1.8%

A

4397

CMA

10/16/2018

2.7

2.3

16.6%

C

10981

GS

10/16/2018

2.8

1.9

45.6%

C

577933

MS

10/16/2018

3.5

1.7

100.4%

D

126160

PGR

10/16/2018

2.9

1.9

52.9%

B

13491

JNJ

10/16/2018

2.4

2.7

-10.4%

B

361830

UNH

10/16/2018

2.7

2.6

1.4%

A

240398

GWW

10/16/2018

7.4

8.8

-15.6%

B

49679

JBHT

10/16/2018

4.2

2.5

65.0%

B

10462

CSX

10/16/2018

4.5

4.6

-2.8%

A

75873

IBM

10/16/2018

4.2

4.7

-12.3%

C

353701

LRCX

10/16/2018

4.9

4.1

19.2%

C

145705

CREE

10/16/2018

8.3

7.2

15.9%

D

7329

AA

10/17/2018

6.0

6.0

-1.2%

C

23453

STLD

10/17/2018

6.2

2.9

118.3%

A

6807

EBAY

10/17/2018

6.7

7.1

-5.6%

D

35034

KMI

10/17/2018

3.9

2.6

51.0%

C

22539

USB

10/17/2018

2.5

1.2

100.9%

C

39610

ABT

10/17/2018

2.9

2.1

37.4%

B

47610

UAL

10/17/2018

5.8

6.5

-9.6%

C

145118

URI

10/17/2018

4.8

4.7

1.8%

A

93228

 

 

Volatility Standouts:

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

SRPT

74.16%

D

0.10%

99.60

52830

CTXS

73.05%

C

-0.69%

7.91

14870

KAR

71.65%

A

0.00%

55.34

1644

AOBC

71.26%

D

2.69%

0.79

3372

DGX

71.18%

A

0.00%

27.27

4916

FISV

70.48%

A

0.00%

34.78

4455

AMC

70.47%

B

-0.15%

23.32

8425

TGT

70.01%

C

0.00%

1.58

119662

TIVO

69.91%

C

-0.07%

59.29

1081

DLR

68.66%

D

0.04%

11.07

6988

EXTR

68.24%

C

2.67%

94.07

1581

PFG

67.91%

C

0.00%

43.87

1750

XYL

67.80%

C

0.00%

25.30

4259

KN

67.45%

C

0.75%

18.18

460

MTG

67.00%

C

-0.04%

17.39

3976

KIM

66.33%

D

0.00%

6.72

721

XRX

66.15%

D

0.00%

71.54

30686

PCG

66.13%

B

0.84%

45.45

48305

SIRI

66.07%

C

0.00%

5.14

4630

MAR

65.96%

B

0.00%

17.79

26541

BKS

65.87%

D

-0.83%

15.42

2498

TJX

65.31%

B

3.68%

12.25

53312

AIZ

65.18%

C

-1.39%

67.59

4447

FII

65.05%

F

-0.56%

57.31

581

 

 

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

DNB

-72.78%

B

0.10%

0.40

7291

EVHC

-57.40%

B

-0.69%

12.25

19054

CA

-55.80%

A

0.00%

11.51

1534

USG

-53.74%

C

2.69%

7.11

826

IDTI

-49.17%

C

0.00%

3.16

22582

ZOES

-41.20%

F

0.00%

1.19

84

VKTX

-37.21%

F

-0.15%

21.67

18103

DY

-35.47%

F

0.00%

32.81

1683

SNAP

-33.45%

D

-0.07%

57.71

170992

FOSL

-30.57%

D

0.04%

20.55

2696

TTD

-27.47%

D

2.67%

31.23

36822

NVRO

-27.29%

F

0.00%

93.68

1807

CASA

-27.21%

C

0.00%

21.11

640

AAOI

-26.76%

D

0.75%

18.18

6946

DXC

-24.28%

B

-0.04%

47.62

9085

BBY

-23.53%

C

0.00%

1.98

55165

P

-21.59%

F

0.00%

21.34

17035

EXAS

-21.29%

F

0.84%

59.29

19441

SKX

-20.60%

D

0.00%

84.58

9736

S

-17.54%

C

0.00%

8.70

4902

ATHN

-16.31%

B

-0.83%

67.98

66724

ESRX

-15.69%

A

3.68%

1.98

45939

PBI

-15.07%

B

-1.39%

33.99

1407

THS

-14.58%

D

-0.56%

59.68

3123