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Midday Volatility Report

Jun 12, 2018

Commentary: Equities continue to move higher with low realized volatility after the summit between the US and N Korea reaches its end. Currently, the S&P is +.17%, the Nasdaq is +.44%, and the Russell is +.54%. Bonds and gold are slightly lower. Energy is moving higher with WTI crude oil price +.53%, XOP +.28% and XLE -.35%. Emerging markets continue to lag with EEM -.16%. Volatilities are mixed with VIX -1.8% to 12.13, RVX +2% to 13.54, and VXN -3.5% to 15.88.

 

ETF 30d volatility changes

SPY:        -3%

IWM:      unch

QQQ:      -2%

 

Bullish Flow: 

BAC Seller 25,000 Jul 28 puts

TWX Seller 4,000 Jul 85 puts to Buy 4,000 Jul 100 – 105 call spreads

EEM Buyer 10,000 Aug 48.5 – 49.5 – 50.5 call flies

XLP Buyer 25,000 Jan19 52 – 54 call spreads to Sell 25,000 Jan19 47 puts

STZ Buyer 3,600 Oct 230 – 255 call spreads to Sell 3,600 Oct 205 puts

NWL Seller 4,500 Jan19 23 calls to Buy 5,000 Jan19 27 calls (rolls up 4 strikes)

USO Buyer 10,000 Jun 29th 14 calls

USO Buyer 10,000 Jul 14 calls

JCP Seller 10,000 Aug 3 puts

JCP Seller 15,000 Jul 2.5 puts to Buy 15,000 Jul 3.5 calls

EWW Seller 20,000 Dec 18 43 puts

WDAY Buyer 12,500 Jan19 110 calls

PBR Seller 10,000 Jan19 9 puts tied to stock

 

 

 

 

Bearish Flow:

VIX Buyer 50,000 Aug 28 calls

XOP Buyer 15,500 Jul 41 – 36 put spreads

XOP Buyer 17,500 Aug 40 puts

NYLD Seller 5,000 Jul 17.5 calls tied to stock

DIS Buyer 9,630 Jun 101 puts

CPB Buyer 3,500 Jul 35 – 33 1x2 put spreads

SIRI Buyer 10,000 Jan19 7 puts

EWZ Buyer 5,000 Jan20 35 puts

XLU Seller 25,000 Jul 49 puts to Buy 35,000 Sep 47 puts (rolls out and down)

CMCSA Buyer 8,824 Jun 32 puts

USO Buyer 10,000 Aug 13 puts

 

Upcoming Earnings:

 

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

OXM

6/12/2018

5.9

6.7

-11.0%

B

HRB

6/12/2018

7.7

9.9

-22.6%

C

SAIC

6/12/2018

7.3

8.9

-18.0%

C

TLRD

6/13/2018

13.2

14.3

-7.7%

B

KFY

6/13/2018

6.2

6.4

-4.1%

D

MPAA

6/14/2018

8.1

6.2

30.5%

F

MIK

6/14/2018

8.6

7.2

19.1%

C

FNSR

6/14/2018

9.2

8.9

3.1%

F

JBL

6/14/2018

6.4

5.8

9.6%

D

SIGM

6/14/2018

28.1

9.4

200.5%

D

SMCI

6/15/2018

 

