blog

Latest from the Quantamize Blog

Midday Volatility Report

Jun 15, 2018

Commentary:

Equities are in the red today after renewed trade tariff talk out of the White House and China with the S&P -0.43%, the Russell -0.38%, and the Nasdaq -0.46%. Energy is getting hit particularly hard with WTI oil price -3% to 64.82. Energy ETF’s are lower with XOP -2.7% and XLE -1.9%. Bonds are up slightly. Precious metals are getting hit hard with gold price -1.9% and silver price -3.4% on trade war fears and worries about a dollar rally. Volatilities are up but only slightly with the VIX +1.6% to 12.32, RVX +5% to 18.64, and VXN is actually -0.9% to 15.81.

 

ETF 30d volatility changes

SPY:        +1%

IWM:      +4%

QQQ:      -2%

 

Bullish Flow: 

EEM Seller 25,333 Jul 45 puts

HYG Buyer 31,187 Jun 86 calls (likely closing)

GLD Buyer 4,786 Aug 130 Calls

EA Buyer 3,400 Sep 150 – 180 call spreads

F Seller 80,000 Jun 11.87 Calls to Buy F Buyer 80,000 Dec18 12 calls

EWZ Buyer 32,000 Aug 37 – 39 call spreads

FXI Buyer 9,390 Jul 50 calls

SOGO 7,300 Jul and Jul 20 calls trade

C Buyer 10,000 Jun 67 puts (likely closing) to Sell 10,000 Jul 67.5 puts (rolls out)

EWZ Seller 15,000 Jan20 35 puts to Buy 25,000 Jan20 30 puts

WFT Buyer 15,000 Jul 4 calls

XAU Seller 10,000 Jul 77.5 puts

EFA Buyer 20,000 Jul 71 calls

 

 Bearish Flow:

AXP Buyer 7,787 Aug 92.5 puts

XLF Buyer 18,000 Sep 24 puts

SFM Seller 5,000 Sep 22.5 calls

EEM Buyer 29,346 Jul 44 puts

XLU Buyer 15,000 Sep 47 puts

HYG Buyer 25,000 Aug 83 puts

LCI Buyer 18,400 Sep 12.5 puts

TAHO Seller 25,000 Jun 5 puts (likely closing) to Buy 20,000 July 5 puts (rolls out)

SPY Buyer 85,000 Jun 268.5 puts (to close for a penny)

SMH Buyer 23,100 Aug 100 – 90 put spreads                               

IWM Buyer 30,626 Sep 159 – 142 put spreads

 

Upcoming Earnings:

On Mobile/Tablet scroll to the right

 

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

SMCI

6/15/2018

 

4.9

-100.0%

F

LZB

6/19/2018

9.5

11.9

-19.7%

C

FDX

6/19/2018

3.6

3.3

9.7%

A

ORCL

6/19/2018

4.8

6.1

-20.3%

C

WGO

6/20/2018

5.2

5.8

-11.5%

D

BNED

6/20/2018

18.4

11.5

59.0%

D

AOBC

6/20/2018

11.0

8.5

29.4%

F

SCS

6/20/2018

6.3

6.6

-5.3%

F

ATU

6/20/2018

5.2

4.6

12.3%

C

MU

6/20/2018

7.7

6.5

18.0%

A

CMC

6/21/2018

6.8

6.3

7.5%

D

INWK

6/21/2018

8.3

5.4

54.1%

D

DRI

6/21/2018

4.8

5.1

-6.2%

B

BKS

6/21/2018

12.2

8.6

41.9%

C

CCL

6/21/2018

2.7

2.0

32.2%

C

KR

6/21/2018

7.9

7.4

6.7%

B

PDCO

6/21/2018

10.9

6.9

59.6%

C

RHT

6/21/2018

5.6

5.1

10.4%

C

MEI

6/21/2018

6.4

6.2

3.3%

B

KMX

6/22/2018

5.0

4.4

15.6%

D

STON

6/22/2018

13.1

2.9

344.6%

F

FINL

6/22/2018

6.5

9.3

-29.7%

C

LEN

6/26/2018

6.0

3.7

63.6%

D

SONC

6/26/2018

 

