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Midday Volatility Update

May 16, 2018

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Commentary:

Equities have resumed their upward trajectory after yesterday’s pause with the S&P up +0.53%, the Nasdaq +0.82%, and the Russell +1%.  Bonds continue to move lower with TLT -0.2% and the 10-year yield rising to 3.08%. Oil is down -0.3% however, energy stocks continue to move higher with XOP +0.6% and XLE +0.3%. Gold is unchanged. Volatilities are easing off yesterday’s rally with the VIX -8% to 13.45, VXN -4% to 16.79, and RVX -6% to 15.70.

ETF 30d volatility changes 
SPY:   -7%
IWM: -1%
QQQ: -2%

 

Bullish Flow:  
GE Buyer 25,000 Dec18 16 calls tied to stock
FXI Buyer 30,000 May 25th 49-50 1x2 call spreads 
UUP Buyer 10,000 Jun 24 calls 
WFT Seller 50,000 Jun 3-3.5 put spreads (rolls short puts up)
NRG Buyer 51,395 Sep 37-40 call spreads 
NRG Seller 6,110 Jun 34-36 1x2 call spreads to roll up and increase
GM Seller 11,000 May-Jun 38 put spread
DISH Seller 7,000 Sep 30 puts
SPY Buyer 50,000 Sep 300-305 calls spread for .10
FCX Buyer 10,445 Jun 17-19 call spread

 

Bearish Flow:
GME 6,700 Jun 14 puts trade 
ZNGA Buyer 30,000 Sep 3.5 puts 
XOM Seller 10,000 Aug 90 calls 
EWZ Seller 23,000 Jun 42-44 call spreads to buy 23,000 Jun 38 puts 
VALE Buyer 20,000 Jan20 15-12 put spreads 
KMI 10,000 Jan19 18 puts trade
CLF Seller 12,180 May 6 – Jun 7 call spreads (rolls out and up)
WYNN Seller 5,000 Nov 130 calls
QQQ Buyer 20,000 Jun 158-166 put spread
VIX Buyer 100,000 Jul 29 calls


Upcoming Earnings:

On Mobile/Tablet scroll to the right

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

JACK

5/16/2018

5.5

5.5

0.3%

C

FLO

5/16/2018

6.4

5.5

16.8%

A

IMKTA

5/16/2018

3.0

6.1

-50.4%

C

TTWO

5/16/2018

6.7

7.4

-9.2%

C

ACXM

5/16/2018

8.3

7.4

12.8%

C

CSCO

5/16/2018

4.3

4.6

-5.4%

C

PLCE

5/17/2018

6.5

7.1

-9.6%

C

DDS

5/17/2018

9.5

9.0

5.4%

C

JWN

5/17/2018

6.6

5.6

17.9%

B

WMT

5/17/2018

5.0

5.5

-8.5%

C

WAGE

5/17/2018

4.1

5.4

-23.0%

D

RAVN

5/17/2018

10.1

7.0

44.2%

C

QTM

5/17/2018

18.0

11.8

52.1%

F

KEM

5/17/2018

8.2

11.1

-25.8%

A

AMAT

5/17/2018

4.5

3.4

33.7%

B

CPB

5/18/2018

5.9

5.2

14.2%

B

DE

5/18/2018

4.3

5.5

-22.1%

C

CRMT

5/21/2018

17.8

7.5

137.6%

B

MNRO

5/21/2018

4.8

4.2

15.8%

C

AIMT

5/21/2018

11.3

3.5

218.6%

F

NDSN

5/21/2018

5.9

7.9

-25.6%

A

VHC

5/21/2018

15.8

5.1

211.0%

C

PSTG

5/21/2018

10.9

9.5

14.7%

D

CCO

5/22/2018

15.3

5.1

199.0%

C

TOL

5/22/2018

4.5

5.2

-13.5%

C

CBRL

5/22/2018

5.2

4.5

14.1%

A

RRGB

5/22/2018

10.1

12.4

-18.9%

C

TJX

5/22/2018

4.4

3.3

35.3%

A

URBN

5/22/2018

8.1

7.9

2.1%

C

KSS

5/22/2018

7.4

6.2

19.4%

A

AAP

5/22/2018

8.7

9.4

-7.6%

C

AZO

5/22/2018

5.8

4.4

32.9%

C

KIRK

5/22/2018

13.4

10.6

26.2%

D

TCS

5/22/2018

18.0

17.5

2.7%

C

UVV

5/22/2018

9.1

5.3

70.1%

C

EV

5/22/2018

4.8

2.4

99.2%

B

DY

5/22/2018

 

10.9

-100.0%

D

INTU

5/22/2018

4.6

3.6

26.8%

C

VSAT

5/22/2018

7.5

4.5

64.9%

C

HPE

5/22/2018

5.3

6.4

-17.4%

A

PLAB

5/22/2018

11.9

8.0

49.6%

A

 

Volatility Standouts: 

On Mobile/Tablet scroll to the right

Underlying

Q Rating

2M Volatility vs Forecast

2M IV Change

IV 2M Percentile

WMB

C

73.37%

-8.04%

85.77

EVHC

C

73.28%

-2.45%

54.55

ANGI

D

73.26%

-0.52%

9.49

MON

D

71.89%

-1.66%

49.80

TRN

D

71.77%

-2.32%

54.55

DISH

C

67.03%

-8.09%

96.84

HHC

B

66.62%

0.22%

62.85

KNX

C

66.34%

0.77%

68.77

SRPT

D

66.13%

1.35%

97.63

JNPR

C

65.76%

-3.77%

40.32

BLUE

D

63.83%

-3.47%

49.41

T

A

62.71%

-2.73%

85.77

SNCR

D

61.76%

-4.48%

90.51

WHR

C

61.32%

-1.09%

41.50

CTXS

C

61.31%

-4.07%

5.53

DPS

B

59.75%

-2.35%

4.35

SCG

D

59.50%

-1.87%

59.29

PCG

D

59.43%

-1.99%

98.02

TRUE

F

59.34%

-1.45%

7.91

SRCL

B

58.43%

-0.57%

28.06

 

On Mobile/Tablet scroll to the right

Underlying

Q Rating

2M Volatility vs Forecast

2M IV Change

IV 2M Percentile

LTRPA

F

-54.54%

-8.04%

1.58

HAWK

C

-45.77%

-2.45%

1.58

GOGO

C

-44.94%

-0.52%

98.81

DY

D

-41.76%

-1.66%

55.34

IONS

D

-37.40%

-2.32%

7.94

CLDR

D

-33.47%

-8.09%

30.04

OCLR

C

-32.45%

0.22%

0.40

THS

C

-29.29%

0.77%

37.15

MTCH

C

-29.28%

1.35%

88.14

USG

C

-28.15%

-3.77%

1.98

PTLA

F

-27.21%

-3.47%

32.02

ANDV

D

-27.18%

-2.73%

67.19

ATHN

C

-24.18%

-4.48%

23.72

MCK

D

-24.13%

-1.09%

68.77

HRB

C

-23.37%

-4.07%

60.87

GES

B

-23.31%

-2.35%

81.82

RH

B

-20.33%

-1.87%

45.45

FL

D

-19.45%

-1.99%

81.03

ACIA

D

-19.16%

-1.45%

58.89

DDD

C

-19.01%

-0.57%

14.62