Midday Volatility Update

May 18, 2018

Member Options Page   Non-Member Options Info

Commentary:

Equities are mixed to lower today with the S&P down -.18%, the Nasdaq -.30% and the Russell outperforming +.22% with strength in sectors sensitive to declining interest rates as yields move lower – TLT is +.71% and the 10- year yield down to 3.07%. Gold is unchanged to slightly higher. Oil is -.43% with energy ETF’s slightly lower, XOP -.63% and XLE -.59%. Volatilities are unchanged to lower with the VIX +.07% to 13.44, RVX -6% to 15.70, and VXN -1% to 17.11.

 

 

ETF 30d volatility changes

SPY:        unch

IWM:      +1%

QQQ:      unch

 

Bullish Flow: 

DWDP Buyer 7,700 Jun 67.5 – Sep 72.5 call spreads (rolls long calls out to Sep)

F Buyer 37,230 Jan19 12 calls

AAPL Selling 21,000 Jun 150 calls to buy 21,000 Nov18 165 calls

FOXA Seller 10,000 Jul 36-40 risk reversals

ZNGA Buyer 20,000 Jan 4 calls

AA Buyer 11,000 Jun 55-60 call spreads on a ratio

IMMU Buyer 6,750 May 19 – Jun 20 call spreads (rolls to Jun)

TWX Buyer 20,000 Jul 92.5-97.5 call spread to sell 90 puts tied to 1M shares

AKRX Buyer 3,000 Sep 15-22.5-30 call fly

BBBY 12,500 Jun 8th 19 calls trade

 

 

Bearish Flow:

CHK Buyer 10,000 July 4 puts

XBI Buyer 9,700 Jun 92-82 put spreads

EXC Buyer 12,000 Jun 41 puts tied to stock

GPRO Buyer 7,500 May-Oct 6 put spreads (rolls out to Oct)

XAU Buyer 10,000 Jun 77.5 puts

TLT Buyer 10,000 May 120 – Jul 115 put spread

 

Upcoming Earnings:

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating
CRMT 5/21/2018 7.5 7.5 -0.60% B
MNRO 5/21/2018 4.2 4.2 1.20% C
NDSN 5/21/2018 7.2 7.9 -9.00% A
PSTG 5/21/2018 9.7 9.5 2.90% D
CCO 5/22/2018 16.4 5.1 221.80% C
TOL 5/22/2018 4 5.2 -23.30% C
CBRL 5/22/2018 4.4 4.5 -2.20% A
RRGB 5/22/2018 11.8 12.6 -6.40% C
TJX 5/22/2018 4.6 3.3 42.00% A
URBN 5/22/2018 8.8 7.8 13.60% C
KSS 5/22/2018 7.9 6.2 26.80% A
AAP 5/22/2018 8.5 9.4 -9.50% C
AZO 5/22/2018 5.9 4.4 35.30% C
TCS 5/22/2018 14.7 17.5 -16.10% C
INTU 5/22/2018 4.8 3.6 32.40% C
HPE 5/22/2018 5.6 6.4 -12.20% A
PLAB 5/22/2018 9.2 8.2 12.50% A
CPRT 5/23/2018 5.2 4.8 8.60% A
MOD 5/23/2018 8.1 7.9 2.10% D
RL 5/23/2018 6.4 6.8 -6.50% C
CTRN 5/23/2018 8.9 9.6 -7.70% C
LB 5/23/2018 6 5.7 3.90% C
SMRT 5/23/2018 26.5 11.4 132.90% D
LOW 5/23/2018 4.2 4.1 2.50% C
TIF 5/23/2018 4.7 3.7 26.50% B
WSM 5/23/2018 6.2 4 54.80% C
TGT 5/23/2018 4.7 5.8 -19.10% A
THR 5/23/2018 4.2 4.6 -8.40% B
ATEN 5/23/2018 10.6 11 -3.20% D
NTAP 5/23/2018 6.4 7.1 -9.30% C
SNPS 5/23/2018 4.7 4.2 10.90% C

 

Volatility Standouts:

 

 

 

Underlying Q Rating 2M Volatility vs Forecast 2M IV Change IV 2M Percentile
RCII D 74.84% -3.76% 51.78
SFM C 74.65% 2.25% 26.09
PAH C 74.35% 0.23% 1.58
FTAI D 71.97% 0.92% 30.04
DPS B 71.19% 0.17% 14.62
SRPT D 70.93% 0.97% 98.02
IMMU F 70.32% 1.04% 38.34
CTXS C 69.05% -2.15% 7.11
SRCL B 67.77% -1.46% 24.9
CAVM C 67.18% -2.15% 99.6
BLUE D 66.55% 0.03% 80.63
CNDT C 66.51% -1.90% 0.4
TTS F 6.20E-01 2.56% 60.47
TSRO D 61.71% -12.64% 98.81
T A 61.41% -5.31% 75.1
AOBC F 60.41% -4.02% 50.59
TRUE F 57.79% -1.32% 9.09
DISH C 57.48% 0.30% 96.84
WHR C 57.29% -2.48% 45.45
PBYI D 55.99% 0.00% 52.57
Underlying Q Rating 2M Volatility vs Forecast 2M IV Change IV 2M Percentile
GOGO C -44.67% -3.76% 94.07
DY D -41.57% 2.25% 54.15
HAWK C -38.47% 0.23% 0.4
CLDR D -34.41% 0.92% 26.88
ANDV D -33.31% 0.17% 54.55
RH B -28.94% 0.97% 37.55
IONS D -28.44% 1.04% 4.76
MTCH C -27.99% -2.15% 80.63
HRG C -27.58% -1.46% 60.08
ATHN C -26.64% -2.15% 17.39
PTLA F -24.79% 0.03% 38.74
WATT F -23.23% -1.90% 0
HRB C -22.78% 2.56% 58.1
LULU B -22.12% -12.64% 49.01
USG C -21.87% -5.31% 2.37
GES B -21.67% -4.02% 84.19
THS C -21.43% -1.32% 35.18
WPZ F -2.14E-01 0.30% 69.57
FL D -21.24% -2.48% 78.66
ACIA D -21.16% 0.00% 54.15