Midday Volatility Report
Jun 22, 2018
Commentary: Equities are mixed to higher today with energy leading the way, but tech lagging. Currently, the S&P is +.4%, the Russell is -.13%, and the Nasdaq is -.12%. Bonds are slightly lower. Gold is modestly higher. Oil is strong on OPEC announced cuts that were less than expected. WTI crude is moving higher by _4.6% to 68.58 on the news. Energy stocks are well in the green with XOP +3.5% and XLE +2.8%. Volatilities are lower with the VIX -8% to 13.48, RVX -3% to 16.39, and VXN -4% to 18.10.
ETF 30d volatility changes
SPY: -5%
IWM: -2%
QQQ: -4%
Bullish Flow:
PCG Buyers 4,000 Jul 43 calls
T Buyer 10,000 Jan 2020 33 calls
ARNC Buyer 5,250 Jan 17.5-21 call spread to sell 16 puts
XOP Buyer 6,820 Jul 43.5 calls
XLI Seller 10,000 Feb 40 puts
IGT Buyer 5,000 Jul 25-26-28 call fly
GPC Buyer 4,500 Jul 95-99 call spread to sell 88 puts
HAL Buyers 13,000 Jul 27th 47.5 calls
Bearish Flow:
SPY Buyer 30,000 Jul 13th 250 puts
XLI Buyer 10,000 Jul 70 puts
ITB Buyer 5,000 Jul 37.5 puts
FNSR Buyers 4,400 Jul 17.5 puts
EEM Buyer 30,181 Jul 42 puts
MTZ Buyer 9,000 Oct 50 puts to sell 4,500 Oct 60 calls
BP Sellers 20,000 Aug 48 calls
VLO Sellers 6,000 Jul 122 calls
Upcoming Earnings:
|
Underlying
|
Earnings Date
|
Imp Move
|
Historical Move
|
Cheap vs Expensive
|
Quantamize Rating
|
|
STON
|
6/22/2018
|
13.1
|
2.9
|
344.3%
|
F
|
|
CCL
|
6/25/2018
|
3.6
|
2.0
|
84.9%
|
C
|
|
LEN
|
6/26/2018
|
6.5
|
3.7
|
76.4%
|
D
|
|
SONC
|
6/26/2018
|
3.9
|
4.7
|
-15.8%
|
B
|
|
FDS
|
6/26/2018
|
4.2
|
4.5
|
-7.3%
|
B
|
|
AVAV
|
6/26/2018
|
8.4
|
13.3
|
-36.8%
|
F
|
|
EBF
|
6/26/2018
|
4.2
|
4.3
|
-4.0%
|
C
|
|
INWK
|
6/27/2018
|
10.8
|
5.4
|
100.2%
|
D
|
|
UNF
|
6/27/2018
|
4.4
|
4.5
|
-3.4%
|
C
|
|
BBBY
|
6/27/2018
|
10.6
|
9.7
|
10.0%
|
D
|
|
PIR
|
6/27/2018
|
13.1
|
15.6
|
-15.7%
|
F
|
|
GIS
|
6/27/2018
|
5.5
|
3.3
|
65.1%
|
B
|
|
FC
|
6/27/2018
|
9.3
|
9.7
|
-4.3%
|
F
|
|
PAYX
|
6/27/2018
|
3.4
|
2.2
|
56.5%
|
A
|
|
PRGS
|
6/27/2018
|
7.0
|
5.6
|
25.2%
|
B
|
|
CAMP
|
6/27/2018
|
9.6
|
10.6
|
-9.5%
|
C
|
|
APOG
|
6/28/2018
|
6.9
|
7.1
|
-2.0%
|
D
|
|
GMS
|
6/28/2018
|
5.9
|
1.0
|
510.1%
|
B
|
|
KBH
|
6/28/2018
|
6.7
|
5.3
|
26.9%
|
D
|
|
NKE
|
6/28/2018
|
4.7
|
3.8
|
23.1%
|
D
|
|
CAG
|
6/28/2018
|
4.2
|
2.0
|
107.4%
|
A
|
|
MKC
|
6/28/2018
|
3.7
|
3.2
|
16.6%
|
A
|
|
WBA
|
6/28/2018
|
3.4
|
3.0
|
15.0%
|
B
|
|
SNX
|
6/28/2018
|
6.9
|
7.7
|
-11.2%
|
B
|
|
LNN
|
6/28/2018
|
6.9
|
5.5
|
24.6%
|
C
|
|
GBX
|
6/28/2018
|
7.6
|
5.9
|
28.5%
|
A
|
|
STZ
|
6/29/2018
|
3.9
|
4.2
|
-6.2%
|
B
|
|
MLHR
|
7/2/2018
|
6.8
|
6.4
|
5.7%
|
C
|
|
ISCA
|
7/5/2018
|
5.3
|
4.9
|
9.8%
|
A
|
|
PSMT
|
7/5/2018
|
6.5
|
5.5
|
19.3%
|
D
|
|
AZZ
|
7/5/2018
|
6.0
|
7.1
|
-15.2%
|
D
|
|
