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Quantamize Midday Volatility Update

May 02, 2018

Commentary: Equities are mixed today after Apple (AAPL) earnings and buyback seemed to please investors and strength in the energy sector. Currently, the S&P is down -0.17%, the Nasdaq is down -0.12% even as AAPL is up +4.5% on earnings, and the Russell is up +0.64%. As stated energy is strong with XOP +1.2% and XLE +0.6% on strength from DVN’s output guidance. Bonds are little changed, as is gold. Volatilities are generally lower with the VIX -2.6% to 15.08, VXN -1.5% to 19.42, and RVX -6% to 15.70. 


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

Bullish Flow:
STZ Buyer 11,000 Jul 230-245 call spread to sell 210 puts 
STZ Buyer 5,675 Jul 230-235-245-255 call condor
I 6,400 Sep 15 calls trade adds to yesterday activity
WYNN 5,250 Jun 230 calls trade
CAT Buyer 2,000 Sep 145-155 1x2 call spread
CVS Seller 18,000 Jun 65 puts tied to stock
SFLY Seller 5,000 Sep 82.5 puts tied to stock
BBBY Buyer 7,000 Jan 22.5 calls
CVS Seller 18,000 Jun 65 puts
MRK Seller 8,250 Jun 55 puts
CBI Seller 27,211 May 12.5 puts


Bearish Flow:
RIG Buyer 25,000 Jan 10 puts 
XLI Seller 6,000 May 71 puts to buy 5,000 Jun 70-66 put spread
EEM Buyer 65,000 May 45 puts
WFT 200k Jun 3 puts trade to open
HYG Seller 55,000 Jun 87 calls
TAHO Buyer 25,000 Jun 25 puts tied to 1.07M shares
BMY Buyer 10,000 Jun 50 puts

 

Upcoming Earnings

 

