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Midday Volatility Report

Jun 08, 2018

Commentary: Equities started the day in the red, but have since rallied and are now in the green overall with the S&P +.2%, the Nasdaq is unchanged, and the Russell is +.20%. Bonds are slightly in the red. Gold is up slightly. Oil is down slightly with WTI crude -.68% however energy names are underperforming with XOP -1% and XLE -.38%. Volatilities are slightly higher with VIX +.12% to 12.23, RVX +.5% to 14.71, and VXN unchanged at 16.46.

 

ETF 30d volatility changes

SPY:        +1%

IWM:      +1%

QQQ:      +1%

 

Bullish Flow: 

GM Buyer 5,000 Jan20 55 calls

EWZ Buyer 20,000 Jul 38 calls

EWZ Seller 10,000 Jan20 30 puts

HYG Buyer 10,000 July 86 calls

NKTR Seller 5,006 Jul 45 puts

QURE Buyer 9,000 Jan19 50 calls

TRIP Buyer 5,500 Jan19 60 calls

AKRX Buyer 12,010 Jul 15 calls

SCLA Buyer 6,202 Sep 40 calls

 

 

 

Bearish Flow:

 

F Seller 33,000 Jun2019 12 calls and Seller 40,000 Jun2019 12 puts (sells ratio straddle expecting narrow range over next year)

GM Seller 7,000 Jul 45 calls

MSFT Buyer 6,000 Jun 22nd 102 puts

MLCO 5,637 Jun 29 and 30 puts trade

PAA Seller 5,000 Jul 26 calls

MRVL Buyer 4,400 Jul 19 puts

JNPR Seller 8,420 Jul 29 calls

TLT Buyer 5,000 Aug 118 puts

MDXG 10,800 Jan19 2.5 and Jul 5 puts trade

INTC Seller 5,288 Oct 60 calls

IWM Buyer 19,909 Sep 158-141 put spread

FCX Seller 17,642 Jun 18.5 calls

 

Upcoming Earnings:

 

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

ATEN

6/8/2018

14.3

11.0

30.8%

F

PLAY

6/11/2018

7.6

5.2

47.1%

D

RH

6/11/2018

14.8

19.8

-25.2%

C

AGX

6/11/2018

 

10.1

-100.0%

D

PAY

6/11/2018

 

6.0

-100.0%

C

OXM

6/12/2018

5.8

6.7

-12.6%

B

HRB

6/12/2018

7.3

9.9

-26.9%

C

LE

6/12/2018

14.4

11.0

30.4%

C

CASY

6/12/2018

5.6

4.9

14.2%

C

SAIC

6/12/2018

8.4

8.9

-5.7%

C

TLRD

6/13/2018

13.3

14.3

-7.0%

B

KFY

6/13/2018

5.9

6.3

-6.5%

D

INWK

6/14/2018

8.3

5.4

53.4%

D

MPAA

6/14/2018

8.3

6.2

33.9%

F

MIK

6/14/2018

7.9

7.2

9.5%

C

ADBE

6/14/2018

4.7

3.3

42.8%

B

FNSR

6/14/2018

10.0

8.9

12.4%

F

JBL

6/14/2018

6.3

5.8

8.6%

D

QTM

6/14/2018

15.4

11.8

29.9%

C

SIGM

6/14/2018

29.4

9.4

214.3%

D

SMCI

6/15/2018

 

4.9

-100.0%

F

LEN

6/19/2018

6.2

3.7

69.1%

D

LZB

6/19/2018

7.1

11.5

-38.4%

C

FDX

6/19/2018

3.7

3.3

13.4%

A

ORCL

6/19/2018

4.6

6.1

-23.8%

C

WGO

6/20/2018

6.8

5.8

16.0%

D

BNED

6/20/2018

9.8

11.5

-15.0%

D

AOBC

6/20/2018

10.0

8.5

17.5%

F

SCS

6/20/2018

6.2

6.6

-5.8%

F

ATU

6/20/2018

4.4

4.6

-4.4%

C

MU

6/20/2018

7.8

6.5

19.0%

A

 

 

Volatility Standouts:

 

Underlying

Q Rating

2M Volatility vs Forecast

2M IV Change

IV 2M Percentile

CPB

C

73.29%

-0.87%

92.09

EVHC

B

7.22E-01

-0.51%

40.71

UNFI

C

70.54%

-5.28%

17.00

SGMO

F

70.21%

1.06%

79.84

RMBS

C

68.72%

0.97%

17.00

AXTA

D

68.49%

-4.41%

50.59

SIRI

A

68.06%

0.22%

97.23

ALNY

D

66.86%

2.85%

53.36

AET

C

66.05%

-0.24%

45.06

SFLY

D

65.68%

-0.88%

65.22

MD

B

63.54%

2.63%

60.87

ASH

C

63.18%

0.23%

52.57

BLUE

D

62.41%

10.95%

42.69

RCII

F

62.12%

-1.22%

94.07

T

B

61.95%

0.38%

95.65

CLDR

D

61.57%

5.90%

0.00

MAN

B

61.36%

-2.68%

87.35

TPX

C

60.87%

-0.60%

61.26

SRPT

F

60.54%

-1.16%

85.38

MLNX

C

59.90%

1.07%

68.77

CEVA

F

59.11%

-1.22%

18.18

INGR

B

59.04%

1.10%

77.47

PAH

D

58.03%

-0.25%

3.16

SEND

D

57.42%

-0.21%

5.83

Underlying

Q Rating

2M Volatility vs Forecast

2M IV Change

IV 2M Percentile

NKTR

F

-56.64%

-0.87%

72.33

ATHN

C

-44.28%

-0.51%

0.00

GM

D

-42.84%

-5.28%

49.41

OCLR

D

-32.66%

1.06%

1.19

SKX

C

-30.40%

0.97%

89.72

SONC

B

-29.41%

-4.41%

53.75

ANDV

C

-23.35%

0.22%

50.59

WHR

C

-23.14%

2.85%

78.66

PII

D

-21.99%

-0.24%

42.29

NCR

C

-19.95%

-0.88%

17.00

AAOI

F

-19.81%

2.63%

11.46

HRB

C

-19.06%

0.23%

59.68

MCD

B

-18.12%

10.95%

74.31

RH

C

-16.24%

-1.22%

51.78

MET

C

-16.23%

0.38%

86.51

PRU

B

-16.23%

5.90%

25.30

EFA

0

-15.90%

-2.68%

56.13

DGX

B

-15.53%

-0.60%

30.43

IAC

C

-15.31%

-1.16%

23.72

MTCH

B

-14.91%

1.07%

41.50

IBM

B

-14.90%

-1.22%

64.82

DIA

0

-14.89%

1.10%

62.06

ABBV

A

-14.69%

-0.25%

68.77

ORCL

C

-14.54%

-0.21%

68.38