HELE
|
7/9/2018
|
4.9
|
4.2
|
16.7%
|
C
|
|
WDFC
|
7/10/2018
|
4.9
|
3.9
|
25.3%
|
B
|
|
PEP
|
7/10/2018
|
2.2
|
0.7
|
203.1%
|
B
|
|
SMPL
|
7/10/2018
|
7.8
|
0.6
|
1169.7%
|
D
|
|
AIR
|
7/10/2018
|
2.0
|
4.9
|
-58.7%
|
C
|
|
HCSG
|
7/10/2018
|
4.5
|
4.9
|
-9.2%
|
C
|
Volatility Standouts:
|
Underlying
|
2M Volatility vs Forecast
|
Q Rating
|
2M IV Change
|
IV 2M Percentile
|
Average Daily Vega
|
|
TIVO
|
67.71%
|
C
|
-0.64%
|
86.96
|
3303
|
|
PF
|
67.09%
|
A
|
-0.55%
|
74.31
|
22170
|
|
VMW
|
66.80%
|
C
|
1.00%
|
65.61
|
79054
|
|
COG
|
65.81%
|
D
|
-1.71%
|
87.35
|
11398
|
|
CPB
|
65.30%
|
C
|
-2.80%
|
98.42
|
94668
|
|
PDCO
|
63.14%
|
C
|
1.25%
|
78.66
|
9881
|
|
CIEN
|
6.31E-01
|
D
|
4.21%
|
1.58
|
9697
|
|
BX
|
62.50%
|
D
|
-0.53%
|
30.04
|
42000
|
|
ZAYO
|
60.80%
|
D
|
-0.69%
|
0.79
|
10588
|
|
DSW
|
60.12%
|
C
|
-0.90%
|
6.32
|
5721
|
|
IMMU
|
59.93%
|
F
|
-1.44%
|
70.75
|
15869
|
|
TIP
|
59.09%
|
0
|
-1.29%
|
61.66
|
985
|
|
VER
|
59.05%
|
C
|
-0.06%
|
18.97
|
220
|
|
SEND
|
58.50%
|
D
|
-0.23%
|
93.85
|
3051
|
|
DNKN
|
58.39%
|
C
|
2.55%
|
64.03
|
11405
|
|
TWOU
|
57.01%
|
D
|
0.53%
|
88.93
|
3915
|
|
VST
|
56.24%
|
F
|
1.28%
|
12.22
|
2722
|
|
PAH
|
56.13%
|
D
|
-1.36%
|
82.61
|
3281
|
|
ARRY
|
55.58%
|
F
|
-2.45%
|
79.05
|
8191
|
|
UNIT
|
55.58%
|
F
|
0.35%
|
32.41
|
9800
|
|
TIF
|
55.54%
|
C
|
1.55%
|
17.79
|
31244
|
|
ASH
|
55.49%
|
C
|
2.15%
|
71.54
|
8829
|
|
CRM
|
53.17%
|
D
|
1.83%
|
91.30
|
335915
|
|
AOBC
|
52.54%
|
F
|
-0.06%
|
14.23
|
3538
|
|
Underlying
|
2M Volatility vs Forecast
|
Q Rating
|
2M IV Change
|
IV 2M Percentile
|
Average Daily Vega
|
|
PAY
|
-73.39%
|
C
|
-0.64%
|
18.97
|
1255
|
|
SRE
|
-61.40%
|
C
|
-0.55%
|
84.98
|
17454
|
|
USG
|
-48.62%
|
D
|
1.00%
|
2.37
|
9224
|
|
NKTR
|
-34.12%
|
F
|
-1.71%
|
55.73
|
47840
|
|
TTD
|
-33.67%
|
D
|
-2.80%
|
80.63
|
24690
|
|
SRPT
|
-31.39%
|
F
|
1.25%
|
63.24
|
124696
|
|
FOXA
|
-30.77%
|
C
|
4.21%
|
0.79
|
345046
|
|
ETSY
|
-26.82%
|
F
|
-0.53%
|
81.03
|
31502
|
|
SBUX
|
-2.53E-01
|
A
|
-0.69%
|
98.02
|
355023
|
|
OCLR
|
-25.25%
|
D
|
-0.90%
|
7.11
|
317
|
|
HRTX
|
-24.79%
|
F
|
-1.44%
|
29.25
|
8562
|
|
SNAP
|
-23.41%
|
F
|
-1.29%
|
91.30
|
170975
|
|
FOSL
|
-20.99%
|
D
|
-0.06%
|
65.22
|
7955
|
|
ATHN
|
-20.20%
|
C
|
-0.23%
|
31.23
|
31891
|
|
INFN
|
-19.70%
|
C
|
2.55%
|
92.89
|
397
|
|
GM
|
-18.52%
|
D
|
0.53%
|
75.89
|
349033
|
|
DXC
|
-16.61%
|
B
|
1.28%
|
77.78
|
21293
|
|
SAGE
|
-15.59%
|
F
|
-1.36%
|
4.74
|
14547
|
|
BSX
|
-15.29%
|
B
|
-2.45%
|
94.07
|
82078
|
|
SYK
|
-15.10%
|
B
|
0.35%
|
92.09
|
126573
|
|
PI
|
-14.89%
|
F
|
1.55%
|
99.21
|
4680
|
|
RCII
|
-14.78%
|
F
|
2.15%
|
0.79
|
27522
|
|
COO
|
-14.36%
|
C
|
1.83%
|
17.39
|
16060
|
|
PBI
|
-13.79%
|
C
|
-0.06%
|
86.56
|
1066
|