Quantamize Midday Volatility Update

Apr 18, 2018

Quantamize Midday Volatility Report April 18

Commentary: Equities are up again though with less intensity of the last few days. The S&P is currently up 0.33%, the Nasdaq up 0.41%, and the Russell is leading the way up 0.68% on strength in energy. Oil is back to rally mode with the May contract +2% to 67.89. Energy stocks continue their breakout higher with XOP +2.9% and XLE +1.6%. In addition, we are seeing very bullish activity in the small and middle tier energy names, especially those with relatively low priced stocks.  Precious metals are in positive territory as well with Gold up 0.23%, miners up 0.89%, but silver is particularly strong, up 2.6% and seeing positive call activity as well. Volatilities are mixed with the VIX up 3.6% to 15.80, VXN unchanged at 19.49, and RVX +0.6% to 15.75.

ETF 30d volatility changes

SPY: -2%

IWM: 0%

QQQ: -2%

 

Bullish Flow: 

IWM 45k May 165 calls trade appear bought

BBBY 6,900 Apr 17 and 18 calls trade

EDU Buyer 4,333 May 115 calls

NXPI Buyer 10,000 Jan 120-125 call spread to sell 100 puts

EBAY Buyer 10,000 Apr 30 – Oct 36 call spread to roll out

SLV 73k calls versus 8.6k puts trade in first hour

CXO Buyers 7,600 Apr 160 calls

BEN Buyers 3,900 Apr 34.5 calls trade

EEM Buyer 65,210 Sep 49-51 call spread to sell 43 puts

CCL Buyer 6,000 May 11th 66-67.5 call spread to sell 62.5 puts

ULTA buyer 2,500 Jun 250-275 call spread

XLF Buyer 25,000 Jun 30 calls

LVS Buyer 2,600 Jun 80 calls

D Buyer 2,600 Apr 67.5 calls

AA Seller 3,000 Apr 27th 58 calls to buy 7,000 61 calls to roll up and increase ahead of earnings

 

Bearish Flow:

IWM 45k May 165 calls trade appear bought

CZR Seller 15,000 May 12 calls

QQQ Buyer 50k May 132 – Jun 29th 132 put spread

EWZ Seller 17,500 Apr 44 calls

HAL Buyer 5,000 Apr 27th 51 puts

 

Upcoming Earnings:  

 

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

STLD

4/18/2018

2.9

3.4

-14.9%

C

SNBR

4/18/2018

12.0

5.5

118.9%

C

CCK

4/18/2018

4.0

2.4

64.6%

C

TCBI

4/18/2018

3.7

3.9

-4.2%

C

UMPQ

4/18/2018

7.1

2.2

216.8%

C

AXP

4/18/2018

3.4

3.0

13.7%

C

TMK

4/18/2018

2.4

1.4

75.0%

A

URI

4/18/2018

3.6

5.8

-38.7%

A

VMI

4/18/2018

4.4

3.8

14.1%

C

SLG

4/18/2018

2.5

2.2

16.0%

C

PTC

4/18/2018

5.8

5.3

9.0%

C

PPG

4/19/2018

2.4

2.5

-1.2%

C

SKX

4/19/2018

10.9

15.0

-27.7%

C

TTS

4/19/2018

12.8

13.4

-4.0%

F

PM

4/19/2018

2.7

2.3

16.2%

C

EWBC

4/19/2018

2.9

2.6

10.6%

C

BBT

4/19/2018

2.3

1.8

25.5%

A

SBNY

4/19/2018

3.4

2.2

56.5%

C

WBS

4/19/2018

3.5

2.2

62.1%

C

ADS

4/19/2018

4.7

5.8

-18.5%

A

MDXG

4/19/2018

 

