Midday Volatility Report

May 29, 2018

Commentary:

Equities are getting hit on fears from Italy and EU contagion with the S&P -1.4% , the Nasdaq -.85%, and Russell -.77%. Bonds are a safe haven on a risk-off day with TLT +1.7%, and the 10-year yield down to 2.812%. Emerging markets continue to see relative weakness with EEM -2.1% and Brazil hit particularly hard -4.4%. Energy is lower with WTI crude -2.6% and the energy ETF’s down as well. Volatilities are moving higher on the market sell-off with the VIX +27% to 17.04, VXN +19% to 19.11, and RVX +17% to 17.22.

 

ETF 30d volatility changes

SPY:        +17%

IWM:      +9%

QQQ:      +9%

 

Bullish Flow: 

FXI Buyer 20,000 Jul 47 – 50 1x2 call spreads

CELG Buyer 5,000 Sep 95 calls

CELG Buyer 5,000 Jun19 95 calls

ILF Seller 7,000 Jun 34 – 31 puts spreads (monetizes Jun 34s and rolls down to Jun 31)

PBR Seller 10,000 Jan20 12 puts

XOP 10,000 Jan19 43 calls trade

SIG Buyer 3,200 Jun 44 – 50 call spreads

NXPI Seller 9,000 Aug 105 puts

AMD Buyer 17,500 Aug 15 calls to Sell 12,000 Oct 14 calls (rolls short write out and down)

GE Seller 7,700 Jan20 12 puts

IBN Seller 10,000 Jan19 8 puts

PZZA Buyer 6,000 Jul 62.5 – Dec 60 call spread

 

Bearish Flow:

TLT Buyer 8,988 Jul 119 – 115 put spreads

TLT Buyer 10,000 Jun – Jul 117 put spreads (rolls Jun to July)

USO Buyer 9,000 Jun 29th 13 – 12 put spreads

FEZ Buyer 13,000 Jul 39 – 36 put spreads

EFA Buyer 10,000 Sep 66 puts

EFA Buyer 10,000 Jun 70 – 68.5 1x2 put spreads

KO Seller 7,500 Jun 45 – Aug 44 call spreads (rolls short write out and down)

XLF Buyer 30,000 Jul 26-28 risk reversal

 

Upcoming Earnings:

On Mobile/talbet scroll to the right

 

