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Midday Volatility Report

Jun 06, 2018

Commentary:

Equities are in the green again and near highs for the day on a risk on kind of day with the S&P +0.45%, the Russell +0.21%, and the Nasdaq +0.11%. Bonds are getting hit with TLT -0.91% and the 10-year yield rising to 2.974%. Energy is lower with WTI crude -1.3% and energy ETF’s lower with XLE -0.24% and XOP -0.83%. Gold is up slightly. Emerging markets are bouncing with EEM +1.1% though Brazil continues to lag -0.86%. Volatilities are mixed to lower with the VIX -2.5% to 12.09, RVX -0.3% to 14.49, and VXN +1% to 15.49.

 

ETF 30d volatility changes

SPY:        -3%

IWM:      -1%

QQQ:      +2%

 

Bullish Flow: 

CPB Buyer 6,300 Aug 37 – 40 call spreads

VRX 3,700 June 8th 24 and 24.5 calls trade

EEM Buyer 10,000 Dec18 48 calls

EA Sold 11,000 Jun 135 – 150 – 97.5 c.s. collars to Buy 11,000 Jul 140 – 150 – 125.5 c.s. collars

VXX Seller 25,500 Sep 22 puts to Buy 25,500 Jan 18 puts (rolls out and down)

FOXA Buyer 20,000 Jul 40 – 44 – 37 calls spreads collars

UA 10,663 Jul 22.5 and 25 calls trade                 

MGM Buyer 10,000 Jul 32 – 34 –28 call spread collars

GILD Buyer 10,000 Aug 75 calls

ENDP Sellers 6,400 Jan 7.5 puts also seeing Jul 8 call buyers

 

 

Bearish Flow:

BAC Seller 10,000 Jan 36 calls

XLF Seller 7,000 Aug 28 puts to 7,000 Dec18 28 puts (rolls out)

QQQ Buyer 30,000 Jun 29th 173-168 put spread

QQQ Buyer 20,000 Jun 22nd 170 puts

TWX Buyer 5,000 Jul 85 puts

USO Buyer 6,400 Jul 13 puts

DB Seller 3,000 Jan20 20 calls to Buy 3,000 Jan20 8 puts

TSLA Buyer 3,000 Sep 300 puts

XLI Buyer 6,280 Sep 72 puts

KMI Seller 6,205 Aug 18 calls

ZNGA Seller 19,000 Sep 4 calls

XLK Buyer 21,700 Aug 71 – 67 put spreads

 

Upcoming Earnings:

 

   

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

THO

6/6/2018

7.5

7.2

4.8%

C

REVG

6/6/2018

8.3

6.2

34.1%

A

FIVE

6/6/2018

7.3

4.2

75.3%

B

UNFI

6/6/2018

6.5

4.7

37.3%

C

ABM

6/6/2018

7.8

6.1

27.8%

A

CLDR

6/6/2018

14.8

19.6

-24.6%

D

MDB

6/6/2018

7.1

6.8

3.6%

F

OKTA

6/6/2018

8.9

7.2

23.1%

D

CMTL

6/6/2018

10.5

15.2

-31.0%

B

CONN

6/7/2018

14.5

14.0

3.4%

F

ZUMZ

6/7/2018

10.9

10.9

0.0%

B

HOME

6/7/2018

10.3

15.0

-31.2%

C

MTN

6/7/2018

3.0

3.4

-11.7%

A

SJM

6/7/2018

6.0

5.2

15.1%

A

COO

6/7/2018

4.6

4.0

15.3%

C

WAGE

6/7/2018

3.5

5.4

-35.8%

F

AGX

6/7/2018

3.8

9.9

-61.9%

D

PAY

6/7/2018

 

