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Midday Volatility Report

Jun 18, 2018

Commentary:

Equities are in the red again to start the week with continued nervousness over a possible trade war expansion.  Energy stocks and FAANG names are the few bright spots. Currently, the S&P 500 is -.43%, the Russell is -.23%, and the Nasdaq is -.25%. GOOG and AMZN are both in the green. Energy is higher with WTI crude oil price +.17% and XOP +2.9% and XLE +1.4%. Staples and healthcare are underperforming with XLP -1.9% and XLV -1.2%. Volatilities are generally higher with VIX +7% to 12.86, RVX +11% to 14.89, and VXN +7% to 16.45.

 

ETF 30d volatility changes

SPY:        +3%

IWM:      +4%

QQQ:      +2%

 

Bullish Flow: 

TRXC Buyer 3,800 Oct 3 calls

FXI Buyer 20,000 July 50 calls (likely closing)

RCII Seller 3,500 Sep 11 – 13 1x2 calls spreads (tied to stock)

SBUX Buyer 17,500 Jun 29th 58 calls

C 10,000 Jun 29th 67.5 – 70 call spreads trade (likely bought)

CMCSA Buyer 5,000 Aug 35 calls

VZ 10,000 Sep 48 calls trade

XBI Buyer 8,500 Jul 27th 97 calls trade

HBAN Buyer 5,000 Jul 16 calls

TK Buyer 4,600 Jan19 10 – Jan20 10 call spreads

GLD Buyer 5,000 Jan19 150 calls

VIX Buyer 34,500 Jun 20th 12 – 11 put spreads (likely closing)

 

 

Bearish Flow:

EEM Buyer 55,000 Jul 39.5 puts

EEM Buyer 20,000 Jul 43 puts

EEM Seller 10,200 Sep 47 calls to Buy 10,200 Sep 43 – 49 put spreads

HYG Buyer 4,000 Oct 78 puts

HYG Buyer 2,800 Nov 77 puts

AXP Buyer 9,000 Aug 92.5 puts

MDLZ Buyer 6,100 Aug 40 and Dec 36 puts

IQ Buyer 8,200 Sep 40 – 35 put spreads

GM Buyer 5,500 Jan19 42 puts

 

Upcoming Earnings:

 

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

LZB

6/19/2018

12.3

11.9

3.7%

C

FDX

6/19/2018

3.4

3.2

5.8%

A

ORCL

6/19/2018

4.6

6.2

-25.0%

C

WGO

6/20/2018

5.5

5.8

-5.1%

D

BNED

6/20/2018

14.3

11.5

23.5%

D

AOBC

6/20/2018

9.1

8.5

7.0%

F

AGX

6/20/2018

5.1

9.1

-43.4%

D

ATU

6/20/2018

4.7

4.6

0.9%

C

MU

6/20/2018

7.5

6.5

14.5%

A

CMC

6/21/2018

5.4

6.3

-13.7%

D

INWK

6/21/2018

7.6

5.4

40.3%

D

DRI

6/21/2018

4.2

5.1

-17.3%

B

BKS

6/21/2018

12.9

8.6

49.5%

C

KR

6/21/2018

7.7

7.7

-0.5%

B

PDCO

6/21/2018

16.5

6.9

140.5%

C

RHT

6/21/2018

5.5

5.2

6.6%

C

MEI

6/21/2018

6.4

6.2

3.3%

B

KMX

6/22/2018

4.9

4.3

14.0%

D

CCL

6/25/2018

1.8

2.0

-10.2%

C

LEN

6/26/2018

5.2

3.7

40.2%

D

SONC

6/26/2018

 

