blog

Latest from the Quantamize Blog

Midday Volatility Update

May 08, 2018

Quantamize Options Suite

Commentary

Equities are generally in the red with focus on oil and the Iran deal.  We have seen conflicting reports of the US staying in the Iran deal and the US leaving the deal moving oil initially lower and then recovering some of its losses. Currently, June crude is down 2.6% to 68.80 with Natural gas down 0.8% to 2.72. Energy stocks are down with it as XOP is -0.88% and XLE -0.69%. The S&P is down 0.24%, the Russell is down 0.06%, and the Nasdaq is down 0.31%. Bonds are in the red with TLT down .35%. Gold is little changed. Volatilities are up mixed with the VIX +2% to 15.05, RVX-6% to 15.70, and VXN +0.8% to 18.86. 

 

ETF 30d Volatility Changes

SPY:   +2%
IWM: +2%
QQQ: +2%

 

Bullish Flow:

SNAP 12k calls trade within first 10 minutes of the day on strength in shares 
HTZ Seller 4,700 Jul 21 puts possibly closing
CZR Buyer 6,800 May 12.5 calls
XLF Buyer 46,000 Jul 28 calls tied to 1.87M shares
EEM Buyer 22,500 May 47 calls
HAIN Sellers 9,300 May 26 puts
NXPI Seller 5,000 Jul 80-115 risk reversal
DAL Buyers 5,300 May 54 calls
GLW Buyers 11,200 Jun 27 calls

 

Bearish Flow:

VIX Buyer 50,000 Jun 20th 27 calls 
GE Buyer 50,000 May 13 puts
TUR Buyers 3,600 May 31 puts ahead of the Iran deal announcement
MU Seller 20,000 May 25th 51 calls
XOP Buyer 13,403 May 38.5-36 put spread
CTL Buyer 35,000 Jun 15 puts
TAHO 20k Sep 5 puts trade appear bought
UNIT Buyer 10,000 May 20 puts

 

Upcoming Earnings:

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

DIS

5/8/2018

4.1

2.3

76.3%

B

OXY

5/8/2018

2.7

2.3

17.5%

C

MAR

5/8/2018

3.4

2.2

51.6%

C

TRIP

5/8/2018

10.7

9.2

16.4%

D

MNST

5/8/2018

6.6

6.3

4.6%

D

OSTK

5/8/2018

11.5

11.0

4.8%

F

FANG

5/8/2018

4.9

2.6

92.1%

D

PAA

5/8/2018

4.6

7.0

-33.9%

D

PZZA

5/8/2018

6.4

6.1

4.5%

C

XEC

5/8/2018

5.3

3.2

67.4%

C

CLVS

5/8/2018

7.5

4.9

51.6%

D

AAXN

5/8/2018

10.1

10.4

-2.9%

F

PLNT

5/8/2018

8.7

8.4

3.2%

C

ETSY

5/8/2018

11.2

10.8

4.0%

C

ARNA

5/8/2018

3.9

6.9

-43.3%

F

PAGP

5/8/2018

6.0

7.6

-20.9%

D

FOSL

5/8/2018

18.4

29.3

-37.3%

D

BECN

5/8/2018

9.3

2.9

227.9%

C

RGR

5/8/2018

7.3

4.8

50.4%

C

WEN

5/8/2018

5.1

3.8

33.3%

A

LGND

5/8/2018

5.5

2.6

113.0%

D

GPOR

5/8/2018

6.7

5.3

26.2%

D

KAR

5/8/2018

4.3

3.8

14.4%

A

CORT

5/8/2018

4.8

6.4

-24.9%

D

CDEV

5/8/2018

6.6

2.1

214.7%

F

LILAK

5/8/2018

 

6.5

-100.0%

D

GLIBA

5/8/2018

3.8

 

#DIV/0!

C

LQ

5/8/2018

14.7

3.2

359.8%

A

CCS

5/8/2018

5.9

4.3

36.9%

C

PUMP

5/8/2018

5.1

5.0

1.5%

C

CHUY

5/8/2018

5.8

4.3

33.0%

B

BIO

5/8/2018

5.3

6.5

-18.8%

B

APEI

5/8/2018

11.7

17.7

-33.7%

C

ZAGG

5/8/2018

10.9

12.0

-9.0%

F

PBPB

5/8/2018

6.5

6.8

-3.9%

C

IAC

5/9/2018

5.2

5.4

-4.4%

D

MYL

5/9/2018

4.7

3.2

45.8%

B

ETP

5/9/2018

3.5

2.9

23.1%

C

ALB

5/9/2018

6.4

5.7

12.1%

C

ROKU

5/9/2018

14.0

30.1

-53.5%

F

PTLA

5/9/2018

 