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

CVCO

5/29/2018

4.9

6.7

-26.7%

C

SPTN

5/29/2018

9.4

11.5

-18.4%

C

HEI

5/29/2018

5.3

3.4

52.9%

C

CRM

5/29/2018

3.8

2.7

42.8%

C

HPQ

5/29/2018

4.8

4.7

2.5%

A

PVH

5/30/2018

5.8

4.8

20.0%

B

CHS

5/30/2018

9.6

8.6

11.7%

C

DSW

5/30/2018

11.4

9.8

15.6%

C

GES

5/30/2018

9.5

15.5

-38.8%

B

TLYS

5/30/2018

12.4

14.9

-16.4%

D

SHLD

5/30/2018

10.3

5.5

87.0%

F

MOV

5/30/2018

10.9

10.9

-0.3%

C

DKS

5/30/2018

9.2

8.3

10.4%

D

CMCO

5/30/2018

6.8

7.6

-10.1%

C

ROLL

5/30/2018

4.9

3.0

63.2%

C

QADA

5/30/2018

5.8

4.2

38.0%

D

BOX

5/30/2018

8.8

7.5

17.2%

F

DAKT

5/30/2018

6.1

8.2

-24.9%

C

AMSC

5/30/2018

9.0

9.1

-0.9%

F

KEYS

5/30/2018

5.0

3.7

37.1%

B

ADI

5/30/2018

3.2

3.0

6.6%

A

SMTC

5/30/2018

5.0

5.0

0.2%

C

INWK

5/31/2018

9.4

5.4

74.1%

C

PERY

5/31/2018

6.3

7.4

-15.1%

C

CAL

5/31/2018

8.2

7.1

16.7%

C

AEO

5/31/2018

8.6

8.6

-0.4%

B

LULU

5/31/2018

8.5

11.1

-23.4%

B

EXPR

5/31/2018

13.6

11.9

14.3%

D

JILL

5/31/2018

18.1

18.9

-4.0%

D

BBW

5/31/2018

11.1

11.8

-6.1%

D

GME

5/31/2018

8.1

8.1

0.7%

C

KIRK

5/31/2018

12.2

10.3

18.9%

D

ULTA

5/31/2018

6.7

6.4

5.8%

B

COST

5/31/2018

3.0

3.0

-1.7%

B

DLTR

5/31/2018

5.8

6.4

-9.7%

B

DG

5/31/2018

6.0

5.6

8.1%

A

BURL

5/31/2018

8.0

5.5

44.2%

A

TITN

5/31/2018

9.2

11.4

-19.7%

D

DCI

5/31/2018

5.1

5.2

-2.7%

C

SHLO

5/31/2018

9.3

12.1

-23.3%

D

WDAY

5/31/2018

5.5

4.9

11.1%

C

VMW

5/31/2018

5.2

5.3

-1.5%

D

YEXT

5/31/2018

9.2

7.5

22.2%

D

CIEN

5/31/2018

7.8

10.3

-24.1%

D

TECD

5/31/2018

7.5

10.7

-30.0%

A

STON

6/1/2018

11.7

2.9

296.4%

F

ANF

6/1/2018

12.4

15.3

-19.0%

B

BIG

6/1/2018

8.1

4.6

74.2%

C

MDXG

6/1/2018

17.4

5.1

240.7%

D

 

 

Volatility Standouts:

On Mobile/Tablet scroll to the right

Underlying

Q Rating

2M Volatility vs Forecast

2M IV Change

IV 2M Percentile

DXC

A

74.52%

7.25%

89.33

COL

B

74.35%

-0.39%

46.64

AKRX

D

71.44%

1.07%

96.84

MDXG

D

67.95%

3.66%

97.63

GGP

D

65.53%

0.76%

1.98

JNPR

C

57.91%

-2.91%

54.15

FOXA

A

55.37%

1.83%

81.42

DISH

C

53.33%

4.50%

94.07

EVHC

C

51.97%

2.28%

45.45

AXTA

D

5.00E-01

3.29%

82.21

ASH

D

49.01%

9.29%

86.96

CTXS

C

45.35%

6.59%

0.40

MXL

C

45.19%

-1.39%

15.81

SRCL

B

44.73%

0.85%

3.56

CNDT

C

43.22%

0.14%

0.40

SIRI

A

41.33%

-1.01%

2.37

CDK

B

40.15%

3.52%

7.51

PCG

D

38.58%

0.78%

90.51

TSRO

D

38.30%

6.93%

98.81

PDCO

C

37.75%

-6.65%

98.81

ALL

A

37.74%

7.47%

28.46

PAH

C

37.69%

-0.11%

1.19

AET

C

37.63%

2.52%

69.17

DPZ

A

37.24%

1.23%

12.25

 

Underlying

Q Rating

2M Volatility vs Forecast

2M IV Change

IV 2M Percentile

MON

D

-53.84%

7.25%

2.37

ANDV

D

-35.06%

-0.39%

51.38

IAC

D

-34.79%

1.07%

33.60

ATHN

C

-33.52%

3.66%

18.97

MTCH

C

-31.39%

0.76%

43.48

WATT

F

-30.95%

-2.91%

2.77

OCLR

C

-30.67%

1.83%

3.95

ACIA

D

-29.51%

4.50%

33.20

HRG

C

-28.84%

2.28%

69.57

GOGO

C

-28.03%

3.29%

92.09

FITB

C

-27.32%

9.29%

47.83

WPZ

F

-27.29%

6.59%

57.31

CLDR

D

-27.27%

-1.39%

21.74

KODK

C

-27.22%

0.85%

48.22

GES

B

-26.79%

0.14%

56.92

SKX

F

-26.14%

-1.01%

66.01

WHR

C

-25.14%

3.52%

36.36

MDR

C

-24.35%

0.78%

26.48

TCS

C

-24.11%

6.93%

2.37

IONS

D

-23.44%

-6.65%

1.59

USG

C

-22.77%

7.47%

3.56

PTLA

F

-22.18%

-0.11%

0.40

S

C

-21.75%

2.52%

0.79

RH

B

-20.44%

1.23%

41.90