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Midday Volatility Update

May 11, 2018

Commentary:

Equities are mixed in relatively quiet trading with the S&P currently unchanged, the Russell is -0.08%, and the Nasdaq is -0.38%. Bonds are up slightly, as is gold. Oil is -0.46% with XLE up 0.69% but XOP is -0.19%. Retailers are relatively strong, +0.73%. Volatilities are little changed overall as well with the VIX +1% to 13.37, RVX -6% to 15.70, and VXN +2% to 16.67. 


ETF 30d volatility changes 
SPY:   -1%
IWM: +1%
QQQ: +2%

 

Bullish Flow:  
AKRX 7,500 Sep 22.5 and 25 calls trade 
FOXA Buyer 5,000 Jun 39 calls 
WFT 8,000 Jun 4 calls trade
EEM Buyer 48,000 Jun 49 calls 
MAT Buyer 2,000 May 14.5 calls
EVHC Buyer 10,000 Jul 40 – Dec 45 call spreads 
EMB Seller 44,000 Jan19 102-113 risk reversals tied to 750k shares 

 

Bearish Flow:
EWY Seller 9,000 Jul 83 calls
AMD 10,500 Jun 12 puts trade
MGM Buyer 6,500 May 32 puts 
EFA Buyer 11,000 Sep 68-61 put spreads
CSX Seller 5,000 Nov 60-65-70 call butterflies 

 

Upcoming Earnings:

On Mobile/Tablet scroll to the right.

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

A

5/14/2018

5.1

2.8

84.3%

C

SWCH

5/14/2018

7.9

12.2

-35.4%

C

RXN

5/14/2018

5.1

4.4

15.9%

B

ITRI

5/14/2018

7.0

7.5

-7.7%

B

HD

5/15/2018

2.5

1.6

59.3%

B

EXP

5/15/2018

4.2

4.2

-0.5%

A

BOOT

5/15/2018

11.8

13.4

-12.3%

B

CSCO

5/16/2018

4.2

4.6

-8.2%

C

M

5/16/2018

8.8

9.0

-2.8%

A

TTWO

5/16/2018

6.7

7.4

-8.9%

C

JACK

5/16/2018

5.1

5.7

-10.2%

C

ENS

5/16/2018

1.6

4.7

-65.8%

D

ACXM

5/16/2018

7.4

7.4

0.3%

C

FLO

5/16/2018

4.9

5.5

-10.3%

A

WMT

5/17/2018

4.6

5.5

-14.9%

C

AMAT

5/17/2018

4.5

3.5

29.8%

B

JWN

5/17/2018

6.4

5.7

13.0%

B

PLCE

5/17/2018

6.2

7.1

-11.6%

C

DDS

5/17/2018

9.4

8.8

6.5%

C

KEM

5/17/2018

7.7

11.1

-30.5%

A

RAVN

5/17/2018

7.9

7.0

12.8%

C

WAGE

5/17/2018

6.5

5.4

21.2%

D

PERY

5/17/2018

5.0

7.6

-34.5%

C

DE

5/18/2018

4.2

5.5

-23.8%

C

CPB

5/18/2018

5.5

5.2

5.7%

B

PSTG

5/21/2018

8.4

9.5

-11.7%

D

AIMT

5/21/2018

12.8

3.5

260.6%

F

NDSN

5/21/2018

6.1

7.9

-22.9%

A

MNRO

5/21/2018

3.3

4.2

-19.7%

C

 

Volatility Standouts

On Mobile/Tablet scroll to the right.

Underlying

Q Rating

2M Volatility vs Forecast

2M IV Change

IV 2M Percentile

Average Daily Vega

ANGI

D

72.91%

3.34%

34.39

554

NKTR

F

67.14%

-1.80%

90.12

33538

STON

F

63.85%

2.88%

32.41

155

CAVM

C

47.66%

-1.37%

79.84

12734

AZO

C

46.99%

-2.28%

66.40

65590

ARRY

F

44.43%

-1.69%

87.35

3807

RCII

D

43.42%

1.72%

22.53

4819

EVHC

C

41.99%

-3.73%

55.73

86311

HRG

C

41.38%

0.86%

77.87

378

TSRO

D

38.49%

0.02%

94.47

5574

FL

D

37.85%

-0.95%

75.89

15388

HCSG

D

35.98%

-0.68%

90.51

440

TIVO

C

35.78%

-9.16%

65.61

813

PDCO

C

33.29%

-12.11%

98.81

1444

M

A

33.22%

2.54%

66.01

70558

VER

C

31.74%

0.60%

11.46

102

PCG

D

31.62%

-0.53%

94.86

27369

ZOES

F

31.16%

1.16%

52.96

750

GME

C

30.25%

-0.57%

98.81

12151

AMBA

D

29.94%

-3.38%

94.86

21793

Underlying

Q Rating

2M Volatility vs Forecast

2M IV Change

IV 2M Percentile

Average Daily Vega

WATT

F

-63.21%

3.34%

0.00

9915

USG

C

-61.12%

-1.80%

1.19

8854

DPS

B

-56.30%

2.88%

8.30

9619

KODK

C

-53.44%

-1.37%

51.38

736

ICPT

D

-50.82%

-2.28%

37.94

5612

OCLR

C

-47.25%

-1.69%

0.00

1995

DY

D

-45.09%

1.72%

49.80

4902

ILG

B

-41.72%

-3.73%

0.79

26734

SAGE

F

-38.62%

0.86%

15.81

5650

ANDV

D

-37.51%

0.02%

66.80

35867

LTRPA

F

-36.43%

-0.95%

0.40

93

MSCC

C

-34.31%

-0.68%

7.11

2436

ACIA

D

-33.24%

-9.16%

30.83

4781

ATHN

C

-32.63%

-12.11%

5.93

29740

CC

A

-32.07%

2.54%

1.58

9740

IMMR

C

-30.64%

0.60%

4.35

218

CVNA

D

-29.40%

-0.53%

0.42

5341

MS

C

-29.20%

1.16%

11.46

160029

FB

C

-29.08%

-0.57%

25.30

3882893

LUK

C

-28.52%

-3.38%

42.29

912