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

Average Daily Vega

TSLA

5/2/2018

6.8

5.6

22.3%

D

2140349

SQ

5/2/2018

7.2

6.1

18.8%

C

253139

KHC

5/2/2018

4.4

2.1

105.8%

A

134274

SGMS

5/2/2018

11.1

10.8

2.8%

C

104537

ESRX

5/2/2018

2.7

3.1

-13.2%

A

74158

PXD

5/2/2018

4.1

4.6

-10.3%

C

72640

MET

5/2/2018

4.4

3.4

28.9%

C

58450

AIG

5/2/2018

3.8

3.8

-1.6%

C

39695

XPO

5/2/2018

6.6

5.5

19.8%

C

39622

APA

5/2/2018

3.9

4.4

-11.7%

F

38275

CLR

5/2/2018

4.6

5.4

-15.4%

D

26198

EQIX

5/2/2018

3.9

2.8

42.1%

D

19944

WMB

5/2/2018

2.5

2.6

-4.6%

C

19695

DATA

5/2/2018

9.5

12.1

-21.5%

C

19494

MRO

5/2/2018

4.0

3.3

20.9%

D

17816

QRVO

5/2/2018

6.1

6.5

-6.2%

C

17675

PRU

5/2/2018

4.0

3.5

13.4%

B

16983

RGLD

5/2/2018

2.8

4.2

-32.3%

C

13655

FEYE

5/2/2018

9.7

10.6

-8.3%

F

13457

CAR

5/2/2018

7.5

11.1

-32.5%

C

13047

CZR

5/2/2018

7.0

2.3

210.3%

C

12476

S

5/2/2018

4.4

8.6

-48.8%

C

12444

CF

5/2/2018

5.1

5.5

-7.8%

C

12305

MAC

5/2/2018

4.2

1.4

204.7%

F

10385

MIC

5/2/2018

5.7

7.8

-26.4%

C

9465

FMC

5/2/2018

4.6

5.2

-11.8%

B

7935

CRUS

5/2/2018

7.6

7.0

8.3%

B

7411

EXEL

5/2/2018

11.6

7.3

58.7%

C

7206

CPE

5/2/2018

6.4

4.1

56.8%

D

7174

LSI

5/2/2018

2.1

1.8

18.4%

C

6960

GMED

5/2/2018

13.8

5.5

152.2%

C

5800

CERN

5/2/2018

4.5

5.0

-9.2%

B

5231

WPZ

5/2/2018

3.1

2.6

17.1%

F

5228

RSG

5/2/2018

2.2

1.4

56.8%

A

5148

WPX

5/2/2018

5.3

6.1

-13.6%

D

4831

LNC

5/2/2018

3.3

2.5

32.3%

B

4659

DDD

5/2/2018

10.6

12.6

-15.7%

C

4343

DXCM

5/2/2018

8.3

6.0

37.8%

C

4084

MUR

5/2/2018

3.6

2.8

26.7%

D

3702

FIT

5/2/2018

11.3

13.2

-14.5%

D

3423

TYL

5/2/2018

5.2

4.8

9.3%

B

2831

NLY

5/2/2018

1.9

1.4

33.3%

C

2793

HOLX

5/2/2018

5.4

4.4

22.3%

C

2697

CONE

5/2/2018

2.2

1.3

67.1%

F

2509

LOPE

5/2/2018

6.8

6.6

2.3%

A

2360

HST

5/2/2018

2.4

2.3

6.4%

C

2134

CACI

5/2/2018

5.1

6.4

-20.9%

A

2094

MAA

5/2/2018

1.6

2.7

-38.3%

C

1961

MTDR

5/2/2018

3.8

3.2

18.6%

C

1776

MASI

5/2/2018

6.8

5.8

17.3%

C

1772

CW

5/2/2018

4.3

3.2

37.2%

B

1739

FRT

5/2/2018

0.5

1.4

-67.6%

D

1452

KMT

5/2/2018

5.9

4.9

21.0%

C

1451

TTEK

5/2/2018

5.4

4.3

24.7%

B

1440

AWK

5/2/2018

2.0

1.5

33.7%

D

1398

ES

5/2/2018

 

1.2

-100.0%

C

1367

PDCE

5/2/2018

5.5

4.9

11.8%

D

1181

ESS

5/2/2018

2.1

1.9

10.7%

D

1153

HABT

5/2/2018

7.8

10.2

-23.8%

F

1117

VVV

5/2/2018

3.3

2.0

65.3%

D

1033

 

Volatility Standouts

 

Underlying

Q Rating

2M Volatility vs Forecast

2M IV Change

IV 2M Percentile

THS

C

71.41%

0.09%

86.56

TWLO

D

69.60%

-0.20%

75.89

TIVO

C

69.18%

-1.67%

77.87

GBT

D

68.58%

-0.44%

90.91

NKTR

F

68.19%

0.68%

98.81

FWONK

C

67.98%

-0.98%

67.51

AET

C

67.83%

1.53%

43.08

SFLY

A

65.82%

-25.16%

91.70

HCSG

D

65.81%

-1.78%

75.10

PBYI

D

65.41%

0.95%

78.66

ARCC

C

64.78%

-12.54%

28.06

FTAI

D

64.74%

0.82%

73.91

TSRO

D

64.26%

9.61%

89.72

EROS

F

64.05%

-23.92%

12.65

TRN

D

63.63%

1.77%

21.34

CARS

C

62.54%

-4.54%

9.61

AZO

C

62.32%

0.23%

59.29

RCII

D

58.43%

-1.90%

55.34

UNFI

C

57.57%

-2.31%

36.76

XRAY

C

57.07%

-21.35%

81.03

 

Underlying

Q Rating

2M Volatility vs Forecast

2M IV Change

IV 2M Percentile

ETSY

C

-45.91%

0.09%

63.24

CC

A

-45.75%

-0.20%

11.46

MON

D

-38.63%

-1.67%

11.46

ACIA

D

-38.11%

-0.44%

56.92

DY

D

-37.20%

0.68%

54.15

ANDV

D

-35.32%

-0.98%

77.87

RDN

C

-34.43%

1.53%

84.98

YELP

D

-32.42%

-25.16%

44.66

S

C

-31.70%

-1.78%

0.40

LOCO

C

-31.19%

0.95%

52.17

OCLR

C

-30.02%

-12.54%

1.58

AKRX

D

-28.25%

0.82%

83.79

INCY

F

-27.76%

9.61%

36.76

MTG

B

-27.47%

-23.92%

87.75

LBRDK

D

-25.90%

1.77%

57.31

HLF

D

-25.63%

-4.54%

9.88

MO

A

-24.43%

0.23%

80.24

AA

C

-23.74%

-1.90%

80.24

GPN

C

-22.06%

-2.31%

51.38

VDSI

F

-20.66%

-21.35%

53.75