Midday Volatility Report

May 30, 2018

Commentary: Equities are bouncing off yesterday’s sell-off with markets in risk-on mode. Currently, the S&P is +1.2%, the Nasdaq is +.6%, and the Russell is +1.5% on strength in energy. Oil is rallying with WTI crude +2.1% and energy ETF’s even higher with XOP +3.5% and XLE +2.9%. Bonds are down with TLT -1% and the 10-year yield bouncing to 2.855%. Volatilities are lower with the VIX -11% to 15.12, RVX -5% to 15.97, and VXN -5% to 17.52.

 

ETF 30d volatility changes

SPY:        -10%

IWM:      -6%

QQQ:      -7%

 

Bullish Flow: 

IGT Buyer 4,500 Jul 26 calls

TWTR Buyer 5,000 Jul 36 calls tied to stock

BYD Seller 2,500 Jun 35 puts to Buy 1,900 Jun 37 puts (rolls up)

CPB 3,800 Jun 33 and Aug 35 calls trade

M Seller 15,000 Jul 36 calls to Buy 30,000 Jul 38 calls (rolls up) and Sell 5,000 Jul 31 puts

CL 3,600 June 1st 64 and 64.5 calls trade

STNG Buyer 8,300 Jun 3 calls

CMCSA Buyer 10,000 Oct 35 calls

EFA Seller 24,000 Aug 69 puts to Buy 24,000 Aug 67 puts (rolls down – not necessarily bullish but monetizes)

 

 

Bearish Flow:

EPD Seller 3,500 Jul 29 calls

DISH Seller 10,000 Dec18 50 calls

VRX 5,000 Jan19 17.5 puts trade

DG Seller 3,000 Jun 1st 103 calls to Buy 3,000 Jun 1st 94 – 90 put spreads

ZNGA Seller 8,036 Sep 4.5 calls

VALE Seller 20,000 Jan20 15 puts to Buy 20,000 Jan20 12 puts (rolls down)

JCI Seller 11,966 Jan19 38 – 40 call spreads

NRG Seller 5,000 June 1st 33.5 puts to Buy 5,000 Jun 8th 34 puts

EFA Buyer 25,000 Dec18 68 – 61 put spreads

MON Buyer 10,000 Jul 110 puts

IWM Seller 43,927 Jul 130-145 and 21,989 Jul 130-142 put spreads to buy 39,571 Jul 139-155 put spread to roll up

 

Upcoming Earnings:

