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Midday Volatility Report

May 24, 2018

Commentary:

Equities are lower after U.S. talks with North Korea appear to be on hold for now, though stocks are off earlier lows with the S&P -.28%, the Russell is unchanged, and the Nasdaq is -.08%. Bonds continue their recent bounce with TLT +.80% and the 10-year yield falling below 3% to 2.975%. Energy is again lower with WTI crude -1% to 71.10 and Energy ETF’s in the red with XOP -1% and XLE -1.5%. Volatilities are higher with the VIX +4.4% to 13.13 , VXN +2% to 16.60, and RVX +.30% to 14.63.

 

ETF 30d volatility changes

SPY:        +1%

IWM:      +1%

QQQ:      unch

 

Bullish Flow: 

CPB Buyer 5,000 Nov 40 calls

JD Buyer 5,000 Sep 38 calls

USO Buyer 5,000 Jul 19 calls

PVG Buyer 5,790 Sep 8 calls

MSFT Buyer 8,000 Jun 29th 102 calls

CVX Buyer 5,500 Sep 135 calls

BAC Buyer 7,415 Jun 29th 33 calls

MRO Buyer 5,000 Jan19 23 calls

BABA 15,600 May 25th 200 calls trade

DHI Buyer 2,000 Jun 41.5-42-42.5-43 call stupid

 

Bearish Flow:

TAL 3,200 Aug 45 and Jul 40 puts trade

MGM Buyer 4,100 Jun 8th 31.5 puts

DISH Buyer 3,900 Jun-July puts spreads (rolls Jun to July)

USO Seller 5,000 Jun 29th 15 calls

USO Buyer 5,000 Jul 13/14 put stupid

USO Buyer 25,000 Jul 14 puts

DB Seller 20,000 Jun 1st 12.5 calls (closes trade put up yesterday)

EFA Buyer 21,445 Jun 70 puts

F Seller 24,450 Jul 12 calls

EWZ Buyer 15,000 Jun 38-42 risk reversals

 

Upcoming Earnings:

On Mobile/Tablet scroll  to the right

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

EGHT

5/24/2018

7.7

6.7

13.9%

D

DECK

5/24/2018

8.4

7.6

10.7%

C

STON

5/24/2018

12.2

2.9

314.5%

F

ZOES

5/24/2018

10.5

9.0

17.6%

F

GPS

5/24/2018

7.8

5.6

38.8%

B

ROST

5/24/2018

4.8

6.0

-20.7%

A

SCVL

5/24/2018

10.6

13.5

-21.5%

D

VEEV

5/24/2018

7.4

8.7

-14.3%

C

DXC

5/24/2018

7.3

8.4

-12.9%

A

ADSK

5/24/2018

7.0

8.8

-21.2%

C

SPLK

5/24/2018

7.0

7.8

-10.8%

D

NTNX

5/24/2018

7.0

8.9

-20.9%

D

VSAT

5/24/2018

6.6

4.6

44.4%

C

FL

5/25/2018

11.5

14.9

-22.8%

D

BKE

5/25/2018

5.2

3.5

48.7%

B

SHLD

5/25/2018

14.9

5.5

170.6%

F

HIBB

5/25/2018

8.8

6.4

37.4%

C

AMSC

5/25/2018

6.9

9.0

-23.0%

F

WAGE

5/28/2018

6.3

5.4

17.7%

D

WMS

5/29/2018

5.9

4.5

31.4%

D

CVCO

5/29/2018

3.9

6.7

-41.8%

C

AMWD

5/29/2018

11.6

9.5

21.8%

C

BURL

5/29/2018

6.9

5.5

25.2%

A

SPTN

5/29/2018

5.4

11.1

-51.5%

C

HEI

5/29/2018

2.6

3.4

-23.9%

C

LABL

5/29/2018

7.3

5.2

40.5%

A

BAH

5/29/2018

5.6

4.9

13.3%

B

CRM

5/29/2018

3.9

2.7

44.6%

C

HPQ

5/29/2018

4.4

4.7

-7.0%

A

 

Volatility Standouts:

On Mobile/Tablet scroll to the right

Underlying

Q Rating

2M Volatility vs Forecast

2M IV Change

IV 2M Percentile

SRCL

B

74.48%

0.79%

2.37

CNDT

C

73.60%

-0.41%

1.58

SRPT

D

7.32E-01

-1.09%

94.86

ASH

D

72.80%

-0.26%

76.68

DISH

C

72.18%

-0.38%

95.65

RMBS

C

71.48%

0.11%

7.91

TSRO

D

70.83%

4.83%

99.60

SFM

C

69.81%

2.11%

6.72

CTXS

C

68.98%

-1.58%

0.79

LNG

C

68.36%

7.65%

50.99

MXL

C

68.34%

-1.05%

16.21

HHC

B

67.92%

-0.55%

38.74

AKRX

D

67.36%

7.78%

94.07

ANGI

D

66.34%

-22.75%

4.35

TRN

D

66.21%

-1.71%

96.84

PCG

D

64.58%

0.74%

91.30

TRU

C

63.99%

2.22%

33.60

HPE

A

63.43%

-2.02%

26.59

NRG

D

62.97%

-0.07%

3.16

VST

D

62.37%

-7.88%

4.52

Underlying

Q Rating

2M Volatility vs Forecast

2M IV Change

IV 2M Percentile

MSCC

C

-65.20%

0.79%

1.19

HRG

C

-42.01%

-0.41%

64.03

IAC

D

-34.16%

-1.09%

34.78

ATHN

C

-30.36%

-0.26%

24.51

MTCH

C

-29.82%

-0.38%

54.15

ANDV

D

-29.08%

0.11%

55.73

USG

C

-27.57%

4.83%

0.79

OCLR

C

-25.47%

2.11%

0.40

SKX

F

-25.16%

-1.58%

42.29

FITB

C

-24.77%

7.65%

51.78

CLDR

D

-24.49%

-1.05%

19.37

ACIA

D

-23.39%

-0.55%

30.83

GES

B

-22.23%

7.78%

58.89

WPZ

F

-21.48%

-22.75%

54.94

GOGO

C

-21.19%

-1.71%

91.30

WATT

F

-17.93%

0.74%

1.98

VZ

A

-15.99%

2.22%

27.27

HRB

C

-15.92%

-2.02%

53.36

RH

B

-14.97%

-0.07%

43.48

EXEL

C

-14.64%

-7.88%

6.72