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Quantamize Midday Volatility Update

Apr 10, 2018

Commentary: Equities are back near yesterday’s highs following comments from China’s Xi that suggest no trade war is imminent. Currently, the S&P is up 1.3%, the Nasdaq is up 1.6%, and the Russell is up 1.7% on strength in energy. On the energy side, oil is up 3% to 65.39 on the May contract which is driving up energy ETF’s – XOP +4.8% and XLE +3.8%. Bonds are down slightly with TLT down .3%. Gold is minimally higher with GLD +0.11%, though silver is seeing strength up 0.40% though it was up 1% earlier. Volatilities are moving lower with the VIX -3% to 21.15, the RVX -6% to 20.16, and VXN -5% to 25.76.

ETF 30d volatility changes

SPY: -4%

IWM: -7%

QQQ: -5%

Bullish Flow: 

INTC Buyer 5,000 May 4th 50-56 call spread to sell 45 puts

WPX 4,700 Apr and May 14 calls trade

GE Buyer 10,000 Jan 18 calls

HON Buyers 3,200 Apr 152.5 calls

V Buyer 3,400 Sep 125 calls

AAL Buyer 5,000 May 50 calls

USO Seller 10,000 Jan 12 puts

ZION Buyer 9,800 May 70 calls  XLF Buyer 35,000 Apr 28 calls

S 6,200 May 6 and Apr 13th 6 calls trade on takeover spec

AET Buyer 47,900 Apr 13th 192.5 puts tied to 4.79M shares

WMB 5,800 Apr 26 calls trade 20k calls overall trade versus 440 puts

MGM Buyer 6,300 Aug 35 calls

KNX Buyer 5,000 May 45-50 1x2 call spread

Bearish Flow:

QCOM Buyer 10k each Jul 45-62.5 and Jun 45-62.5 risk reversals tied to stock

NXPI Buyer 20,000 Jul 105 – Apr 120 risk reversal

HLT Buyer 6,675 Apr 75 calls to sell 10,261 May 80 calls

QQQ Seller 33,000 Apr 161 calls tied to stock

LCI Buyer 3,100 May 10 puts HYG Buyer 10,000 Jun 84 puts

HYG Buyer 10,000 Jul 83-79 put spread

TLT Buyer 5,000 Apr 120 puts

MON Buyer 20,000 Jul 105-120 put spread

OIH Buyer 7,500 Jun 22 puts 

Upcoming Earnings: 

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

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

SCG

C

73.70%

-2.49%

92.83

EFII

F

72.82%

3.35%

92.83

EXEL

C

6.46E-01

-2.84%

100.00

PENN

C

63.89%

-3.64%

96.02

ARRY

F

63.64%

-5.32%

92.83

CLDR

F

62.55%

0.14%

88.21

TIVO

C

60.32%

-2.75%

87.65

ETE

C

59.48%

-2.00%

90.84

SNAP

C

59.31%

-3.97%

82.47

THS

C

58.78%

-3.97%

94.42

  
Underlying

Q Rating

2M Volatility vs Forecast

2M IV Change

IV 2M Percentile

PAY

A

-67.52%

-2.49%

58.96

DPS

A

-55.58%

3.35%

4.38

MON

C

-47.61%

-2.84%

23.90

CC

C

-44.37%

-3.64%

51.39

ETSY

C

-38.81%

-5.32%

98.01

DXC

A

-36.83%

0.14%

98.41

USG

F

-36.71%

-2.75%

52.19

YELP

C

-32.01%

-2.00%

58.17

RSPP

C

-29.24%

-3.97%

76.89

INCY

F

-29.21%

-3.97%

81.27