5.3

-100.0%

C

DHR

4/19/2018

2.7

3.0

-8.9%

A

DGX

4/19/2018

2.6

2.1

26.0%

A

HIL

4/19/2018

16.7

5.2

222.5%

F

GATX

4/19/2018

4.0

2.6

56.7%

C

GWW

4/19/2018

6.4

8.5

-24.7%

C

GTLS

4/19/2018

6.4

7.4

-13.7%

C

SNA

4/19/2018

5.0

4.5

11.5%

A

WERN

4/19/2018

6.4

4.4

44.8%

A

ATEN

4/19/2018

 

11.3

-100.0%

C

GNTX

4/20/2018

5.1

4.0

26.2%

A

SHOO

4/20/2018

4.8

3.3

45.7%

C

PG

4/20/2018

2.5

2.7

-5.2%

C

BHGE

4/20/2018

2.8

3.4

-16.2%

F

SLB

4/20/2018

2.1

1.6

31.0%

C

STT

4/20/2018

2.7

3.5

-23.7%

C

RF

4/20/2018

2.5

2.3

7.8%

A

TRU

4/20/2018

4.2

5.2

-19.1%

A

MINI

4/20/2018

4.9

5.5

-9.6%

C

MAN

4/20/2018

4.4

4.5

-1.1%

A

GE

4/20/2018

4.7

1.9

149.0%

C

HON

4/20/2018

1.9

1.6

16.4%

C

ROP

4/20/2018

2.8

2.2

28.5%

C

SWK

4/20/2018

2.8

3.0

-6.4%

C

WM

4/20/2018

2.3

2.2

3.1%

A

SMCI

4/20/2018

9.1

5.2

74.3%

C

 

Volatility Standouts:

 

Underlying

Q Rating

2M Volatility vs Forecast

2M IV Change

IV 2M Percentile

SCG

C

73.34%

3.22%

91.30

STON

F

67.63%

-0.08%

33.60

PENN

C

63.55%

-3.31%

92.09

SNAP

C

62.56%

-1.46%

47.83

PF

A

56.74%

-0.03%

57.31

ESPR

F

55.76%

0.05%

90.12

THS

C

55.43%

-14.07%

90.12

MDXG

C

48.92%

-3.54%

99.60

MAC

F

48.14%

-0.73%

73.91

SBGI

C

47.99%

-1.41%

30.04

UAA

F

45.15%

1.32%

71.54

ARRY

F

42.97%

-2.16%

98.02

GBT

F

41.54%

-0.42%

94.07

SHAK

C

37.99%

-2.29%

47.83

GRUB

C

35.43%

1.67%

91.70

DISH

C

34.68%

5.64%

51.78

SNCR

F

34.55%

-3.66%

41.50

TPR

C

33.56%

-0.49%

54.55

MAT

F

33.25%

-3.83%

68.77

SABR

A

31.57%

-0.56%

93.28

 

 

Underlying

Q Rating

2M Volatility vs Forecast

2M IV Change

IV 2M Percentile

MULE

F

-72.22%

3.22%

3.16

CC

C

-53.60%

-0.08%

9.09

ETSY

C

-52.91%

-3.31%

62.85

MON

C

-47.61%

-1.46%

26.88

DXC

A

-45.30%

-0.03%

97.23

DPS

A

-42.51%

0.05%

63.64

INCY

F

-40.23%

-14.07%

67.59

LUK

C

-3.95E-01

-3.54%

78.26

YELP

C

-37.51%

-0.73%

44.27

NUS

C

-36.26%

-1.41%

66.01

IMPV

C

-36.15%

1.32%

43.08

USG

F

-34.85%

-2.16%

0.40

CRM

C

-34.30%

-0.42%

77.47

LOCO

C

-34.29%

-2.29%

50.99

EFA

0

-33.98%

1.67%

44.66

SPY

0

-33.72%

5.64%

80.63

GPN

C

-33.44%

-3.66%

58.10

HLF

C

-32.69%

-0.49%

36.36

DIA

0

-31.32%

-3.83%

80.63

FEZ

0

-31.14%

-0.56%

34.39