blog

Latest from the Quantamize Blog

Midday Volatility Report

Jun 13, 2018

Commentary: Equities are in the green ahead of today’s Fed announcement with FAANG names leading the way. Currently, the S&P is +.17%, the Russell is +.02%, and the Nasdaq is +.66% with NFLX +3.3% leading the way.  Bonds are up slightly as is gold. Energy is mixed with WTI crude oil price +.3% however the energy ETF’s are modestly lower after Trump comments on oil prices being too high. Volatilities are generally little changed with VIX -1.3% to 12.18, RVX -1.6% to 13.20, and VXN +2% to 16.04.

 

 

ETF 30d volatility changes

SPY:        -1%

IWM:      -2%

QQQ:      +1%

 

Bullish Flow: 

MRO Buyer 5,800 Aug 22 calls tied to stock

GDX Buyer 8,000 Dec18 27 calls

CMCSA Buyer 13,638 Jul 35 calls

CAT Seller 6,000 Jul 145 puts

AMD Buyer 11,443 Jun 16 calls

ABX Seller 5,000 Aug 13 puts

WFT Seller 20,000 Aug 3 puts

WFT Seller 10,000 Jan19 3 puts

KKR Seller 8,000 Sep 22 – 25 risk reversals

CHK Buyer 9,856 Jul 5 calls (confirm single leg)

PCG Buyer 6,400 Jun 29th 42.5 – 45 call spreads

SPWR Buyer 5,000 Jul 8 calls

LEN Buyer 2,500 Jul 55-60 1x2 call spread

 

 

Bearish Flow:

EEM Buyer 27,000 Jun 47 – Aug 45 put spreads

TWX Buyer 30,000 Jul 85 puts likely closing

TWX Seller 12,782 Jan19 92.5 – 100 call spreads likely closing

VIX Buyer 50,000 Aug 22nd 28 calls

XRT Buyer 5,000 Jul 46 – 48 – 50 put trees 

ESRX Seller 9,313 Jan19 75 – 60 puts spreads (appears to be closing)

RUN Buyer 10,000 Jan19 14 calls to Sell 11,000 Mar19 15 – 17 call stupids (rolls write up and out)

TAL 11,100 Jun 35 and 40 puts trade

 

Upcoming Earnings

 

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

TLRD

6/13/2018

12.3

14.3

-14.1%

B

MPAA

6/14/2018

8.8

6.2

42.3%

F

MIK

6/14/2018

8.9

7.2

23.8%

C

ADBE

6/14/2018

3.6

3.3

9.1%

B

FNSR

6/14/2018

9.2

8.9

3.3%

F

JBL

6/14/2018

6.3

5.8

8.1%

D

SIGM

6/14/2018

26.7

9.4

184.6%

D

SMCI

6/15/2018

 

4.9

-100.0%

F

FDX

6/19/2018

3.3

3.3

1.3%

A

ORCL

6/19/2018

4.8

6.1

-20.3%

C

WGO

6/20/2018

5.1

5.8

-13.3%

D

BNED

6/20/2018

11.7

11.5

1.7%

D

AOBC

6/20/2018

11.3

8.5

32.6%

F

AGX

6/20/2018

5.9

9.1

-35.4%

D

SCS

6/20/2018

5.8

6.6

-12.3%

F

ATU

6/20/2018

4.2

4.6

-8.5%

C

MU

6/20/2018

6.6

6.5

1.9%

A

CMC

6/21/2018

6.7

6.3

6.3%

D

INWK

6/21/2018

10.1

5.4

87.2%

D

BKS

6/21/2018

12.7

8.6

47.4%

C

CCL

6/21/2018

2.6

2.0

26.7%

C

KR

6/21/2018

6.4

7.4

-13.6%

B

PDCO

6/21/2018

10.2

6.9

49.1%

C

SNX

6/21/2018

6.1

7.7

-21.4%

B

RHT

6/21/2018

5.6

5.1

11.2%

C

MEI

6/21/2018

5.9

6.2

-5.5%

B

STON

6/22/2018

16.4

2.9

455.5%

F

FINL

6/22/2018

6.3

9.3

-32.1%

C

KBH

6/26/2018

7.2

5.3

35.1%

D

LEN

6/26/2018

6.1

3.7

64.7%

D

SONC

6/26/2018

 

