Quantamize Midday Volatility Update

May 03, 2018

Commentary:

Equities are in the red but well off earlier lows as the last hour has been a strong move higher taking the S&P from down 20 handles to almost unchanged. The Russell is currently down -0.29% and the Nasdaq is up +0.10%. Bonds are firm with TLT up +0.50%. Gold is in the green as well with GLD up 0.7% and the miner ETF GDX up 1.3%. Oil is moving higher as well up 1% on the Jun contract though XOP is down -1% and XLE -0.15%. TSLA and SPOT are loss leaders following earnings and TSLA’s now well discussed conference call. Volatilities are generally higher with the VIX +4.7% to 16.72, VXN +4% to 20.57, though RVX is down 6% to 15.70. 


ETF 30d volatility changes:
SPY:   +1%
IWM: +4%
QQQ: +2%

Bullish Flow:  
QQQ Seller 40,000 Jun 155 Puts 
SMH Seller 15,000 Aug 90 Puts
VRX Seller 6,794 Jul 14 Puts 
TWX Buyer 13,000 Jan 92.5-100 call spread to sell 13,000 Jan 85 puts
PYPL 10,200 May 74 calls trade
GE Buyer 6,600 Jan20 13 calls
COP 15,200 May 65 calls trade
INTC Buyer 11,500 Jan19 40-42 call spread
NXPI Seller 5,000 Oct 110-100 put spread
T Seller 13,000 Jun 35 puts tied to stock


Bearish Flow:
AMLP Buyer 20,762 Jun 10 Puts
KRE Seller 51,000 June 63-68 call spread
T 13,000 June 35 puts trade

 

Upcoming Earnings:

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

Average Daily Vega

ATVI

5/3/2018

5.9

5.1

14.9%

D

86041

EOG

5/3/2018

2.8

2.4

14.5%

C

79334

SWKS

5/3/2018

5.6

6.0

-6.4%

B

63181

ANET

5/3/2018

8.2

11.1

-26.1%

C

48651

OLED

5/3/2018

11.5

11.1

3.5%

B

42259

HLF

5/3/2018

6.2

6.0

3.5%

D

26807

SRPT

5/3/2018

7.0

7.1

-1.2%

D

25252

CBS

5/3/2018

3.9

1.9

106.3%

C

19481

ZAYO

5/3/2018

4.4

3.1

42.6%

D

14528

CRC

5/3/2018

10.4

13.4

-21.9%

D

14500

STMP

5/3/2018

11.0

14.6

-24.7%

C

14166

ALNY

5/3/2018

6.1

6.5

-4.8%

F

13583

WTW

5/3/2018

11.6

14.2

-18.5%

B

12763

CC

5/3/2018

6.1

5.5

9.3%

A

12319

FTNT

5/3/2018

7.5

6.7

10.8%

C

9874

PE

5/3/2018

7.5

6.3

20.0%

D

8224

SHAK

5/3/2018

8.1

6.6

22.7%

C

8165

MSI

5/3/2018

5.0

3.8

32.7%

C

7636

FLT

5/3/2018

5.0

6.7

-25.5%

B

7554

FLR

5/3/2018

4.8

4.9

-3.9%

C

7136

ED

5/3/2018

1.7

1.0

70.0%

B

5749

ACIA

5/3/2018

 

