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Midday Volatility Report

Jun 14, 2018

Commentary:

Equities are in the green again a day after the Fed raised short term rates and after this morning’s ECB decision to halt QE at the end of this year, and on strong retail sales. Currently, the S&P is +0.28%, the Nasdaq is +0.97% on continues outperformance in FAANG names, and the Russell is +0.5%. Bonds are in the green with TLT +0.5% and the 10-year yield dipping to 2.95%. Gold price is rallying slightly, +0.28% with silver price +0.8%. Energy is underperforming with crude oil price relatively unchanged, however XOP is -0.6% and XLE +0.16%. Volatilities are moving lower with VIX -7% to 12.05, RVX -6% to 15.70, and VXN -3% to 15.81.

 

 

ETF 30d volatility changes

SPY:        -5%

IWM:      -4%

QQQ:      -3%

 

Bullish Flow: 

FCX Buyer 4,963 Aug 20 calls

CMCSA Buyer 10,000 Oct 35 calls

SKX Buyer 5,000 Jul 27th 30 calls

JD 20,000 Jan19 38 calls trade tied to stock

UNIT Seller 8,825 Aug 12.5 puts

FXI Buyer 10,000 Jan19 49 calls

RF 12,300 Jul 18 and 19 calls trade

CNQ Buyer 10,000 Sep 36 calls

 

Bearish Flow:

SPY Buyer 30,717 Sep 265-251 put spread

USO Buyer 21,510 Jun 29th 13 puts (likely closing a put write)

MYL Seller 12,475 Jul 45 calls

F Buyer 5,000 Aug 12 puts

QQQ Buyer 39,000 Jan19 1547 puts

HPE Buyer 5,000 Jul 14 puts

EMB Buyer 5,000 Jul 106 – 103 put spreads

NBL Seller 20,000 Jan19 40 calls to Buy 20,000 Jan19 25 puts

XAU Buyer 20,000 Jun 80 puts (likely closing) to Sell 20,000 Jul 80 puts (rolls out put write)

GM Seller 6,681 Jan19 45 calls

TGT Seller 9,283 Aug 82.5 calls

EOG Seller 7,500 Jan20 135 calls to Buy 7,500 Jan20 105 puts

DBX Buyer 4,500 Oct 36 puts

JCP Buyer 15,000 Jul 3 puts

WMT 10,000 Aug 77.5 puts trade

KSS Seller 5,000 Jul 80 calls

 

Upcoming Earnings:

On Mobile/Tablet scroll to the right

 

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

ADBE

6/14/2018

3.8

3.3

14.6%

B

FNSR

6/14/2018

9.7

8.9

8.8%

F

JBL

6/14/2018

6.2

5.8

5.8%

D

SIGM

6/14/2018

6.8

9.4

-26.9%

D

SMCI

6/15/2018

 

4.9

-100.0%

F

LZB

6/19/2018

10.3

11.5

-10.8%

C

FDX

6/19/2018

3.5

3.3

6.4%

A

WGO

6/20/2018

5.6

5.8

-4.8%

D

BNED

6/20/2018

9.6

11.5

-17.1%

D

AOBC

6/20/2018

10.9

8.5

28.2%

F

AGX

6/20/2018

4.6

9.1

-49.5%

D

SCS

6/20/2018

6.1

6.6

-8.0%

F

ATU

6/20/2018

3.9

4.6

-14.1%

C

MU

6/20/2018

6.9

6.5

5.6%

A

CMC

6/21/2018

6.5

6.3

2.7%

D

INWK

6/21/2018

5.3

5.4

-1.7%

D

DRI

6/21/2018

4.9

5.1

-4.5%

B

BKS

6/21/2018

12.9

8.6

49.5%

C

CCL

6/21/2018

2.4

2.0

18.0%

C

PDCO

6/21/2018

10.6

6.9

54.2%

C

SNX

6/21/2018

6.2

7.7

-19.6%

B

RHT

6/21/2018

5.8

5.1

14.9%

C

MEI

6/21/2018

6.3

6.2

0.9%

B

KMX

6/22/2018

5.2

4.4

19.6%

D

STON

6/22/2018

14.1

2.9

377.7%

F

FINL

6/22/2018

 

