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Quantamize Midday Volatility Report

Apr 04, 2018

Commentary:

Major volatility this morning as markets were down substantially this morning on China tariff news, but worked their way back to unchanged, but have backed off slightly (on a relative basis) and are now in the red with the S&P 500 down .3%, the Russell 2000 unchanged, and the Nasdaq down .37%. Bonds were up earlier on a flight to quality but are now unchanged. Gold is up slightly, and oil is down .6%. Volatilites are higher though well off earlier highs with the VIX up 3.6% top 21.86, RVX unchanged at 22.2, and VXN down slightly at 27.84. Option flow is generally bullish in nature. We are seeing new long positions in individual names, while ETF flow is generally rolling or closing.

ETF 30d volatility changes

SPY: +4%

IWM: +2%

QQQ: 0.0%

Bullish Flow: 

JNJ Buyer 3,000 Apr 133-136-139 call fly

BABA Buyer 10,000 May 200-210 call spread

IBM Buyer 10,000 Jun 170-175 call spread

IBM Buyer 10,000 Apr 157.5-165 call spread

FEZ Buyer 16,000 May 41 calls

TWX Seller 30,000 Jul 90 puts

CZR Buyer 30,000 Jun 12 calls tied to 990k shares

XOP Buyer 9,551 Jun 38 calls

ARNC Buyer 2,500 May 22-24 1x2 call spread

KKR 30,700 Jan 20 and 22 calls trade

IWM Seller 28,500 Apr 146-135 put spread to buy May 140 puts rolls out but reduces

ILG Buyer 10,000 Apr 34 – May 33 call spread

Bearish Flow:

HYG Seller 10,000 May 84 puts to buy Jun 84-79 put spread

V Buyer 9,000 May 100 puts

BX Seller 20,000 Jan 40 calls

FB Seller 5,864 May 165-180 call spread to buy 2,500 May 160 puts

NXPI Buyer 10,000 May-Jul 115 put spread

MGM Seller 6,331 May 34 calls

VNQ Buyer 22,500 Jun 72 puts

Upcoming Earnings:

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantimize Rating

AYI

4/4/2018

7.6

9.7

-22.0%

C

FC

4/4/2018

9.8

10.6

-7.6%

F

LEN

4/4/2018

5.7

2.5

126.5%

C

RECN

4/4/2018

7.1

7.9

-10.7%

C

CONN

4/5/2018

14.4

13.8

3.9%

C

HOFT

4/5/2018

10.8

11.5

-6.3%

C

LW

4/5/2018

3.6

2.3

60.5%

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

WAGE

4/9/2018

2.2

5.5

-59.1%

C

AGX

4/10/2018

6.7

8.9

-24.6%

C

HCSG

4/10/2018

6.3

4.7

34.5%

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

MDXG

4/12/2018

13.1

5.3

146.6%

C

OZRK

4/12/2018

3.6

2.1

73.7%

C

FHN

4/13/2018

2.8

1.2

133.6%

C

FRC

4/13/2018

3.7

2.9

30.3%

C

PNC

4/13/2018

3.0

0.6

390.7%

C

RIOT

4/13/2018

1.5

 

#DIV/0!

F

SMCI

4/13/2018

7.9

5.2

51.3%

C

WFC

4/13/2018

2.3

1.7

36.3%

C

Volatility Standouts:
Underlying

Q Rating

2M Volatility vs Forecast

2M IV Change

IV 2M Percentile

SNBR

C

57.52%

-3.28%

89.24

THS

C

52.55%

-3.28%

96.41

ESPR

F

51.94%

-1.75%

88.84

UAA

F

50.00%

2.42%

88.84

PENN

C

49.01%

0.20%

100.00

SNAP

C

47.37%

-1.85%

94.02

MAT

F

46.74%

1.54%

89.24

DISH

C

46.51%

-0.48%

95.22

TPR

C

46.25%

-5.85%

95.22

PTC

C

43.71%

-1.92%

99.60

Underlying

Q Rating

2M Volatility vs Forecast

2M IV Change

IV 2M Percentile

DPS

A

-45.10%

-3.28%

7.17

USG

F

-41.82%

-3.28%

49.00

CC

C

-38.90%

-1.75%

65.74

ETSY

C

-35.09%

2.42%

99.20

RSPP

C

-34.95%

0.20%

20.72

DXC

A

-31.91%

-1.85%

94.02

CLDR

F

-31.44%

1.54%

52.68

NUS

C

-30.00%

-0.48%

62.15

WATT

F

-29.79%

-5.85%

49.00

YELP

C

-29.75%

-1.92%

62.55