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Midday Volatility Update

May 09, 2018

Quantamize Options Suite

Commentary:

Equities are in the green a day after the announcement of Trump taking the U.S. out of the Iran nuclear deal with energy names leading the way higher. Currently, the S&P is up 0.36%, the Russell is up 0.15%, and the Nasdaq is up 0.26%. Oil is up 3.1% with June crude now above 71 to 71.22. XOP and XLE are both up approx. 2.5% on the move higher. Bonds are in the red with TLT down 0.42% and the 10 year yield back over 3% to 3.002%. Volatilities are at their lowest levels since early this year with the VIX -4.5% to 14.04, the RVX -6% to 15.70, and the VXN -1.3% to 18.23.


ETF 30d volatility changes
SPY:   -5%
IWM: -2%
QQQ: -2%

Bullish Flow:
AAPL Buyer 3,725 May 190 calls
WFT Seller 100k Jun 3-3.5 put spread rolls up short puts
MT Buyer 4,000 May 11th 35-37 call spread to sell 33.5 puts
KNX Buyer 5,000 Jun 40-45 call spread
RIG Buyer 20,000 Nov 16 calls
VALE Seller 14k May 14 calls to close to buy 10k Jun 14 calls to open pays .11 
BOX 14k calls trade versus 2,600 puts in continued bullish activity
MRK Buyer 9,365 Jun 60-62.5 call spread
EWZ Buyer 75k Jul 43 calls tied to stock
LNG Seller 11,500 Jun 60-70 call spread to buy Sep 67.5-75 call spread
XLI Seller 10,000 May 73.5 puts and 5k Jun 73 puts tied to 700k shares

Bearish Flow:
FTR Buyer 5,920 Jan 2020 4 puts
GPRO Buyer 11,140 May-Oct 6 put spreads (rolling out to October) 
EWW Buyer 15,000 Dec 43 puts 
GE Seller 20,000 May 14.5 calls 
XLE Seller 12,000 May 79 calls 
XLI Buyer 10,000 May 73.5 puts 
HTZ Buyer 9200 Jan20 17.5-12.5 put spreads 


Upcoming Earnings:

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

BKNG

5/9/2018

5.6

7.5

-25.4%

B

IAC

5/9/2018

4.7

5.4

-13.7%

D

ETP

5/9/2018

2.9

2.9

1.0%

C

ALB

5/9/2018

5.7

5.7

0.7%

C

CTL

5/9/2018

5.7

6.1

-6.3%

D

ROKU

5/9/2018

13.2

30.1

-56.1%

F

PTLA

5/9/2018

 

9.6

-100.0%

F

FOXA

5/9/2018

3.1

2.9

5.1%

A

CAVM

5/9/2018

3.7

3.9

-4.4%

C

AYX

5/9/2018

10.2

14.8

-31.5%

C

ETE

5/9/2018

3.0

3.7

-19.7%

C

IMMU

5/9/2018

4.1

8.3

-50.2%

F

SYNA

5/9/2018

8.8

10.2

-14.1%

C

CVNA

5/9/2018

8.1

8.1

0.7%

D

MDXG

5/9/2018

12.3

5.1

140.9%

D

ICUI

5/9/2018

7.1

5.5

29.0%

A

ATUS

5/9/2018

6.6

4.0

63.8%

D

PBYI

5/9/2018

11.6

9.2

25.6%

D

NUAN

5/9/2018

7.6

5.0

53.4%

B

INFN

5/9/2018

14.5

20.8

-30.4%

D

RNG

5/9/2018

6.3

4.9

27.1%

D

GDEN

5/9/2018

9.7

4.1

136.4%

C

SAIL

5/9/2018

11.7

11.4

2.0%

D

SBRA

5/9/2018

7.7

2.8

171.9%

D

RST

5/9/2018

7.7

4.5

72.0%

D

KODK

5/9/2018

19.8

11.1

78.3%

C

RUN

5/9/2018

7.7

6.5

19.8%

F

CHEF

5/9/2018

9.7

14.0

-30.5%

C

ENV

5/9/2018

6.8

5.5

24.8%

C

GLIBA

5/9/2018

2.2

 

#DIV/0!

C

LBRDK

5/9/2018

0.3

1.0

-66.4%

D

BREW

5/9/2018

7.5

7.5

0.0%

D

ELF

5/9/2018

6.3

5.3

17.9%

C

TWNK

5/9/2018

6.6

9.3

-28.9%

D

BLDR

5/9/2018

6.6

7.4

-10.4%

C

DNB

5/9/2018

5.8

6.0

-2.8%

B

ANGI

5/9/2018

26.3

5.6

371.2%

D

TTGT

5/9/2018

8.2

3.8

116.2%

C

TPC

5/9/2018

7.7

7.8

-1.4%

C

DAR

5/9/2018

6.5

5.8

11.2%

C

 

Volatility Standouts: 

Underlying

Q Rating

2M Volatility vs Forecast

2M IV Change

IV 2M Percentile

MDXG

D

63.41%

-1.80%

87.75

FTAI

D

59.04%

-1.62%

97.23

CARS

C

57.03%

4.20%

4.70

LB

C

55.72%

-2.00%

67.98

RCII

D

53.94%

-3.56%

49.41

TIVO

C

51.56%

-31.64%

74.31

AZO

C

50.71%

-1.93%

64.43

PBYI

D

50.30%

-21.62%

77.87

EXEL

C

49.46%

1.00%

89.33

CNDT

C

48.52%

0.73%

39.13

KNX

C

47.87%

-0.86%

63.64

ADMS

C

47.67%

-8.23%

12.65

NKTR

F

47.37%

-10.91%

92.09

HRG

C

45.75%

1.78%

83.00

PAH

C

40.90%

2.45%

8.30

TRUE

F

40.09%

0.47%

75.89

CROX

B

39.33%

-1.75%

44.66

AOBC

F

39.21%

-0.52%

55.73

PDCO

C

39.19%

0.00%

98.42

 

Underlying

Q Rating

2M Volatility vs Forecast

2M IV Change

IV 2M Percentile

GOGO

C

-45.94%

-1.80%

98.42

ANDV

D

-45.31%

-1.62%

73.52

MTCH

C

-43.85%

4.20%

98.42

ACIA

D

-43.52%

-2.00%

30.04

DY

D

-42.55%

-3.56%

56.92

OCLR

C

-38.10%

-31.64%

0.40

ILG

B

-38.05%

-1.93%

0.00

USG

C

-37.28%

-21.62%

0.79

S

C

-37.25%

1.00%

1.58

ATHN

C

-35.28%

0.73%

23.72

YELP

D

-34.00%

-0.86%

54.15

PTLA

F

-32.25%

-8.23%

49.41

LBRDK

D

-31.08%

-10.91%

70.36

RDN

C

-29.05%

1.78%

83.40

WATT

F

-27.24%

2.45%

8.30

THS

C

-26.83%

0.47%

30.43

ILMN

C

-26.13%

-1.75%

1.19

MET

C

-25.54%

-0.52%

58.73

EAT

B

-25.39%

0.00%

23.32