4.9

-100.0%

B

FDS

6/26/2018

3.2

4.4

-28.0%

B

AVAV

6/26/2018

6.4

13.3

-51.7%

F

EBF

6/26/2018

4.4

4.2

5.3%

C

CAMP

6/26/2018

9.8

10.6

-7.8%

C

UNF

6/27/2018

3.8

4.5

-15.2%

C

BBBY

6/27/2018

10.1

9.7

4.8%

D

GIS

6/27/2018

4.5

3.3

33.8%

B

PAYX

6/27/2018

3.5

2.2

60.4%

A

PRGS

6/27/2018

6.2

5.6

10.9%

B

 

Volatility Standouts

 

Underlying

Q Rating

2M Volatility vs Forecast

2M IV Change

IV 2M Percentile

Average Daily Vega

CTXS

A

74.93%

-0.50%

4.74

18793

SFLY

D

71.35%

0.19%

64.03

23531

MAN

B

70.98%

0.76%

86.17

1574

ASH

C

70.53%

0.02%

46.64

6513

SIRI

A

69.82%

2.08%

11.07

6527

HRB

C

69.11%

0.69%

82.21

17549

SRPT

F

68.02%

1.10%

85.38

27553

EROS

D

67.45%

-1.25%

5.93

1381

BLUE

D

67.08%

-2.09%

46.64

33798

AKRX

C

64.59%

0.07%

93.28

7847

DVA

B

63.68%

-0.17%

65.61

71803

TTWO

D

61.97%

-0.76%

24.11

46140

TIVO

C

61.70%

10.91%

53.75

2636

CLVS

D

61.59%

7.17%

58.89

17949

VER

C

60.45%

1.55%

25.69

557

MDCO

F

59.63%

4.43%

18.58

8708

PBYI

F

5.94E-01

-2.62%

20.55

5719

MLNX

C

58.85%

-1.26%

68.77

10952

SSP

D

58.30%

-0.08%

16.60

578

TPX

C

58.26%

-4.17%

48.22

19355

HDS

D

57.37%

-3.92%

2.37

10112

CLDR

D

54.44%

-1.66%

0.40

7672

AET

C

53.92%

1.99%

77.87

15525

SGMO

F

53.67%

0.00%

75.89

4326

 

Underlying

Q Rating

2M Volatility vs Forecast

2M IV Change

IV 2M Percentile

Average Daily Vega

HAWK

C

-74.43%

-0.50%

1.58

314

USG

D

-60.53%

0.19%

0.79

6453

EVHC

B

-58.77%

0.76%

0.40

49970

NKTR

F

-58.47%

0.02%

58.89

130430

SRE

C

-56.66%

2.08%

63.64

11164

GM

D

-45.51%

0.69%

35.18

466628

ATHN

C

-45.21%

1.10%

0.79

39427

SONC

B

-31.81%

-1.25%

50.99

2604

SKX

C

-31.53%

-2.09%

95.26

12367

OCLR

D

-26.47%

0.07%

1.58

1238

PII

D

-25.86%

-0.17%

35.57

32734

ANDV

C

-25.03%

-0.76%

59.68

10627

FINL

C

-22.93%

10.91%

0.00

399

NCR

C

-22.12%

7.17%

5.93

10862

MCD

B

-21.67%

1.55%

73.52

290824

SAGE

F

-17.95%

4.43%

5.53

10695

EFX

C

-17.26%

-2.62%

36.76

27764

IBM

B

-16.91%

-1.26%

48.62

322718

EBAY

C

-16.75%

-0.08%

54.55

84336

VFC

C

-16.27%

-4.17%

27.67

10388

EFA

0

-16.05%

-3.92%

54.55

920206

ACIA

F

-15.91%

-1.66%

36.36

4851

ANF

C

-15.36%

1.99%

1.98

17163

ORCL

C

-15.22%

0.00%

60.47

115907