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Quantamize Midday Volatility Update

Apr 06, 2018

Commentary:

Equities are back in the red following an increase in trade rhetoric between the Trump administration and China. Currently, the S&P is down -1.4% and on lows as Fed Chairman Powell begins his speech. The Nasdaq is down -1.55%, and the Russell is down -1.4%. Gold is up .45%. Bonds are rallying with TLT up .68% and the 10 -year yield down to 2.788%. Oil is lower with the May contract -1.9%. Volatilities are rallying with the VIX up 9.8% to 20.80, VXN is up 7.4% to 26.90, and RVX is up 6% to 21.15. 

ETF 30d volatility changes

SPY: +9%

IWM: +7%

QQQ: +8% 

Bullish Flow: 

MDR Buyers 5,100 May 6 calls

GLD Buyer 11,000 Jul 128-135 call spread

PII Buyer 3,000 May 125-135 call spread to sell 110 puts

KKR Buyer 3,600 May 22 and 2,000 May 21 calls

DE Buyers 6,000 Sep 160 calls

AZN Buyers 7,000 May 37.5 calls

MU Buyer 30,000 Apr 40 – Jul 43 call spread 

Bearish Flow:

PYPL 4,000 May 75-70 1x2 put spreads trade likely rolls down short position

HYG Buyer 8,500 Jun 83 puts

HYG Buyer 13,100 May 84 puts

T Buyer 8,875 Jun 37 puts

USB Buyer 3,060 Apr 13th 50.5-40.9-49-48 put condor

TLT Buyer 30,000 May 116 puts

EWZ Buyer 5,000 Apr 44-43-42-41 put condor 

Upcoming Earnings: 

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

WAGE

4/9/2018

9.4

5.5

71.6%

C

AGX

4/10/2018

6.9

8.9

-22.7%

C

HCSG

4/10/2018

7.0

4.7

49.9%

C

MSM

4/10/2018

5.6

5.5

2.6%

C

APOG

4/12/2018

7.2

6.6

9.2%

C

BLK

4/12/2018

2.9

2.0

48.7%

A

DAL

4/12/2018

3.3

2.0

62.2%

C

MDXG

4/12/2018

15.6

5.3

193.4%

C

OZRK

4/12/2018

4.1

2.1

95.8%

C

STON

4/12/2018

12.4

2.9

326.3%

F

FHN

4/13/2018

2.8

1.2

134.6%

C

FRC

4/13/2018

3.6

2.9

27.6%

C

PNC

4/13/2018

3.1

0.6

411.9%

C

SMCI

4/13/2018

8.1

5.2

54.6%

C

WFC

4/13/2018

2.7

1.7

65.5%

C

CE

4/16/2018

4.2

3.0

41.8%

A

MTB

4/16/2018

2.4

2.5

-1.5%

A

NFLX

4/16/2018

9.3

8.8

5.6%

C

PNFP

4/16/2018

4.0

2.1

91.1%

C

SCHW

4/16/2018

3.1

1.0

219.4%

C

Volatility Standouts: 
Underlying

Q Rating

2M Volatility vs Forecast

2M IV Change

IV 2M Percentile

CLDR

F

71.58%

3.63%

79.74

ISBC

A

70.11%

3.84%

91.27

SCG

C

68.05%

-0.74%

86.51

PF

A

66.85%

5.52%

84.52

ETE

C

62.59%

4.15%

90.48

SBGI

C

61.73%

1.09%

79.37

GBT

F

61.14%

4.55%

99.21

SNAP

C

60.88%

3.46%

82.14

TIVO

C

60.04%

5.29%

83.33

THS

C

58.98%

3.59%

96.03

  
Underlying

Q Rating

2M Volatility vs Forecast

2M IV Change

IV 2M Percentile

DPS

A

-42.62%

3.63%

5.16

CC

C

-42.06%

3.84%

36.11

USG

F

-37.76%

-0.74%

50.00

ETSY

C

-35.58%

5.52%

96.03

DXC

A

-34.01%

4.15%

92.46

NUS

C

-31.14%

1.09%

42.06

YELP

C

-30.47%

4.55%

40.48

NFLX

C

-25.56%

3.46%

96.43

LOCO

C

-24.74%

5.29%

73.41

CAMP

A

-24.61%

3.59%

73.81