blog

Latest from the Quantamize Blog

Midday Volatility Report

Jun 04, 2018

Commentary: Equities are again in the green following Friday’s strong employment report with the S&P now +.48%, the Russell +.15%, and the Nasdaq +.85%. Energy is showing particular weakness as WTI crude is -1.15% and Natural Gas is -.60% taking energy ETF’s down with them. Currently, XOP is -1.8% and XLE is -.40%. Bonds are lower with TLT -.40% and the 10-year yield rising to 2.924%. Biotechs are lower as well with IBB -.78% and XBI -.58%. Volatilities are mixed with the VIX -3% to 13.06, VXN +3% to 15.56, and RVX +2% to 15.16.

 

 

ETF 30d volatility changes

SPY:        -5%

IWM:      -2%

QQQ:      -3%

 

Bullish Flow: 

PBR Seller 10,000 Jan19 12 puts

USO Buyer 40,000 Oct 14 – 16 call spreads

TWX Buyer 20,000 Jul 105 calls

SIG Buyer 5,000 Jun 8th 47 calls

INTC Seller 30,000 Jun 48 calls to Buy 30,000 Jan19 50 calls (rolling up and out)

AMD Seller 15,120 Aug 11 calls to Buy 15,399 Jan19 calls (rolling up and out)

RIG Buyer 25,000 Jan19 11 puts tied to stock

TWTR Seller 10,000 Jun 25 calls to Buy 10,000 Dec18 30 calls

TUR Buyer 12,666 Jun 30 puts to Sell 12,666 Jul 27 puts (rolls out and down)

MLCO Buyer 10,000 Jul 32-35 1x2 call spread

 

 

 

Bearish Flow:

GE 50,500 Jun 13 and Jul 13 puts trade

CVS Buyer 18,000 Jun 65 puts

FB Buyer 4,587 Jun 155 puts

QQQ Buyer 30,000 Dec18 138 puts

XOP Buyer 50,000 Jan19 35 – 32 put spreads

COTY Buyer 14,000 Aug 14 puts

WMT Seller 10,000 Jun 87.5 calls

 

 

Upcoming Earnings:

 

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

NX

6/4/2018

8.6

4.8

78.3%

B

ASNA

6/4/2018

17.5

12.0

46.1%

D

HQY

6/4/2018

7.1

5.9

19.5%

C

COUP

6/4/2018

9.1

5.2

76.5%

D

GIII

6/5/2018

10.4

11.9

-12.1%

C

HOFT

6/5/2018

8.6

11.6

-25.2%

C

GCO

6/5/2018

11.0

13.2

-16.9%

C

FRAN

6/5/2018

12.5

8.2

52.4%

F

DLTH

6/5/2018

11.7

12.3

-4.9%

C

CVGW

6/5/2018

5.6

6.8

-17.7%

D

OLLI

6/5/2018

5.3

3.5

49.0%

A

LAYN

6/5/2018

8.8

5.5

60.9%

C

HDS

6/5/2018

5.6

6.3

-9.8%

D

NCS

6/5/2018

8.1

8.9

-8.6%

C

NAV

6/5/2018

7.0

5.2

34.7%

D

GWRE

6/5/2018

5.3

4.3

24.7%

C

AMBA

6/5/2018

8.6

11.9

-27.1%

F

THO

6/6/2018

8.2

7.2

13.7%

C

REVG

6/6/2018

6.4

6.2

4.7%

A

VRA

6/6/2018

11.8

12.5

-5.8%

C

FIVE

6/6/2018

7.7

4.2

84.6%

B

UNFI

6/6/2018

6.4

4.7

35.0%

C

ABM

6/6/2018

8.0

6.1

31.1%

A

SHLO

6/6/2018

10.5

11.8

-10.5%

D

VRNT

6/6/2018

6.7

7.5

-10.8%

B

SCWX

6/6/2018

8.0

5.1

55.5%

C

CLDR

6/6/2018

12.0

19.6

-39.0%

D

MDB

6/6/2018

7.3

6.8

6.0%

F

OKTA

6/6/2018

8.9

7.2

23.8%

D

CMTL

6/6/2018

11.2

15.2

-26.3%

B

CONN

6/7/2018

14.0

14.0

-0.1%

F

ZUMZ

6/7/2018

10.5

10.9

-4.2%

B

HOME

6/7/2018

10.3

1

 

