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Quantamize Midday Volatility Update

May 01, 2018

Commentary: Equities are in the red today as the dollar continues to rally and ahead of Apple earnings with the S&P currently down -.53%, the Nasdaq unchanged, and the Russell down -.37%. Bonds are in the red with TLT down -.21% and the 10 year yield up to 2.96%. Energy is generally in the red with Jun crude down 1.3% leading XOP lower by .83% and XLE -1.15%. Gold continues to move lower down -.6%. Volatilities are mixed to higher with the spot VIX +4% to 16.54, RVX -6% to 15.70, and VXN up +1% to 21.27. 

 

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

 

Bullish Flow:
XLF Buyer 30,000 May-Jun 28 call spread to sell 20k Jun 26 puts 
TWX Buyer 5,000 Jul 105 calls
EXPR Seller 5,000 Jul 7-8 risk reversal
SBUX 7,400 May 4th 58 and 5,200 Jul 60 calls trade
BAC Sellers 20,000 May 28.5 puts
F Buyer 5,000 Jul 12 calls

Bearish Flow:
NXPI Buyer 10,000 Aug 100 – May 107 risk reversal tied to stock
EEM Buyer 17,000 Jun 45 puts
XLE Buyer 5,000 Jun 65-70 put spread
PI Buyers 6,000 Jul 10 puts
HTZ Buyer 5,000 May 19-26 risk reversals
HYG Buyer 36k Jun 81-84 put spread to sell Jul 86-87 call spread and buy Jul 83 puts
CPE Seller 4,000 Jul 14-17 call spreads to buy Jul 11 puts to close

Upcoming Earnings:

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating

AAPL

5/1/2018

4.2

4.0

4.5%

A

GILD

5/1/2018

4.3

3.6

18.2%

C

DVN

5/1/2018

5.7

5.0

14.5%

F

APC

5/1/2018

3.5

2.8

23.4%

D

SNAP

5/1/2018

15.5

28.4

-45.3%

C

MDLZ

5/1/2018

3.5

3.1

11.1%

C

TMUS

5/1/2018

3.9

3.2

20.8%

B

CXO

5/1/2018

2.4

3.9

-38.1%

D

CHRW

5/1/2018

5.1

3.6

39.9%

C

OKE

5/1/2018

2.6

2.0

29.4%

C

COHR

5/1/2018

11.3

14.5

-22.0%

B

SFLY

5/1/2018

9.8

10.6

-7.4%

A

ALL

5/1/2018

4.3

3.8

14.6%

A

PAYC

5/1/2018

5.6

7.4

-24.8%

C

JNPR

5/1/2018

6.4

6.6

-3.0%

C

NFX

5/1/2018

5.7

5.0

13.4%

C

WATT

5/1/2018

 

7.4

-100.0%

F

ZEN

5/1/2018

8.4

8.2

2.1%

D

SKT

5/1/2018

4.8

3.6

31.2%

D

ASH

5/1/2018

4.3

2.6

64.8%

D

OLN

5/1/2018

5.3

4.4

19.2%

C

EIX

5/1/2018

3.0

1.6

83.3%

D

QLYS

5/1/2018

8.3

7.5

11.1%

C

TEX

5/1/2018

5.9

3.4

75.5%

C

NCR

5/1/2018

7.5

7.8

-3.4%

B

GBT

5/1/2018

11.8

5.2

125.4%

D

UNM

5/1/2018

3.5

1.5

140.0%

A

FISV

5/1/2018

3.5

2.6

32.3%

A

NUVA

5/1/2018

7.5

5.3

40.3%

C

EXR

5/1/2018

3.1

2.3

33.5%

C

VOYA

5/1/2018

4.9

3.9

26.6%

C

ULTI

5/1/2018

5.6

5.4

4.5%

C

HHC

5/1/2018

4.0

2.6

52.5%

B

VVC

5/1/2018

 

