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Midday Volatility Report

Jun 19, 2018

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Commentary:

Equities are in the red today, though off this morning’s lows as trade tensions continue to percolate with the S&P 500 -0.64%, the Russell -0.56%, and the Nasdaq -0.92%. Bonds are rallying on this risk-off day with TLT +0.68% and the 10-year yield falling to 2.88%. Gold price is -0.25% with Silver price -0.84%. Emerging Markets are in the red with EEM -1.3% even though Brazil is up +2.6%.  Volatilities are rallying on today’s selloff with VIX +12% to 13.82, RVX +8% to 15.16, and VXN 7% to 17.93

 

ETF 30d volatility changes

SPY:        +6%

IWM:      +7%

QQQ:      +4%

 

Bullish Flow: 

NEPT 6,000 Jul 3 calls trade

FCX Buyer 7,946 Aug 20 calls

HAL Buyer 9,600 Aug 50 calls

PBR Buyer 5,000 Sep 14 calls

MIK 19,543 Sep 22.5 calls trade

CI Seller 4,300 Aug 170 puts

KMI Buyer 7,000 Aug 18 calls

XBI Seller 7,500 Jul 98 calls to Buy 7,500 102 calls (rolls up)

ARNC Buyer 10,200 Jul 25 calls

 

 

 

 

Bearish Flow:

VIX Buyer 20,000 Jun 20th 18 – 23 call spreads

EEM Seller 31,750 Jun 29th 47 puts to Buy 34,000 Aug 43 puts

XLU Buyer 24,400 Sep 47 puts

FXI Seller 7,500 Jun 29th 44.5 – 46 put spreads to Buy 10,000 Jun 29th 44 puts

SRNE Buyer 4,500 Jul 5 puts

GE Seller 42,500 Jul 14 puts to Buy 85,000 Jul 12.5 puts

QQQ 33,000 Jan19 157 puts trade

WMB Seller 5,999 Aug 28 calls

MSFT Seller 12,222 Jul 6th 99.5 calls

AMLP Buyer 21,425 Oct 10 puts

LVS Buyer 7,272 Sep 72.5 puts

 

Upcoming Earnings:

 

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

LZB

6/19/2018

12.7

11.9

7.1%

C

FDX

6/19/2018

4.0

3.2

26.6%

A

ORCL

6/19/2018

5.1

6.2

-17.2%

C

WGO

6/20/2018

6.0

5.8

2.4%

D

BNED

6/20/2018

16.8

11.5

45.9%

D

AOBC

6/20/2018

9.7

8.5

14.7%

F

AGX

6/20/2018

 

9.1

-100.0%

D

ATU

6/20/2018

3.7

4.6

-19.2%

C

MU

6/20/2018

7.7

6.5

18.1%

A

CMC

6/21/2018

4.4

6.3

-30.5%

D

INWK

6/21/2018

7.1

5.4

31.9%

D

DRI

6/21/2018

4.6

5.1

-9.9%

B

BKS

6/21/2018

14.3

8.6

66.3%

C

KR

6/21/2018

7.0

7.7

-8.5%

B

PDCO

6/21/2018

13.8

6.9

101.8%

C

RHT

6/21/2018

5.7

5.2

9.4%

C

MEI

6/21/2018

7.9

6.2

26.1%

B

KMX

6/22/2018

4.9

4.3

13.8%

D

CCL

6/25/2018

2.6

2.0

30.7%

C

LEN

6/26/2018

5.5

3.7

49.9%

D

SONC

6/26/2018

 

