Midday Volatility Report

May 25, 2018

Commentary:

Equities are in the red as oil prices take a big dip lower with WTI crude -4.2% to 67.75 as Russia and Saudi Arabia rethink production caps. The S&P is -0.24%, the Nasdaq is +0.25% with most of the FAANG names higher, and the Russell is -0.07%. Bonds continue their move higher with TLT +0.58% and the 10-year yield now down to 2.935%. Energy ETF’s are getting hit particularly hard with XOP -4.1% and XLE -3.3%. Volatilities are mixed to higher with the VIX +5% to 13.19, VXN +2% to 16.11, and RVX +3% to 14.68.

 

ETF 30d volatility changes

SPY:        +1%

IWM:      +1%

QQQ:      -1%

 

Bullish Flow: 

JPM Seller 7500 Jun 106 puts

BAC Seller 15,000 Jun 28.5 puts

AMD 14,000 May 25th 13.5 and June 1st 13.5 calls trade

APC Buyer 3,000 Jun 69 calls

NXPI Buyer 9,000 Jun 120 calls

ADSK Buyer 3,000 Jun 140-145 1x2 call spreads

CMCSA Seller 8,824 May 25th 32 – Jun 32 put spreads (put write roll)

USO Buyer 10,000 Aug 17 calls

DHI Seller 3,500 Jan19 43 calls

FITB Buyer 3,100 Jul 6 calls

DNR Seller 8,000 Jun 3.5 puts

ROST Buyer 6,000 Jun 77.5-80 1x2 call spread

 

Bearish Flow:

XLE Buyer 5,000 Jun 76 puts

EFA Buyer 9,000 Jun1st 69.5 – June 70 put spread (rolls out a couple weeks)

MRO Buyer 5,957 Jun 20 puts

VIX 20,000 Jul 18th 21 calls trade

NKE Buyer 5,000 Jun 72.5-70-67.5 put flies

OIH 5,600 Jun 26.5 puts trade

APA Buyer 5,000 Jun 38 puts trade

NXPI Buyer 17,000 Jan19 95-105-115 put flies

Upcoming Earnings:

