Quantamize Midday Volatility Update

Apr 26, 2018

Commentary: Equities are rallying as earnings have come in relatively strong including last night’s Facebook beat, which is taking the Nasdaq up well above the S&P and Russell. Currently, the S&P is up 0.80%, the Russell is up 0.30%, and the Nasdaq is up 1.88%. Energy is little changed to higher with June crude +0.10% and natural gas +1.1% taking energy ETF’s higher by 0.90% in XLE and 0.7% in XOP. Bonds are rallying after comments this morning by EU’s Mario Draghi. The ten-year yield is back down under 3%. Gold is in the red, down 0.43% though GDX is up 0.59%. Volatilities are lower with VIX -5% to 16.92, RVX -4.6%, and VXN -6% to 21.75.

 

ETF 30d volatility changes

SPY: -6%

IWM: -4%

QQQ: -5%

 

Bullish Flow: 

DB Buyer 20,000 May 15 – Jun 14 call spread

MGM Buyers 17,000 Aug 33 calls

EBAY Buyer 10,000 Oct 36 calls

S Buyer 5,000 May 6.5 calls

CIEN Buyer 10,000 Jun 26 calls

AMRN Buyer 4,500 Jan 4-7 call spreads add to same spread on 4/11

TLT Buyer 10,500 Sep 122 calls to sell 8,000 Sep 114 puts untied

GG Seller 10,000 GG May 14 puts to likely close

ARNC Buyer 10,000 May 22 calls tied to 550k shares

VZ Buyer 3,889 Jul 52.5 and 6,480 Jun 52.5 calls

KOS Buyer 15,000 Jul 7.5 calls tied to 675k shares

TPR Buyer 5,000 May 55-57 1x2 call spread

EEM 94,219 May 11th 49.5 calls trade to open. Hard to tell if bought or sold.

KMB Buyer 5,000 Oct 125 calls

 

Bearish Flow:

T Buyer 20,000 May 33 puts

NXPI Buyer 2,550 Aug 95-85 put spread to sell 120 calls

FB Buyer 9,000 Oct 135 puts

PENN Sellers 5,900 Jul 9 calls to close on strong erns

SPY Buyer 17,500 Apr 27th 262-257-252 put fly

FTR Buyers 7,400 Jan 2020 8 puts on newsletter rec

 