4.9

-100.0%

B

FDS

6/26/2018

3.7

4.5

-17.6%

B

AVAV

6/26/2018

6.4

13.3

-51.7%

F

EBF

6/26/2018

4.3

4.3

0.1%

C

EROS

6/27/2018

8.0

5.8

36.7%

D

UNF

6/27/2018

4.1

4.5

-9.0%

C

GIS

6/27/2018

3.8

3.3

14.5%

B

FC

6/27/2018

8.2

9.7

-15.0%

F

PAYX

6/27/2018

3.1

2.2

40.4%

A

PRGS

6/27/2018

5.8

5.6

5.0%

B

CAMP

6/27/2018

9.3

10.6

-12.4%

C

APOG

6/28/2018

5.8

7.1

-17.6%

D

GMS

6/28/2018

7.8

1.0

697.9%

B

KBH

6/28/2018

4.3

5.3

-19.9%

D

NKE

6/28/2018

4.5

3.8

18.0%

D

BSET

6/28/2018

15.7

5.8

169.8%

F

CAG

6/28/2018

3.3

2.0

62.6%

A

MKC

6/28/2018

2.6

3.2

-18.1%

A

WBA

6/28/2018

3.4

3.0

 

15.6%

B

SNX

6/28/2018

6.2

7.7

-20.3%

B

LNN

6/28/2018

5.8

5.5

4.6%

C

GBX

6/28/2018

7.2

5.9

22.4%

A

PKE

6/28/2018

4.4

4.0

11.1%

D

 

Volatility Standouts:

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

GBT

58.97%

F

1.84%

100.00

20311

AXTA

58.30%

D

-1.30%

65.61

7336

PCG

56.04%

C

-0.68%

100.00

86544

TIVO

51.54%

C

0.97%

60.47

2271

HAIN

51.40%

C

1.33%

91.70

21258

CTXS

44.58%

A

-0.78%

9.49

22213

SRPT

43.33%

F

-1.09%

92.09

36042

CPB

40.53%

C

-0.87%

94.47

71264

VST

39.88%

F

0.41%

6.33

513

ASH

39.66%

C

0.90%

56.92

11075

LNG

38.76%

D

2.13%

84.98

27321

MLNX

37.98%

C

-0.54%

81.03

11873

MDCO

37.79%

F

1.79%

22.53

7978

JNPR

36.36%

D

-3.41%

8.70

37822

ARRY

35.64%

F

-0.45%

74.31

4246

ONCE

34.09%

F

2.82%

31.35

2464

VIAV

33.72%

C

3.41%

5.93

603

SFM

33.35%

C

2.43%

15.42

16853

SGMO

33.03%

F

1.31%

30.43

4961

UNIT

32.84%

F

2.39%

35.18

10552

GLPI

32.78%

B

-0.70%

22.92

500

SIRI

31.56%

A

0.07%

29.64

10028

TWOU

31.50%

D

-2.89%

40.32

3462

JBLU

30.67%

D

-2.16%

7.91

7093

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

SRE

-66.20%

C

1.84%

64.03

14874

USG

-52.86%

D

-1.30%

1.98

8547

NKTR

-46.28%

F

-0.68%

58.50

137677

SONC

-40.68%

B

0.97%

42.29

2924

ATHN

-36.76%

C

1.33%

1.19

47797

OCLR

-33.71%

D

-0.78%

2.37

326

ETSY

-33.46%

F

-1.09%

62.85

22914

SAGE

-29.26%

F

-0.87%

7.11

12567

COO

-28.67%

C

0.41%

15.42

15626

TTD

-27.75%

D

0.90%

8.70

25521

SNAP

-27.51%

F

2.13%

70.75

201080

GM

-27.16%

D

-0.54%

44.66

398103

PPL

-26.41%

B

1.79%

58.89

11234

SYK

-25.16%

B

-3.41%

86.17

85296

DPS

-25.14%

B

-0.45%

26.09

6944

MCD

-24.81%

B

2.82%

70.75

290356

ORCL

-24.25%

C

3.41%

73.12

166978

PTLA

-23.92%

F

2.43%

1.19

10316

SEP

-23.77%

C

1.31%

76.28

456

EFX

-23.55%

C

2.39%

32.81

26140

SKX

-23.28%

C

-0.70%

96.44

15085

KODK

-22.80%

F

0.07%

38.74

690

FOSL

-22.23%

D

-2.89%

8.70

10794

ANDV

-21.80%

C

-2.16%

62.85

11163