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Midday Volatility Report

May 31, 2018

Commentary:

Equities are lower today as the Trump administration announced tariffs on steel and aluminum from Canada, Mexico, and the EU with the S&P -.48%, the Russell is -.82%, and the Nasdaq bucking the trend +.16% with strength in GOOG and AMZN. Oil started the day in the red, rallied sharply on the inventory number, and then sold back off with WTI crude -1.5%, though energy ETF’s aren’t down quite as much with XOP -.35% and XLE -.50%. Bonds are slightly higher, though they have meandered above and below unchanged several times. Gold is unchanged. Volatilities are mixed with the VIX +1.6% to 15.18, VXN unchanged at 17.09, and RVX +2.8% to 15.82.

 

ETF 30d volatility changes

SPY:        +2%

IWM:      +1%

QQQ:      +1%

 

Bullish Flow: 

EEM Seller 25,549 Jul 41 puts

SNAP 15,700 Jun 1st 11 and 11.5 calls trade

DISH Seller 9,000 Sep 37.5 calls

FCAU 8,500 Jun 24 calls trade

AKS Buyer 5,850 Jun 5 calls

AKS Buyer 10,0080 Jun 4.5 – 5 ratio call spreads

HAIN Buyer 4,465 Aug 27 calls

AZN Buyer 10,000 Jan19 40 calls

PBR Buyer 7,000 Jun 13 calls

BMY 15,000 Jan19 65 calls trade

MT Buyer 5,000 Sep 33 – 36 1x2 calls spreads

JCI Buyer 5,600 Jul 37 calls

GE 20,000 Jan19 15 calls trade

KR Buyer 8,810 Jul 26 puts

 

Bearish Flow:

F Buyer 10,081 Aug 12 puts

ITUB 7,500 Jan20 10 puts trade

DB 4,000 June 8th 10 and Jun 10 puts trade

RIG Buyer 15,000 Jan19 12 puts tied to stock

BIG Buyer 10,000 Jun 40 puts tied to stock

DLTR Buyer 7,118 Jun 82 puts

 

Upcoming Earnings:

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Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

