Quantamize Midday Volatility Report

Apr 05, 2018

Commentary:

Equities are following through from yesterday afternoon’s sharp recovery with the S&P well into positive territory, up 1%, the Nasdaq up .82%, and the Russell up .74%. Energy is particularly strong with XOP up 3.5% and XLE up 2.3% on reduced fears of a trade war. Bonds continue to retrace recent gains with TLT down .53% and the ten-year yield moving up to 2.828%. Volatilities are down across the board with today’s equities move higher with the VIX -4.3% to 19.19, RVX -4.4% to 19.92, and VXN -4.4% to 25.13. Option flow is more mixed today as we are seeing a bit more index hedging, especially in the high yield sector ETF, HYG.

ETF 30d volatility changes

SPY: -3%

IWM: -5%

QQQ:-3%

Bullish Flow: 

DE Buyer 4,152 Sep 160 calls

WFT Buyer 10,000 Aug 3.5 calls

XOP Buyer 20,000 Apr – May 36 call spread

EFA Seller 23,500 Jan 2020 55 puts

BYD 4,000 May 35-37 1x2 call spread

YNDX Buyer 4,000 May 40-47 call spread continues bullish activity SPY Buyer 25,000 Jun 265 – Dec – Dec 2019 265 calendar call fly

ITB Buyer 15,000 Apr 42 – Dec 50 call spread

XOP Buyer 21,000 Apr-Jun 36 call spread

STZ Seller 5,765 Apr 225-240,205 call spread collar to buy Jul 235-255, 215 call spread collar

MDR Buyer 4,000 Aug 8 calls

Bearish Flow:

XBI Buyer 5,000 May 82-75 put spread to sell 92 calls

CL Buyers 3,600 Apr 69 puts

IYR Buyer 5,000 Sep 72 puts

HYG Seller 10,000 May 85-81 put spread to buy 25,000 Jul 84-78 put spread

TLT Buyer 16,000 Sep 110 puts BYD Buyer 4,000 May 37-35 1x2 put spread

NOK Buyers 13,000 Apr 5.5 puts

ETP Seller 12,750 Jan 2019 45-55 call spread

QCOM Buyer 9,800 Jun 50 puts

Upcoming Earnings:

 

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

MON

4/5/2018

1.8

0.9

87.9%

C

RPM

4/5/2018

4.9

3.5

38.1%

C

WDFC

4/5/2018

5.5

4.0

35.7%

C

HOFT

4/5/2018

10.0

11.5

-13.3%

C

CONN

4/5/2018

14.3

13.8

3.3%

C

LW

4/5/2018

3.6

2.3

60.2%

C

WAGE

4/9/2018

9.6

5.5

76.4%

C

HCSG

4/10/2018

6.4

4.7

37.1%

C

AGX

4/10/2018

6.6

8.9

-25.5%

C

MSM

4/10/2018

6.1

5.5

12.1%

C

DAL

4/11/2018

2.5

2.0

22.8%

C

APOG

4/12/2018

6.7

6.6

2.0%

C

STON

4/12/2018

12.3

2.9

324.1%

F

FRED

4/12/2018

19.7

10.6

85.2%

F

BLK

4/12/2018

2.4

2.0

24.7%

A

OZRK

4/12/2018

2.8

2.1

31.8%

C

MDXG

4/12/2018

12.5

5.3

136.3%

C

WFC

4/13/2018

2.3

1.7

38.0%

C

FHN

4/13/2018

2.8

1.2

134.5%

C

PNC

4/13/2018

2.7

0.6

348.8%

C

FRC

4/13/2018

4.0

2.9

41.3%

C

SMCI

4/13/2018

8.6

5.2

64.8%

C

CE

4/16/2018

4.3

3.0

44.6%

A

NFLX

4/16/2018

9.2

8.8

5.4%

C

MTB

4/16/2018

1.5

2.5

-38.3%

A

PNFP

4/16/2018

 

2.1

-100.0%

C

SCHW

4/16/2018

1.6

1.0

68.9%

C

Volatility Standouts:
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

 
Underlying

Q Rating

2M Volatility vs Forecast

2M IV Change

IV 2M Percentile

ESPR

F

59.97%

0.06%

85.71

SNBR

C

53.79%

0.01%

89.68

THS

C

53.29%

0.07%

96.43

CLDR

F

51.49%

0.02%

94.69

SBGI

C

45.28%

-0.08%

87.30

PF

A

44.01%

0.02%

86.51

TPR

C

43.33%

-0.04%

93.65

MAT

F

41.22%

0.27%

92.06

SCG

C

41.16%

-0.06%

92.46

SNAP

C

40.29%

-0.23%

82.54