9.3

-100.0%

C

LEN

6/26/2018

6.2

3.7

68.0%

D

SONC

6/26/2018

 

4.9

-100.0%

B

FDS

6/26/2018

3.1

4.4

-30.5%

B

AVAV

6/26/2018

5.6

13.3

-58.0%

F

EBF

6/26/2018

4.6

4.2

8.4%

C

UNF

6/27/2018

2.5

4.5

-44.0%

C

BBBY

6/27/2018

9.8

9.7

1.7%

D

GIS

6/27/2018

4.6

3.3

37.4%

B

PAYX

6/27/2018

3.8

2.2

74.9%

A

PRGS

6/27/2018

5.4

5.6

-2.4%

B

CAMP

6/27/2018

9.4

10.6

-10.9%

C

 

Volatility Standouts:

On Mobile/Tablet scroll to the right

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

ARRY

70.24%

F

-1.41%

73.91

4231

STWD

67.19%

C

0.10%

98.81

306

AKRX

65.75%

C

-7.66%

92.49

8445

MD

62.11%

B

-3.61%

1.98

287

RMBS

61.12%

C

3.47%

24.11

594

SNCR

60.22%

D

-13.35%

98.02

0

SFM

55.17%

C

-0.31%

18.97

11834

SRPT

54.73%

F

1.09%

88.14

30468

MAN

47.37%

B

0.10%

89.72

1475

SFLY

47.02%

D

-4.09%

66.80

13617

INGR

43.84%

B

-4.66%

80.24

2505

SIRI

43.60%

A

-1.87%

9.88

6990

BLUE

42.86%

D

3.91%

45.85

34506

CTXS

42.61%

A

-6.21%

7.11

18411

AXTA

41.80%

D

0.94%

42.29

3877

MLNX

41.23%

C

-0.45%

70.36

11180

ASH

41.23%

C

-1.13%

56.13

10898

FTAI

38.59%

C

-1.34%

10.28

346

ARCC

36.36%

C

-1.72%

7.51

3321

DVA

35.93%

B

1.15%

71.94

63847

MDCO

35.65%

F

0.71%

16.60

8119

CDK

33.55%

A

-1.93%

10.67

3527

HRTX

33.14%

F

1.13%

44.27

5972

PBYI

33.03%

F

-3.55%

42.29

5653

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

SRE

-6.21E-01

C

-1.41%

64.43

12117

NKTR

-58.94%

F

0.10%

59.68

132340

ATHN

-53.16%

C

-7.66%

1.19

38824

GM

-35.74%

D

-3.61%

35.57

478859

SONC

-35.62%

B

3.47%

41.90

2834

SKX

-33.28%

C

-13.35%

94.47

11931

SAGE

-32.94%

F

-0.31%

3.56

11185

ANDV

-31.60%

C

1.09%

52.96

12190

NCR

-30.67%

C

0.10%

7.91

1838

EFX

-29.92%

C

-4.09%

32.81

27955

MCD

-29.28%

B

-4.66%

71.94

288187

ETSY

-28.86%

F

-1.87%

20.55

8679

OCLR

-28.70%

D

3.91%

1.98

352

EFA

-28.62%

0

-6.21%

56.92

796888

PII

-28.04%

D

0.94%

55.34

34344

COO

-26.11%

C

-0.45%

15.42

11453

WATT

-24.79%

F

-1.13%

15.81

7460

FEZ

-23.66%

0

-1.34%

38.34

94143

PTLA

-23.38%

F

-1.72%

1.58

9178

RCII

-23.20%

F

1.15%

12.65

21213

BSX

-23.01%

B

0.71%

98.81

79886

ANF

-22.76%

C

-1.93%

2.77

17382

IAC

-22.63%

C

1.13%

37.94

14092

NWL

-22.25%

C

-3.55%

44.66

68038