Midday Volatility Report

Jun 07, 2018

Commentary:

Equities are trading modestly lower today after their recent run with energy outperforming. Currently, the S&P is +.12%, the Russell is -.44% on weakness in biotech, and the Nasdaq is -.64 with particular weakness in FANG names. Bonds are bouncing with TLT +.50% and the ten year yield down to 2.952%. Energy is higher with WTI crude +1.6% and energy ETF’s well in the green with XOP +2.9% and XLE +2%. Gls is unchanged. Emerging markets are weak again with Brazil particularly weak -6%. Volatilities are generally higher with the VIX +5% to 12.25, RVX +4.6% to 14.82, and VXN +4.8% to 16.36.

 

ETF 30d volatility changes

SPY:        +2%

IWM:      +3%

QQQ:      +6%

 

Bullish Flow: 

MGM Seller 4,500 Jan19 30 puts to Buy 4,500 Jan19 32 – 37 call spreads

WFT Buyer 6,100 Aug 4 calls

EEM Buyer 21,500 Jul 48 calls

PAGS Buyer 15,878 Nov 30 – 35 call spreads rolls down

SQ Buyer 24,900 Jun 60 calls to Sell 24,900 Jul 65 calls (rolls write up and out)

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

SFM Buyer 5,000 Sep 22.5 calls

HST Buyer 3,810 Jan19 21 – 18 1x2 call spreads

GM Buyer 9,680 Jul 46 calls

ENDP 5,700 Jul 13th 6.5 calls and Jul 9 calls trade

FXI 15,000 Jul 44 – Aug 42 put stupids trade. Appears a buyer but uncertain

 

 

 

Bearish Flow:

ILF Seller 7,000 Jun 31 puts to Buy 7,000 Jul 30 – 27 put spreads

EWZ Seller 30,000 Jul 35 – 37 call spreads to Buy 30,000 Jul 30 puts  possible puts were sold but appear bought

TSLA Buyer 4,000 Sep 50 puts

VIX Buyer 52,300 Aug 22nd 30 calls

ADNT Buyer 20,000 Jun 55 puts likely closing

SPY Buyer 15,000 Jul 263-253-243 put fly

 

Upcoming Earnings:

 

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

ZUMZ

6/7/2018

10.4

10.9

-4.5%

B

HOME

6/7/2018

10.8

15.0

-27.8%

C

COO

6/7/2018

4.4

4.0

11.5%

C

WAGE

6/7/2018

3.4

5.4

-36.7%

F

AGX

6/7/2018

5.3

10.1

-47.7%

D

PAY

6/7/2018

 

6.0

-100.0%

C

VRNT

6/7/2018

6.3

7.5

-16.3%

B

ITI

6/7/2018

10.6

5.4

94.5%

D

AVGO

6/7/2018

3.5

4.1

-13.1%

B

ATEN

6/8/2018

10.3

11.0

-6.1%

F

PLAY

6/11/2018

6.7

5.2

30.3%

D

RH

6/11/2018

14.4

19.8

-27.0%

C

OXM

6/12/2018

5.9

6.7

-11.5%

B

HRB

6/12/2018

7.0

9.9

-29.4%

C

LE

6/12/2018

8.6

11.0

-21.8%

C

CASY

6/12/2018

5.5

4.9

11.0%

C

SAIC

6/12/2018

7.8

8.8

-10.9%

C

SIGM

6/12/2018

45.3

9.6

374.1%

D

TLRD

6/13/2018

12.8

14.3

-11.0%

B

KFY

6/13/2018

6.2

6.3

-1.9%

D

INWK

6/14/2018

8.7

5.4

60.4%

D

MPAA

6/14/2018

7.0

6.2

12.3%

F

MIK

6/14/2018

8.4

7.2

16.3%

C

ADBE

6/14/2018

3.7

3.3

12.1%

B

FNSR

6/14/2018

9.3

8.9

4.8%

F

JBL

6/14/2018

5.6

5.8

-3.4%

D

QTM

6/14/2018

22.1

11.8

86.8%

C

SMCI

6/15/2018

 

4.9

-100.0%

F

LEN

6/19/2018

5.4

3.7

47.9%

D

LZB

6/19/2018

7.1

11.5

-38.6%

C

FDX

6/19/2018

3.1

3.3

-4.0%

A

ORCL

6/19/2018

4.2

6.1

-31.0%

C

WGO

6/20/2018

6.9

5.8

17.7%

D

BNED

6/20/2018

9.7

11.5

-16.1%

D

AOBC

6/20/2018

9.4

8.5

10.3%

F

SCS

6/20/2018

6.0

6.6

-9.1%

F

ATU

6/20/2018

2.6

4.6

-42.6%

C

MU

6/20/2018

6.0

6.5

-8.0%

A

 

Volatility Standouts:

Underlying

Q Rating

2M Volatility vs Forecast

2M IV Change

IV 2M Percentile

AXTA

D

6.92E-01

-0.21%

55.73

AKRX

C

63.40%

-1.05%

92.89

JNPR

D

6.31E-01

8.59%

38.34

ARRY

F

61.71%

-0.91%

77.47

EVHC

B

52.41%

-1.31%

32.41

CPB

C

45.73%

-2.76%

94.47

SFM

C

4.53E-01

-0.17%

9.88

CTXS

A

44.44%

-0.11%

3.56

T

B

44.25%

-0.10%

92.89

ASH

C

43.15%

-0.65%

48.62

SLG

D

42.25%

-0.33%

1.58

SNCR

D

40.34%

-0.84%

97.63

TIVO

C

39.61%

2.96%

37.94

PBYI

F

38.72%

-0.13%

17.00

RRD

B

38.45%

1.06%

45.45

SSP

D

36.82%

-6.25%

27.67

SRPT

F

35.32%

-0.50%

74.31

SFLY

D

35.09%

-0.55%

56.13

FRAN

F

3

5.06%

-1.20%

57.71

MDCO

F

34.98%

2.06%

5.14

ZEN

D

34.89%

-1.76%

39.92

SIRI

A

33.61%

1.62%

3.95

DISH

B

31.97%

0.26%

87.75

CLDR

D

31.75%

-0.58%

84.58

 

Underlying

Q Rating

2M Volatility vs Forecast

2M IV Change

IV 2M Percentile

MON

C

-69.76%

-0.21%

0.00

NKTR

F

-59.67%

-1.05%

61.66

GM

D

-49.57%

8.59%

28.85

OCLR

D

-44.71%

-0.91%

3.16

ATHN

C

-40.73%

-1.31%

0.40

EFA

0

-34.00%

-2.76%

46.64

ANDV

C

-32.00%

-0.17%

51.78

SKX

C

-3.19E-01

-0.11%

84.19

WHR

C

-31.23%

-0.10%

31.23

NCR

C

-29.77%

-0.65%

7.91

MET

C

-28.89%

-0.33%

26.59

SPY

0

-28.66%

-0.84%

54.55

DIA

0

-28.32%

2.96%

61.26

HLF

D

-27.98%

-0.13%

12.25

DGX

B

-27.27%

1.06%

30.43

HPQ

B

-26.91%

-6.25%

0.79

AAOI

F

-26.42%

-0.50%

11.86

ACIA

F

-26.15%

-0.55%

43.48

IAC

C

-26.05%

-1.20%

21.74

PRU

B

-25.94%

2.06%

25.30

FITB

C

-25.78%

-1.76%

26.09

NRZ

C

-25.67%

1.62%

2.77

CAVM

D

-25.64%

0.26%

36.76

FEZ

0

-25.63%

-0.58%

58.50