4.9

-100.0%

B

FDS

6/26/2018

3.5

4.5

-22.9%

B

AVAV

6/26/2018

6.8

13.3

-48.4%

F

EBF

6/26/2018

4.4

4.2

5.7%

C

UNF

6/27/2018

4.3

4.5

-4.7%

C

BBBY

6/27/2018

9.1

9.7

-5.8%

D

GIS

6/27/2018

4.4

3.3

31.1%

B

FC

6/27/2018

8.3

9.7

-14.5%

F

PAYX

6/27/2018

3.9

2.2

78.6%

A

PRGS

6/27/2018

6.6

5.6

19.1%

B

CAMP

6/27/2018

9.6

10.6

-9.5%

C

APOG

6/28/2018

7.1

7.1

0.0%

D

GMS

6/28/2018

3.6

1.0

265.6%

B

KBH

6/28/2018

5.9

5.3

11.4%

D

NKE

6/28/2018

4.2

3.8

11.5%

D

BSET

6/28/2018

12.6

5.8

116.2%

F

CAG

6/28/2018

3.9

2.0

93.5%

A

MKC

6/28/2018

3.2

3.2

0.9%

A

WBA

6/28/2018

3.9

 

3.0

29.9%

B

SNX

6/28/2018

6.5

7.7

-16.5%

B

LNN

6/28/2018

4.6

5.5

-16.5%

C

GBX

6/28/2018

7.7

5.9

31.6%

A

PKE

6/28/2018

3.1

4.0

-21.8%

D

 

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

ASH

73.40%

C

-0.09%

53.75

10539

MD

73.33%

B

3.03%

0.40

380

MLNX

73.33%

C

1.94%

71.15

10210

SIRI

72.86%

A

1.53%

9.88

6875

INGR

70.26%

B

1.89%

80.63

1677

TPX

66.33%

C

-0.41%

64.43

13394

JBL

64.04%

D

-1.30%

39.13

7602

CPB

62.88%

C

-0.99%

98.42

69969

MDCO

60.70%

F

-1.41%

19.76

8093

PBYI

60.19%

F

0.76%

57.71

10211

CDK

60.14%

A

0.40%

16.60

3413

VIAV

59.55%

C

-1.07%

5.53

469

SGMO

59.45%

F

0.08%

31.23

4948

DVA

59.45%

B

-2.48%

52.17

56175

BLUE

58.77%

D

-1.06%

52.57

39099

ONCE

58.46%

F

1.95%

38.10

1557

FTAI

57.56%

C

-12.23%

11.07

334

TRN

56.91%

C

0.75%

50.20

3338

HRTX

56.41%

F

-0.56%

46.25

5854

BG

56.30%

C

0.46%

7.11

27619

JBLU

54.76%

D

0.35%

9.88

7452

VST

53.81%

F

2.07%

3.17

627

ALL

53.77%

B

2.31%

20.16

16575

LNG

53.42%

D

3.07%

72.73

36660

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

PAY

-70.45%

C

-0.09%

1.19

764

EVHC

-64.79%

B

3.03%

0.00

49260

SRE

-57.77%

C

1.94%

62.85

13821

NKTR

-57.60%

F

1.53%

58.89

139728

USG

-54.02%

D

1.89%

0.00

8942

ATHN

-48.40%

C

-0.41%

0.40

35796

LFIN

-46.73%

F

-1.30%

90.63

98

SKX

-31.75%

C

-0.99%

95.26

15820

SONC

-30.96%

B

-1.41%

54.15

2863

GM

-28.66%

D

0.76%

35.18

394702

PII

-26.79%

D

0.40%

35.57

35243

ETSY

-25.21%

F

-1.07%

66.40

17111

ANDV

-23.51%

C

0.08%

66.40

11421

COO

-22.76%

C

-2.48%

14.23

14890

SAGE

-2.22E-01

F

-1.06%

4.35

12322

FINL

-21.89%

C

1.95%

0.00

404

BSX

-21.01%

B

-12.23%

96.05

85711

NCR

-20.66%

C

0.75%

8.30

1789

MCD

-20.33%

B

-0.56%

70.75

284611

ORCL

-19.87%

C

0.46%

80.24

151300

OCLR

-18.52%

D

0.35%

1.19

344

SYK

-16.45%

B

2.07%

86.17

81579

IBM

-15.92%

B

2.31%

52.57

275220

EBAY

-15.77%

C

3.07%

68.77

82308