9.6

-100.0%

F

CTL

5/9/2018

5.9

6.1

-3.8%

D

COTY

5/9/2018

9.2

10.9

-15.1%

C

FOXA

5/9/2018

3.4

2.9

16.7%

A

CAVM

5/9/2018

4.6

3.9

16.4%

C

SBGI

5/9/2018

5.8

3.8

53.4%

C

ETE

5/9/2018

3.5

3.7

-4.8%

C

AYX

5/9/2018

9.7

14.8

-34.4%

C

IMMU

5/9/2018

8.7

8.3

5.3%

F

NXST

5/9/2018

4.7

2.3

101.5%

B

SYNA

5/9/2018

8.8

10.2

-13.3%

C

MIDD

5/9/2018

4.9

4.5

9.5%

B

CVNA

5/9/2018

7.9

8.1

-1.5%

D

MDXG

5/9/2018

13.3

5.1

161.0%

D

ICUI

5/9/2018

7.2

5.5

30.2%

A

ATUS

5/9/2018

7.1

4.0

78.6%

D

ARRY

5/9/2018

10.6

10.3

3.0%

F

PBYI

5/9/2018

11.7

9.2

26.6%

D

FWONK

5/9/2018

5.6

2.1

164.1%

C

PRTY

5/9/2018

7.5

7.1

5.7%

B

HRI

5/9/2018

7.4

7.1

4.9%

C

INFN

5/9/2018

14.2

20.8

-31.7%

D

NUAN

5/9/2018

7.5

5.0

50.0%

B

CARS

5/9/2018

6.9

3.4

106.2%

C

SBRA

5/9/2018

6.1

2.8

115.2%

D

SAIL

5/9/2018

12.4

11.4

8.6%

D

EBIX

5/9/2018

6.2

4.7

31.3%

C

RNG

5/9/2018

6.7

4.9

35.7%

D

GDEN

5/9/2018

10.5

4.1

156.5%

C

WWW

5/9/2018

6.8

4.7

46.4%

C

RUN

5/9/2018

9.0

6.5

39.2%

F

RST

5/9/2018

8.6

4.5

90.7%

D

KODK

5/9/2018

9.0

11.1

-18.6%

C

CHEF

5/9/2018

9.5

14.0

-32.0%

C

LBRDK

5/9/2018

 

1.0

-100.0%

D

ADT

5/9/2018

8.3

12.5

-33.7%

C

VGR

5/9/2018

3.5

2.7

27.4%

A

BCOR

5/9/2018

8.5

8.4

0.2%

C

CEVA

5/9/2018

9.3

6.4

45.1%

C

EPAM

5/9/2018

4.2

4.4

-3.7%

C

AEE

5/9/2018

2.6

0.8

211.3%

C

ENV

5/9/2018

6.7

5.5

21.7%

C

ELF

5/9/2018

5.9

5.3

10.6%

C

BREW

5/9/2018

6.9

7.5

-8.5%

D

TWNK

5/9/2018

7.3

9.3

-21.5%

D

DNB

5/9/2018

6.1

6.0

2.9%

B

SYNH

5/9/2018

11.3

17.0

-33.6%

C

PNK

5/9/2018

13.3

2.1

541.9%

B

CNK

5/9/2018

4.8

2.5

91.8%

A

TTGT

5/9/2018

8.2

3.8

115.5%

C

BLDR

5/9/2018

7.0

7.4

-4.9%

C

TPC

5/9/2018

7.8

7.8

0.1%

C

CNDT

5/9/2018

6.6

6.8

-2.9%

C

DAR

5/9/2018

6.7

5.8

16.3%

C

 

Volatility Standouts:

Underlying

Q Rating

2M Volatility vs Forecast

2M IV Change

IV 2M Percentile

LB

C

74.61%

-0.66%

40.48

FOSL

D

74.05%

0.14%

76.98

FTAI

D

73.63%

-0.24%

44.05

MDXG

D

73.61%

2.06%

88.49

EXEL

C

73.33%

0.81%

89.29

NKTR

F

73.25%

-3.00%

94.44

AZO

C

68.69%

-1.57%

65.48

AOBC

F

67.14%

-0.97%

86.90

PBYI

D

67.08%

-0.30%

79.37

TSRO

D

66.66%

0.96%

88.10

EROS

F

62.30%

3.38%

7.94

WMB

C

61.05%

-1.03%

84.52

PAH

C

61.01%

-2.69%

5.56

NAVI

C

61.00%

0.76%

8.73

DISH

C

60.72%

-21.77%

99.60

BLUE

D

60.56%

-0.25%

49.60

BKS

C

60.04%

-1.17%

92.86

CARS

C

58.51%

3.52%

6.87

SAIL

D

58.34%

8.40%

85.44

 

Underlying

Q Rating

2M Volatility vs Forecast

2M IV Change

IV 2M Percentile

ETSY

C

-45.45%

-0.66%

70.63

S

C

-41.88%

0.14%

5.16

DY

D

-40.58%

-0.24%

59.13

ACIA

D

-39.78%

2.06%

30.95

ANDV

D

-38.82%

0.81%

71.03

OCLR

C

-34.74%

-3.00%

0.00

YELP

D

-34.07%

-1.57%

40.08

RDN

C

-32.23%

-0.97%

84.52

ACAD

D

-31.70%

-0.30%

98.02

USG

C

-31.27%

0.96%

0.79

VDSI

F

-31.15%

3.38%

72.22

LBRDK

D

-30.63%

-1.03%

49.21

MTCH

C

-28.87%

-2.69%

98.02

ATHN

C

-28.57%

0.76%

31.75

ILG

B

-27.49%

-21.77%

1.19

MTG

B

-24.86%

-0.25%

84.92

CVNA

D

-22.88%

-1.17%

2.13

VEEV

C

-22.49%

3.52%

69.05

VZ

A

-21.89%

8.40%

50.40