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Midday Volatility Report

May 23, 2018

Commentary:

Equities are in the red today after yesterday afternoon’s move lower with the S&P -.46%, the Nasdaq -.18%, and Russell -.08%. Energy is also continuing its negative move from yesterday afternoon with July crude futures -.80% taking XOP and XLE lower -1% and -.48% respectively. Gold is unchanged after trading in the green early this morning. Bonds are rallying with TLT +.80% and the 10- year yield easing to 3.012%. Retail stocks are in the red even after weak Target earnings led by LOW and TIF with the former up on Ackman’s stake and the latter on earnings. Volatilities are higher with the VIX +3.3% to 13.66, 15.22 +3.3%, and VXN +2.4% to 17.32.

 

ETF 30d volatility changes

SPY:        +3%

IWM:      +2%

QQQ:      +1%

 

Bullish Flow: 

KMI 7,500 Jun 16 and 17 calls trade

JD Buyer 10,000 Dec18 33 calls

JD Buyer 8,000 Jul 40 calls

FXI Seller 7,000 Jul 45 puts

EWZ Buyer 5,500 Jun 39 calls

RIG Seller 5,000 Jan19 12 puts tied to stock

EEM Buyer 11,500 Aug 51 calls

TRCO Buyer 17,500 Jun 35 puts to Sell 17,500 Oct 30 puts (rolls write out and down)

CX Buyer 5,007 Jul 7 calls

DVA Buyer 7,675 Jun 70 calls

XLF Seller 13,861 Jun 8th 28.5 calls to Buy 13,861 Jun 28.5 calls (rolls out)

 

Bearish Flow:

XLI Seller 8,869 Sep 80 calls

TLT Seller 35,000 Jul 122 calls

EEM Seller 106,000 Jun 49 calls (likely closing)

EEM Buyer 26,000 Jul 45-Aug 40 1x2 put spreads

VNQ Buyer 10,000 Dec18 70 puts

UUP Seller 9,000 Jun 24 calls

NXPI Buyer 9,000 Jul 95-90 puts spreads

OIH Buyer 5,200 Jul 27-31 risk reversals

SU Seller of 10k each Jun 40,42, and 43 calls to close

Upcoming Earnings:

On Mobile/Tablet scroll to the right

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

CPRT

5/23/2018

5.6

4.8

17.0%

A

MOD

5/23/2018

8.5

7.9

6.7%

D

LB

5/23/2018

5.3

5.9

-10.5%

C

SMRT

5/23/2018

22.9

11.6

97.3%

D

WSM

5/23/2018

6.4

4.1

56.1%

C

UVV

5/23/2018

5.4

5.3

2.8%

C

NTAP

5/23/2018

7.0

7.2

-2.6%

C

SNPS

5/23/2018

4.6

4.2

8.7%

C

EGHT

5/24/2018

6.8

6.7

0.3%

D

DECK

5/24/2018

9.0

7.6

18.7%

C

STON

5/24/2018

13.0

2.9

342.2%

F

ZOES

5/24/2018

10.7

9.0

18.9%

F

CATO

5/24/2018

8.5

7.3

16.3%

D

GPS

5/24/2018

5.8

5.6

3.5%

B

ROST

5/24/2018

5.8

6.0

-4.5%

A

SCVL

5/24/2018

9.4

13.5

-30.3%

D

SHLD

5/24/2018

14.5

5.5

164.3%

F

BBY

5/24/2018

7.7

9.5

-18.1%

B

SPWH

5/24/2018

16.7

11.9

39.8%

D

HRL

5/24/2018

4.0

4.1

-1.2%

B

SAFM

5/24/2018

5.6

4.4

26.0%

C

MDXG

5/24/2018

18.3

5.1

258.4%

D

MCK

5/24/2018

3.9

6.0

-35.5%

D

BRC

5/24/2018

6.0

4.7

28.7%

B

THR

5/24/2018

4.2

4.6

-9.0%

B

TTC

5/24/2018

3.5

2.9

21.0%

B

VEEV

5/24/2018

8.1

8.7

-6.9%

C

DXC

5/24/2018

7.3

8.4

-13.2%

A

ADSK

5/24/2018

7.1

8.8

-20.2%

C

SPLK

5/24/2018

7.0

7.8

-10.7%

D

NTNX

5/24/2018

12.1

8.9

36.0%

D

VSAT

5/24/2018

7.2

4.6

56.7%

C

FL

5/25/2018

10.9

14.9

-26.8%

D

BKE

5/25/2018

5.0

3.5

43.2%

B

HIBB

5/25/2018

8.7

6.4

34.5%

C

AMSC

5/25/2018

22.7

9.0

153.0%

F

 

Volatility Standouts:

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Underlying

Q Rating

2M Volatility vs Forecast

2M IV Change

IV 2M Percentile

RMBS

C

69.93%

0.01%

3.95

DISH

C

69.02%

-0.08%

90.12

CNDT

C

67.71%

1.55%

0.00

ACHC

C

67.66%

3.59%

0.00

ASH

D

67.66%

5.23%

81.03

MDXG

D

67.50%

-0.03%

76.28

PCG

D

67.36%

-1.14%

89.33

TSRO

D

67.13%

0.60%

99.21

SRPT

D

6.66E-01

-1.42%

94.86

LNG

C

65.31%

0.99%

49.80

PF

A

65.07%

0.58%

50.99

TRN

D

64.34%

-0.30%

98.81

EVHC

C

64.22%

3.47%

49.01

SSP

D

63.75%

0.00%

15.81

MXL

C

63.66%

3.73%

8.70

HPE

A

63.64%

9.89%

39.29

RCII

D

62.78%

7.11%

32.02

KNX

C

62.51%

1.18%

3.95

PAH

C

61.29%

1.21%

0.79

ANGI

D

61.07%

0.00%

4.35

Underlying

Q Rating

2M Volatility vs Forecast

2M IV Change

IV 2M Percentile

HAWK

C

-71.33%

0.01%

0.40

MSCC

C

-47.10%

-0.08%

0.40

USG

C

-37.20%

1.55%

0.40

HRG

C

-35.23%

3.59%

53.36

ATHN

C

-33.57%

5.23%

22.13

IAC

D

-31.86%

-0.03%

36.76

MTCH

C

-29.48%

-1.14%

43.87

FITB

C

-26.46%

0.60%

18.58

OCLR

C

-25.65%

-1.42%

0.00

ANDV

D

-25.40%

0.99%

57.71

SKX

F

-25.27%

0.58%

37.94

CLDR

D

-24.58%

-0.30%

19.76

WPZ

F

-24.15%

3.47%

47.83

ACIA

D

-22.43%

0.00%

20.55

IONS

D

-21.95%

3.73%

2.38

GES

B

-21.69%

9.89%

58.10

VZ

A

-18.00%

7.11%

26.48

RH

B

-16.78%

1.18%

43.87

HRB

C

-15.09%

1.21%

46.64

LULU

B

-14.47%

0.00%

33.99