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Midday Volatility Report

Jun 05, 2018

Commentary: Equities started the day mixed to higher, but have sold off  and are now generally lower overall with the S&P -0.18%, the Russell -0.03%, and the Nasdaq -0.08%. Bonds are bouncing off the recent sell-off with TLT +.5% and the 10- year yield down to 2.906%. Energy is slightly higher with WTI crude +0.28% and energy ETF’s relatively unchanged. Gold is moving higher with GLD +.62%. Emerging markets continue to move lower with EEM -.60% and Mexico and Brazil hit particularly hard -2% and 1.8% respectively. Volatilities are moderately higher with the VIX +2.5% to 13.06, RVX +2.4% to 15.04, and VXN +2.4% to 15.88.

 

ETF 30d volatility changes

SPY:        +2%

IWM:      +1%

QQQ:      +3%

 

Bullish Flow: 

STNG Buyer 11,650 Oct 4 calls

XLF Seller 23,630 Jun 28 calls to Buy 23,630 Jul 28-30 call spreads

GLD Buyer 6,940 Jul 131 calls

GLD Buyer 4,136 Sep 135 calls

FCX Buyer 7,200 Aug 19 calls tied to stock

FCX Buyer 10,000 Jul 19-20 call stupids tied to stock

XLK Seller 5,000 Jul 71 calls to Buy 7,500 Aug 73 calls (rolls up and out)

PBR Seller 7,000 Jul 9 puts

T Buyer 11,017 Jul 35 – Sep 36 call spreads

JCP Buyer 5,000 Jul 2.5 calls

ABX Buyer 8,000 Jun 13 puts to Sell 8,000 Oct 13 puts

QQQ Seller 25,000 Jul 165 – 137 puts spreads to Buy 25,000 Jul 186 calls (tied to 525,000 shares)

 

 

Bearish Flow:

XOP Buyer 8,000 Jul 38 – 40 – 42 put flies

EWZ Buyer 19,550 Nov 29 puts

SLV Seller 14,716 Jun 16 calls to Buy 7,358 Sep 28th 16 calls (monetizes and reduces while rolling out)

MYL Seller 51,834 Jun 42.5 calls to Buy 25,915 Jul 45 calls (monetizes and reduces while rolling out)

SNAP Seller 15,932 Jun 22nd 11 calls to Buy 15,932 Dec18 13 calls (monetizes and rolls out)

 

 

Upcoming Earnings:

