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Midday Volatility Report

Jun 11, 2018

Commentary:

Equities are in the green overall in relatively quiet trading today with the S&P +0.38%, the Russell +0.19%, and the Nasdaq +0.48%. Bonds are ticking slightly lower with TLT -0.27% and the 10-year yield moving up to 2.96%. Energy is up today with WTI crude oil price +0.46% and energy ETF’s up in line with equities, XOP +0.62% and XLE +0.43%. Retail stocks are outperforming with XRT +1.1%. Volatilities are mixed to lower with the VIX +0.7 to 12.26, RVX -3.5% to 14.01, and VXN -2.7% to 16.06.

 

 

ETF 30d volatility changes

SPY:        -1%

IWM:      -3%

QQQ:      -2%

 

Bullish Flow: 

EEM Buyer 20,000 Jul 48 calls

FDC Seller 5,000 Jun 19 calls to Buy 5,000 Jun 21 calls (rolls up 2 strikes ref. $20.43)

FCX 12,500 Jul 16 calls trade

CZR Seller 18,051 Jun 11 calls (likely closing) to Sell 18,000 Dec18 12 – 11 risk reversals

SFM Seller 6,000 Sep 20 puts to Buy 6,000 Sep 22.5 calls

RCII Buyer 6,431 Jun 11 calls

HAIN Seller 5,000 Aug 27 calls to Buy 5,000 Aug 29 calls (rolls up)

AAPL Buyer 13,000 Jul 215 calls

FXI Seller 10,000 Jan19 45 puts

BSX 4,200 Jul 32 calls trade heavy call volume as takeover talks are reported

AAL Buyer 7,000 Jun 44 calls

DWDP Seller 13,127 Jun 70 calls to Buy 7,500 Jun 72.5 calls (rolls up)

 

 

 Bearish Flow:

XHB (Homebuilder ETF) Seller 15,506 Sep 45 calls

BMY Buyer 18,594 Jun 50 puts (likely closing)

GNW Buyer 7,548 Sep 3 puts            

AMD Buyer 5,000 Oct 10 puts

WFC Buyer 10,000 Jun 22nd 57 calls to Sell 10,000 Jun 29th calls (rolls up write)

PBR 6,488 Jan19 9 puts trade tied to stock

MU Seller 10,891 Jul 75 calls

CMCSA Buyer 9,000 Jun 30 puts

MDXG 18,477 Jan19 2.5 puts trade

 

Upcoming Earnings:

On Mobile/Tablet scroll to the right

 

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

PLAY

6/11/2018

8.9

5.2

71.7%

D

RH

6/11/2018

14.2

20.3

-29.8%

C

AGX

6/11/2018

 

10.1

-100.0%

D

OXM

6/12/2018

5.9

6.7

-12.0%

B

HRB

6/12/2018

7.3

9.9

-26.2%

C

LE

6/12/2018

8.8

11.0

-20.4%

C

CASY

6/12/2018

5.9

4.9

21.0%

C

SAIC

6/12/2018

6.8

8.9

-23.7%

C

TLRD

6/13/2018

12.9

14.3

-10.2%

B

KFY

6/13/2018

6.2

6.4

-3.8%

D

MPAA

6/14/2018

7.8

6.2

26.2%

F

MIK

6/14/2018

7.8

7.2

8.8%

C

ADBE

6/14/2018

4.2

3.3

28.1%

B

FNSR

6/14/2018

9.6

8.9

7.9%

F

JBL

6/14/2018

6.1

5.8

5.0%

D

QTM

6/14/2018

23.4

11.8

97.8%

C

SIGM

6/14/2018

31.0

9.4

231.4%

D

SMCI

6/15/2018

 