4.9

-100.0%

B

FDS

6/26/2018

4.3

4.5

-4.4%

B

AVAV

6/26/2018

7.4

13.3

-44.1%

F

EBF

6/26/2018

4.6

4.3

5.3%

C

EROS

6/27/2018

8.7

5.8

50.3%

D

UNF

6/27/2018

3.9

4.5

-13.6%

C

GIS

6/27/2018

4.5

3.3

35.9%

B

FC

6/27/2018

8.7

9.7

-9.8%

F

PAYX

6/27/2018

3.3

2.2

49.3%

A

PRGS

6/27/2018

6.4

5.6

14.8%

B

CAMP

6/27/2018

9.2

10.6

-13.2%

C

APOG

6/28/2018

6.5

7.1

-8.7%

D

GMS

6/28/2018

8.3

1.0

754.9%

B

KBH

6/28/2018

5.0

5.3

-5.7%

D

NKE

6/28/2018

4.6

3.8

20.0%

D

BSET

6/28/2018

7.9

5.8

36.0%

F

CAG

6/28/2018

3.3

2.0

62.4%

A

MKC

6/28/2018

3.5

3.2

9.3%

A

WBA

6/28/2018

3.7

3.0

22.9%

B

SNX

6/28/2018

6.7

7.7

-13.3%

B

LNN

6/28/2018

5.3

5.5

-4.8%

C

GBX

6/28/2018

7.3

5.9

24.2%

A

PKE

6/28/2018

4.6

4.0

15.3%

D

STZ

6/29/2018

3.9

4.2

-7.6%

B

 

Volatility Standouts:

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

IMGN

66.57%

F

8.75%

95.24

1667

STON

64.15%

F

4.42%

100.00

110

TIVO

57.17%

C

2.05%

96.83

3154

CTXS

51.17%

A

4.34%

29.37

22595

ARRY

50.70%

F

1.83%

59.52

4372

HAIN

50.62%

C

5.87%

94.05

20865

PDCO

48.28%

C

-3.93%

100.00

4315

TWOU

47.48%

D

7.66%

87.70

3905

MLNX

45.45%

C

3.48%

87.30

10831

FXF

40.91%

0

2.78%

99.60

2224

MDCO

40.85%

F

0.73%

21.03

8345

ASH

40.52%

C

3.69%

72.22

11208

PAH

40.38%

D

0.00%

83.73

4939

SFM

39.12%

C

3.63%

32.94

17161

BURL

38.57%

C

3.05%

3.17

34936

CATO

37.31%

D

3.73%

36.11

227

VST

36.69%

F

5.50%

23.18

491

HRTX

35.47%

F

5.82%

47.22

6391

SGMO

35.25%

F

5.18%

82.14

5290

JNPR

3.49E-01

D

0.06%

76.19

38959

SIRI

34.87%

A

1.18%

24.60

10636

COG

34.25%

D

3.86%

87.70

15168

SRPT

3.23E-01

F

2.54%

98.81

43195

APO

32.09%

F

-0.82%

50.79

2963

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

SRE

-59.59%

C

8.75%

60.32

17297

USG

-58.00%

D

4.42%

1.98

8678

NKTR

-4.79E-01

F

2.05%

50.00

121883

ATHN

-38.69%

C

4.34%

3.17

49460

SONC

-37.73%

B

1.83%

42.86

3172

TTD

-35.89%

D

5.87%

69.44

25265

OCLR

-35.01%

D

-3.93%

3.57

338

ETSY

-33.27%

F

7.66%

76.19

29535

SAGE

-29.95%

F

3.48%

9.52

13046

COO

-26.98%

C

2.78%

15.08

16597

PTLA

-25.03%

F

0.73%

5.95

10673

PPL

-24.99%

B

3.69%

68.25

26439

SYK

-24.19%

B

0.00%

88.89

93601

BSX

-24.12%

B

3.63%

96.83

80633

FOSL

-23.80%

D

3.05%

30.56

9555

SNAP

-23.79%

F

3.73%

80.16

217727

ANDV

-23.36%

C

5.50%

63.49

10989

GM

-22.68%

D

5.82%

51.19

374333

AAP

-21.87%

C

5.18%

11.11

13988

NRZ

-21.20%

C

0.06%

6.35

2308

EFX

-21.20%

C

1.18%

32.94

26092

DXC

-21.08%

B

3.86%

76.49

23883

MCD

-21.03%

B

2.54%

71.43

303223

ABC

-20.95%

C

-0.82%

65.48

13062