On Mobile/Tablet scroll to the right

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

OLLI

6/5/2018

6.6

3.5

86.6%

A

LAYN

6/5/2018

10.1

5.5

84.1%

C

NCS

6/5/2018

7.9

8.9

-11.5%

C

GWRE

6/5/2018

5.1

4.3

19.0%

C

AMBA

6/5/2018

10.0

11.9

-15.6%

F

THO

6/6/2018

8.1

7.2

12.6%

C

REVG

6/6/2018

6.4

6.2

4.3%

A

VRA

6/6/2018

12.2

12.5

-3.0%

C

FIVE

6/6/2018

7.6

4.2

81.7%

B

CVGW

6/6/2018

6.1

6.8

-10.9%

D

UNFI

6/6/2018

6.5

4.7

36.4%

C

ABM

6/6/2018

9.7

6.1

59.1%

A

SHLO

6/6/2018

10.4

11.8

-11.3%

D

SCWX

6/6/2018

7.9

5.1

53.4%

C

CLDR

6/6/2018

13.9

19.6

-29.0%

D

MDB

6/6/2018

6.7

6.8

-1.4%

F

OKTA

6/6/2018

8.9

7.2

23.0%

D

CMTL

6/6/2018

11.6

15.2

-23.3%

B

CONN

6/7/2018

15.2

14.0

8.4%

F

ZUMZ

6/7/2018

10.6

10.9

-2.5%

B

HOME

6/7/2018

9.7

15.0

-35.2%

C

MTN

6/7/2018

3.2

3.4

-6.6%

A

SJM

6/7/2018

6.1

5.2

17.3%

A

COO

6/7/2018

4.5

4.0

14.1%

C

WAGE

6/7/2018

2.0

5.4

-62.8%

F

AGX

6/7/2018

5.9

9.9

-40.4%

D

PAY

6/7/2018

3.9

6.0

-35.7%

C

VRNT

6/7/2018

6.4

7.5

-14.8%

B

ITI

6/7/2018

9.9

5.4

82.9%

D

AVGO

6/7/2018

3.6

4.1

-12.7%

B

ATEN

6/8/2018

9.6

11.0

-12.2%

F

PLAY

6/11/2018

7.1

5.2

36.3%

D

RH

6/11/2018

13.1

19.8

-33.6%

C

CASY

6/11/2018

4.9

4.9

1.9%

C

OXM

6/12/2018

5.6

6.7

-15.5%

B

HRB

6/12/2018

7.5

9.8

-23.9%

C

LE

6/12/2018

8.6

11.0

-22.1%

C

SAIC

6/12/2018

6.5

8.8

-26.2%

C

SIGM

6/12/2018

35.2

9.6

268.8%

D

TLRD

6/13/2018

13.9

14.3

-3.1%

B

INWK

6/14/2018

7.0

5.4

30.5%

D

MPAA

6/14/2018

8.0

6.2

28.4%

F

MIK

6/14/2018

8.4

7.2

16.9%

C

ADBE

6/14/2018

3.9

3.3

18.0%

B

FNSR

6/14/2018

9.4

8.9

5.7%

F

JBL

6/14/2018

6.0

5.8

3.6%

D

 

Volatility Standouts:

On Mobile/Tablet scroll to the right

Underlying

Q Rating

2M Volatility vs Forecast

2M IV Change

IV 2M Percentile

DISH

B

73.25%

-0.91%

75.79

MD

B

7.21E-01

0.53%

88.49

T

B

71.22%

-0.38%

76.59

CTXS

A

70.96%

3.32%

1.59

CNDT

D

68.84%

0.21%

1.59

MLNX

C

67.60%

-2.14%

38.89

AXTA

D

65.38%

0.54%

54.37

SSP

D

64.25%

0.60%

11.51

TRU

B

6.41E-01

2.64%

19.44

TIVO

C

63.41%

0.56%

63.10

FRAN

F

62.28%

0.96%

61.51

TPX

C

61.64%

0.82%

71.03

SIRI

A

61.18%

4.26%

7.54

RMBS

C

61.14%

-16.62%

3.57

ASH

C

60.96%

-1.42%

71.83

MXL

C

60.61%

-1.67%

6.75

PBYI

F

60.55%

1.15%

38.49

SFLY

D

5.96E-01

1.81%

21.43

CNK

D

58.33%

0.89%

20.24

EVHC

B

56.89%

0.56%

57.14

CEVA

F

56.05%

0.02%

4.76

ARRS

B

55.91%

3.40%

18.25

EROS

D

55.69%

0.59%

3.57

PAH

D

55.37%

-0.80%

1.98

On Mobile/Tablet scroll to the right

Underlying

Q Rating

2M Volatility vs Forecast

2M IV Change

IV 2M Percentile

MON

C

-66.69%

-0.91%

0.40

NKTR

F

-55.32%

0.53%

67.06

GM

D

-42.10%

-0.38%

35.32

ATHN

C

-36.63%

3.32%

1.59

SKX

C

-28.65%

0.21%

69.05

GOGO

C

-27.12%

-2.14%

90.87

OCLR

D

-26.49%

0.54%

2.38

FITB

C

-25.68%

0.60%

34.13

ANDV

C

-23.54%

2.64%

49.21

WHR

C

-22.44%

0.56%

32.54

DXC

B

-21.75%

0.96%

78.88

RH

C

-21.64%

0.82%

33.33

KODK

F

-21.21%

4.26%

42.46

CLDR

D

-21.07%

-16.62%

26.19

NCR

C

-20.96%

-1.42%

13.89

HRB

C

-19.04%

-1.67%

53.97

EFA

0

-18.96%

1.15%

53.57

IAC

C

-18.29%

1.81%

23.02

ACIA

F

-17.44%

0.89%

38.49

HLF

D

-16.80%

0.56%

8.33

IBM

B

-16.52%

0.02%

47.62

ORCL

C

-16.47%

3.40%

58.73

MTCH

B

-16.33%

0.59%

30.16

DGX

B

-15.33%

-0.80%

30.56