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Midday Volatility Report

Jun 25, 2018

Commentary:

Equities are well in the red today with tech hit the hardest as trade war rhetoric heats up further. Currently, the S&P 500 is -1.76%, the Nasdaq -2.85%, and the Russell 2000 -2.10%. Consumer staples and utilities are the flights to safety as both are slightly in the green, the former on CPB takeover chatter. Energy is in the red as well with WIT crude oil price -.07% and Brent -1.4%. Energy ETF’s are down even more with XOP -2.7% and XLE -2.25%. Bonds are bouncing on risk off mode. Volatilities are much higher with VIX +37% to 19, RVX +22% to 19.71, and VXN +27% to 23.36.

 

ETF 30d volatility changes

SPY:        +29%

IWM:      +16%

QQQ:      +18%

 

Bullish Flow: 

EBAY Buyer 5,010 Aug 39 calls

XOP Buyer 5,159 Jul 43 calls

XOP Buyer 15,936 Jul 43-45 call spread

CPB 40k calls versus 9k puts trade early in the day on merger chatter

FCAU Buyer 10,000 Aug 20 calls

FCAU Buyer 25,000 Jan 2020 30 calls

NXPI Buyer 4,900 Jul 125 calls

EEM Seller 22,100 Jul 44 puts

FDC Buyers 9,100 Jul 20 calls

RIG Seller 10,000 Jan 12 puts

RCL Buyer 4,000 Dec 110 calls

JD 7,500 Jan 30-70 risk reversals trade appear to be sold

 

 

Bearish Flow:

XLI Buyer 5,000 Jul 13th 72-69.5 put spread to sell Jul 6th 73.5 calls

XLI Buyer 6,800 Jul 71-69 put spread

SPY Buyer 25,430 Sep 217 puts

EWZ Seller 10,000 Jul 33 calls tied to stock

EWG Buyers 8,400 Jul 29 puts 15k trade in total

LEN Buyer 7,500 Jul 50-47.5 put spread to sell 55 calls

NXPI Seller 15k each Aug 95,100,105,110 and Jul 110 puts to buy 30k each Jan 1110,105, and 100 puts for $31.7M

 

 

 

Upcoming Earnings:

On Mobile/Tablet Scroll to the right

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

LEN

6/26/2018

7.0

3.8

84.8%

D

SONC

6/26/2018

5.5

4.7

18.4%

B

FDS

6/26/2018

4.6

4.5

1.9%

B

AVAV

6/26/2018

7.8

13.3

-41.0%

F

EBF

6/26/2018

3.2

4.3

-27.0%

C

EROS

6/27/2018

10.4

5.8

79.2%

D

UNF

6/27/2018

4.1

4.5

-8.6%

C

BBBY

6/27/2018

10.7

10.2

5.0%

D

GIS

6/27/2018

6.1

3.3

83.7%

B

FC

6/27/2018

9.4

9.7

-3.2%

F

PAYX

6/27/2018

3.6

2.2

66.1%

A

PRGS

6/27/2018

6.9

5.6

24.7%

B

CAMP

6/27/2018

9.8

10.6

-6.8%

C

APOG

6/28/2018

8.4

7.3

15.5%

D

GMS

6/28/2018

9.1

1.0

834.7%

B

KBH

6/28/2018

6.9

5.3

29.5%

D

NKE

6/28/2018

4.9

3.7

30.2%

D

BSET

6/28/2018

6.9

5.8

18.4%

F

CAG

6/28/2018

4.3

2.0

113.0%

A

MKC

6/28/2018

4.2

3.2

32.1%

A

SNX

6/28/2018

7.5

7.9

-5.2%

B

LNN

6/28/2018

5.6

5.4

4.6%

C

INWK

6/29/2018

7.7

5.4

42.4%

D

STZ

6/29/2018

4.2

4.2

-0.5%

B

GBX

6/29/2018

8.0

5.9

36.6%

A

MLHR

7/2/2018

7.8

6.7

16.3%

C

AYI

7/3/2018

8.4

8.8

-4.4%

C

ISCA

7/5/2018

5.5

4.9

13.9%

A

AZZ

7/5/2018

6.7

7.1

-4.8%

D

 

 Volatility Standouts:

On Mobile/Tablet scroll to the right

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

CTXS

74.76%

A

0.16%

44.27

24136

MDCO

72.16%

F

4.17%

52.96

4175

KIRK

71.55%

D

12.19%

98.42

69

HYG

71.35%

0

2.27%

6.32

1053384

UNIT

69.97%

F

1.95%

35.18

9734

PAH

69.44%

D

2.40%

76.68

3290

VMW

67.84%

C

-8.77%

65.61

89533

DSW

66.83%

C

1.57%

9.88

7748

AABA

66.77%

B

3.54%

66.01

156245

CIEN

66.60%

D

-1.49%

5.14

10498

OKTA

64.93%

D

1.24%

68.38

35014

DOCU

62.83%

F

2.94%

100.00

61119

AOBC

62.68%

F

-0.86%

5.93

3372

TJX

61.46%

C

11.09%

21.34

37468

ZAYO

60.29%

D

0.50%

1.58

11544

BX

60.07%

D

5.38%

27.27

43844

AGNC

59.45%

B

3.93%

47.83

11637

TIF

59.38%

C

4.66%

19.37

35762

PF

59.28%

A

1.87%

74.31

26098

DNKN

59.26%

C

3.97%

46.25

11256

IWM

58.91%

0

3.55%

58.50

5512836

QCOM

58.84%

D

6.54%

75.49

179194

ETFC

58.05%

C

1.55%

60.87

14647

IMMU

58.04%

F

0.59%

66.80

15872

On Mobile/Tablet scroll to the right

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

PAY

-71.54%

C

0.16%

19.37

997

EVHC

-70.37%

B

4.17%

1.58

34395

SRE

-52.96%

C

12.19%

69.57

18285

USG

-49.33%

D

2.27%

3.16

9156

NKTR

-39.82%

F

1.95%

66.01

33673

TTD

-31.91%

D

2.40%

83.40

23540

SRPT

-31.30%

F

-8.77%

63.64

131436

FOXA

-30.90%

C

1.57%

1.19

343727

ETSY

-27.63%

F

3.54%

77.08

31689

SBUX

-27.09%

A

-1.49%

95.65

403445

ATHN

-24.83%

C

1.24%

39.92

31897

OCLR

-24.09%

D

2.94%

6.32

310

HRTX

-23.26%

F

-0.86%

24.90

7659

FOSL

-22.16%

D

11.09%

61.66

8235

SNAP

-21.55%

F

0.50%

92.09

157645

INFN

-21.39%

C

5.38%

91.30

448

RCII

-19.79%

F

3.93%

0.40

28277

SAGE

-16.77%

F

4.66%

10.67

14306

THS

-16.24%

C

1.87%

78.26

6383

SKX

-15.48%

C

3.97%

95.26

26095

DXC

-15.00%

B

3.55%

75.00

14988

GM

-14.59%

D

6.54%

77.87

340716

PTLA

-14.49%

F

1.55%

0.40

6711

COO

-14.44%

C

0.59%

15.42

13941