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Quantamize Midday Volatility Update

Apr 17, 2018

Commentary: Equities are continuing this week’s rally and appear to be breaking out of their recent range on strong earnings from Netflix and Goldman Sachs. Currently, the S&P is up 1%, the Nasdaq is up 2%, and the Russell is up 1.06%. Bonds are unchanged to up slightly. Gold is down slightly, though miners are up +0.64%. Energy is unchanged and off earlier lows with the energy ETFs up +0.42% in XOP and +0.12% in XLE. Volatilities continue to work lower with the VIX -8% to 15.22 and the lowest level we’ve seen in a month. RVX is -3.5% to 15.55. VXN is -5% to 19.42.

 

ETF 30d volatility changes

SPY:        -8%

IWM:      -10%

QQQ:      -8%

 

Bullish Flow: 

PEP Seller 5,000 May 105 puts

USO Buyer 8,500 Jun 13-13.5-14-14.5 call condor

GLD Buyer 36,000 May 131-137 call spread

GE Seller 33,987 Apr 12-14.5 risk reversal

KMI Buyer 5,000 May 4th 16 calls, 6,200 traded in total

YNDX Buyer 5,000 Apr 34.5 – May 36 call spread

ETP Buyer 5,000 Apr 18 – May 19 call spread

EBAY Seller 10,000 Apr 30 calls to buy Oct 36s to monetize but roll out

 

Bearish Flow:

SPY 14,200 Jun 1st 250-240-230 put flies trade, appear bought

PTLA Seller 4,790 May 45-55 call spread

NTRI Buyers 5,000 Jun 22.5 puts, second day of put buying

 

Upcoming Earnings:  

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating
IBKR 4/17/2018 4.0 2.7 51.3% C
ISRG 4/17/2018 4.2 4.3 -2.2% C
UAL 4/17/2018 4.5 5.7 -21.5% F
HCSG 4/17/2018 8.0 4.9 64.1% C
CSX 4/17/2018 3.1 3.4 -9.8% C
IBM 4/17/2018 3.5 4.4 -21.1% C
LRCX 4/17/2018 4.0 3.3 20.8% C
STLD 4/18/2018 2.2 3.4 -34.1% C
SNBR 4/18/2018 11.4 5.5 108.7% C
CCK 4/18/2018 4.2 2.4 74.6% C
FRED 4/18/2018 17.8 10.6 67.1% F
TCBI 4/18/2018 3.7 3.9 -5.5% C
USB 4/18/2018 1.1 1.2 -7.4% C
UMPQ 4/18/2018 5.4 2.2 143.1% C
MS 4/18/2018 1.8 1.8 -3.4% C
AXP 4/18/2018 3.1 3.0 3.7% C
TMK 4/18/2018 2.5 1.4 83.2% A
ABT 4/18/2018 2.9 2.3 29.0% C
TXT 4/18/2018 3.9 3.4 13.8% C
URI 4/18/2018 4.6 5.8 -21.0% A
VMI 4/18/2018 3.9 3.8 0.4% C
SLG 4/18/2018 2.5 2.2 15.2% C
PTC 4/18/2018 5.7 5.3 7.7% C
PPG 4/19/2018 2.1 2.5 -14.5% C
SKX 4/19/2018 10.6 15.0 -29.7% C
TTS 4/19/2018 13.4 13.4 0.3% F
PM 4/19/2018 2.0 2.3 -14.4% C
EWBC 4/19/2018 5.2 2.6 95.8% C
BBT 4/19/2018 1.8 1.8 1.8% A
SBNY 4/19/2018 3.3 2.2 54.2% C
WBS 4/19/2018 3.7 2.2 69.7% C
ADS 4/19/2018 4.5 5.8 -22.0% A
MDXG 4/19/2018   5.3 -100.0% C
DHR 4/19/2018 2.3 3.0 -23.9% A
DGX 4/19/2018 2.3 2.1 12.8% A
HIL 4/19/2018 10.2 5.2 96.8% F
GATX 4/19/2018 4.5 2.6 74.7% C
GWW 4/19/2018 6.9 8.5 -19.6% C
GTLS 4/19/2018 6.7 7.4 -10.0% C
SNA 4/19/2018 5.2 4.5 16.4% A
WERN 4/19/2018 6.6 4.4 48.3% A
ATEN 4/19/2018   11.3 -100.0% C
GNTX 4/20/2018 5.2 4.0 28.8% A
SHOO 4/20/2018 4.5 3.3 38.9% C
PG 4/20/2018 2.4 2.7 -10.8% C
BHGE 4/20/2018 2.7 3.4 -19.2% F
SLB 4/20/2018 1.7 1.6 8.4% C
STT 4/20/2018 2.4 3.5 -31.4% C
RF 4/20/2018 2.4 2.3 6.1% A
TRU 4/20/2018 4.3 5.2 -17.1% A
MINI 4/20/2018 4.9 5.5 -10.8% C
MAN 4/20/2018 4.4 4.5 -2.5% A
GE 4/20/2018 4.6 1.9 144.6% C
HON 4/20/2018 1.9 1.6 14.2% C
ROP 4/20/2018 3.2 2.2 45.1% C
SWK 4/20/2018 2.9 3.0 -6.0% C
WM 4/20/2018 2.3 2.2 1.9% A

 

Volatility Standouts:  

 

Underlying Q Rating 2M Volatility vs Forecast 2M IV Change IV 2M Percentile
SNAP C 70.72% -1.50% 61.90
ISBC A 63.17% -0.37% 67.06
SBGI C 62.38% 1.77% 24.21
SCG C 58.68% 1.29% 88.49
ARRY F 56.30% -4.46% 98.81
GBT F 56.28% -2.08% 98.02
PF A 56.23% -2.42% 63.89
TPR C 53.25% -13.99% 59.92
THS C 53.17% -2.98% 93.25
SNCR F 50.85% -5.34% 44.05
HCSG C 47.80% -8.84% 97.62
GRUB C 47.78% -2.75% 92.06
TIVO C 46.71% -6.28% 78.17
CLDR F 46.45% -3.50% 61.11
MDXG C 46.04% -4.85% 98.81
DISH C 44.76% -1.41% 75.40
SHAK C 44.24% -14.53% 49.21
MAC F 42.20% -3.92% 77.78
UAA F 42.10% 2.34% 74.21
SAIL C 41.91% -1.37% 63.64

 

   

Underlying Q Rating 2M Volatility vs Forecast 2M IV Change IV 2M Percentile
CC C -52.36% -1.50% 11.90
ETSY C -50.06% -0.37% 65.48
DPS A -49.04% 1.77% 0.00
MON C -45.11% 1.29% 26.59
DXC A -42.07% -4.46% 97.62
RSPP C -37.65% -2.08% 67.86
YELP C -37.37% -2.42% 58.33
USG F -36.20% -13.99% 20.24
NUS C -34.36% -2.98% 80.16
INCY F -34.03% -5.34% 80.95
LUK C -34.01% -8.84% 90.48
IMPV C -33.62% -2.75% 46.03
LOCO C -33.30% -6.28% 78.97
SPY 0 -33.08% -3.50% 82.94
MSFT C -32.48% -4.85% 84.13
DIA 0 -31.40% -1.41% 82.54
CRM C -31.40% -14.53% 90.48
EFA 0 -30.06% -3.92% 62.30
BLK A -29.67% 2.34% 82.94
ONCE F -29.32% -1.37% 21.91