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Quantamize Midday Volatility Update

Apr 12, 2018

Commentary:

Equities are in the green today, though not without some relatively large quick drops from headlines on trade and Syria. Currently, the S&P is up .82%, the Russell is up .75%, and the Nasdaq is up 1% led by the FANGs. Energy is taking a breather from its recent run and is little changed. Gold is down -1% and bonds are in the red as well with TLT down -.68%. Volatility indices are lower with the VIX  -7% to 18.87, RVX -7% to 18.46, and VXN -5% to 23.55. Option flow is bullish overall as stocks move higher and we are seeing relatively little in the way of new or rolled hedging activity.

ETF 30d volatility changes

SPY: -5%

IWM: -6%

QQQ: -4% 

Bullish Flow: 

XLF Buyer 10,000 Jun 30 calls

NXPI Seller 3,000 May 110-100 put spread to buy 120 calls likely closing

NXPI Buyer 10,000 May 120-125 calls spread to sell 105 puts

HOG 4,500 Apr 13th 43 and Apr 43 calls trade

GLD Buyer 12,000 Jan 140 calls

NVAX Buyers 3,600 May 2 calls

EPD Buyer 8,700 Apr 26 calls GIS Buyer 3,700 Jul 52.5 calls

CHRW Buyer 2,500 May 95-100 call spread to sell 90 puts

INFY Buyer 5,100 Apr 19 calls

PENN Buyer 4,400 May 29 calls

TLT Buyer 8,000 May 123 calls

MAC Buyer 9,700 Jun 62.5-70-80 call fly to roll down

HIMX Buyer 10,000 Jan 10 calls

AMD Seller 10,000 May 10 puts

Bearish Flow:

FB Seller 10,000 Apr 13th 162.5-167.5-172.5 call fly to close

GLD Seller 10,000 Jun 130 calls tied to 10k shares

HUN Seller 5,000 Aug 33 calls XBI Seller 15,000 Apr 84 puts to buy May 88-83 put spread

M 5,700 May 11th 28.5 and May 29 puts trade

AVXS Buyers 5,000 Aug 150 puts

Upcoming Earnings: 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating
FHN 4/13/2018 2.4 1.2 100.3% C
FRC 4/13/2018 3.6 2.9 25.5% C
PNC 4/13/2018 2.5 0.6 307.5% C
SMCI 4/13/2018 4.6 5.2 -11.1% C
WFC 4/13/2018 2.6 1.7 54.5% C
CE 4/16/2018 4.1 3.0 37.8% A
MTB 4/16/2018 1.9 2.5 -22.6% A
NFLX 4/16/2018 8.8 8.8 0.6% C
PNFP 4/16/2018 7.2 2.1 242.4% C
SCHW 4/16/2018 2.0 1.0 102.6% C
WAGE 4/16/2018   5.5 -100.0% C
CMA 4/17/2018 3.0 2.5 20.9% A
CSX 4/17/2018 3.8 3.4 12.6% C
GS 4/17/2018 2.1 2.3 -6.0% C
HCSG 4/17/2018 9.6 4.7 105.5% C
IBKR 4/17/2018 5.1 2.7 90.7% C
IBM 4/17/2018 4.1 4.4 -7.0% C
ISRG 4/17/2018 4.5 4.3 4.4% C
JNJ 4/17/2018 1.7 2.7 -36.2% C
LRCX 4/17/2018 5.0 3.3 50.1% C
MLNX 4/17/2018 7.7 4.6 66.5% C
PACW 4/17/2018 2.5 1.9 32.0% C
PGR 4/17/2018 3.2 1.9 66.1% A
PLD 4/17/2018 1.9 1.8 8.4% C
UAL 4/17/2018 5.9 5.7 2.7% F
UNH 4/17/2018 2.3 2.4 -6.0% A
ABT 4/18/2018 3.2 2.3 39.8% C
AXP 4/18/2018 3.4 3.1 11.6% C
CCK 4/18/2018 4.6 2.4 91.9% C
MS 4/18/2018 2.4 1.8 33.0% C
PTC 4/18/2018 6.5 5.3 22.3% C
SEIC 4/18/2018 4.4 3.6 23.3% A
SLG 4/18/2018 2.9 2.2 32.8% C
SNBR 4/18/2018 11.5 5.5 109.5% C
STLD 4/18/2018 1.5 3.4 -57.4% C
TCBI 4/18/2018 4.0 3.9 2.6% C
TMK 4/18/2018 2.9 1.4 111.3% A
TXT 4/18/2018 3.8 3.4 12.7% C
UMPQ 4/18/2018 6.6 2.2 195.7% C
URI 4/18/2018 4.9 5.8 -15.5% A
USB 4/18/2018 1.6 1.2 31.5% C
VMI 4/18/2018 4.0 3.8 5.2% C
Volatility Standouts: 
Underlying Q Rating 2M Volatility vs Forecast 2M IV Change IV 2M Percentile
ISBC A 72.57% -1.67% 99.60
ESPR F 61.86% -4.27% 89.29
PF A 60.78% -2.94% 85.32
CLDR F 56.78% -2.31% 92.64
THS C 56.04% -4.90% 94.84
PENN C 54.21% -2.96% 92.06
SNAP C 51.19% -3.77% 85.71
SBGI C 47.34% 7.45% 87.70
EXEL C 44.76% 2.90% 99.60
ACHC C 42.99% -3.28% 67.86
  
Underlying Q Rating 2M Volatility vs Forecast 2M IV Change IV 2M Percentile
MON C -65.65% -1.67% 3.17
CC C -47.36% -4.27% 32.14
ETSY C -41.14% -2.94% 91.27
DPS A -37.79% -2.31% 0.79
INCY F -35.92% -4.90% 80.95
DXC A -35.72% -2.96% 98.41
YELP C -34.71% -3.77% 49.21
USG F -32.03% 7.45% 50.40
WATT F -29.12% 2.90% 45.63
CRM C -29.06% -3.28% 92.86