Quantamize Midday Volatility Update

May 04, 2018

Quantamize Q-Options Products

Commentary:

Equities are rallying after the employment report showed a declining unemployment rate, but tepid wage growth. Currently, the S&P is up 1%, the Russell is up 1%, and the Nasdaq is up 1.5%. Bonds are down slightly and gold is little changed to slightly higher. Energy is rallying with oil up 2% taking XOP up 2% and XLE up 0.82%. Volatilities are easing on today’s market rally with the VIX -4% to 15.30, RVX -6% to 15.70, and VXN -4% to 18.94. Option flow is relatively light , but leaning towards a bullish sentiment overall. 


ETF 30d volatility changes
SPY:   -5%
IWM: -4%
QQQ: -3%

Bullish Flow:
XLF Buyer 39,500 Jul 28-29 call spread 
EEM Seller 17,000 Jun 45 puts
NXPI Buyer 10,000 Jan19 105-125 call spreads to sell the Jan19 80 put
RIG Buyer 20,000 Aug 13-15 call spreads to sell 20,000 May 12 calls 
QQQ Seller 30,700 Jul 155 puts
PF Seller 14,440 June 50-45 put spread 
CBS Buyer 9,000 Jun 57.5 calls 
MDLZ 5,000 Sep 40 calls trade
NRG 5,000 May 34 calls trade
EWW Buyer 5,000 Jun 51 calls

Bearish Flow:
XLF Buyer 43,000 Jun 29 – Jun 22nd 27.5 put spread 
GPRO 7206 Oct 6 puts trade
QQQ Buyer 40,000 Jun 155 puts 
MS Buyer 5,000 Ja19 50 puts 

Upcoming Earnings:

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

Average Daily Vega

BKNG

5/7/2018

2.8

4.0

-30.1%

B

1672308

CSCO

5/7/2018

8.5

5.7

49.7%

C

173803

OC

5/7/2018

6.4

4.9

29.6%

B

62545

RCL

5/7/2018

4.6

4.0

15.7%

C

59056

ANDV

5/7/2018

6.5

6.4

0.7%

D

50183

ANET

5/7/2018

 

2.7

-100.0%

C

48651

CTXS

5/7/2018

4.5

3.7

20.5%

C

45504

TAP

5/7/2018

17.6

9.9

77.0%

D

35897

WDAY

5/7/2018

6.2

3.9

61.5%

C

35025

PF

5/7/2018

10.9

11.5

-5.3%

A

34040

SHW

5/7/2018

3.5

0.9

304.8%

C

26132

BHGE

5/7/2018

 