6.0

-100.0%

C

VRNT

6/7/2018

6.9

7.5

-8.7%

B

ITI

6/7/2018

11.3

5.4

107.0%

D

AVGO

6/7/2018

3.5

4.1

-13.5%

B

ATEN

6/8/2018

10.0

11.0

-8.6%

F

PLAY

6/11/2018

7.1

5.2

36.2%

D

RH

6/11/2018

13.3

19.8

-32.6%

C

OXM

6/12/2018

5.8

6.7

-12.5%

B

HRB

6/12/2018

7.5

9.8

-23.5%

C

LE

6/12/2018

14.5

11.0

30.9%

C

CASY

6/12/2018

5.3

4.9

10.2%

C

SAIC

6/12/2018

7.2

8.8

-17.2%

C

SIGM

6/12/2018

27.0

9.6

182.5%

D

TLRD

6/13/2018

13.4

14.3

-6.6%

B

KFY

6/13/2018

5.4

6.3

-13.8%

D

INWK

6/14/2018

9.7

5.4

79.3%

D

MPAA

6/14/2018

7.5

6.2

20.5%

F

MIK

6/14/2018

8.7

7.2

20.8%

C

ADBE

6/14/2018

3.8

3.3

15.9%

B

FNSR

6/14/2018

9.4

8.9

5.6%

F

JBL

6/14/2018

6.0

5.8

2.6%

D

QTM

6/14/2018

25.2

11.8

113.2%

C

 

Volatility Standouts:

 

Underlying

Q Rating

2M Volatility vs Forecast

2M IV Change

IV 2M Percentile

PBYI

F

74.88%

2.75%

33.99

CTXS

A

73.93%

-1.04%

4.74

DISH

B

72.96%

2.03%

80.24

ARCC

C

72.75%

0.90%

7.91

CNDT

D

69.62%

-3.05%

2.37

ASH

C

69.16%

-2.78%

62.06

FRAN

F

66.28%

-0.15%

47.83

MLNX

C

65.87%

-1.57%

60.47

ALNY

D

62.60%

-2.93%

48.22

SLG

D

61.41%

0.17%

0.40

SEND

D

61.31%

-0.76%

12.71

RMBS

C

60.98%

-1.84%

7.51

PAH

D

59.69%

-4.09%

4.35

CPB

C

58.84%

3.57%

88.14

HYG

0

58.69%

-1.38%

21.74

SIRI

A

58.29%

-1.14%

3.95

VSAT

C

58.28%

-0.60%

25.69

EVHC

B

5.80E-

01

-1.30%

37.15

SRPT

F

57.83%

-0.04%

74.31

TIVO

C

57.69%

0.02%

56.13

SCG

F

57.46%

-7.96%

46.64

CLVS

D

57.45%

-0.97%

45.06

RRD

B

57.41%

0.63%

48.62

CEVA

F

57.38%

1.34%

7.51

 

Underlying

Q Rating

2M Volatility vs Forecast

2M IV Change

IV 2M Percentile

MON

C

-69.34%

2.75%

0.40

NKTR

F

-56.38%

-1.04%

58.10

GM

D

-43.07%

2.03%

37.15

ATHN

C

-37.12%

0.90%

3.56

SKX

C

-28.57%

-3.05%

70.75

OCLR

D

-26.77%

-2.78%

0.40

ANDV

C

-26.69%

-0.15%

50.20

RH

C

-23.73%

-1.57%

39.53

WHR

C

-22.88%

-2.93%

27.27

EFA

0

-22.74%

0.17%

55.34

HRB

C

-19.33%

-0.76%

56.13

NCR

C

-19.01%

-1.84%

11.46

HLF

D

-18.75%

-4.09%

7.51

IAC

C

-18.45%

3.57%

20.16

CLDR

D

-17.92%

-1.38%

59.68

AAOI

F

-17.45%

-1.14%

9.09

MTCH

B

-17.35%

-0.60%

30.43

STT

C

-17.30%

-1.30%

65.22

ORCL

C

-16.92%

-0.04%

64.82

ACIA

F

-16.91%

0.02%

41.11

FITB

C

-16.61%

-7.96%

42.29

IBM

B

-16.10%

-0.97%

55.73

PII

D

-15.78%

0.63%

41.90

HPQ

B

-15.15%

1.34%

0.79