8.9

-100.0%

D

5189

SRCL

5/3/2018

8.7

9.5

-8.5%

B

4741

DVA

5/3/2018

5.5

4.3

28.1%

C

4718

POST

5/3/2018

4.6

4.1

11.7%

B

4448

P

5/3/2018

12.1

8.7

38.8%

F

4283

GBT

5/3/2018

12.8

5.2

145.2%

D

4003

LYV

5/3/2018

3.6

5.3

-30.7%

C

3554

EDIT

5/3/2018

7.6

6.9

9.5%

D

3467

SM

5/3/2018

7.7

4.7

64.3%

F

3145

TSRO

5/3/2018

6.9

6.6

4.3%

D

3058

ATGE

5/3/2018

8.4

6.0

39.2%

C

2929

BGS

5/3/2018

7.8

8.9

-11.8%

B

2725

LPLA

5/3/2018

6.5

5.5

17.7%

C

2631

ALRM

5/3/2018

7.4

7.4

0.7%

C

2427

ERI

5/3/2018

3.1

4.8

-35.3%

A

2219

MTD

5/3/2018

3.8

3.3

14.6%

B

2199

CACC

5/3/2018

6.0

7.0

-14.2%

D

2007

ADMS

5/3/2018

14.3

4.9

194.7%

C

1999

CENX

5/3/2018

7.5

7.3

3.7%

D

1842

VIAV

5/3/2018

7.9

5.3

49.1%

C

1749

MED

5/3/2018

12.9

10.3

25.4%

C

1554

TWOU

5/3/2018

7.5

4.2

79.3%

C

1315

LOCO

5/3/2018

7.4

9.2

-19.4%

C

1232

WING

5/3/2018

7.2

7.3

-0.5%

B

1229

Y

5/3/2018

1.4

2.2

-35.7%

C

1190

CATM

5/3/2018

12.8

7.1

79.4%

C

1148

BID

5/3/2018

7.1

8.3

-14.2%

B

1074

WAIR

5/3/2018

14.2

11.8

20.6%

F

1070

CTRL

5/3/2018

10.4

10.9

-4.5%

A

986

FTAI

5/3/2018

5.9

2.2

169.9%

D

789

PODD

5/3/2018

7.9

9.2

-14.6%

D

781

TDC

5/3/2018

7.9

8.5

-7.3%

C

605

AIZ

5/3/2018

5.6

3.8

47.7%

A

541

CARG

5/3/2018

7.2

11.2

-35.6%

D

524

ATRA

5/3/2018

 

6.2

-100.0%

C

446

EPAY

5/3/2018

7.4

5.6

31.8%

D

440

ESL

5/3/2018

8.0

10.2

-22.0%

D

417

RP

5/3/2018

6.2

3.2

90.5%

F

405

BNFT

5/3/2018

8.4

8.8

-4.4%

D

399

SPXC

5/3/2018

6.5

8.1

-19.6%

D

312

NVEE

5/3/2018

4.3

6.7

-34.9%

C

253

BKH

5/3/2018

6.7

1.9

245.7%

C

235

WEB

5/3/2018

9.0

9.8

-8.0%

C

229

SMCI

5/3/2018

8.8

4.9

79.5%

D

198

XPER

5/3/2018

7.5

7.7

-3.1%

C

171

LHO

5/3/2018

 

4.5

-100.0%

F

155

BL

5/3/2018

8.3

10.2

-18.7%

D

143

ERII

5/3/2018

9.4

11.0

-14.3%

D

134

PK

5/3/2018

6.1

2.7

127.3%

D

127

WTS

5/3/2018

4.3

4.0

6.9%

B

124

CPT

5/3/2018

1.5

1.8

-19.6%

C

121

PCTY

5/3/2018

7.7

7.5

2.3%

C

101

 

Volatility Standouts:

Underlying

Q Rating

2M Volatility vs Forecast

2M IV Change

IV 2M Percentile

STWD

D

74.45%

3.41%

91.70

STON

F

74.25%

-0.36%

33.99

MDXG

D

70.16%

1.90%

94.07

ARRY

F

64.93%

1.96%

86.56

XRAY

C

62.49%

3.59%

93.68

GBT

D

62.29%

0.68%

96.84

TWLO

D

59.17%

-0.19%

92.09

SIRI

A

58.34%

7.94%

6.32

ARMK

B

58.29%

1.61%

97.23

PDCO

C

55.87%

6.46%

94.86

TIVO

C

55.86%

12.42%

83.00

NKTR

F

5.48E-01

4.29%

98.02

RCII

D

53.71%

11.26%

73.52

FTAI

D

49.46%

2.28%

85.77

AIG

C

45.72%

-0.51%

85.77

CARS

C

44.94%

4.89%

17.39

AOBC

F

44.17%

1.89%

64.43

GOGO

C

43.87%

1.64%

75.49

AZO

C

43.20%

8.58%

66.01

EROS

F

41.89%

-7.38%

8.70

 

Underlying

Q Rating

2M Volatility vs Forecast

2M IV Change

IV 2M Percentile

CC

A

-48.71%

3.41%

11.86

ETSY

C

-47.85%

-0.36%

67.59

ANDV

D

-45.31%

1.90%

74.70

USG

C

-42.98%

1.96%

0.00

ACIA

D

-41.64%

3.59%

66.40

OCLR

C

-39.47%

0.68%

0.40

DY

D

-38.51%

-0.19%

56.13

LBRDK

D

-38.37%

7.94%

50.59

S

C

-35.25%

1.61%

68.38

LOCO

C

-34.73%

6.46%

64.03

RDN

C

-34.23%

12.42%

88.93

VDSI

F

-33.87%

4.29%

43.87

INCY

F

-32.70%

11.26%

28.85

ILG

B

-32.42%

2.28%

0.40

AA

C

-32.42%

-0.51%

65.61

YELP

D

-31.48%

4.89%

48.22

MTG

B

-29.96%

1.89%

88.54

MTCH

C

-29.08%

1.64%

99.60

CVNA

D

-2.90E-01

8.58%

0.86

RSPP

C

-28.64%

-7.38%

0.00

 

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