On Mobile/Tablet scroll to the right

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

WAGE

5/28/2018

3.7

5.4

-30.4%

D

WMS

5/29/2018

7.7

4.5

70.4%

D

CVCO

5/29/2018

4.9

6.7

-26.5%

C

AMWD

5/29/2018

10.4

9.5

9.6%

C

SPTN

5/29/2018

4.8

11.1

-56.8%

C

HEI

5/29/2018

3.3

3.4

-3.1%

C

LABL

5/29/2018

8.5

5.2

64.6%

A

BAH

5/29/2018

5.7

4.9

16.2%

B

CRM

5/29/2018

4.1

2.7

54.4%

C

HPQ

5/29/2018

4.7

4.7

-1.3%

A

AMSC

5/29/2018

10.0

9.0

11.8%

F

PVH

5/30/2018

5.8

4.8

20.7%

B

CHS

5/30/2018

9.6

8.4

14.3%

C

DSW

5/30/2018

10.7

9.6

11.9%

C

GES

5/30/2018

10.2

15.5

-34.1%

B

TLYS

5/30/2018

12.5

14.7

-14.9%

D

SHLD

5/30/2018

17.7

5.5

221.3%

F

MOV

5/30/2018

10.1

10.8

-6.0%

C

DKS

5/30/2018

9.5

8.3

13.5%

D

CMCO

5/30/2018

7.3

7.3

-0.7%

C

ROLL

5/30/2018

3.6

3.0

20.5%

C

QADA

5/30/2018

5.9

4.3

38.0%

D

BOX

5/30/2018

9.4

7.5

25.1%

F

DAKT

5/30/2018

6.2

8.2

-24.8%

C

KEYS

5/30/2018

4.5

3.7

23.6%

B

ADI

5/30/2018

3.3

3.0

11.4%

A

SMTC

5/30/2018

5.0

5.0

0.4%

C

INWK

5/31/2018

9.6

5.4

77.9%

C

PERY

5/31/2018

6.1

7.4

-18.4%

C

CAL

5/31/2018

8.5

7.1

19.9%

C

AEO

5/31/2018

8.1

8.6

-6.3%

B

LULU

5/31/2018

8.1

11.1

-27.0%

B

EXPR

5/31/2018

13.9

11.9

16.1%

D

JILL

5/31/2018

18.2

18.9

-3.3%

D

BBW

5/31/2018

11.9

11.8

0.7%

D

GME

5/31/2018

8.7

8.0

9.6%

C

KIRK

5/31/2018

10.8

10.3

4.5%

D

ULTA

5/31/2018

6.7

6.4

4.9%

B

COST

5/31/2018

3.0

3.0

0.1%

B

DLTR

5/31/2018

5.8

6.4

-8.8%

B

DG

5/31/2018

5.8

5.6

5.1%

A

BURL

5/31/2018

5.4

5.5

-1.3%

A

PDCO

5/31/2018

6.1

6.9

-10.8%

C

TITN

5/31/2018

8.8

11.3

-21.9%

D

DCI

5/31/2018

4.2

5.2

-20.2%

C

SHLO

5/31/2018

10.9

12.1

-10.1%

D

WDAY

5/31/2018

5.8

4.9

17.9%

C

VMW

5/31/2018

5.6

5.3

4.3%

D

YEXT

5/31/2018

8.6

7.5

14.1%

D

 

Volatility Standouts:

On Mobile/Tablet scroll to the right

Underlying

Q Rating

2M Volatility vs Forecast

2M IV Change

IV 2M Percentile

TSRO

D

73.39%

-0.94%

99.21

CTXS

C

73.24%

1.04%

0.79

SRCL

B

72.94%

-7.07%

3.16

TRU

C

71.09%

-0.10%

32.41

MXL

C

69.79%

0.97%

14.23

RMBS

C

68.58%

-4.32%

13.04

SRPT

D

68.43%

0.90%

95.26

DISH

C

68.03%

-2.09%

95.26

RCII

D

67.19%

0.60%

24.51

RES

C

66.87%

4.85%

39.13

CNDT

C

65.28%

-1.62%

1.98

SFM

C

64.72%

0.14%

7.11

AKRX

D

64.06%

-8.11%

96.44

SIRI

A

62.25%

2.61%

3.56

LNG

C

62.02%

3.04%

53.75

TRN

D

60.98%

0.10%

85.77

INGR

B

60.77%

0.27%

79.05

VSAT

C

59.67%

-0.57%

76.28

DPZ

A

58.77%

-0.17%

13.04

CLR

D

58.57%

1.17%

5.93

ACHC

C

57.55%

-0.13%

0.40

MD

C

56.77%

-2.08%

99.21

IDCC

C

55.19%

-24.95%

1.19

CFX

D

55.13%

-1.63%

75.89

Underlying

Q Rating

2M Volatility vs Forecast

2M IV Change

IV 2M Percentile

HAWK

C

-74.43%

-0.94%

4.74

MSCC

C

-64.38%

1.04%

0.40

HRG

C

-41.85%

-7.07%

66.01

IAC

D

-33.79%

-0.10%

33.60

ATHN

C

-30.80%

0.97%

21.34

MTCH

C

-28.47%

-4.32%

42.69

ANDV

D

-25.80%

0.90%

33.60

FITB

C

-25.37%

-2.09%

36.76

SKX

F

-24.41%

0.60%

47.04

OCLR

C

-23.93%

4.85%

3.16

CLDR

D

-23.67%

-1.62%

19.76

GES

B

-22.97%

0.14%

55.34

ACIA

D

-21.29%

-8.11%

27.27

WPZ

F

-1.99E-01

2.61%

52.57

WHR

C

-18.57%

3.04%

25.69

MDR

C

-18.16%

0.10%

61.26

WATT

F

-17.29%

0.27%

0.40

HRB

C

-16.74%

-0.57%

48.62

RH

B

-16.57%

-0.17%

49.41

SYMC

B

-16.56%

1.17%

60.87

VZ

A

-16.15%

-0.13%

30.43

ORCL

C

-15.92%

-2.08%

64.82

DIN

A

-13.78%

-24.95%

49.80

PPG

C

-13.32%

-1.63%

56.92