Quantamize Midday Volatility Update

Apr 09, 2018

Commentary:

Equities are rallying after Friday’s sell-off even in the face of volatility out of Syria over the weekend, and continued concern over trade negotiations with China. Currently, the S&P is up 1.8%, the Russell is up 1.13%, and the Nasdaq is up 2.5% and all are at or near highs for the day.  Bonds are off slightly on this risk on day with TLT -.33%. Gold is up slightly with GLD +.19%. Volatilities are lower though holding relatively firm given the market bounce with the VIX -4.4% to 20.54, RVX -5% to 20.55, and VXN -5.7% to 25.86. Overall activity is relatively muted though we are seeing generally bullish activity in the options market.

ETF 30d volatility changes

SPY: -7%

IWM: -7%

QQQ: -8%

Bullish Flow: 

EEM Seller 56,000 Jul 44 puts

SPY Buyer 20,000 Jul 293-300-307 call fly breakeven up 11% with my payout up 14%

FB Buyer 5,000 Apr 13th 162.5-167.5-172.5 call fly to sell 147 puts .50 debit

YNDX Buyer 5,000 May 36-40 call spread

TLT Seller 16,000 Sep 110 puts

GE Buyers 11,700 Apr 13th 13 calls

UUP Buyer 17,900 Apr 13th 23 calls

BBY Seller 7,270 May 65 puts

BAC Buyer 30,000 Apr 31-32 call spread

Bearish Flow:

WFC Seller 5,000 May 52.5 calls

EMES Buyer 4,068 Sep-Jan 12.5 put spread

MS Buyers 10,100 Apr 45 puts

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

CMA

4/17/2018

3.5

2.5

40.4%

A

CSX

4/17/2018

4.5

3.4

32.4%

C

GS

4/17/2018

2.7

2.3

20.4%

C

IBKR

4/17/2018

4.2

2.7

56.1%

C

IBM

4/17/2018

4.4

4.4

-0.7%

C

ISRG

4/17/2018

5.3

4.3

23.5%

C

JNJ

4/17/2018

2.2

2.7

-16.1%

C

LRCX

4/17/2018

4.9

3.3

49.4%

C

MLNX

4/17/2018

6.3

4.6

37.4%

C

PACW

4/17/2018

3.1

1.9

65.1%

C

PGR

4/17/2018

3.8

1.9

94.0%

A

PLD

4/17/2018

2.2

1.8

21.5%

C

TTS

4/17/2018

16.8

13.4

25.6%

F

UAL

4/17/2018

5.6

5.7

-2.8%

F

UNH

4/17/2018

2.8

2.4

16.3%

A

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