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Midday Volatility Report

May 21, 2018

Commentary: Equities are in the green after US-China trade “war” talks were put on hold. Currently, the S&P is +.76%, the Russell is +.57%, and the Nasdaq is +.60%. Energy continues to move up with July Crude +1.1% and the energy ETF’s along for the ride with XOP +1.9% and XLE +.84%. Gold continues to lag and is unchanged. Bonds are down slightly. Volatilities are lower with the VIX -1.3% to 13.25, RVX -6% to 15.70, and VXN up 1% to 17.09.

 

 

ETF 30d volatility changes

SPY:        -6%

IWM:      -3%

QQQ:      -3%

 

Bullish Flow: 

CPB Buyer 4,300 Nov 40 calls

PEP 4,100 May 25th 100 and 101 calls trade

BMY Seller 10,000 Jul 50 puts

V Buyer 3,000 May 25th 133 calls

X Buyer 3600 Jan 19 40/50/55 call flies

VIPS Seller 10,550 Jan20 10 puts

EEM Seller 28,783 Jun 48 calls to buy 36,040 Sep 46.5-48 1x1.5 call spreads

GE 15,000 Jun 29th 15.5-16 call spreads trade

FCAU 6,400 Jan19 27 and Jun 23 calls trade

SPY Buyer 50,000 Sep 300-305 call spreads

 

 

 

Bearish Flow:

GE Buyer 29,403 Jun 14 puts (appears to be closing)

BHGE Buyer 8,100 Jun 33 puts

TWTR 12,400 Jun 30 and Jul 36 calls trade in generally bullish flow

M Buyer 5,000 Aug 34 puts

MDT Seller 10,000 Jun 87.5 calls

USO Buyer 8,928 Jun 8th 13.5 puts

QQQ Buyer 20,000 Sep 150 puts to sell 34,000 Sep 140 puts

XOP Buyer 44,000 Sep 36 puts

INTC Seller 22,000 Jun 58 calls

USO Buyers 30,000 Jun 8th 13.5 puts

 

Upcoming Earnings:

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

CRMT

5/21/2018

7.7

7.5

3.1%

B

NDSN

5/21/2018

6.4

7.9

-19.3%

A

PSTG

5/21/2018

9.9

9.5

4.5%

D

CCO

5/22/2018

12.3

5.1

141.7%

C

TOL

5/22/2018

3.8

5.2

-27.9%

C

CBRL

5/22/2018

3.0

4.5

-32.8%

A

RRGB

5/22/2018

11.6

12.6

-7.4%

C

TJX

5/22/2018

3.8

3.3

16.1%

A

URBN

5/22/2018

7.8

7.8

0.6%

C

KSS

5/22/2018

6.3

6.2

1.9%

A

AAP

5/22/2018

8.3

9.6

-14.0%

C

AZO

5/22/2018

5.5

4.4

25.7%

C

TCS

5/22/2018

15.0

17.5

-14.1%

C

EV

5/22/2018

 