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

PVH

5/30/2018

5.5

4.8

14.4%

B

GES

5/30/2018

10.2

15.5

-34.3%

B

TLYS

5/30/2018

12.6

14.9

-15.1%

D

QADA

5/30/2018

5.2

4.2

23.5%

D

BOX

5/30/2018

10.4

7.5

38.9%

F

AMSC

5/30/2018

8.3

9.1

-8.4%

F

KEYS

5/30/2018

5.1

3.7

40.0%

B

SMTC

5/30/2018

5.5

5.0

11.0%

C

INWK

5/31/2018

8.9

5.4

65.7%

C

PERY

5/31/2018

6.7

7.4

-9.1%

C

CAL

5/31/2018

8.1

7.1

15.0%

C

AEO

5/31/2018

8.6

8.6

-0.8%

B

LULU

5/31/2018

8.2

11.1

-26.4%

B

EXPR

5/31/2018

16.6

11.9

38.7%

D

JILL

5/31/2018

21.0

18.9

11.4%

D

SHLD

5/31/2018

11.1

5.5

102.0%

F

BBW

5/31/2018

11.1

11.8

-6.2%

D

GME

5/31/2018

8.0

8.1

-1.3%

C

KIRK

5/31/2018

12.4

10.3

20.8%

D

ULTA

5/31/2018

6.3

6.4

-1.4%

B

COST

5/31/2018

3.0

3.0

0.0%

B

DLTR

5/31/2018

6.0

6.4

-6.7%

B

DG

5/31/2018

5.8

5.6

5.1%

A

BURL

5/31/2018

6.4

5.5

16.5%

A

TITN

5/31/2018

9.9

11.4

-13.2%

D

DCI

5/31/2018

4.5

5.2

-14.2%

C

WDAY

5/31/2018

5.5

4.9

11.2%

C

VMW

5/31/2018

4.9

5.3

-8.4%

D

YEXT

5/31/2018

9.2

7.5

22.0%

D

CIEN

5/31/2018

7.5

10.3

-27.4%

D

TECD

5/31/2018

7.1

10.7

-33.6%

A

STON

6/1/2018

11.1

2.9

278.0%

F

ANF

6/1/2018

12.2

15.3

-20.7%

B

BIG

6/1/2018

7.9

4.6

69.7%

C

MDXG

6/1/2018

16.9

5.1

230.6%

D

SHLO

6/1/2018

9.7

12.1

-20.1%

D

NX

6/4/2018

10.7

5.0

116.4%

B

ASNA

6/4/2018

16.8

11.8

42.8%

F

CASY

6/4/2018

6.0

4.9

23.4%

C

HQY

6/4/2018

6.7

5.9

13.3%

C

PANW

6/4/2018

7.9

10.4

-24.4%

D

COUP

6/4/2018

7.8

5.2

51.3%

C

 

Volatility Standouts:

Underlying

Q Rating

2M Volatility vs Forecast

2M IV Change

IV 2M Percentile

MDXG

D

67.26%

-4.15%

92.06

MD

C

63.19%

-2.38%

47.22

FOXA

A

60.26%

-0.85%

83.73

STWD

D

57.32%

-1.16%

44.05

JNPR

C

53.47%

-1.61%

45.63

COL

B

52.24%

2.17%

58.73

ASH

D

47.41%

-2.80%

79.37

DISH

C

46.42%

0.38%

96.83

HAWK

C

45.18%

-2.01%

1.59

AET

C

45.07%

-13.07%

67.06

MXL

C

42.94%

-4.33%

8.73

CNDT

C

42.27%

-4.03%

4.37

INGR

B

41.58%

-4.07%

73.41

EVHC

C

41.31%

-2.52%

48.41

TPX

D

4.10E-01

-2.55%

47.22

CTXS

C

39.79%

-3.86%

1.59

MAN

B

38.64%

-3.32%

90.08

SNCR

D

38.41%

-13.90%

96.83

CPB

B

37.16%

-2.68%

68.25

RCII

D

36.87%

-4.23%

23.41

SRCL

B

36.47%

-0.67%

4.76

PDCO

C

35.31%

-2.25%

99.60

AXTA

D

34.93%

-0.55%

90.48

VIAV

C

34.67%

0.65%

8.73

 

 

Underlying

Q Rating

2M Volatility vs Forecast

2M IV Change

IV 2M Percentile

MON

D

-58.42%

-4.15%

0.00

IAC

D

-38.46%

-2.38%

45.63

ATHN

C

-35.62%

-0.85%

27.78

WPZ

F

-33.04%

-1.16%

61.51

MTCH

C

-32.04%

-1.61%

49.60

ANDV

D

-31.75%

2.17%

53.17

FITB

C

-31.45%

-2.80%

72.62

OCLR

C

-30.97%

0.38%

0.79

WATT

F

-3.09E-01

-2.01%

0.79

EXAS

F

-30.53%

-13.07%

1.98

ACIA

D

-30.27%

-4.33%

38.89

CLDR

D

-28.29%

-4.03%

24.21

KODK

C

-27.82%

-4.07%

46.83

WHR

C

-27.11%

-2.52%

36.51

USG

C

-26.69%

-2.55%

3.97

TCS

C

-25.91%

-3.86%

0.40

BGC

D

-25.73%

-3.32%

6.75

PRU

B

-25.63%

#REF!

66.27

HLF

D

-25.50%

-2.68%

11.11

GES

B

-25.43%

-4.23%

57.94

SKX

F

-25.33%

-0.67%

68.25

MET

C

-25.02%

-2.25%

78.49

PI

D

-23.18%

-0.55%

20.24

DGX

B

-22.75%

0.65%

36.90