CAL

5/31/2018

9.0

7.1

27.2%

C

LULU

5/31/2018

8.4

11.1

-24.3%

B

GME

5/31/2018

9.8

8.1

20.7%

C

ULTA

5/31/2018

6.8

6.4

6.4%

B

COST

5/31/2018

2.9

3.0

-4.2%

B

WDAY

5/31/2018

5.3

4.9

7.4%

C

VMW

5/31/2018

4.8

5.3

-10.6%

D

YEXT

5/31/2018

8.7

7.5

15.7%

D

AMSC

5/31/2018

9.5

9.1

4.5%

F

STON

6/1/2018

11.5

2.9

290.3%

F

ANF

6/1/2018

11.8

15.3

-23.4%

B

BIG

6/1/2018

9.1

4.6

96.5%

C

MDXG

6/1/2018

17.3

5.1

237.6%

D

SHLO

6/1/2018

9.9

12.1

-18.1%

D

NX

6/4/2018

11.4

5.0

129.3%

B

ASNA

6/4/2018

19.7

11.8

67.1%

F

HQY

6/4/2018

7.2

5.9

21.1%

C

PANW

6/4/2018

7.8

10.4

-25.4%

D

COUP

6/4/2018

8.6

5.2

67.3%

C

GIII

6/5/2018

10.0

11.7

-14.5%

C

HOFT

6/5/2018

8.6

11.3

-23.9%

C

GCO

6/5/2018

10.7

13.2

-19.1%

C

FRAN

6/5/2018

11.0

8.2

34.7%

F

DLTH

6/5/2018

10.9

12.3

-11.1%

C

RH

6/5/2018

13.0

19.8

-34.1%

B

CVGW

6/5/2018

5.4

7.1

-24.1%

D

OLLI

6/5/2018

4.8

3.5

36.5%

B

HDS

6/5/2018

5.9

6.3

-6.3%

C

NCS

6/5/2018

6.5

8.9

-27.2%

C

NAV

6/5/2018

6.9

5.3

30.2%

D

GWRE

6/5/2018

5.3

4.2

24.0%

D

AMBA

6/5/2018

9.0

11.5

-21.7%

D

THO

6/6/2018

8.4

7.1

17.9%

C

REVG

6/6/2018

6.7

6.2

9.5%

C

VRA

6/6/2018

12.7

12.9

-1.4%

C

FIVE

6/6/2018

7.3

4.3

70.0%

A

UNFI

6/6/2018

6.6

4.7

38.9%

C

ABM

6/6/2018

7.6

6.0

26.8%

A

VRNT

6/6/2018

6.9

7.5

-8.3%

C

SCWX

6/6/2018

7.6

5.1

47.6%

D

CLDR

6/6/2018

12.2

19.6

-37.9%

D

MDB

6/6/2018

6.1

6.8

-10.4%

C

OKTA

6/6/2018

8.6

7.2

19.4%

F

 

 

Volatility Standouts:

On Mobile/Tablet scroll to the right

 

Underlying

Q Rating

2M Volatility vs Forecast

2M IV Change

IV 2M Percentile

TPX

D

73.99%

-1.06%

78.66

DISH

C

73.23%

2.51%

87.35

INGR

B

72.27%

-1.84%

82.61

MXL

C

71.80%

3.09%

5.93

GGP

D

70.54%

3.08%

0.00

PBYI

D

70.34%

5.48%

49.01

CNDT

C

70.22%

2.65%

5.14

ASH

D

68.52%

-1.97%

78.66

ANGI

D

67.72%

-2.46%

0.79

PAH

C

67.40%

1.14%

1.19

DLTR

B

63.24%

1.16%

54.55

VIAV

C

62.62%

-0.50%

3.16

TRU

C

61.56%

1.83%

24.11

SFM

C

61.13%

1.15%

9.88

DXC

A

60.10%

-0.24%

98.81

VSAT

C

6.01E-01

-0.42%

20.16

MAN

B

58.33%

-0.45%

80.63

DXCM

C

58.32%

-2.69%

16.60

MD

C

58.16%

0.87%

95.26

ARRS

B

58.16%

-1.04%

11.86

BURL

A

57.22%

-1.78%

51.78

SRPT

D

56.83%

3.30%

83.00

HAS

D

56.53%

-0.77%

19.37

CEVA

C

56.36%

-23.11%

15.81

 

Underlying

Q Rating

2M Volatility vs Forecast

2M IV Change

IV 2M Percentile

MON

D

-50.99%

-1.06%

0.40

ATHN

C

-35.31%

2.51%

20.16

IAC

D

-31.29%

-1.84%

37.55

GOGO

C

-26.51%

3.09%

90.12

MTCH

C

-25.37%

3.08%

40.32

CLDR

D

-24.85%

5.48%

21.34

FITB

C

-24.76%

2.65%

65.61

HRG

C

-24.52%

-1.97%

83.00

SKX

F

-24.25%

-2.46%

74.31

ANDV

D

-22.11%

1.14%

51.78

OCLR

C

-21.79%

1.16%

3.95

WPZ

F

-19.36%

-0.50%

56.52

NCR

B

-18.44%

1.83%

26.48

TCS

C

-18.09%

1.15%

0.40

HLF

D

-17.61%

-0.24%

5.53

ORCL

C

-17.43%

-0.42%

65.61

RH

B

-17.15%

-0.45%

38.74

WHR

C

-16.88%

-2.69%

25.30

ACIA

D

-16.81%

0.87%

37.55

WATT

F

-15.69%

-1.04%

2.37

KODK

C

-15.63%

-1.78%

44.27

HRB

C

-15.31%

3.30%

54.94

PRU

B

-15.27%

-0.77%

32.81

IBM

A

-14.04%

-23.11%

62.45