Quantamize Midday Volatility Update

Apr 19, 2018

Commentary: Equities are in the red for the first time this week, with a possible catalyst being negative news from chip suppliers. TSMC forecasted weak demand, dragging AAPL shares down 2.5%. Currently, the S&P is down 0.77%, the Nasdaq is down 1%, and the Russell down 0.63%. Energy continues its strength with oil currently up 0.32%, though the energy ETF’s are only down slightly today. Bonds are getting hit today with TLT down 0.92% and the 10-year yield now at 2.92%. Volatilities are moving higher on today’s sell-off with the VIX +6% to 16.53, RVX +8% to 17.29, and VXN +7% to 20.70.

 

ETF 30d volatility changes

SPY: +9%

IWM: +7%

QQQ: +8%

 

Bullish Flow: 

KHC Buyer 10,000 Oct 62.5 calls tied to stock

DVN Buyer 10,000 Oct 40 calls

WYNN Buyer 4,500 Apr 195 calls

T Buyer 5,000 Jul 37 calls

NRE Buyer 9,600 Sep 15 calls

XLF Buyer 23,620 Jun 28-30 1x2 call spread

DIS Buyer 7,000 Jun 110 calls

CLF Buyer 6,000 Jul 8 calls bullish call activity overall

FCAU Buyer 5,000 Jun 27 calls

BAC Buyer 38,500 May 35 calls likely closing

RF Seller 19,800 Apr 18 puts

 

Bearish Flow:

EFA Buyer 27,937 Jul 57 puts

USO Buyer 10,000 Oct 13 puts

GLD Buyer 9,639 May 124 puts

COG Seller 5,540 May 26 calls

XOP Seller 25,000 Jun 31-35 put spread to buy 50,000 Jul 36 puts

SMH Buyer 17,000 Aug 95 puts tied to 544k shares

NXPI Buyer 3,000 Jul 105-95 1x2 put spread

 

Upcoming Earnings:  

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating
HIL 4/19/2018 16.8 5.2 223.6% F
SKX 4/19/2018 10.8 15.0 -28.4% C
WERN 4/19/2018 6.1 4.4 37.5% A
BHGE 4/20/2018 3.3 3.4 -1.7% F
GE 4/20/2018 4.6 1.9 141.2% C
GNTX 4/20/2018 5.6 4.0 38.0% A
HON 4/20/2018 2.1 1.6 26.8% C
MAN 4/20/2018 4.5 4.5 -0.1% A
MINI 4/20/2018 4.9 5.5 -11.1% C
RF 4/20/2018 2.6 2.3 12.9% A
ROP 4/20/2018 3.0 2.2 35.4% C
SHOO 4/20/2018 5.2 3.3 60.3% C
SLB 4/20/2018 2.4 1.6 53.5% C
SMCI 4/20/2018 9.3 5.2 78.2% C
STT 4/20/2018 2.8 3.5 -20.5% C
SWK 4/20/2018 3.7 3.0 22.8% C
TRU 4/20/2018 4.4 5.2 -14.5% A
WM 4/20/2018 2.4 2.2 8.5% A
ALK 4/23/2018 2.4 4.4 -45.0% C
AMP 4/23/2018 3.2 3.3 -2.1% C
BRO 4/23/2018 2.9 1.1 154.5% A
CDNS 4/23/2018 5.1 4.7 7.5% C
CR 4/23/2018 2.4 4.7 -48.8% C
CSGP 4/23/2018 4.9 4.3 13.1% C
ELS 4/23/2018   0.9 -100.0% C
FE 4/23/2018 2.9 1.8 57.2% C
GOOGL 4/23/2018 4.4 3.7 18.7% C
HAL 4/23/2018 3.2 3.4 -3.8% F
HSII 4/23/2018 8.2 12.0 -31.5% C
HXL 4/23/2018 4.4 3.2 35.5% C
KMB 4/23/2018 3.5 1.8 91.4% C
LECO 4/23/2018 2.7 3.8 -29.7% C
LII 4/23/2018 3.5 2.9 20.9% C
OI 4/23/2018 4.1 4.1 -0.5% C
RMBS 4/23/2018 6.4 6.5 -1.5% F
SANM 4/23/2018 5.2 8.7 -40.2% C
SLM 4/23/2018 4.0 4.9 -18.5% C
WAGE 4/23/2018   5.5 -100.0% C
WHR 4/23/2018 6.3 6.0 3.6% C
WWD 4/23/2018 4.8 5.1 -6.8% C
ZION 4/23/2018 2.1 1.6 27.5% A

 

Volatility Standouts:  

 

Underlying Q Rating 2M Volatility vs Forecast 2M IV Change IV 2M Percentile
PENN C 71.51% 6.41% 94.47
PF A 57.34% 2.80% 46.64
ESPR F 56.60% 2.23% 82.61
THS C 55.69% -1.72% 89.33
UAA F 52.70% 4.42% 71.94
SCG C 51.94% 10.47% 90.51
TPR C 49.85% -0.23% 68.77
SHAK C 49.27% 0.97% 43.48
HCSG C 48.08% 5.38% 87.35
MDXG C 47.35% 1.18% 99.21
MAC F 46.94% 4.26% 76.68
SNCR F 44.08% 16.25% 36.36
DISH C 43.12% 5.53% 54.55
TIVO C 41.58% -16.67% 70.75
ARRY F 41.01% 9.05% 96.44
PM C 40.80% 4.63% 67.59
GBT F 39.80% -1.94% 89.72
GRUB C 37.65% -2.87% 92.09
ANF C 34.31% -12.34% 82.21
CDK A 32.69% 1.87% 83.40

   

 

Underlying Q Rating 2M Volatility vs Forecast 2M IV Change IV 2M Percentile
MULE F -65.53% 6.41% 2.37
DPS A -56.56% 2.80% 0.40
ETSY C -54.43% 2.23% 51.78
CC C -52.81% -1.72% 6.72
DXC A -45.14% 4.42% 95.26
INCY F -41.75% 10.47% 65.61
LUK C -3.80E-01 -0.23% 75.89
IMPV C -36.31% 0.97% 38.34
NUS C -35.59% 5.38% 59.29
RSPP C -35.26% 1.18% 34.78
YELP C -34.12% 4.26% 52.57
GPN C -33.62% 16.25% 59.68
CRM C -33.51% 5.53% 82.21
USG F -33.43% -16.67% 1.19
LOCO C -32.70% 9.05% 70.36
HLF C -31.57% 4.63% 26.88
ONCE F -29.91% -1.94% 19.05
EFA   -29.55% -2.87% 37.15
BIG C -29.34% -12.34% 68.77
WATT F -28.87% 1.87% 35.57