1.1

-100.0%

C

MUSA

5/1/2018

4.9

5.0

-0.2%

C

VRSK

5/1/2018

4.8

4.1

15.7%

A

ARRS

5/1/2018

7.4

6.9

7.0%

B

TDOC

5/1/2018

6.7

8.3

-19.7%

D

RRR

5/1/2018

7.2

2.7

163.0%

C

MTSI

5/1/2018

11.9

15.0

-20.9%

D

SSNC

5/1/2018

4.8

2.9

62.4%

A

WU

5/1/2018

4.2

2.6

59.4%

D

SRC

5/1/2018

6.6

4.2

56.9%

C

WNC

5/1/2018

8.5

10.0

-14.7%

B

ACHC

5/1/2018

8.4

8.7

-3.5%

C

AJG

5/1/2018

3.4

2.5

37.0%

A

BBSI

5/1/2018

5.5

6.4

-13.9%

F

SEND

5/1/2018

3.2

0.8

322.6%

D

CRAY

5/1/2018

10.6

10.7

-0.8%

D

JKHY

5/1/2018

3.5

1.7

104.5%

A

MGRC

5/1/2018

5.1

7.0

-27.0%

C

UIS

5/1/2018

11.7

13.6

-13.8%

B

BGFV

5/1/2018

12.3

10.7

15.7%

F

RRD

5/1/2018

8.4

7.5

12.3%

D

QUAD

5/1/2018

9.5

11.3

-15.8%

B

QUOT

5/1/2018

10.6

11.3

-6.0%

D

JBT

5/1/2018

7.3

6.2

17.5%

C

MITK

5/1/2018

7.3

8.1

-10.1%

D

FIVN

5/1/2018

7.9

6.2

28.5%

D

DENN

5/1/2018

5.8

5.6

2.2%

A

PLT

5/1/2018

8.4

10.7

-21.5%

D

SYX

5/1/2018

11.4

12.7

-10.9%

C

BRKS

5/1/2018

8.0

6.7

19.3%

A

EVTC

5/1/2018

5.8

4.0

44.7%

C

CPS

5/1/2018

5.0

3.4

47.0%

C

 

Volatility Standouts

 

Underlying Q Rating 2M Volatility vs Forecast 2M IV Change IV 2m Percentile
SRCL B 72.05% 1.47% 89.29
STWD D 63.58% -0.34% 98.41
ARRY F 62.96% 0.75% 90.48
TIVO C 61.88% 2.45% 73.81
MDXG D 61.60% 4.83% 91.27
EXEL C 60.82% 1.00% 94.84
GBT D 58.05% 0.60% 93.25
ESPR F 56.98% -1.61% 70.63
THS C 56.21% 3.12% 85.71
SNCR D 55.21% -1.19% 46.03
SNAP C 54.71% 2.75% 61.90
NKTR F 54.61% 2.75% 61.90
SIRI A 45.16% -2.52% 2.78
SSP D 44.81% 5.76% 92.86
AZO C 44.17% -0.72% 63.49
AOBC F 43.32% 2.17% 58.73
XRAY C 41.90% 1.11% 86.90
TRN  D 40.08% 2.05% 17.86
GOGO C 40.05% -18.83% 74.60
FOSL D 39.13% 1.55% 89.68

 

Underlying Q Rating 2M Volatility vs Forecast 2M IV Change  IV 2M Percentile
PAY C -81.62% 1.47% 5.95
ETSY C -47.53% -0.34% 61.11
CC A -46.00% 0.75% 8.33
ACIA D -42.30% 2.45% 67.06
ANDV D -40.95% 4.83% 80.95
S C -40.92% 1.00% 13.89
RDN C -37.57% 0.60% 85.71
LOCO  C -37.37% -1.61% 61.51
LBRDK D -36.10% 3.12% 53.17
OCLR C -35.72% -1.19% 1.19
INCY F -33.41% 2.75% 41.27
YELP D -33.06% 0.94% 36.51
AA C -32.52% -2.52% 73.02
ILG B -31.36% 5.76% 0.00
HLF D -29.66% -0.72% 6.35
MO A -28.90% 2.17% 75.40
DPS B -28.55% 1.11% 0.00
MTG B -28.23% 2.05% 87.30
CVNA D -27.82% -18.83% 0.43
VZ A -27.12% 1.55% 52.38