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
|