4.9

-100.0%

F

LEN

6/19/2018

5.8

3.7

56.7%

D

LZB

6/19/2018

7.5

11.5

-34.7%

C

FDX

6/19/2018

3.6

3.3

11.4%

A

ORCL

6/19/2018

4.7

6.1

-22.3%

C

WGO

6/20/2018

5.2

5.8

-10.9%

D

BNED

6/20/2018

9.8

11.5

-15.1%

D

AOBC

6/20/2018

11.1

8.5

30.8%

F

SCS

6/20/2018

5.9

6.6

-10.0%

F

ATU

6/20/2018

4.8

4.6

4.5%

C

MU

6/20/2018

6.6

6.5

1.7%

A

CMC

6/21/2018

6.9

6.3

9.5%

D

INWK

6/21/2018

10.5

5.4

94.4%

D

DRI

6/21/2018

4.7

5.1

-7.7%

B

BKS

6/21/2018

13.1

8.6

51.6%

C

CCL

6/21/2018

2.3

2.0

15.6%

C

KR

6/21/2018

7.0

7.4

-6.2%

B

PDCO

6/21/2018

9.4

6.9

37.3%

C

SNX

6/21/2018

6.2

7.7

-20.0%

B

RHT

6/21/2018

5.8

5.1

15.2%

C

MEI

6/21/2018

6.0

6.2

-3.9%

B

KMX

6/22/2018

5.3

4.4

21.4%

D

STON

6/22/2018

15.9

2.9

438.7%

F

FINL

6/22/2018

 

9.3

-100.0%

C

 

Volatility Standouts:

On Mobile/Tablet Scroll to the right

 

Underlying

Q Rating

2M Volatility vs Forecast

2M IV Change

IV 2M Percentile

MAN

B

74.04%

-1.10%

81.42

SFLY

D

73.18%

-1.52%

62.06

T

B

7.18E-01

1.94%

96.44

TIVO

C

70.54%

-2.33%

62.85

PCRX

F

70.48%

0.49%

52.38

ALNY

D

70.03%

2.56%

53.75

SIRI

A

70.03%

0.47%

96.05

BLUE

D

66.15%

-2.43%

46.25

ASH

C

65.95%

-3.74%

49.41

MLNX

C

64.22%

-0.57%

56.92

SRPT

F

61.94%

-0.91%

85.38

PBYI

F

61.75%

-1.46%

32.02

CPB

C

60.55%

3.50%

88.54

ARRS

B

60.20%

9.77%

32.81

SSP

D

59.97%

-1.49%

25.69

IPG

B

59.34%

3.82%

13.83

EROS

D

58.13%

-2.04%

7.11

CLDR

D

57.40%

-1.95%

0.40

CEVA

F

57.26%

-1.06%

24.51

TTWO

D

5.72E-01

-0.13%

16.60

INGR

B

55.34%

-6.31%

73.91

TRN

C

55.25%

1.03%

54.55

LULU

C

54.75%

-3.19%

6.32

SGMO

F

53.39%

2.61%

79.84

 

Underlying

Q Rating

2M Volatility vs Forecast

2M IV Change

IV 2M Percentile

HAWK

C

-74.50%

-1.10%

8.30

PAY

C

-69.40%

-1.52%

1.58

NKTR

F

-55.90%

1.94%

64.03

EVHC

B

-54.58%

-2.33%

35.97

ATHN

C

-46.43%

0.49%

0.00

GM

D

-45.03%

2.56%

44.66

SKX

C

-32.28%

0.47%

88.14

SONC

B

-3.02E-01

-2.43%

52.57

USG

D

-26.20%

-3.74%

6.72

OCLR

D

-24.68%

-0.57%

0.00

NRZ

C

-24.47%

-0.91%

3.16

EFA

0

-22.77%

-1.46%

48.22

PII

D

-22.41%

3.50%

35.97

NCR

C

-22.13%

9.77%

11.86

ANDV

C

-20.11%

-1.49%

49.01

HRB

C

-20.05%

3.82%

62.45

MCD

B

-18.58%

-2.04%

75.89

MET

C

-18.26%

-1.95%

64.68

IAC

C

-17.89%

-1.06%

26.09

ACIA

F

-17.83%

-0.13%

39.13

MTCH

B

-17.46%

-6.31%

35.57

DGX

B

-17.31%

1.03%

31.62

AAOI

F

-16.83%

-3.19%

3.56

RH

C

-16.83%

2.61%

48.22