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Midday Volatility Report

Jun 20, 2018

Commentary: Equities are bouncing off the recent sell-off with the Nasdaq leading the way. Currently, the S&P is +.40%, the Russell is +.78%, and the Nasdaq is +1.04% on continued strength in Netflix which is again at a new high. Bonds are lower on the risk-on day with TLT -.56% and the 10-year yield up to 2.92%. Gold is down slightly. Energy is higher with WTI crude +.34% and XOP and XLE +1% and +.2%. Volatilities are lower with VIX -7% to 12.44, VXN -2.7% to 16.83, and RVX  up slightly, +1.4% to 14.83.

 

ETF 30d volatility changes

SPY:        -4%

IWM:      +1%

QQQ:      -3%

 

Bullish Flow: 

FXI Buyer 18,500 Jul 46 calls

WFC 9,490 Jul 57.5 calls trade

VWO 5,000 Jul 45.5 calls trade

FXI Seller 10,000 Jul 44 puts to Buy 10,000 Jul 47 calls

CMCSA Buyer 5,000 Oct 35 – 40 call spreads

XBI Seller 6,375 Jul 98 calls to Buy 6,375 Jul 102 calls (rolls up)

TMUS Seller 9,125 Nov 55 puts

FDC Seller 8,000 Jan19 20 calls to Buy 8,000 Jan19 25 calls (rolls up)

HAL Buyer 7,300 Aug 50 calls

CVX 9,045 Sep 135 calls trade

SPY Buyer 63,000 Jul 2nd 282 – 283 call spreads

EWZ Seller 10,000 Jan19 25 puts to Buy 10,000 Jan19 40 calls

CMCSA Seller 6,000 Jan20 27.5 puts

TWTR Buyer 10,000 Dec18 35 calls

 

 

 

 

 

 

Bearish Flow:

EEM Seller 110,000 Dec 46 – 44 put spreads to Buy 55,000 Dec 52 calls

TWTR Buyer 4,200 Jan19 30 puts

TWTR Buyer 5,000 Jan20 20 puts

KR Buyer 9,072 Jun 22nd 27 puts

XOP 10,000 Jul 41 puts trade

 

 

 

Upcoming Earnings:

 

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

BNED

6/20/2018

18.3

11.5

58.3%

D

AOBC

6/20/2018

9.8

8.5

15.0%

F

AGX

6/20/2018

12.1

9.1

33.8%

D

SCS

6/20/2018

7.5

6.6

13.0%

F

MU

6/20/2018

6.9

6.5

6.3%

A

CMC

6/21/2018

6.6

6.3

5.7%

D

INWK

6/21/2018

10.1

5.4

87.4%

D

DRI

6/21/2018

5.4

5.1

6.7%

B

KR

6/21/2018

6.9

7.7

-9.6%

B

PDCO

6/21/2018

15.5

6.9

126.9%

C

RHT

6/21/2018

5.9

5.2

13.5%

C

MEI

6/21/2018

7.3

6.2

17.2%

B

KMX

6/22/2018

4.9

4.3

12.9%

D

STON

6/22/2018

16.2

2.9

450.2%

F

PKE

6/22/2018

4.8

4.0

21.8%

D

CCL

6/25/2018

2.9

2.0

46.5%

C

LEN

6/26/2018

6.4

3.7

73.0%

D

SONC

6/26/2018

 

