Midday Volatility Update

May 10, 2018

Commentary:

Equities continue their upward climb with just about all sectors in the green. Currently, the S&P is up .88%, the Nasdaq is up .80%, and the Russell is up .80% and all are near highs for the day. Oil is down .24%, taking a breather from its recent rise, however XOP is up .63% and XLE is up .73. Bonds are bouncing slightly with TLT up .38%. Gold is up .63%. Volatilities are continuing to move lower with the VIX -3.6% to 12.94, below 13 for the first time since January. VXN is -5% to 16.70, and RVX -6% to 15.70.

ETF 30d volatility changes

SPY:        -5%

IWM:      -4%

QQQ:      -2%

Bullish Flow: 

GE Seller Jun 8th 14.5 puts

NBR Buyer 5,000 May 7.5 calls

PYPL Buyer 5,000 Jun 80-85 1x2 call spreads

XLF Buyer 15,000 Jun 30 calls

Buyer 5,000 May 30-32 1x2 call spread

EEM Buyer 53,000 Jun 49 calls

EEM Buyer 34,400 Sep 48 calls

PBR 7,100 Jul and Sep 16 calls trade

EQR Buyer 2,500 Jul 62.5-65 1x2 call spread

M Buyer 5,000 May 30-32 1x2 call spread

JPM Buyers 14,000 May 25th 123 calls

Bearish Flow:

JCP 14,000 May 3 puts trade

GDX Seller 10,000 May 23 calls likely closing (also buyer 5,000 of the June 23s)

VIX Buyer 80,000 May 17-22 to sell May 20 puts

AAPL 12,500 Aug 165 puts trade

DVMT Buyer 2,500 Jul 70-60 put spreads

EWZ Buyer 12,000 May 41 puts

XOP Buyer 23,057 Jan 28 puts

Upcoming Earnings:

On Mobile/Tablet scroll to the right.

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

NVDA

5/10/2018

6.2

10.1

-38.4%

B

UNIT

5/10/2018

5.8

2.4

135.2%

F

NKTR

5/10/2018

7.5

10.0

-25.0%

F

SYMC

5/10/2018

7.4

3.8

95.5%

B

YELP

5/10/2018

11.5

14.1

-18.8%

D

FLS

5/10/2018

6.8

5.2

28.9%

D

HUBS

5/10/2018

7.5

4.8

56.5%

C

MDXG

5/10/2018

14.0

5.1

172.9%

D

TTD

5/10/2018

10.4

18.5

-43.7%

C

PPC

5/10/2018

5.7

5.2

9.7%

C

PEGA

5/10/2018

8.6

7.8

10.8%

D

RDFN

5/10/2018

8.3

5.5

51.5%

D

KTOS

5/10/2018

9.0

10.9

-16.8%

C

AL

5/10/2018

3.8

3.5

8.0%

C

DOX

5/10/2018

2.5

1.9

28.9%

C

TIVO

5/10/2018

8.2

4.8

71.1%

C

VUZI

5/10/2018

14.6

3.6

306.0%

F

HCHC

5/10/2018

8.1

3.9

108.6%

F

WAGE

5/10/2018

8.2

5.4

51.7%

D

RICK

5/10/2018

3.6

4.9

-25.2%

B

ARCB

5/10/2018

7.4

9.5

-22.7%

C

STON

5/10/2018

15.4

2.9

421.4%

F

IMMR

5/10/2018

11.1

12.3

-10.3%

C

MCFT

5/10/2018

7.6

6.6

14.0%

A

A

5/14/2018

5.0

2.8

80.2%

C

SWCH

5/14/2018

7.5

12.2

-38.5%

C

RXN

5/14/2018

6.2

4.4

41.3%

B

ITRI

5/14/2018

6.2

7.5

-17.2%

B

HD

5/15/2018

2.7

1.6

73.9%

B

EXP

5/15/2018

3.7

4.2

-13.3%

A

BOOT

5/15/2018

11.7

13.4

-12.6%

B

CSCO

5/16/2018

4.4

4.6

-2.6%

C

M

5/16/2018

8.6

9.0

-4.7%

A

TTWO

5/16/2018

7.1

7.4

-3.9%

C

JACK

5/16/2018

5.3

5.7

-7.5%

C

ENS

5/16/2018

4.0

4.7

-15.3%

D

ACXM

5/16/2018

6.5

7.4

-12.5%

C

FLO

5/16/2018

4.9

5.5

-11.3%

A

WMT

5/17/2018

5.1

5.5

-6.8%

C

AMAT

5/17/2018

4.3

3.5

25.4%

B

JWN

5/17/2018

7.2

5.7

26.0%

B

PLCE

5/17/2018

8.2

7.1

16.4%

C

DDS

5/17/2018

10.2

8.8

16.1%

C

KEM

5/17/2018

8.6

11.1

-22.5%

A

PERY

5/17/2018

5.0

7.6

-33.7%

C

DE

5/18/2018

4.5

5.5

-18.2%

C

CPB

5/18/2018

4.7

5.2

-9.1%

B

HIBB

5/18/2018

8.3

6.4

30.2%

C

 

Volatility Standouts:

On Mobile/Tablet scroll to the right.

 

Underlying

Q Rating

2M Volatility vs Forecast

2M IV Change

IV 2M Percentile

EXEL

C

74.10%

-2.91%

88.54

INFN

D

73.35%

-1.62%

84.58

TRUE

F

72.68%

2.79%

9.09

NUAN

B

72.42%

-0.48%

75.49

HHC

B

7.21E-01

-1.56%

55.34

FTAI

D

71.58%

-2.31%

84.19

PBYI

D

70.89%

-0.78%

81.03

T

A

69.41%

-6.02%

94.07

ESRX

A

67.44%

-4.51%

99.21

CARS

C

67.09%

-3.79%

3.40

FOXA

A

66.80%

-2.00%

84.19

AOBC

F

65.75%

-1.84%

66.40

CROX

B

64.08%

3.72%

42.69

CAVM

C

63.84%

-1.08%

71.15

CNDT

C

63.82%

2.95%

1.19

SRPT

D

63.57%

0.34%

99.21

EROS

F

63.27%

-1.81%

5.14

TSRO

D

6.31E-01

-2.48%

98.81

ADMS

C

61.54%

0.00%

12.25

On Mobile/Tablet scroll to the right.

Underlying

Q Rating

2M Volatility vs Forecast

2M IV Change

IV 2M Percentile

DOV

C

-60.08%

-2.91%

0.00

DY

D

-43.92%

-1.62%

53.75

S

C

-42.16%

2.79%

0.00

GOGO

C

-41.86%

-0.48%

98.02

MTCH

C

-41.51%

-1.56%

91.30

ANDV

D

-38.60%

-2.31%

75.49

ACIA

D

-38.52%

-0.78%

31.23

YELP

D

-31.99%

-6.02%

48.22

HRG

C

-31.33%

-4.51%

92.09

ATHN

C

-2.99E-01

-3.79%

18.58

ILG

B

-28.10%

-2.00%

0.40

OCLR

C

-27.56%

-1.84%

0.79

PTLA

F

-27.52%

3.72%

50.59

USG

C

-25.90%

-1.08%

1.98

LBRDK

D

-25.77%

2.95%

72.33

VEEV

C

-24.62%

0.34%

68.38

THS

C

-22.51%

-1.81%

33.60

RDN

C

-22.05%

-2.48%

84.58

TTD

C

-21.18%

0.00%

25.30