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Midday Volatility Report

Jun 01, 2018

Commentary:

Equities are rallying after a strong employment report showed the economy added 223,000 jobs in May and the unemployment rate dropped to 3.8%. Currently, the S&P is +1%, the Russell is +0.85%, and the Nasdaq leads the way, +1.5%. Bonds are down with TLT -.52% and the 10-year yield rallying to 2.9%. Oil is selling off slightly with WTI crude -0.64% to 66.61 though the overall market is taking the energy ETF’s higher with XOP +0.02% and XLE +.62%. Volatilities are lower with the VIX -12% to 13.50, VXN -9% to 15.29, and RVX -8% to 14.92.

 

ETF 30d volatility changes

SPY:        -10%

IWM:      -7%

QQQ:      -8%

 

Bullish Flow: 

XLNX Buyer 3,000 Jul 72.5 calls

FXI Buyer 75,000 Jul 48 – 51 call spreads to sell 75,000 Jul 44 puts versus 1.25M shares

RIG Buyer 5,000 Jul 14 calls

PBR Buyer 28,000 Aug – Nov 12 call spreads

BSX Buyer 9,000 Aug 31 calls versus 750k shares

VRX Seller 7,650 Jul 19 puts tied to stock

NWL Buyer 8,500 Jan19 23 calls

MDXG Buyer 5,000 Jun 12.5 calls

XOP Seller 15,000 Jun 45 calls to buy Jul 45-50 call spread

MAR 4k Jun 29th 140 calls trade versus 143 and 144 calls – either a tree or a 1 up fly

IGT Buyers 5,100 Jul 26 calls

 

 

Bearish Flow:

CTL Seller 4,494 Jun 18 puts

ZNGA Seller 5,000 Jul 4 calls

TWTR Seller 10,000 Jul 36 calls possibly closing

TRIP Seller 4,672 Jan19 60 calls

SEDG Buyer 5,000 Sep 50 puts

BIG Seller 7,500 Jul 40 calls

BB Seller 6,477 Jun 12.5 puts 

PBR Buyer 10,000 Jun 9.5 puts

 

 

 

Upcoming Earnings:

On Mobile/Tablet scroll to right

 

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

STON

6/1/2018

11.5

2.9

290.8%

F

NX

6/4/2018

10.8

5.0

117.5%

B

ASNA

6/4/2018

17.2

12.0

43.2%

D

HQY

6/4/2018

7.0

5.9

17.1%

C

PANW

6/4/2018

7.6

10.4

-27.6%

D

COUP

6/4/2018

8.0

5.2

54.7%

D

GIII

6/5/2018

10.3

11.9

-13.5%

C

HOFT

6/5/2018

8.8

11.3

-22.3%

C

GCO

6/5/2018

10.0

13.2

-24.5%

C

FRAN

6/5/2018

11.0

8.2

33.9%

F

DLTH

6/5/2018

10.3

12.3

-16.0%

C

CVGW

6/5/2018

5.5

6.8

-19.7%

D

OLLI

6/5/2018

4.7

3.5

32.7%

A

LAYN

6/5/2018

7.6

5.5

38.3%

C

HDS

6/5/2018

5.8

6.3

-6.5%

D

NCS

6/5/2018

8.1

8.9

-8.4%

C

NAV

6/5/2018

6.9

5.3

29.2%

D

GWRE

6/5/2018

5.5

4.3

29.7%

C

AMBA

6/5/2018

8.8

11.9

-25.8%

F

THO

6/6/2018

7.9

7.1

10.8%

C

REVG

6/6/2018

6.4

6.2

4.5%

A

VRA

6/6/2018

14.3

12.9

10.8%

C

FIVE

6/6/2018

7.0

4.3

62.8%

B

UNFI

6/6/2018

6.3

4.7

34.0%

C

ABM

6/6/2018

8.2

6.1

33.8%

A

SHLO

6/6/2018

10.9

12.1

-9.8%

D

VRNT

6/6/2018

6.8

7.5

-9.4%

B

SCWX

6/6/2018

8.4

5.1

64.0%

C

CLDR

6/6/2018

11.8

19.6

-39.8%

D

MDB

6/6/2018

6.5

6.8

-5.7%

F

OKTA

6/6/2018

8.6

7.2

19.7%

D

 

 

Volatility Standouts:

On Mobile/Tablet scroll to the right

 

Underlying

Q Rating

2M Volatility vs Forecast

2M IV Change

IV 2M Percentile

MXL

C

71.74%

-0.16%

15.42

RMBS

C

70.56%

-2.42%

12.65

ASH

C

70.47%

-4.04%

74.31

TRU

B

70.34%

-0.08%

24.90

HYG

0

70.17%

4.22%

72.73

AET

C

69.96%

0.14%

66.80

DISH

B

69.91%

-3.32%

84.98

TIVO

C

69.41%

-0.38%

59.29

CNDT

D

68.90%

-1.88%

2.77

SNCR

D

67.66%

-2.39%

98.02

PBYI

F

67.57%

-2.86%

37.15

SFM

C

66.77%

3.45%

9.88

EXPR

D

66.36%

-2.23%

0.79

TPX

C

66.01%

-3.21%

71.94

CEVA

F

65.75%

0.01%

24.51

DXCM

F

65.65%

-2.15%

22.13

SABR

D

62.89%

-1.93%

5.14

DXC

B

62.76%

-2.85%

99.21

ARRS

B

61.35%

-0.46%

20.95

DLTR

A

60.97%

-0.63%

34.78

CUBE

C

60.93%

-1.77%

3.16

IMMU

F

60.32%

-6.35%

70.75

SRPT

F

60.17%

0.91%

81.82

HAS

F

59.30%

-2.06%

22.13

 

Underlying

Q Rating

2M Volatility vs Forecast

2M IV Change

IV 2M Percentile

MON

C

-49.18%

-0.16%

0.79

GM

D

-38.17%

-2.42%

52.17

ATHN

C

-36.37%

-4.04%

0.79

GOGO

C

-27.94%

-0.08%

84.58

FITB

C

-26.61%

4.22%

65.22

OCLR

D

-26.30%

0.14%

4.74

CLDR

D

-25.73%

-3.32%

24.11

SKX

C

-24.57%

-0.38%

80.24

WPZ

D

-21.73%

-1.88%

51.38

WHR

C

-21.72%

-2.39%

42.69

ANDV

C

-21.45%

-2.86%

52.17

HRG

D

-21.05%

3.45%

69.17

HLF

D

-19.36%

-2.23%

7.11

NCR

C

-18.91%

-3.21%

26.48

SEP

C

-18.82%

0.01%

81.82

ORCL

C

-18.67%

-2.15%

70.75

ACIA

F

-17.51%

-1.93%

43.48

RH

C

-17.47%

-2.85%

48.62

WATT

F

-16.59%

-0.46%

0.40

DGX

B

-1.62E-01

-0.63%

35.57

HRB

C

-16.10%

-1.77%

60.08

KODK

F

-16.08%

-6.35%

43.87

PRU

B

-16.03%

0.91%

58.89

MET

C

-15.75%

-2.06%

73.81