4.9

-100.0%

F

LEN

6/19/2018

5.7

3.7

55.6%

D

LZB

6/19/2018

8.5

11.5

-26.2%

C

FDX

6/19/2018

3.3

3.3

2.2%

A

ORCL

6/19/2018

4.9

6.1

-20.1%

C

WGO

6/20/2018

4.7

5.8

-19.7%

D

BNED

6/20/2018

9.6

11.5

-16.5%

D

AOBC

6/20/2018

10.7

8.5

26.2%

F

ATU

6/20/2018

5.4

4.6

18.6%

C

MU

6/20/2018

7.0

6.5

7.6%

A

CMC

6/21/2018

5.9

6.3

-5.7%

D

INWK

6/21/2018

8.6

5.4

59.9%

D

DRI

6/21/2018

4.8

5.1

-5.0%

B

BKS

6/21/2018

13.7

8.6

59.3%

C

CCL

6/21/2018

2.3

2.0

16.1%

C

KR

6/21/2018

6.7

7.4

-9.5%

B

SNX

6/21/2018

6.3

7.7

-18.0%

B

RHT

6/21/2018

5.8

5.1

14.1%

C

QTM

6/21/2018

16.5

11.8

39.3%

C

MEI

6/21/2018

6.5

6.2

4.0%

B

KMX

6/22/2018

5.2

4.4

19.3%

D

STON

6/22/2018

15.4

2.9

423.3%

F

FINL

6/22/2018

 

9.3

-100.0%

C

 

Volatility Standouts:

 

Underlying

Q Rating

2M Volatility vs Forecast

2M IV Change

IV 2M Percentile

Average Daily Vega

MAN

B

71.58%

-2.93%

92.06

1512

SRPT

F

70.40%

-1.93%

83.33

29250

SIRI

A

70.33%

0.67%

90.08

4076

EROS

D

68.36%

1.52%

4.76

1295

MLNX

C

67.93%

2.88%

65.87

10333

CEVA

F

65.67%

-1.60%

13.10

523

SFLY

D

64.93%

0.04%

61.90

23176

ASH

C

64.67%

-1.63%

47.62

7685

BLUE

D

62.94%

0.02%

42.06

36176

VST

F

60.00%

-0.17%

2.73

525

PBYI

F

59.68%

-0.27%

28.17

5597

TPX

C

58.80%

-1.39%

58.33

17721

TTWO

D

5.76E-01

3.39%

9.92

32694

CDK

A

56.73%

7.66%

11.90

3313

HXL

C

56.49%

-0.06%

0.00

444

AET

C

56.39%

1.65%

44.05

12855

ARRS

B

56.08%

-1.72%

34.92

482

DVA

B

55.53%

0.66%

67.86

71867

TIVO

C

55.15%

0.69%

58.73

2689

GLPI

B

5.30E-01

 

2.98%

16.27

182

HDS

D

52.32%

-2.11%

1.19

9920

HRTX

F

51.80%

-1.89%

43.25

5119

INGR

B

51.78%

0.28%

68.25

2587

FDC

B

51.44%

-1.31%

63.49

31087

 

Underlying

Q Rating

2M Volatility vs Forecast

2M IV Change

IV 2M Percentile

Average Daily Vega

EVHC

B

-67.85%

-2.93%

0.40

47861

PAY

C

-66.63%

-1.93%

13.10

731

NKTR

F

-59.04%

0.67%

63.10

127675

SRE

C

-47.90%

1.52%

94.84

9599

GM

D

-45.91%

2.88%

34.92

448797

ATHN

C

-42.41%

-1.60%

0.79

42276

SKX

C

-34.37%

0.04%

92.06

10987

SONC

B

-29.71%

-1.63%

52.78

2573

OCLR

D

-26.56%

0.02%

1.59

1952

PII

D

-21.93%

-0.17%

26.59

31861

NCR

C

-20.87%

-0.27%

7.14

10993

ANDV

C

-20.58%

-1.39%

51.98

10540

MCD

B

-20.47%

3.39%

75.79

295536

MET

C

-19.79%

7.66%

12.75

32463

PRU

B

-18.10%

-0.06%

14.29

37521

EFA

0

-17.66%

1.65%

46.03

1099307

IBM

B

-17.29%

-1.72%

49.60

357330

ABBV

A

-17.29%

0.66%

59.13

321264

EBAY

C

-17.16%

0.69%

55.16

81380

FEZ

0

-16.85%

2.98%

48.02

143266

EFX

C

-16.81%

-2.11%

38.89

27564

IAC

C

-16.71%

-1.89%

33.33

24717

VFC

C

-16.37%

0.28%

28.57

10779

DWDP

C

-15.99%

-1.31%

70.63

112085