5.0

-31.5%

C

MTN

6/7/2018

3.2

3.4

-6.2%

A

SJM

6/7/2018

5.7

5.2

8.8%

A

COO

6/7/2018

4.1

4.0

2.9%

C

WAGE

6/7/2018

1.8

5.4

-66.9%

F

AGX

6/7/2018

6.1

9.9

-38.4%

D

PAY

6/7/2018

3.1

6.0

-48.2%

C

ITI

6/7/2018

10.5

5.4

92.7%

D

AVGO

6/7/2018

3.5

4.1

-15.1%

B

ATEN

6/8/2018

9.4

11.0

-14.0%

F

 

Volatility Standouts:

 

Underlying

Q Rating

2M Volatility vs Forecast

2M IV Change

IV 2M Percentile

CNDT

D

74.95%

-0.68%

3.56

DISH

B

74.71%

-3.03%

83.79

AKRX

C

73.50%

-1.28%

90.51

TPX

C

73.37%

-3.61%

81.42

ASH

C

71.88%

-1.85%

71.54

TIVO

C

69.35%

-2.19%

53.36

SFM

C

69.16%

1.35%

7.11

RMBS

C

68.12%

-1.55%

3.16

MXL

C

65.69%

-0.52%

10.67

T

B

63.81%

-2.39%

80.63

KIRK

D

60.19%

-2.45%

15.81

HYG

0

59.72%

-2.49%

50.99

AXTA

D

59.64%

-0.68%

65.22

TRU

B

5.96E-01

-7.37%

23.72

ARRS

B

58.60%

-1.93%

22.13

PAH

D

58.24%

0.66%

1.98

INGR

B

56.49%

-1.21%

83.79

SRPT

F

5.57E-01

0.04%

84.58

ARCC

C

54.82%

-2.80%

7.91

BLUE

D

54.74%

-1.36%

42.69

SNCR

D

53.74%

-0.55%

98.02

MYL

C

53.69%

-0.61%

83.40

CEVA

F

52.26%

-3.81%

21.74

SNAP

F

51.76%

1.17%

7.91

 

Underlying

Q Rating

2M Volatility vs Forecast

2M IV Change

IV 2M Percentile

MON

C

-64.59%

-0.68%

0.00

GM

D

-41.45%

-3.03%

46.25

ATHN

C

-35.99%

-1.28%

8.70

SKX

C

-29.94%

-3.61%

73.12

FITB

C

-27.66%

-1.85%

52.17

GOGO

C

-27.10%

-2.19%

92.09

CLDR

D

-26.60%

1.35%

19.76

OCLR

D

-25.61%

-1.55%

3.16

ANDV

C

-23.33%

-0.52%

45.06

RH

C

-21.86%

-2.39%

39.13

ORCL

C

-20.29%

-2.45%

59.29

EFA

0

-20.15%

-2.49%

58.89

WHR

C

-19.98%

-0.68%

26.48

NCR

C

-18.75%

-7.37%

18.97

PII

D

-18.58%

-1.93%

33.99

HLF

D

-18.10%

0.66%

8.30

HRB

C

-18.05%

-1.21%

58.89

ACIA

F

-17.43%

0.04%

37.94

SEP

C

-17.35%

-2.80%

76.28

HRG

D

-17.32%

-1.36%

76.68

IAC

C

-17.23%

-0.55%

23.72

IBM

B

-16.38%

-0.61%

54.94

MTCH

B

-16.20%

-3.81%

26.09

MET

C

-15.86%

1.17%

57.94