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Quantamize Midday Volatility Update

Apr 27, 2018

Commentary: Equities started the morning higher after strong earnings reports from AMZN and MSFT, but quickly reversed and are now unchanged overall on the day. Currently, the S&P and the NASDAQ are flat with the Russell down 0.36%. Energy is lower on the XOM earning disappointment with June oil futures down 0.21% and natural gas is down 2.3%. XOP is down 1.82% and XLE down 1.01%.  Bonds are slightly high as the 10 year is trading just below 3% to 2.96%. Volatility is lower going into the weekend, with the VIX -.92% to 16.09, VXN is +6.93% to 21.83 and RVX +0.66% to 16.87. 


ETF 30d volatility changes 
SPY: 0%
IWM: -0.36%
QQQ: 0%

Bullish Flow:  
S Buyer 17,000 May 7 calls
AA Buyer 4,000 Aug 45-49 1x2
NBR 7,000 Jun-Sep 8 call spreads trade
EA May 120-128 1x2 call spreads trade
TGT 8,8000 May 75 and 72 calls trade

Bearish Flow:
CBL Buyer 5,000 Sep 5 puts
FTR 6,000 Jan 4 puts trade
NXPI Buyer 5,000 May 105 – Jan 80 put spread

 

Upcoming Earnings

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

Average Daily Vega

AWI

4/30/2018

5.1

5.1

-1.4%

A

 

AKS

4/30/2018

11.1

11.2

-1.7%

F

 

DAN

4/30/2018

4.1

3.8

9.7%

C

370

ALSN

4/30/2018

4.1

2.9

41.9%

A

1168

CTB

4/30/2018

6.2

6.2

0.4%

F

913

BFAM

4/30/2018

1.2

2.9

-58.7%

A

234

MCD

4/30/2018

3.1

2.9

7.6%

C

163707

TXRH

4/30/2018

6.0

5.6

6.9%

A

1512

DO

4/30/2018

6.5

4.5

45.3%

F

5107

WLL

4/30/2018

7.5

9.5

-20.9%

F

38132

EPD

4/30/2018

2.3

1.9

18.9%

C

37160

NBIX

4/30/2018

6.6

5.6

19.2%

F

10410

MDXG

4/30/2018

20.2

5.1

293.9%

C

7715

WAGE

4/30/2018

 

5.5

-100.0%

C

145

TBI

4/30/2018

7.2

9.0

-20.1%

C

 

GVA

4/30/2018

5.6

5.4

2.7%

C

235

MTZ

4/30/2018

7.4

5.9

24.4%

C

6208

IEX

4/30/2018

2.2

2.4

-9.1%

C

1968

SSD

4/30/2018

2.8

3.6

-22.0%

C

363

VNO

4/30/2018

2.4

1.6

54.2%

F

1352

ARE

4/30/2018

 

1.2

-100.0%

C

537

AKAM

4/30/2018

7.4

9.9

-25.1%

C

10592

INST

4/30/2018

6.3

6.3

0.7%

C

 

VRNS

4/30/2018

9.0

6.5

39.5%

C

1863

HLIT

4/30/2018

16.6

12.0

38.2%

F

 

EFII

4/30/2018

10.5

8.8

20.0%

F

343

IVAC

4/30/2018

9.0

4.3

112.0%

F

103

CGNX

4/30/2018

7.9

6.7

17.5%

C

3773

IDTI

4/30/2018

6.8

8.1

-16.1%

C

2628

MPWR

4/30/2018

3.4

3.1

10.4%

C

813

ON

4/30/2018

6.2

3.7

67.8%

A

13439

PEG

4/30/2018

2.3

1.6

48.0%

C

2625

 

Volatility Standouts

Underlying

Q Rating

2M Volatility vs Forecast

2M IV Change

IV 2M Percentile

CAMP

A

73.43%

-17.14%

56.13

EXEL

C

73.36%

4.20%

96.44

FGEN

F

72.46%

3.16%

70.36

TPR

C

71.42%

0.70%

67.59

SNAP

C

71.15%

2.80%

74.31

AOBC

F

65.73%

1.11%

59.68

THS

C

65.54%

-1.34%

85.77

MAC

F

63.47%

-1.79%

67.19

NKTR

F

61.56%

-0.87%

98.81

LBRDK

C

61.31%

1.43%

43.87

CTXS

C

59.10%

-6.52%

8.70

TRN

C

58.50%

-2.06%

46.64

XRAY

C

58.45%

-0.70%

88.54

KNX

A

55.57%

0.55%

80.24

HCSG

C

52.63%

0.00%

84.58

WAIR

F

52.28%

0.99%

49.41

UAA

F

51.76%

-3.24%

70.75

MDRX

C

51.74%

-1.57%

80.63

PZZA

C

51.48%

0.19%

73.52

AMC

F

50.31%

0.33%

29.64

EDIT

F

50.30%

1.02%

76.28

CARS

C

49.14%

-0.12%

9.29

SHAK

C

48.94%

5.73%

65.22

FWONK

C

48.39%

11.81%

42.78

PBF

F

48.38%

2.58%

45.06

ARCC

C

48.07%

3.19%

30.43

IDCC

C

47.58%

0.85%

3.16

IMPV

C

47.49%

-17.32%

50.20

SABR

A

47.21%

4.75%

86.17

MSG

A

46.95%

0.12%

33.99

LB

C

46.67%

0.90%

49.41

DVA

C

46.26%

-2.65%

57.71

 

Underlying

Q Rating

2M Volatility vs Forecast

2M IV Change

IV 2M Percentile

ETSY

C

-46.79%

-17.14%

57.71

CC

C

-42.54%

4.20%

8.70

DPS

A

-31.00%

3.16%

13.83

YELP

C

-29.13%

0.70%

45.85

LOCO

C

-28.69%

2.80%

67.19

HLF

C

-25.51%

1.11%

7.51

INCY

F

-23.69%

-1.34%

33.99

MO

A

-21.64%

-1.79%

82.61

YUM

C

-21.42%

-0.87%

69.57

RSPP

C

-20.12%

1.43%

30.83

ALK

C

-18.07%

-6.52%

54.15

ALGN

C

-17.82%

-2.06%

57.71

HD

A

-17.80%

-0.70%

73.91

IDTI

C

-17.71%

0.55%

82.61

GPN

C

-17.55%

0.00%

65.61

LUK

C

-17.39%

0.99%

67.19

WTW

C

-17.23%

-3.24%

47.04

DXC

A

-16.97%

-1.57%

93.68

POST

A

-16.80%

0.19%

62.06

VEEV

C

-16.60%

0.33%

78.66

W

C

-15.10%

1.02%

62.85

MPLX

C

-14.55%

-0.12%

89.33

LII

C

-14.08%

5.73%

77.87

XLP

0

-14.01%

11.81%

81.82

PBI

C

-13.69%

2.58%

80.63

DY

F

-13.53%

3.19%

52.57

PAGP

F

-12.94%

0.85%

60.87

WATT

F

-12.43%

-17.32%

32.81

LDOS

C

-12.27%

4.75%

66.40

BKNG

C

-11.58%

0.12%

84.19

GNRC

A

-11.50%

0.90%

60.47

SAGE

F

-11.42%

-2.65%

23.72

BCOR

C

-10.22%

1.33%

48.62

ULTA

C

-10.08%

-0.88%

53.75