6.9

-100.0%

D

25501

TRIP

5/7/2018

8.3

9.7

-14.7%

D

25476

ZBH

5/7/2018

7.0

5.8

21.2%

B

16228

DFS

5/7/2018

7.5

6.2

21.2%

B

14759

DKS

5/7/2018

5.7

4.3

30.6%

D

11693

MTZ

5/7/2018

8.0

5.5

45.4%

C

10540

VFC

5/7/2018

9.9

9.5

4.1%

C

9363

PKG

5/7/2018

5.5

3.9

41.8%

B

6570

MXIM

5/7/2018

8.7

5.2

66.5%

A

6501

TSS

5/7/2018

4.8

4.7

3.5%

A

5739

NCR

5/7/2018

13.7

8.5

62.1%

B

5186

GCO

5/7/2018

8.0

6.4

25.4%

C

2966

NLY

5/7/2018

9.4

11.3

-17.1%

C

2825

SYNA

5/7/2018

6.8

6.0

13.8%

C

2527

SSYS

5/7/2018

7.8

5.2

49.8%

C

2327

AMC

5/7/2018

8.0

2.4

232.1%

D

2164

HUBB

5/7/2018

12.9

11.2

14.8%

C

2134

EVR

5/7/2018

11.8

7.5

56.8%

D

2064

AIMT

5/7/2018

6.2

2.9

113.8%

F

1885

CENX

5/7/2018

7.8

7.7

1.9%

D

1842

OI

5/7/2018

3.4

4.3

-21.9%

C

1714

FRT

5/7/2018

8.4

10.2

-18.1%

D

1495

SNV

5/7/2018

4.7

6.2

-23.2%

A

1481

MTSI

5/7/2018

5.2

5.7

-7.8%

D

1422

IMMR

5/7/2018

6.2

5.5

12.5%

C

1314

RNG

5/7/2018

6.3

6.5

-3.1%

D

1245

GATX

5/7/2018

4.1

4.4

-7.9%

B

1229

TWNK

5/7/2018

5.2

4.7

11.2%

D

1120

CARG

5/7/2018

9.3

10.7

-12.9%

D

524

STWD

5/7/2018

9.8

8.0

23.5%

D

431

ATSG

5/7/2018

 

6.2

-100.0%

B

397

BGFV

5/7/2018

4.4

4.8

-8.5%

F

378

PLT

5/7/2018

7.4

9.0

-18.2%

D

351

CHUY

5/7/2018

 

5.7

-100.0%

B

322

FRPT

5/7/2018

9.5

10.4

-8.7%

C

318

MOV

5/7/2018

4.9

4.6

4.5%

C

247

IIIN

5/7/2018

3.8

3.8

1.0%

D

222

EGHT

5/7/2018

7.7

7.0

10.1%

D

206

EVTC

5/7/2018

20.4

9.1

125.5%

C

205

SRI

5/7/2018

2.4

1.4

69.7%

B

180

LQ

5/7/2018

4.9

4.3

14.6%

A

118

PICO

5/7/2018

16.3

21.3

-23.6%

F

107

 

Volatility Standouts:

Underlying

Q Rating

2M Volatility vs Forecast

2M IV Change

IV 2M Percentile

Average Daily Vega

AOBC

F

74.93%

-3.15%

100.00

6024

PYPL

B

72.15%

-1.60%

73.91

45376

SPLK

D

71.01%

-10.71%

53.36

8639

CTSH

C

68.30%

-1.72%

20.95

4430

TLRD

B

67.22%

0.19%

28.46

26919

GOOGL

B

66.86%

2.57%

83.40

2397

ARMK

B

66.51%

0.80%

90.51

1803

HII

B

65.66%

-0.86%

58.50

1994

AYI

C

65.36%

-0.47%

55.73

772434

CAR

C

63.69%

-3.38%

34.63

30254

DISCA

C

63.12%

-18.87%

94.47

18904

SFM

C

62.47%

-13.50%

0.40

843

BKNG

B

62.28%

-19.63%

84.19

15976

MPC

A

61.09%

0.92%

17.39

9426

NKE

C

57.72%

-0.49%

0.40

1452061

FMC

B

57.45%

-1.18%

86.56

21

HBI

D

57.39%

-3.23%

82.21

1761

DATA

C

5.70E-01

-16.64%

4.00

190476

 

Underlying

Q Rating

2M Volatility vs Forecast

2M IV Change

IV 2M Percentile

Average Daily Vega

ETP

C

-46.55%

-3.15%

66.80

105792

ANDV

D

-42.57%

-1.60%

70.36

59894

DXCM

C

-39.91%

-10.71%

58.50

11345

ACIA

D

-37.46%

-1.72%

79.05

4961

ROST

A

-33.57%

0.19%

71.54

2284

NWL

C

-33.09%

2.57%

1.19

1925

UNM

A

-28.82%

-0.95%

41.90

676

QEP

F

-28.80%

-0.86%

85.77

10440

KSU

B

-28.30%

-0.47%

63.64

6932

IMMR

C

-26.49%

2.49%

23.32

29816

MS

C

-25.62%

-3.38%

99.21

60530

AA

C

-25.10%

-18.87%

56.13

79882

IDCC

C

-25.07%

-13.50%

0.40

3037

ACAD

D

-24.34%

-19.63%

99.60

5617

AKRX

D

-23.25%

0.92%

84.98

22782

VMW

D

-23.04%

-0.49%

60.87

4822

ULTA

B

-22.82%

-1.18%

0.40

27752

MSFT

B

-22.42%

-3.23%

87.75

327

CVLT

F

-21.48%

-16.64%

0.43

6736