Upcoming Earnings

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating
EMN 4/26/2018 4.3 3.1 37.1% A
X 4/26/2018 7.2 8.9 -19.8% C
COLM 4/26/2018 6.5 5.8 12.5% C
LEG 4/26/2018 3.6 3.1 16.2% C
MHK 4/26/2018 4.8 3.2 50.4% C
FBHS 4/26/2018 3.2 3.0 4.6% A
MATW 4/26/2018 5.1 4.0 29.2% A
STON 4/26/2018 12.1 2.9 317.1% F
SBUX 4/26/2018 4.1 3.5 18.6% C
EXPE 4/26/2018 7.7 7.6 1.4% C
MAT 4/26/2018 12.2 9.0 35.3% F
BYD 4/26/2018 6.8 4.8 41.4% C
MCRI 4/26/2018 5.1 5.4 -6.0% C
NUS 4/26/2018 7.1 6.4 11.3% C
CHGG 4/26/2018 11.4 12.0 -4.4% C
SWN 4/26/2018 7.6 8.8 -13.8% F
NOV 4/26/2018 3.2 3.9 -17.1% F
FII 4/26/2018 4.1 2.8 44.6% A
SIVB 4/26/2018 4.6 4.9 -6.7% C
ISBC 4/26/2018 6.8 2.3 194.9% A
HIG 4/26/2018 5.1 2.9 75.4% C
RGA 4/26/2018   2.5 -100.0% A
SGEN 4/26/2018 6.5 3.6 82.2% F
VRTX 4/26/2018 3.5 2.1 65.6% C
EHC 4/26/2018 2.8 1.9 49.1% A
SYK 4/26/2018 2.5 3.0 -19.0% C
MDX 4/26/2018   5.1 -100.0% C
EXAS 4/26/2018 11.5 12.8 -9.8% F
RMD 4/26/2018 7.4 8.0 -6.7% C
VVI 4/26/2018 5.1 5.0 3.2% C
VRSK 4/26/2018 4.3 4.2 2.2% C
BOOM 4/26/2018 5.8 6.7 -12.9% F
CVA 4/26/2018 4.6 4.6 -1.6% C
CUBE 4/26/2018 5.8 2.8 104.8% C
DLR 4/26/2018 3.1 2.3 37.3% F
ATHN 4/26/2018 8.9 11.5 -22.0% C
MSTR 4/26/2018 7.1 7.3 -2.7% C
NATI 4/26/2018 4.4 3.0 46.0% C
IMPV 4/26/2018 8.6 8.4 2.6% C
MSFT 4/26/2018 3.9 3.4 14.7% C
ATEN 4/26/2018 11.1 11.3 -1.5% C
CAMP 4/26/2018 10.0 9.8 1.7% A
DGII 4/26/2018 8.0 5.1 58.4% C
KN 4/26/2018 8.4 6.5 29.1% A
WDC 4/26/2018 5.0 5.1 -1.3% C
FTV 4/26/2018 3.9 2.8 40.5% C
VRSN 4/26/2018 5.3 2.0 163.6% C
KLAC 4/26/2018 3.9 2.9 35.8% C
CY 4/26/2018 6.2 2.5 145.9% C
INTC 4/26/2018 4.7 5.0 -6.0% C
LSCC 4/26/2018 9.2 5.2 77.9% C
MXIM 4/26/2018 4.2 4.2 0.3% C
FSLR 4/26/2018 7.7 11.6 -33.2% C
WY 4/27/2018 3.3 2.5 33.7% C
CHTR 4/27/2018 4.7 4.1 14.4% C
IPG 4/27/2018 6.5 5.6 16.5% C
TEN 4/27/2018 3.5 6.1 -42.1% C
CL 4/27/2018 2.9 2.5 15.0% C
LUK 4/27/2018   2.0 -100.0% C
XOM 4/27/2018 2.0 1.8 7.9% C
MCO 4/27/2018 3.9 2.6 47.1% C
HRC 4/27/2018 6.3 3.2 94.1% A
COL 4/27/2018 4.0 2.8 43.8% A
CVEO 4/27/2018   5.9 -100.0% F
AIMC 4/27/2018 6.1 4.7 29.8% C
B 4/27/2018 4.6 4.0 14.2% C
DOV 4/27/2018 2.9 2.7 7.0% A
SAIA 4/27/2018 6.7 6.3 6.5% C
VTR 4/27/2018 3.4 1.1 199.5% C
SPG 4/27/2018 2.8 2.4 17.0% C
TYPE 4/27/2018 5.6 5.4 3.8% A
D 4/27/2018 3.0 1.6 87.1% A
POR 4/27/2018 5.6 1.9 197.9% C

 

Volatility Standouts

 

Underlying Q Rating 2M Volatility vs Forecast 2M IV Change IV 2M Percentile
THS C 73.94% -7.39% 86.56
DISH C 73.86% -5.09% 76.28
MDXG C 72.68% -24.35% 93.68
SHAK C 72.39% -0.80% 77.47
KNX A 71.54% -2.86% 90.51
EXEL C 68.74% -1.37% 97.23
NKTR F 64.87% 0.21% 100.00
LKQ C 62.61% -3.90% 82.61
SNAP C 62.60% 2.66% 80.63
CTXS C 61.58% 0.35% 81.82
XRAY C 60.17% -5.98% 94.07
MAC F 59.57% -2.19% 76.68
FGEN F 58.83% 0.39% 73.12
HYG F 57.34% -1.33% 87.35
WAIR F 52.27% -0.94% 52.96
AOBC F 56.72% -6.41% 57.31
UAA F 54.54% 5.87% 73.52
HIG C 54.51% -11.40% 96.05
IDCC C 52.97% -13.89% 67.59
HOG F 52.70% -1.23% 37.55
ETSY C -46.05% -7.39% 62.45
CC C -42.77% -5.09% 13.44
YELP C -28.53% -24.35% 49.41
INCY F -26.76% -0.80% 37.15
LOCO C -26.74% -2.86% 72.33
NUS C -26.51% -1.37% 65.22
IMPV C -25.56% 0.21% 50.20
HLF C -24.43% -3.90% 20.16
CAMP A -22.74% 2.66% 69.17
YUM C -19.08% 0.35% 81.82
MO A -18.86% -5.98% 93.68
DPS A -18.82% -2.19% 13.44
IDTI C -18.07% 0.39% 84.19
ALK C -17.37% -1.33% 61.66
WTW C -17.35% -0.94% 48.62
POST A -16.41% -6.41% 62.45
VEEV C -16.28% 5.87% 82.21
DXC A -15.97% -11.40% 94.07
RSPP C -15.81% -13.89% 42.29
MON C 15.46% -1.23% 20.55