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Midday Volatility Report

May 22, 2018

Commentary: Equities are little changed in unremarkable trading with the S&P +.10%, the Russell -.04%, and the Nasdaq unchanged. Bonds are down slightly with the 10- year yield climbing to 3.076%. Emerging markets are bouncing a bit off recent lows with EEM +.56%, led by Brazil, +1.8% and Mexico +.9%. Gold is unchanged. Oil is +.12% with XOP and XLE continuing to move higher, +.75% and +.34% respectively. Volatilities are generally lower with the VIX -2.3% to 12.78, RVX -6% to 15.70, and VXN -1% to 16.77.

 

ETF 30d volatility changes

SPY:        -3%

IWM:      -1%

QQQ:      -1%

 

Bullish Flow: 

CPB Buyer 5,000 Nov 40 calls

XLF Buyer 90,000 Aug 30 calls

TWX 25,000 Jul 105 calls trade

JD Buyer 10,000 Dec18 33 calls

CCJ Buyer 9,800 Jul 12 calls

PVG Buyer 9,214 Sep 8 calls

XLF Buyer 42,000 Jul 28 puts to Sell 84,000 Aug 25 puts and 42,000 Aug 30 calls

NKE Seller 7500 Jun 70-72.5 call spreads to Buy 7500 Jun 72-73.5 call spreads (rolls up)

XLI Buyer 9,694 Sep 80 calls

 

 

Bearish Flow:

DNR Buyer 10,000 Jul 4 puts

GE Buyer 7,200 Jun 15 puts

BP Seller 7,000 Jul 47 calls

RCII Seller 7,000 Sep 13 calls

 

Upcoming Earnings:

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

INTU

5/22/2018

3.6

3.5

3.7%

C

URBN

5/22/2018

8.1

7.8

5.0%

C

HPE

5/22/2018

5.3

6.4

-16.8%

A

RRGB

5/22/2018

11.7

12.6

-6.5%

C

TCS

5/22/2018

12.7

17.5

-27.4%

C

MOD

5/23/2018

8.2

7.9

2.6%

D

SMRT

5/23/2018

27.6

11.6

137.3%

D

TGT

5/23/2018

4.3

6.0

-27.7%

A

LOW

5/23/2018

4.1

4.1

-0.2%

C

LB

5/23/2018

5.0

5.9

-15.4%

C

RL

5/23/2018

6.5

6.8

-3.9%

C

NTAP

5/23/2018

7.5

7.2

4.4%

C

TIF

5/23/2018

5.0

3.7

33.5%

B

WSM

5/23/2018

5.9

4.1

45.8%

C

CPRT

5/23/2018

5.2

4.8

8.9%

A

SNPS

5/23/2018

4.7

4.2

11.6%

C

CTRN

5/23/2018

7.9

9.4

-16.3%

C

UVV

5/23/2018

5.6

5.3

5.7%

C

SCVL

5/24/2018

8.8

13.5

-34.9%

D

SHLD

5/24/2018

14.2

5.5

158.3%

F

SPWH

5/24/2018

16.9

11.9

41.6%

D

STON

5/24/2018

11.5

2.9

289.2%

F

THR

5/24/2018

3.7

4.6

-19.7%

B

ADSK

5/24/2018

6.7

8.8

-24.8%

C

SPLK

5/24/2018

7.0

7.8

-10.4%

D

NTNX

5/24/2018

11.3

8.9

27.3%

D

MCK

5/24/2018

4.0

6.0

-34.2%

D

BBY

5/24/2018

7.9

9.5

-16.9%

B

ROST

5/24/2018

5.3

6.0

-11.8%

A

GPS

5/24/2018

5.7

5.6

1.1%

B

VEEV

5/24/2018

7.4

8.7

-14.7%

C

DXC

5/24/2018

7.4

8.4

-12.4%

A

DECK

5/24/2018

7.9

7.6

4.5%

C

SAFM

5/24/2018

5.5

4.4

24.5%

C

MDXG

5/24/2018

15.8

5.1

209.1%

D

HRL

5/24/2018

4.3

4.1

4.0%

B

EGHT

5/24/2018

7.2

6.7

6.7%

D

ZOES

5/24/2018

10.6

9.0

18.7%

F

VSAT

5/24/2018

6.9

4.6

51.5%

C

TTC

5/24/2018

2.9

2.9

1.5%

B

MOV

5/24/2018

10.0

10.8

-7.4%

C

CATO

5/24/2018

7.0

7.3

-3.4%

D

BRC

5/24/2018

5.9

4.7

25.6%

B

AMSC

5/24/2018

8.0

9.0

-10.9%

F

 

Volatility Standouts:  

Underlying

Q Rating

2M Volatility vs Forecast

2M IV Change

IV 2M Percentile

JNPR

C

64.54%

-1.77%

36.51

ARRY

F

63.06%

0.99%

53.57

MDXG

D

61.34%

1.61%

5.98

RCII

D

53.68%

1.96%

10.32

TRN

D

49.95%

-13.29%

61.90

AKRX

D

49.95%

0.61%

36.90

AXTA

D

48.78%

-22.40%

75.40

MD

C

46.10%

-1.25%

66.27

BKS

C

45.14%

-3.16%

0.40

FOXA

A

45.03%

-3.55%

61.11

FTAI

D

43.97%

-2.03%

8.73

ASH

D

43.87%

1.95%

19.44

PCG

D

43.42%

-0.01%

17.13

UNM

A

41.70%

0.00%

59.52

DISH

C

40.39%

-6.91%

11.90

SONC

B

39.88%

0.60%

71.43

PDCO

C

37.06%

-0.18%

3.57

SRCL

B

36.55%

-3.22%

53.57

PF

A

36.04%

-0.09%

26.98

SRPT

D

35.14%

5.83%

36.11

Underlying

Q Rating

2M Volatility vs Forecast

2M IV Change

IV 2M Percentile

HAWK

C

-73.61%

-1.77%

2.38

MSCC

C

-69.89%

0.99%

63.49

USG

C

-49.56%

1.61%

31.35

HRG

C

-43.86%

1.96%

14.68

IAC

D

-39.18%

-13.29%

78.57

OCLR

C

-38.91%

0.61%

43.25

ATHN

C

-3.78E-01

-22.40%

0.40

ANDV

D

-36.68%

-1.25%

21.83

MTCH

C

-35.81%

-3.16%

31.75

WATT

F

-35.75%

-3.55%

44.44

ACIA

D

-35.08%

-2.03%

1.59

WPZ

F

-34.56%

1.95%

19.05

FITB

C

-34.54%

-0.01%

50.40

IONS

D

-32.53%

0.00%

37.70

MDR

C

-31.25%

-6.91%

77.78

SKX

F

-28.57%

0.60%

47.62

VZ

A

-28.26%

-0.18%

0.40

CLDR

D

-27.72%

-3.22%

3.17

DIN

A

-27.03%

-0.09%

30.16

MTG

B

-26.97%

5.83%

18.25