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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