4.9

-100.0%

B

FDS

6/26/2018

4.1

4.5

-8.8%

B

EBF

6/26/2018

4.5

4.3

2.8%

C

EROS

6/27/2018

11.1

5.8

90.7%

D

UNF

6/27/2018

3.7

4.5

-17.6%

C

BBBY

6/27/2018

10.2

9.7

5.2%

D

GIS

6/27/2018

5.1

3.3

52.6%

B

FC

6/27/2018

8.4

9.7

-13.1%

F

PAYX

6/27/2018

3.7

2.2

68.8%

A

PRGS

6/27/2018

6.4

5.6

15.1%

B

APOG

6/28/2018

6.7

7.1

-5.6%

D

GMS

6/28/2018

5.6

1.0

470.6%

B

KBH

6/28/2018

6.3

5.3

18.3%

D

NKE

6/28/2018

4.8

3.8

25.2%

D

BSET

6/28/2018

16.3

5.8

179.7%

F

CAG

6/28/2018

3.8

2.0

86.7%

A

MKC

6/28/2018

3.7

3.2

15.4%

A

WBA

6/28/2018

4.1

3.0

37.5%

B

SNX

6/28/2018

6.3

7.7

-18.8%

B

LNN

6/28/2018

4.7

5.5

-15.7%

C

GBX

6/28/2018

7.7

5.9

31.2%

A

STZ

6/29/2018

4.0

4.2

-4.1%

B

 

Volatility Standouts:

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

CTXS

72.71%

A

-0.62%

40.32

19000

BURL

67.49%

C

-1.11%

3.16

26286

TWOU

63.37%

D

-0.17%

87.75

3976

STWD

63.01%

C

0.49%

2.77

815

MLNX

62.70%

C

-1.61%

93.28

7086

DSW

60.61%

C

-3.33%

0.79

3776

MDCO

58.95%

F

2.21%

18.97

8496

HRTX

57.78%

F

-1.32%

43.08

4899

ARRY

57.72%

F

-0.17%

65.22

4817

ASH

57.47%

C

0.44%

73.91

10551

HPE

56.80%

C

-2.00%

6.35

6534

COG

55.77%

D

-3.09%

85.77

10325

CIEN

55.72%

D

-2.18%

0.40

12251

SGMO

54.53%

F

4.42%

93.28

5545

SIRI

54.23%

A

-0.93%

43.08

11691

BX

54.11%

D

3.03%

14.23

39135

LNG

53.82%

D

-2.43%

82.61

50451

TIP

53.70%

0

-0.98%

63.64

966

VMW

53.69%

C

-0.76%

63.64

85489

TIF

53.49%

C

-0.45%

19.37

34330

PAH

53.43%

D

2.50%

71.94

4282

HCA

52.98%

B

0.15%

26.48

26966

UNIT

52.65%

F

0.98%

30.83

11810

FXB

51.71%

0

0.31%

63.24

7341

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

PAY

-73.98%

C

-0.62%

14.62

2600

SRE

-55.79%

C

-1.11%

60.87

16923

USG

-52.81%

D

-0.17%

1.98

8970

NKTR

-42.31%

F

0.49%

52.96

77375

RCII

-34.34%

F

-1.61%

0.40

27933

TTD

-33.84%

D

-3.33%

80.24

23561

ATHN

-33.81%

C

2.21%

4.74

49641

SONC

-31.28%

B

-1.32%

60.08

3381

SRPT

-30.43%

F

-0.17%

74.31

98093

ETSY

-28.83%

F

0.44%

77.87

29619

OCLR

-26.35%

D

-2.00%

6.72

321

SNAP

-23.16%

F

-3.09%

88.54

207613

BSX

-22.81%

B

-2.18%

86.96

76272

FOXA

-20.99%

C

4.42%

6.32

161793

DXC

-19.05%

B

-0.93%

77.38

24956

PTLA

-18.68%

F

3.03%

3.56

10225

THS

-17.96%

C

-2.43%

72.33

6334

SYK

-17.95%

B

-0.98%

89.33

95329

FOSL

-17.47%

D

-0.76%

44.27

8635

INFN

-17.45%

C

-0.45%

92.49

430

COO

-17.37%

C

2.50%

16.60

17825

SAGE

-17.35%

F

0.15%

9.49

14172

GM

-17.00%

D

0.98%

78.26

404123

PI

-16.25%

F

0.31%

99.60

5828