2.4

-100.0%

B

DY

5/22/2018

8.1

10.8

-25.2%

D

INTU

5/22/2018

4.1

3.5

18.1%

C

HPE

5/22/2018

5.2

6.4

-18.4%

A

PLAB

5/22/2018

7.5

8.2

-8.1%

A

CPRT

5/23/2018

5.0

4.8

4.2%

A

MOD

5/23/2018

8.0

7.9

1.0%

D

RL

5/23/2018

5.9

6.8

-13.3%

C

CTRN

5/23/2018

8.2

9.4

-13.2%

C

LB

5/23/2018

4.9

5.9

-16.8%

C

SMRT

5/23/2018

28.0

11.6

140.4%

D

LOW

5/23/2018

4.2

4.1

1.5%

C

TIF

5/23/2018

4.8

3.7

30.6%

B

WSM

5/23/2018

5.7

4.1

40.9%

C

TGT

5/23/2018

4.1

6.0

-31.6%

A

UVV

5/23/2018

3.5

5.3

-34.6%

C

ATEN

5/23/2018

8.4

11.0

-23.8%

D

NTAP

5/23/2018

6.5

7.2

-9.8%

C

SNPS

5/23/2018

4.6

4.2

10.2%

C

EGHT

5/24/2018

7.0

6.7

4.2%

D

PERY

5/24/2018

2.9

7.4

-61.6%

C

DECK

5/24/2018

7.9

7.6

4.4%

C

STON

5/24/2018

11.4

2.9

288.1%

F

ZOES

5/24/2018

10.8

9.0

20.3%

F

CATO

5/24/2018

6.9

7.3

-5.1%

D

GPS

5/24/2018

5.9

5.6

5.8%

B

ROST

5/24/2018

5.6

6.0

-7.7%

A

SCVL

5/24/2018

10.4

13.5

-22.7%

D

SHLD

5/24/2018

7.2

5.5

30.8%

F

MOV

5/24/2018

9.7

10.8

-10.1%

C

BBY

5/24/2018

7.6

9.5

-19.6%

B

SPWH

5/24/2018

16.3

11.9

36.5%

D

HRL

5/24/2018

4.2

4.1

1.9%

B

SAFM

5/24/2018

5.1

4.4

16.6%

C

MDXG

5/24/2018

17.4

5.1

240.9%

D

MCK

5/24/2018

4.0

6.0

-33.0%

D

BRC

5/24/2018

5.7

4.7

23.3%

B

TTC

5/24/2018

3.7

2.9

28.1%

B

VEEV

5/24/2018

8.0

8.7

-8.1%

C

DXC

5/24/2018

7.2

8.4

-14.0%

A

ADSK

5/24/2018

6.4

8.8

-27.3%

C

SPLK

5/24/2018

7.2

7.8

-8.0%

D

NTNX

5/24/2018

10.9

8.9

22.5%

D

VSAT

5/24/2018

6.9

4.6

49.8%

C

AMSC

5/24/2018

6.7

9.0

-25.5%

F

 Volatility Standouts:

Underlying

Q Rating

2M Volatility vs Forecast

2M IV Change

IV 2M Percentile

ARRY

F

69.85%

0.00%

92.09

JNPR

C

67.54%

-1.67%

67.59

AMC

D

60.00%

-9.03%

14.23

AXTA

D

57.04%

-5.28%

68.38

FOXA

A

56.91%

0.00%

84.98

ACHC

C

53.24%

0.00%

11.07

PF

A

53.14%

0.00%

32.02

SCG

D

48.96%

-1.27%

55.34

CTXS

C

48.21%

0.00%

3.16

LL

D

47.83%

1.31%

21.74

TRN

D

47.09%

0.00%

84.58

MD

C

46.70%

0.00%

38.34

AKRX

D

43.08%

0.00%

83.79

NKTR

F

42.76%

0.00%

88.14

DISH

C

39.89%

0.00%

96.84

RCII

D

38.42%

0.00%

35.18

ESPR

F

37.48%

-2.55%

99.21

INGR

B

36.90%

0.00%

84.58

CMC

D

36.59%

0.00%

1.19

RMBS

C

36.24%

0.00%

24.51

 

 

Underlying

Q Rating

2M Volatility vs Forecast

2M IV Change

IV 2M Percentile

MSCC

C

-54.33%

0.00%

0.40

GOGO

C

-49.79%

-1.67%

92.89

HRG

C

-45.11%

-9.03%

72.33

ATHN

C

-39.53%

-5.28%

22.53

USG

C

-35.68%

0.00%

1.58

ANDV

D

-35.60%

0.00%

55.73

MTCH

C

-35.30%

0.00%

77.08

IONS

D

-35.27%

-1.27%

4.76

OCLR

C

-34.56%

0.00%

0.00

IAC

D

-34.43%

1.31%

58.89

WATT

F

-32.40%

0.00%

0.79

SKX

F

-30.92%

0.00%

37.94

FITB

C

-30.43%

0.00%

15.42

ACIA

D

-30.33%

0.00%

52.17

SNBR

C

-29.79%

0.00%

5.93

WPZ

F

-29.43%

0.00%

66.01

DDD

C

-29.31%

-2.55%

15.42

EXEL

C

-26.59%

0.00%

53.36

CLDR

D

-26.36%

0.00%

26.88

VZ

A

-26.35%

0.00%

64.03