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Quantamize Midday Volatility Update

May 14, 2018

Commentary:

Equities are mixed today with leadership in energy as oil prices continues to rise (+0.42%). Currently, the S&P is +0.19%, the Nasdaq  +0.57%, and the Russell  -0.08%. Bonds are back in the red with TLT -0.38% with the 10-year yield rising to 2.993%. Gold is relatively unchanged as are the miners. Energy ETF’s are higher with XOP +1.2% and XLE +0.74%. Volatilities are mixed with the VIX +2.6% to 12.98, RVX -6% to 15.70, and VXN +1% to 16.33. 


ETF 30d volatility changes 
SPY:   -5%
IWM: -1%
QQQ: -1%

Bullish Flow:  
AIG Seller 24,000 Jun 52.5 puts tied to stock 
AKAM Buyer 3,750 Aug 95 calls
KO Buyer 15,000 Nov 44 calls tied to stock
PG Buyer 19,690 Jan19 77.5 calls
TEVA Seller 15,000 Sep 19 puts
QCOM Seller 8,940 Jul 50 puts to Buy 8,940 Jul 60-65 call spreads
SYMC 7,500 May 22 calls trade
CVX Buyer 9,800 Jun 120 – Jun 130 risk reversals 
TWX Buyer 4,150 Jul 100 calls
THC Buyer 4,750 Aug 40-47 call spread tied to 70k shares
SM Seller 3,000 Aug 20-30 risk reversal
SPY Buyer 19,000 Jun 286-290-295 call fly 
URBN Buyer 4,300 Jun 1st 40 calls


Bearish Flow:
BEL Seller 4,000 Sep 12.5 calls 
VIX Buyer 30,000 Sep19 37.5 calls
XBI Seller 9,800 Jun 91-93 call spreads
CZR Seller 20,000 Jun 12 calls

 

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

82.6%

C

SWCH

5/14/2018

9.4

12.2

-23.2%

C

RXN

5/14/2018

6.7

4.4

51.8%

B

ITRI

5/14/2018

6.4

7.5

-15.4%

B

HD

5/15/2018

2.5

1.6

60.5%

B

EXP

5/15/2018

4.1

4.1

-1.9%

A

BOOT

5/15/2018

11.3

13.4

-16.1%

B

WAGE

5/15/2018

9.1

5.4

69.5%

D

CSCO

5/16/2018

4.1

4.6

-11.1%

C

M

5/16/2018

8.3

9.1

-8.1%

A

TTWO

5/16/2018

6.7

7.4

-9.4%

C

JACK

5/16/2018

5.1

5.5

-7.9%

C

ACXM

5/16/2018

7.2

7.4

-2.0%

C

ENS

5/16/2018

0.9

4.7

-79.8%

D

FLO

5/16/2018

5.1

5.5

-7.4%

A

WMT

5/17/2018

4.7

5.5

-14.1%

C

AMAT

5/17/2018

4.0

3.4

19.7%

B

PLCE

5/17/2018

6.6

7.1

-7.6%

C

JWN

5/17/2018

6.6

5.6

17.7%

B

DDS

5/17/2018

9.7

9.0

7.7%

C

KEM

5/17/2018

7.9

11.1

-29.0%

A

RAVN

5/17/2018

7.6

7.0

8.8%

C

PERY

5/17/2018

7.0

7.4

-6.2%

C

DE

5/18/2018

4.3

5.5

-22.4%

C

CPB

5/18/2018

5.4

5.2

4.8%

B

PSTG

5/21/2018

8.6

9.5

-8.7%

D

AIMT

5/21/2018

9.7

3.5

174.7%

F

NDSN

5/21/2018

6.5

7.9

-18.1%

A

MNRO

5/21/2018

2.5

4.2

-40.1%

C

INTU

5/22/2018

3.7

3.6

2.4%

C

AZO

5/22/2018

5.9

4.4

33.2%

C

KSS

5/22/2018

7.7

6.2

23.6%

A

TJX

5/22/2018

3.5

3.3

5.7%

A

AAP

5/22/2018

7.5

9.4

-20.6%

C

TOL

5/22/2018

4.0

5.2

-24.0%

C

DKS

5/22/2018

9.4

8.2

14.1%

D

URBN

5/22/2018

8.0

7.9

1.3%

C

CBRL

5/22/2018

4.8

4.5

6.0%

A

HPE

5/22/2018

5.4

6.4

-15.3%

A

RRGB

5/22/2018

9.9

12.4

-20.7%

C

DSW

5/22/2018

7.7

9.6

-20.0%

C

VSAT

5/22/2018

7.1

4.5

57.3%

C

HEI

5/22/2018

2.9

3.4

-16.1%

C

UVV

5/22/2018

7.0

5.3

30.4%

C

KIRK

5/22/2018

12.2

10.6

15.4%

D

 

Volatility Standouts:

On Mobile/Tablet scroll to the right.

Underlying

Q Rating

2M Volatility vs Forecast

2M IV Change

IV 2M Percentile

MDXG

D

66.05%

-0.04%

90.91

AZO

C

56.05%

0.99%

61.66

ARRY

F

53.41%

-2.90%

93.28

RCII

D

49.42%

-0.79%

71.15

EVHC

C

47.65%

0.87%

54.94

SNCR

D

45.61%

-4.01%

86.96

KNX

C

44.70%

-0.07%

81.42

FOXA

A

43.84%

-4.55%

75.89

FL

D

43.64%

-3.11%

81.42

TIVO

C

41.17%

-1.35%

65.61

T

A

4.02E-01

-3.57%

89.33

TSRO

D

40.13%

-2.02%

86.17

FTAI

D

39.19%

-0.54%

56.13

PDCO

C

38.42%

1.37%

98.81

CPB

B

38.05%

6.90%

86.96

SYMC

B

37.60%

0.66%

100.00

ZOES

F

36.07%

-1.41%

56.52

AMBA

D

35.96%

-2.20%

93.28

M

A

35.25%

-2.15%

62.85

SRCL

B

34.88%

7.13%

24.51

On Mobile/Tablet scroll to the right.

Underlying

Q Rating

2M Volatility vs Forecast

2M IV Change

IV 2M Percentile

HAWK

C

-62.95%

-0.04%

0.79

LTRPA

F

-60.02%

0.99%

0.79

USG

C

-48.69%

-2.90%

0.79

HRG

C

-47.53%

-0.79%

87.35

OCLR

C

-47.02%

0.87%

0.00

GOGO

C

-46.94%

-4.01%

96.84

DY

D

-46.20%

-0.07%

50.59

ACIA

D

-44.51%

-4.55%

35.97

MTCH

C

-43.50%

-3.11%

81.42

IONS

D

-39.93%

-1.35%

5.56

ATHN

C

-39.17%

-3.57%

5.53

PTLA

F

-36.34%

-2.02%

28.85

MSCC

C

-35.58%

-0.54%

10.28

ANDV

D

-35.45%

1.37%

69.96

THS

C

-34.94%

6.90%

37.94

S

C

-34.30%

0.66%

0.40

WATT

F

-33.49%

-1.41%

0.00

MET

C

-30.71%

-2.20%

26.59

AAPL

A

-30.46%

-2.15%

5.93

DDD

C

-30.00%

7.13%

4.74