Quantamize Midday Volatility Update

May 07, 2018

Quantamize Options Products

Commentary:

Equities are rallying led by tech and energy as oil pushes above $70 a barrel. Currently, the S&P is up +0.57%, the Russell is up +1.05%, and the Nasdaq is up 1.05% with strength especially strong in the FAANG names. Oil has broken out to new year highs with the June contract up +1.2% to 70.52.  Natural Gas is rallying as well, up 1% to 2.74. Energy stock ETF’s are rallying strongly on the move higher with XOP up +3% and XLE up +2%. Emerging markets are in the red today with EEM down -0.30%, and Mexico and Brazil both lower, EWW -1.4% EWZ -0.9%. Retail is also a laggard today with XRT -0.75%. Volatilities are mixed with the VIX +0.4% to 14.82, RVX -6% to 15.70, and VXN +2% to 18.81.

ETF 30d volatility changes

SPY:   -3%
IWM: -4%
QQQ: -2%

Bullish Flow:

COTY Seller 14,000 Aug 14-18 risk reversal
INTC Buyers 3,400 Jun 1st 50 calls
ADNT Seller 20,000 Jun 55 puts tied to 1M shares
QQQ Seller 34,000 Jun 155 puts
UNH Buyer 2,500 Jun 1st 240-245 call spread
TEVA Buyer 10,000 Jun 20-21 1x2 call spread
SNAP Seller 10,000 Jan 2020 10 puts
AAPL Buyer 7,300 May 190 calls
ADP Buyer 4,500 Jan 145 calls

Bearish Flow:
EXC Buyers 3,600 Jun 42 puts 
GME Buyer 5,000 Jul 11 puts
X Seller 10,000 Jun 38 calls tied to stock
M Buyer 4,200 May 25th 30 puts ahead of erns
IBB Buyer 7,400 May 101 puts
Z Buyer 6,000 May 40.5 puts

 

Upcoming Earnings:

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

EVHC

5/7/2018

11.8

7.5

57.7%

C

ANDV

5/7/2018

 

2.7

-100.0%

D

HTZ

5/7/2018

12.0

11.2

6.8%

C

MOS

5/7/2018

4.4

4.6

-5.3%

D

Z

5/7/2018

6.7

5.8

15.7%

B

OHI

5/7/2018

3.1

4.3

-27.1%

F

DK

5/7/2018

4.8

4.3

11.3%

D

PI

5/7/2018

18.5

21.3

-13.3%

D

OAS

5/7/2018

4.9

4.9

-0.5%

F

BHF

5/7/2018

 

6.9

-100.0%

D

CRZO

5/7/2018

7.3

5.9

23.8%

F

AMC

5/7/2018

7.1

2.4

192.0%

D

RMBS

5/7/2018

6.3

6.5

-3.0%

C

MTW

5/7/2018

7.3

5.5

33.0%

C

TRMB

5/7/2018

6.4

5.3

20.3%

C

TREX

5/7/2018

8.1

9.8

-17.7%

C

SYKE

5/7/2018

7.1

6.0

18.4%

C

JCOM

5/7/2018

5.2

3.7

39.7%

B

VECO

5/7/2018

8.9

9.7

-8.0%

C

ATRA

5/7/2018

 

6.2

-100.0%

C

EVRI

5/7/2018

16.5

9.1

82.3%

C

CARB

5/7/2018

9.1

10.7

-14.8%

C

EVBG

5/7/2018

5.8

4.8

21.3%

C

ATSG

5/7/2018

7.3

6.6

9.9%

B

KAMN

5/7/2018

3.7

1.7

121.4%

B

FRPT

5/7/2018

8.8

10.1

-12.9%

C

PLOW

5/7/2018

7.3

9.0

-19.2%

C

SNHY

5/7/2018

4.2

6.2

-32.6%

B

DIS

5/8/2018

3.6

2.3

58.0%

B

EA

5/8/2018

6.0

5.2

15.9%

C

DISH

5/8/2018

6.4

2.8

128.8%

C

OXY

5/8/2018

2.3

2.3

-0.5%

C

MAR

5/8/2018

3.4

2.2

51.4%

C

MTCH

5/8/2018

4.1

7.5

-44.8%

C

TRIP

5/8/2018

9.9

9.2

7.4%

D

MLM

5/8/2018

4.1

4.5

-7.7%

C

MNST

5/8/2018

6.3

6.3

-0.3%

D

OSTK

5/8/2018

10.8

11.0

-1.6%

F

TWLO

5/8/2018

10.9

11.5

-5.1%

D

AAOI

5/8/2018

14.2

18.1

-21.6%

D

 

Volatility Standouts:

Underlying

Q Rating

2M Volatility vs Forecast

2M IV Change

IV 2M Percentile

STON

F

70.04%

-0.77%

64.43

ARRY

F

69.71%

-2.19%

91.30

GBT

D

69.40%

-1.54%

99.60

ARMK

B

65.39%

-1.88%

94.07

TIVO

C

59.37%

3.51%

88.93

MDXG

D

56.41%

0.12%

90.12

TWOU

C

56.24%

4.34%

94.07

NKTR

F

54.21%

-2.27%

96.84

PDCO

C

49.57%

1.20%

98.42

RCII

D

49.31%

0.46%

28.06

EROS

F

49.27%

-2.10%

10.28

AOBC

F

45.46%

0.35%

93.68

DISH

C

45.18%

-2.48%

98.02

GOGO

C

44.67%

-2.09%

44.27

AZO

C

42.52%

-2.33%

58.50

TTD

C

4.25E-01

-1.81%

83.79

EXEL

C

42.18%

-1.05%

93.28

LB

C

40.40%

-1.16%

35.97

FL

D

39.37%

-7.47%

78.66

 

Underlying

Q Rating

2M Volatility vs Forecast

2M IV Change

IV 2M Percentile

ANDV

D

-48.48%

-0.77%

71.15

ETSY

C

-47.99%

-2.19%

68.38

UTHR

C

-47.38%

-1.54%

1.58

ACIA

D

-44.60%

-1.88%

37.15

LBRDK

D

-43.75%

3.51%

65.61

OCLR

C

-43.41%

0.12%

0.40

DY

D

-42.29%

4.34%

54.94

S

C

-39.11%

-2.27%

5.93

YRCW

C

-37.26%

1.20%

54.94

RDN

C

-36.40%

0.46%

88.14

AA

C

-35.31%

-2.10%

43.87

ILG

B

-35.25%

0.35%

0.40

INCY

F

-35.23%

-2.48%

30.83

AKRX

D

-34.91%

-2.09%

84.98

ACAD

D

-34.79%

-2.33%

45.85

W

D

-32.39%

-1.81%

52.17

VECO

C

-32.11%

-1.05%

50.99

MTG

B

-31.72%

-1.16%

85.77

MTCH

C

-30.96%

-7.47%

98.81