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Quantamize Midday Volatility Update

Apr 30, 2018

Commentary: Equities started the day in the green, however around 11:00 am stocks started to slowly sell-off and are now down on the day and near lows with the S&P -0.26%, the Russell is -0.25%, and the Nasdaq is -0.59%. Energy is higher on concerns over the Iran deal with June crude futures up 0.72% to 68.59. Natural gas, however is -1.1% to 2.742. Energy ETF’s are bucking the market trend on the oil move with XOP +1% and XLE +0.44%. Bonds are up with TLT +0.41% and the 10 year yield easing to 2.944%. Volatilities are mixed to higher with the market retracement with the VIX +5% to 16.23, RVX however is -6% to 15.70, and VXN +5% to 21.56. Option flow is in the bearish camp today for the first time in quite a while as we are seeing new and rolled ETF hedges, in addition to protective flow in high yield, and some upside call buying in VIX options.


ETF 30d volatility changes 
SPY:  unch
IWM: -2%
QQQ: +1%

Bullish Flow:  
ILG Seller 10,000 May 33 calls to buy 10k Jun 34-36 1x2 call spreads 
CWH Buyers 2,700 May 30 calls
EEM Buyer 10,750 Jun 48-51 1x2 call spread
P Buyer 7,004 May 4th 5.5 calls
EFA Buyer 17,000 May 66-72 strangle and Jul 69 puts to sell Jun 68-73 strangle and Jun 69 puts
VMC Buyer 5,000 Jun 120 calls
TWTR 4,900 Jun 29 and May 4th 29 calls trade early
HAL Buyers 13,300 May 50 calls
USO 100k May 4th 14 calls trade, mostly buyers

Bearish Flow:
FEZ Buyer 5,600 Jun 1st 40.5 puts 
JCP Buyer 10,225 May 3.5 puts
SNAP Buyer 6,221 May 15 puts
XRT Seller 5,000 May 4th 45 puts to buy May 45-43 put spread
GE Seller 10,000 May 14 calls
MO Sellers 5,600 May 59 calls
VIX Buyer 47,500 Jun 30 calls
HYG Buyer 10k Jun 8th 84-82.5-81 put fly to sell 86.5 calls
ADM Buyer 3,872 May 4th 44.5 puts
DF Buyer 20,000 Dec 7 puts

 

Upcoming Earnings

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

WLL

4/30/2018

5.5

9.9

-44.5%

F

AKAM

4/30/2018

7.4

9.9

-25.1%

C

NBIX

4/30/2018

6.1

5.7

6.8%

F

MTZ

4/30/2018

6.8

5.9

14.6%

C

CGNX

4/30/2018

7.2

6.7

6.7%

C

IDTI

4/30/2018

6.8

8.1

-15.2%

C

VRNS

4/30/2018

8.4

6.5

29.3%

C

TXRH

4/30/2018

7.0

5.6

23.6%

A

VNO

4/30/2018

2.1

1.6

34.7%

F

ALSN

4/30/2018

4.0

2.9

38.2%

A

MPWR

4/30/2018

5.3

3.1

71.6%

C

ARE

4/30/2018

1.5

1.2

23.5%

C

SSD

4/30/2018

3.7

3.6

0.1%

C

EFII

4/30/2018

12.1

8.8

38.2%

F

BFAM

4/30/2018

4.0

2.9

39.8%

A

WAGE

4/30/2018

 

5.5

-100.0%

C

IVAC

4/30/2018

11.9

4.3

178.9%

F

AAPL

5/1/2018

4.5

4.0

12.5%

A

MRK

5/1/2018

2.2

2.2

1.9%

C

PFE

5/1/2018

1.8

1.5

26.2%

A

APC

5/1/2018

3.3

2.8

18.9%

F

DVN

5/1/2018

5.6

5.0

13.7%

F

SNAP

5/1/2018

15.4

28.4

-45.6%

C

CMI

5/1/2018

3.8

3.8

-0.5%

C

MDLZ

5/1/2018

3.6

3.1

15.1%

C

AET

5/1/2018

2.3

1.6

38.9%

C

AMT

5/1/2018

2.3

1.2

99.1%

C

CHRW

5/1/2018

4.8

3.6

31.1%

C

GRUB

5/1/2018

10.0

15.4

-35.1%

C

INCY

5/1/2018

 

2.6

-100.0%

F

TPR

5/1/2018

6.0

6.4

-5.1%

C

OKE

5/1/2018

2.4

2.0

20.0%

C

UAA

5/1/2018

10.8

14.9

-27.6%

F

COHR

5/1/2018

11.7

14.5

-19.0%

A

ADM

5/1/2018

4.2

4.4

-4.1%

C

FIS

5/1/2018

3.7

2.9

28.4%

A

TDG

5/1/2018

4.9

5.0

-1.8%

C

PAYC

5/1/2018

5.5

7.4

-26.7%

C

LLL

5/1/2018

4.0

2.2

85.4%

C

WATT

5/1/2018

 

