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Quantamize Midday Volatility Report

Apr 03, 2018

Commentary:

Equities continue to whipsaw around with an early rally, then a sell-off to unchanged, then a small bounce with the Nasdaq continuing to underperform. Currently, the S&P is up 0.4%, the Russell is up 0.7%, and the Nasdaq is up 0.15%. Energy is bouncing with the May contract up 0.8% and the energy ETFs bouncing as well. Bonds are retracing a part of the recent rally with TLT down 0.7%. Volatilities have been down slightly all day with the VIX -6% to 22.19, RVX -2.6% to 23.62, and VXN -2% to 29.32. 

We continue to follow VIX term structure as an indicator of short term stress. The term structure came into the day in backwardation (meaning front month VIX futures are greater than back month) and is holding reasonably firm considering the modest rally.

ETF 30 day volatility changes

SPY: -4%

IWM: -1%

QQQ: -2%

Bullish Flow: 

MS Buyer 5,000 Jun 55 calls

CZR Buyers 12,000 May 12 calls

MON Buyer 124.3k Apr 6th 128 puts tied to 12.4M shares

UUP Buyer 10,700 Jun 24 calls

PTLA Buyer 4,885 May 40-55 call spread

Bearish Flow:

AAPL Buyer 10,300 May 140 puts

BX Seller 10,100 Jan 40 calls

GE 14,700 May 13 and Apr 6th 12 puts trade

WFC Buyer 5,750 Jan 52.5 puts

CSX Buyers 10,000 May 50 puts possibly closing

USB Seller 3k Apr 6th 48 and 49 puts to buy Apr 13th 48 and 49 puts

TEVA Buyer 6,500 Apr-May 4th 17 puts

Upcoming Earnings:

 

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

PLAY

4/3/2018

9.8

6.0

62.4%

C

CLDR

4/3/2018

11.1

5.9

89.5%

F

LEN

4/4/2018

5.7

2.5

126.5%

C

FC

4/4/2018

9.8

10.6

-7.6%

C

RECN

4/4/2018

7.1

7.9

-10.7%

C

AYI

4/4/2018

7.6

9.7

-22.0%

C

MON

4/5/2018

2.3

0.9

145.8%

C

RPM

4/5/2018

4.9

3.5

39.0%

C

WDFC

4/5/2018

5.4

4.0

33.4%

C

HOFT

4/5/2018

10.8

11.5

-6.3%

A

CONN

4/5/2018

14.4

13.8

3.9%

F

LW

4/5/2018

3.6

2.3

60.5%

C

WAGE

4/9/2018

2.2

5.5

-59.1%

C

HCSG

4/10/2018

6.3

4.7

34.5%

C

AGX

4/10/2018

6.7

8.9

-24.6%

C

MSM

4/10/2018

6.3

5.5

14.6%

C

DAL

4/11/2018

3.4

2.0

67.4%

C

APOG

4/12/2018

6.2

6.6

-5.5%

C

BLK

4/12/2018

2.2

2.0

14.6%

A

OZRK

4/12/2018

3.6

2.1

73.7%

C

MDXG

4/12/2018

13.1

5.3

146.6%

C

Volatility Standouts:
Underlying

Q Rating

2M Volatility vs Forecast

2M IV Change

IV 2M Percentile

Average Daily Vega

SNBR

C

57.52%

-3.28%

89.24

291

THS

C

52.55%

-3.28%

96.41

465

ESPR

F

51.94%

-1.75%

88.84

11047

UAA

F

50.00%

2.42%

88.84

16295

PENN

C

49.01%

0.20%

100.00

6711

SNAP

C

47.37%

-1.85%

94.02

100967

MAT

F

46.74%

1.54%

89.24

8667

DISH

C

46.51%

-0.48%

95.22

36223

TPR

C

46.25%

-5.85%

95.22

4824

Underlying

Q Rating

2M Volatility vs Forecast

2M IV Change

IV 2M Percentile

Average Daily Vega

DPS

A

-45.10%

-3.28%

7.17

9152

USG

F

-41.82%

-3.28%

49.00

19124

CC

C

-38.90%

-1.75%

65.74

6534

ETSY

C

-35.09%

2.42%

99.20

11644

RSPP

C

-34.95%

0.20%

20.72

1950

DXC

A

-31.91%

-1.85%

94.02

14887

CLDR

F

-31.44%

1.54%

52.68

4906

NUS

C

-30.00%

-0.48%

62.15

2113

WATT

F

-29.79%

-5.85%

49.00

8962