Midday Volatility Update

May 15, 2018

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Commentary:

Equities are having their worst day in several weeks with the S&P currently -0.82%, the Nasdaq is underperforming -1.25%, and the Russell is faring much better down only -0.07% as retail and energy outperform – XOP and XLE are both unchanged, while XRT is up 0.29%. Oil itself is unchanged. Gold is getting hit with GLD down -1.6%. Bonds are well in the red as well as yields rally. TLT is currently -1.3% and the ten-year yield is up to 3.07%. Volatilities are moving higher with the VIX +13% to 14.60, RVX is -6% to 15.70, and VXN is up 10% to 17.69.

ETF 30d volatility changes
SPY:  +11%
IWM: +4%
QQQ: +8%

Bullish Flow:  
TUR Seller 3,908 Jun 30 puts 
PG Buyer 20,000 Jan19 77.5 calls (on top of 19,690 same trade yesterday)
X Buyer 6,000 Jun 40 calls tied to stock
KO Buyer 15,000 Nov 44 calls (on top of 15,000 same trade yesterday)
RIG Seller 7,500 Jan 13 puts 
AMD Seller 40,000 Jul 15 calls to buy 12,500 Jan 13 calls (takes a loss on July’s to roll out and down)
NFLX Seller 10,000 Jun 160 calls to buy 10,000 Dec 270 calls 
BLL Buyer 7,000 Aug-Jan 37.5 call spread

Bearish Flow:
HBI Seller 3,000 May 17 calls 
QQQ Buyer 26,000 Jan-Jul 155 put spreads 
FLO 6,700 Jul 20 puts trade (ahead of earnings Wed after close) 
QQQ Buyer 48,000 Jun 29th 132 – Jul 135 put spreads (rolls Jun to Jul) 
EFA Buyer 13,000 Sep 63 puts 
IP Seller 10,000 Jul 60-65 call spreads 
CL Seller 9,681 Nov18 67.5 calls 

Upcoming Earnings

On Mobile/Tablet scroll to the right

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

BOOT

5/15/2018

11.9

13.4

-11.5%

B

WAGE

5/15/2018

5.9

5.4

9.3%

D

JACK

5/16/2018

5.5

5.5

-0.7%

C

M

5/16/2018

8.1

9.1

-10.2%

A

FLO

5/16/2018

6.0

5.5

8.9%

A

TTWO

5/16/2018

6.4

7.4

-13.4%

C

ACXM

5/16/2018

7.8

7.4

5.0%

C

CSCO

5/16/2018

4.2

4.6

-9.0%

C

ENS

5/16/2018

2.5

4.7

-46.1%

D

PLCE

5/17/2018

6.3

7.1

-11.2%

C

DDS

5/17/2018

9.7

9.0

7.0%

C

JWN

5/17/2018

6.7

5.6

20.3%

B

WMT

5/17/2018

4.9

5.5

-9.6%

C

RAVN

5/17/2018

6.5

7.0

-7.4%

C

KEM

5/17/2018

7.9

11.1

-28.8%

A

AMAT

5/17/2018

4.5

3.4

32.2%

B

CPB

5/18/2018

5.9

5.2

14.9%

B

DE

5/18/2018

4.2

5.5

-23.6%

C

MNRO

5/21/2018

3.7

4.2

-12.2%

C

AIMT

5/21/2018

10.0

3.5

182.4%

F

NDSN

5/21/2018

7.0

7.9

-11.8%

A

PSTG

5/21/2018

9.0

9.5

-5.2%

D

TOL

5/22/2018

4.1

5.2

-20.5%

C

CBRL

5/22/2018

4.6

4.5

2.3%

A

RRGB

5/22/2018

10.9

12.4

-12.8%

C

DSW

5/22/2018

8.0

9.6

-16.4%

C

TJX

5/22/2018

3.8

3.3

17.6%

A

URBN

5/22/2018

8.2

7.9

3.6%

C

KSS

5/22/2018

7.9

6.2

27.8%

A

AAP

5/22/2018

8.3

9.4

-12.2%

C

AZO

5/22/2018

5.9

4.4

34.0%

C

KIRK

5/22/2018

9.6

10.6

-9.2%

D

UVV

5/22/2018

5.3

5.3

-1.4%

C

INTU

5/22/2018

4.1

3.6

12.7%

C

VSAT

5/22/2018

7.7

4.5

69.7%

C

HPE

5/22/2018

5.8

6.4

-10.1%

A

PLAB

5/22/2018

8.2

8.0

3.2%

A

 

Volatility Standouts:

On Mobile/Tablet scroll to the right

Underlying

Q Rating

2M Volatility vs Forecast

2M IV Change

IV 2M Percentile

TIVO

C

66.72%

-13.78%

63.49

MDXG

D

66.58%

0.91%

85.71

MD

C

61.88%

3.11%

90.48

RCII

D

53.97%

-2.02%

38.89

FTAI

D

52.37%

-0.14%

47.62

EVHC

C

49.06%

-4.93%

72.62

HHC

B

48.60%

3.20%

40.08

TSRO

D

47.92%

1.50%

99.60

ARRY

F

47.77%

7.33%

95.24

TRN

D

46.30%

3.55%

15.87

FOXA

A

45.46%

1.95%

80.95

T

A

40.72%

6.05%

74.60

VSAT

C

39.76%

5.05%

96.03

JNPR

C

39.74%

-0.62%

44.05

ANGI

D

37.89%

4.28%

36.51

KNX

C

37.68%

-0.85%

58.33

DISH

C

36.75%

1.52%

86.51

COL

B

36.69%

1.50%

39.29

SNCR

D

36.07%

3.29%

100.00

SRCL

B

35.36%

0.00%

22.62

 

On Mobile/Tablet scroll to the right

Underlying

Q Rating

2M Volatility vs Forecast

2M IV Change

IV 2M Percentile

HAWK

C

-62.56%

-13.78%

1.19

LTRPA

F

-61.63%

0.91%

0.40

MSCC

C

-60.82%

3.11%

1.19

GOGO

C

-48.24%

-2.02%

95.63

OCLR

C

-43.41%

-0.14%

0.40

USG

C

-43.36%

-4.93%

1.19

DY

D

-41.55%

3.20%

46.03

ATHN

C

-4.02E-01

1.50%

19.44

IONS

D

-37.27%

7.33%

3.98

PTLA

F

-36.14%

3.55%

22.62

ANDV

D

-35.24%

1.95%

61.90

THS

C

-34.29%

6.05%

31.75

CLDR

D

-34.09%

5.05%

28.17

HRG

C

-33.02%

-0.62%

75.40

WATT

F

-32.95%

4.28%

1.19

MTCH

C

-32.81%

-0.85%

90.87

ACIA

D

-30.56%

1.52%

40.87

DDD

C

-30.53%

1.50%

1.19

S

C

-29.62%

3.29%

0.00

MCK

D

-29.24%

0.00%

59.13