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Quantamize Midday Volatility Update

Apr 16, 2018

Quantamize Midday Volatility Report April 16

Commentary: Equities are well into the green today as the Syrian events over the weekend were less of an event than feared. Currently, the S&P is up 1%, the Russell is up 1.1%, and the Nasdaq is up 1%. Bonds are easing on a risk on day though TLT is off lows and now down -0.12%. Gold is up .22% although miners are down -0.79%. Emerging markets are generally lagging with EEM unchanged and Brazil down -1.2% as oil is declining today after its recent rally with the May contract -1.3%. Even with oil lower XOP and XLE are up approximately 1% each. Volatilities are lower with the VIX -4.6% to 16.59, VXN -5.5% to 20.84, and RVX -6.3% to 16.57.

ETF 30d volatility changes

SPY: -8%

IWM: -10%

QQQ: -8%

 

Bullish Flow: 

FXI Seller 10,000 Apr 27th 47.5-46.5-46-45 put condor rolls down and monetizes

FXI Buyer 9,292 May 48.5 calls

WFC Buyer 5,122 May 55 calls

VAC Buyer 2,000 Jul 155-165 1x2 call spread

NXST Seller 7,500 Jan 65 puts to buy 15,000 Jan 75 calls

GE Buyer 20,000 Apr 14-15 1x2 call spread

YNDX Buyer 8,668 Aug 35 calls

X Buyers 13,700 May 4th 32 calls

MRK 11,000 Apr 60 calls trade

VFC Buyer 6,000 May 77.5-80 call spread to sell 72.5 puts

EDU Buyer 4,333 May 95-115 call spread to sell Jul 95-125 call spread to roll forward

V Buyer 21,669 Jun 120 calls to sell 14,446 Jun 130 callsrolls out from May 120-130 call spread versus 105 puts

FIT Buyers 9,000 May 4th 7 calls

 

Bearish Flow:

ABX Buyer 10,000 May 13 puts

BMY Seller 9,600 May 60-65 call spread to roll down write

CSX Buyer 2,000 Apr 55-53 1x1.5 put spread

XLE Seller 24,244 May 75 calls

SHOP Buyer 2,500 Jul 110 puts

FOX Seller 4,834 Apr-Jul 34 calls

VIX 90,000 Apr 17 calls trade tied up

EEM Buyer 40,000 May 40 puts .04

 

Upcoming Earnings:  

  
Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating
CE 4/16/2018 3.3 2.7 20.8% A
NFLX 4/16/2018 8.6 8.5 0.8% C
PNFP 4/16/2018 3.4 2.1 61.6% C
WAGE 4/16/2018   5.5 -100.0% C
SEAC 4/16/2018 26.7 8.3 220.0% C
CMA 4/17/2018 2.9 2.5 18.0% A
GS 4/17/2018 1.0 2.3 -54.8% C
IBKR 4/17/2018 4.0 2.7 49.1% C
PGR 4/17/2018 3.1 1.9 63.5% A
JNJ 4/17/2018 1.9 2.8 -30.5% C
UNH 4/17/2018 2.1 2.4 -13.3% A
ISRG 4/17/2018 4.3 4.3 -1.2% C
UAL 4/17/2018 3.9 5.7 -31.4% F
HCSG 4/17/2018 6.8 4.9 39.9% C
CSX 4/17/2018 2.9 3.4 -16.3% C
PLD 4/17/2018 2.3 1.8 28.5% C
IBM 4/17/2018 3.5 4.4 -20.5% C
LRCX 4/17/2018 4.4 3.3 34.4% C
MLNX 4/17/2018 7.5 4.6 62.6% C
STLD 4/18/2018 1.8 3.4 -47.1% C
SNBR 4/18/2018 11.3 5.5 107.0% C
CCK 4/18/2018 4.0 2.4 63.7% C
PACW 4/18/2018 2.0 2.0 1.0% C
TCBI 4/18/2018 3.7 3.9 -3.5% C
USB 4/18/2018 0.7 1.2 -40.7% C
UMPQ 4/18/2018 6.9 2.2 206.8% C
MS 4/18/2018 1.3 1.8 -26.1% C
AXP 4/18/2018 3.1 3.0 4.4% C
TMK 4/18/2018 2.5 1.4 85.0% A
ABT 4/18/2018 2.9 2.3 27.5% C
TXT 4/18/2018 4.0 3.4 18.5% C
URI 4/18/2018 4.7 5.8 -19.6% A
VMI 4/18/2018 3.9 3.8 1.7% C
SLG 4/18/2018 2.5 2.2 16.6% C
PTC 4/18/2018 5.5 5.3 3.0% C
PPG 4/19/2018 2.1 2.5 -14.2% C
SKX 4/19/2018 10.1 15.0 -32.7% C
TTS 4/19/2018 13.3 13.4 -0.7% F
PM 4/19/2018 2.0 2.3 -14.1% C
EWBC 4/19/2018 6.3 2.6 136.7% C
BBT 4/19/2018 1.8 1.8 -0.9% A
SBNY 4/19/2018 3.3 2.2 54.2% C
WBS 4/19/2018 2.7 2.2 24.9% C
ADS 4/19/2018 4.7 5.8 -19.3% A
MDXG 4/19/2018   5.3 -100.0% C
DHR 4/19/2018 2.1 3.0 -31.0% A
DGX 4/19/2018 2.2 2.1 5.8% A
HIL 4/19/2018 10.9 5.2 110.0% F
GATX 4/19/2018 4.0 2.6 55.7% C
GWW 4/19/2018 6.7 8.5 -21.9% C
GTLS 4/19/2018 6.5 7.4 -13.0% C
SNA 4/19/2018 5.1 4.5 14.6% A
WERN 4/19/2018 6.4 4.4 44.0% A
ATEN 4/19/2018   11.3 -100.0% C

 

Volatility Standouts:  

 

Underlying Q Rating 2M Volatility vs Forecast 2M IV Change IV 2M Percentile
PENN C 67.48% -7.39% 98.41
SNBR C 67.13% -7.79% 81.35
ESPR F 63.07% -1.71% 92.46
SNAP C 53.57% -0.34% 79.76
THS C 53.49% -1.54% 96.03
SBGI C 53.36% -2.16% 71.43
ISBC A 52.73% -4.69% 100.00
PEG C 51.40% -11.67% 76.59
PF A 50.54% -1.42% 76.98
SCG C 47.75% -5.67% 94.84
HCSG C 43.64% -3.05% 99.60
ARRY F 42.96% -3.41% 97.22
GBT F 41.75% -6.15% 96.43
TIVO C 39.65% -1.20% 78.17
CLDR F 38.41% -7.31% 83.69
   
Underlying Q Rating 2M Volatility vs Forecast 2M IV Change IV 2M Percentile
BUFF C -57.63% -7.39% 2.78
DPS A -50.09% -7.79% 0.40
CC C -49.46% -1.71% 20.24
ETSY C -47.61% -0.34% 79.37
DXC A -42.89% -1.54% 98.02
MON C -39.48% -2.16% 32.94
RSPP C -38.24% -4.69% 73.41
YELP C -37.58% -11.67% 39.29
INCY F -37.23% -1.42% 79.37
USG F -36.41% -5.67% 44.44
NUS C -33.94% -3.05% 62.30
FTD F -33.31% -3.41% 85.71
IMPV C -32.96% -6.15% 44.84
NFLX C -31.36% -1.20% 95.63
LUK C -31.29% -7.31% 94.84