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Midday Volatility Report

Jun 21, 2018

Commentary: Equities started the day mixed to positive but quickly reversed course and are now down on the day on further trade fears. Additionally , the Supreme Court ruled states can force online shoppers to pay sales tax. Currently, the S&P is -.50%, the Russell is -.62%, and the Nasdaq is -.48%. Bonds are again higher on a risk-off day with TLT +.4% though off earlier highs, while the 10 -year yield moves down to 2.908%. Gold is slightly lower with silver slightly higher. Energy is in the red with WTI crude -.03% but XOP and XLE down 1.5% each. Volatilities are higher with VIX +11% to 14.18, RVX +10% to 16.21, and VXN +10% to 18.53.

 

 

ETF 30d volatility changes

SPY:        +4%

IWM:      +8%

QQQ:      +5%

 

Bullish Flow: 

EWZ Seller 6,000 Dec18 32 puts

PBR Seller 10,000 Dec18 9 puts to Buy 10,000 Dec18 11 calls

COG Seller 5,000 Jul 23.5 puts

EEM Buyer 10,000 Aug 44.5 calls

BAC Buyer 10,000 30 – 31 call spreads

FCAU Buyer 7,500 Jul 21 calls

XLE Buyer 11,545 Jun 29th 77 calls

KLAC Buyers 4,500 Jul 115 calls

 

 

 

Bearish Flow:

GLD Buyer 5,212 Jul 117 puts

Z Buyer 3,400 Aug 60 puts

FOXA Seller 15,000 FOXA Jul 46 puts to Buy 15,000 Jan19 46 puts

XRT Seller 5,000 Jun 22nd 50 puts to Buy 5,000 Jun 29th 50 puts

QQQ Buyer 18,500 Aug 3rd 164 puts

RIG Buyer 8,800 Jan20 8 puts

EEM Buyer 24,500 Sep 42 – 40 puts spreads

EEM Buyer 34,833 Jul 42 puts

EEM Buyer 100,000 Jun 29th 42.5-42 1x2 put spread

CL Seller 3,000 Jul 66 calls

XLI Buyer 6,240 Jul 69.5 puts

TLT Seller 25k Sep 122-125-128 call fly

 

 

Upcoming Earnings:

 

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

RHT

6/21/2018

5.5

5.2

7.0%

C

KMX

6/22/2018

4.9

4.3

12.4%

D

STON

6/22/2018

16.8

2.9

469.4%

F

PKE

6/22/2018

4.9

4.0

25.0%

D

CCL

6/25/2018

3.4

2.0

68.4%

C

LEN

6/26/2018

6.1

3.7

67.0%

D

SONC

6/26/2018

 

4.7

-100.0%

B

AVAV

6/26/2018

7.6

13.3

-42.5%

F

EBF

6/26/2018

4.5

4.3

3.2%

C

INWK

6/27/2018

7.5

5.4

38.6%

D

EROS

6/27/2018

10.1

5.8

73.9%

D

UNF

6/27/2018

3.7

4.5

-18.9%

C

BBBY

6/27/2018

10.1

9.7

5.0%

D

GIS

6/27/2018

5.1

3.3

53.1%

B

FC

6/27/2018

9.2

9.7

-5.0%

F

PAYX

6/27/2018

3.5

2.2

59.2%

A

PRGS

6/27/2018

6.6

5.6

18.2%

B

CAMP

6/27/2018

9.6

10.6

-9.0%

C

APOG

6/28/2018

9.7

7.1

37.6%

D

KBH

6/28/2018

6.2

5.3

17.5%

D

NKE

6/28/2018

4.8

3.8

27.0%

D

BSET

6/28/2018

18.0

5.8

209.7%

F

CAG

6/28/2018

3.7

2.0

81.9%

A

MKC

6/28/2018

3.5

3.2

11.3%

A

WBA

6/28/2018

3.6

3.0

19.6%

B

SNX

6/28/2018

7.6

7.7

-1.1%

B

LNN

6/28/2018

4.6

5.5

-16.7%

C

STZ

6/29/2018

4.0

4.2

-5.2%

B

MLHR

7/2/2018

5.4

6.4

-16.6%

C

ISCA

7/3/2018

5.0

4.9

3.0%

A

AYI

7/3/2018

8.4

8.8

-4.4%

C

PSMT

7/5/2018

5.7

5.5

4.7%

D

AZZ

7/5/2018

5.7

7.1

-18.9%

D

HELE

7/9/2018

4.7

4.2

12.4%

C

 

Volatility Standouts:

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

CTXS

74.67%

A

-1.42%

37.55

19084

MDCO

74.06%

F

-0.98%

49.80

9275

AOBC

72.25%

F

-0.13%

49.80

3097

TIVO

72.00%

C

-0.24%

91.70

3408

BURL

71.40%

C

-2.79%

2.37

27413

SIRI

63.91%

A

2.04%

34.39

12531

ASH

63.66%

C

0.18%

71.94

9793

BX

62.93%

D

-0.58%

15.02

39929

TWOU

60.60%

D

8.36%

86.56

4255

KIRK

60.53%

D

2.96%

44.27

73

ZAYO

60.21%

D

-3.51%

1.98

11165

COG

60.16%

D

-0.31%

86.96

9278

PAH

58.48%

D

16.35%

74.31

3813

VST

58.20%

F

3.41%

9.50

3526

VMW

58.14%

C

1.98%

63.64

85874

CIEN

5.75E-01

D

6.80%

1.19

11586

BOX

56.10%

D

-0.54%

100.00

78929

LEA

55.42%

B

1.03%

60.47

9248

ARRY

55.38%

F

0.55%

76.28

7826

CPB

54.31%

C

1.38%

91.70

87069

DRI

54.15%

B

2.18%

87.35

33435

CMC

54.04%

D

-0.58%

73.12

1327

CLDR

52.74%

D

6.32%

1.58

5484

UNIT

52.69%

F

0.14%

32.02

10021

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

RCII

-6.49E-01

F

-1.42%

1.19

28056

USG

-64.84%

D

-0.98%

1.98

9346

SRE

-56.54%

C

-0.13%

60.47

16364

NKTR

-43.91%

F

-0.24%

49.80

56746

FOXA

-36.98%

C

-2.79%

0.00

244047

TTD

-34.44%

D

2.04%

77.87

25111

SRPT

-31.63%

F

0.18%

66.40

121684

SONC

-29.92%

B

-0.58%

61.66

3685

ETSY

-28.46%

F

8.36%

72.73

29245

OCLR

-26.96%

D

2.96%

4.74

320

SBUX

-25.92%

A

-3.51%

97.63

284618

ATHN

-22.17%

C

-0.31%

28.06

46724

SNAP

-21.82%

F

16.35%

92.49

187173

PI

-21.66%

F

3.41%

99.21

4904

FOSL

-20.16%

D

1.98%

66.01

7705

DXC

-18.70%

B

6.80%

76.98

21254

PTLA

-18.18%

F

-0.54%

0.40

7456

SYK

-17.47%

B

1.03%

87.35

95901

THS

-16.64%

C

0.55%

71.15

6325

FLT

-16.25%

A

1.38%

26.09

42103

SAGE

-15.83%

F

2.18%

3.56

15059

MCD

-15.05%

B

-0.58%

76.68

319228

GM

-14.78%

D

6.32%

61.26

395487

COO

-14.64%

C

0.14%

17.00

17184