7.4

-100.0%

F

IPGP

5/1/2018

6.2

6.5

-4.0%

C

EAT

5/1/2018

4.9

4.9

-1.1%

C

SFLY

5/1/2018

10.2

10.6

-4.1%

A

EIX

5/1/2018

3.0

1.6

81.7%

C

ASH

5/1/2018

4.6

2.6

76.8%

F

ZEN

5/1/2018

8.2

8.2

0.2%

F

TEX

5/1/2018

5.8

3.4

73.6%

C

OLN

5/1/2018

5.6

4.4

25.6%

C

NCR

5/1/2018

7.5

7.8

-3.6%

C

GBT

5/1/2018

12.9

5.2

145.8%

F

QLYS

5/1/2018

8.2

7.5

9.8%

C

UNM

5/1/2018

3.3

1.5

121.5%

A

IIVI

5/1/2018

7.2

7.7

-6.6%

C

NUVA

5/1/2018

7.2

5.3

35.3%

C

EXR

5/1/2018

2.3

2.3

0.6%

C

RDC

5/1/2018

5.9

3.8

55.6%

F

FISV

5/1/2018

3.5

2.6

35.1%

A

ULTI

5/1/2018

5.1

5.4

-4.8%

C

MUSA

5/1/2018

5.1

5.0

2.1%

C

HHC

5/1/2018

3.3

2.6

26.1%

A

XYL

5/1/2018

4.2

2.6

60.5%

C

AN

5/1/2018

5.4

5.4

-0.1%

C

VRSK

5/1/2018

4.7

4.1

14.2%

C

ARRS

5/1/2018

7.2

6.9

3.4%

C

WU

5/1/2018

4.6

2.6

75.8%

C

MTSI

5/1/2018

12.3

15.0

-18.4%

C

RRR

5/1/2018

10.9

2.7

299.9%

C

WNC

5/1/2018

8.5

10.0

-14.5%

C

SRC

5/1/2018

5.5

4.2

31.0%

C

ACHC

5/1/2018

8.3

8.7

-3.9%

C

DORM

5/1/2018

5.8

4.1

40.2%

C

SSNC

5/1/2018

4.5

2.9

51.6%

C

COMM

5/1/2018

6.1

7.5

-18.6%

C

AJG

5/1/2018

5.2

2.5

112.3%

A

JKHY

5/1/2018

3.5

1.7

108.9%

A

BGFV

5/1/2018

12.5

10.7

17.0%

F

CRAY

5/1/2018

10.0

10.7

-6.4%

C

NNN

5/1/2018

6.0

1.4

344.0%

C

CVLT

5/1/2018

6.8

6.1

11.2%

F

SEND

5/1/2018

1.6

0.8

114.9%

F

SABR

5/1/2018

7.3

8.2

-11.0%

A

SERV

5/1/2018

4.5

5.7

-20.5%

A

QUOT

5/1/2018

9.4

11.3

-16.9%

C

GWR

5/1/2018

3.3

2.4

37.2%

A

JBT

5/1/2018

7.2

6.2

16.4%

C

PGTI

5/1/2018

6.8

6.3

8.2%

C

MITK

5/1/2018

8.9

8.1

9.8%

C

EVTC

5/1/2018

5.4

4.0

33.1%

C

 


Volatility Standouts: 

Underlying

Q Rating

2M Volatility vs Forecast

2M IV Change

IV 2M Percentile

MDXG

C

63.62%

-0.40%

95.65

GBT

F

60.71%

0.63%

94.86

ARRY

F

57.67%

-0.64%

84.98

TIVO

C

54.67%

-2.18%

69.17

SNCR

F

54.62%

-1.20%

34.39

THS

C

54.05%

-4.76%

85.77

NKTR

F

51.74%

-2.43%

96.84

HCSG

C

51.09%

1.63%

84.19

FGEN

F

4.85E-01

-9.46%

69.96

TPR

C

47.19%

0.76%

70.36

XRAY

C

43.80%

0.24%

86.96

EXEL

C

40.87%

-0.40%

94.86

ESPR

F

40.83%

6.87%

70.75

SNAP

C

40.07%

-1.06%

68.77

PBYI

F

39.70%

-2.51%

76.68

AOBC

F

37.38%

0.69%

61.26

TDG

C

35.42%

4.90%

69.96

SABR

A

34.91%

-0.64%

90.51

PZZA

C

32.74%

-0.89%

79.45

MDRX

C

32.15%

-0.78%

77.47

Underlying

Q Rating

2M Volatility vs Forecast

2M IV Change

IV 2M Percentile

ETSY

C

-47.97%

-0.40%

58.10

CC

C

-46.37%

0.63%

9.88

LBRDK

C

-40.65%

-0.64%

58.10

YELP

C

-37.18%

-2.18%

42.69

DPS

A

-37.02%

-1.20%

0.79

S

C

-34.68%

-4.76%

77.47

LOCO

C

-34.49%

-2.43%

67.19

ANDV

C

-33.16%

1.63%

84.19

MO

A

-31.77%

-9.46%

78.66

INCY

F

-31.54%

0.76%

34.78

HLF

C

-29.03%

0.24%

10.67

YUM

C

-28.83%

-0.40%

68.77

RSPP

C

-28.54%

6.87%

23.32

HD

A

-26.24%

-1.06%

73.52

SAGE

F

-26.21%

-2.51%

18.18

GPN

C

-26.09%

0.69%

53.75

MON

C

-25.63%

4.90%

24.11

IDTI

C

-25.18%

-0.64%

86.17

LUK

C

-25.05%

-0.89%

31.62

ALGN

C

-24.85%

-0.78%

52.96