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Midday Volatility Report

Jun 26, 2018

Commentary: Equities are bouncing after yesterday’s relatively sharp sell-off with the S&P +.36%, the Nasdaq +.59%, and the Russell +.46%. Bonds are little changed and gold continues to be unable to get out of its own way -.4%. Energy is rallying on a report that the White House expects the world to cut Iranian oil imports to 0 by Nov 4th or risk sanctions. Crude has spiked 3% on the news with energy ETF’s moving higher, XOP +1.8% and XLE +1.1%. Volatilities are easing from yesterday’s highs with VIX -9% to 15.71, VXN -5.6% to 20.70, and RVX -5% to 18.05.

 

ETF 30d volatility changes

SPY:        -6%

IWM:      -4%

QQQ:      -3%

 

Bullish Flow: 

GLD Buyer 17,439 Dec 130 calls

GLD Seller 15,000 Aug 126 calls to buy Jan 130-135 call spread

BABA Buyer 4,000 Sep 210-225 call spread

PEP Sellers 5,000 Jul 105 puts

STZ Buyer 2,204 Oct 230-255 call spread to sell 210 puts

QQQ 28,200 Jun 29th 168-173 risk reversals trade appear sold

FXI Buyer 8,900 Aug 45-48 call spread

BAC Buyer 20,000 Jul 6th 29 – Jul 31 call spread

LEN Seller 5,000 Jul 50-55 risk reversal

LEN Buyer 5,000 Jul 52.5-55 1x2 call spread

BUD Buyer 3,800 Aug 100-105 call spread to sell 90 put

XLF Seller 40,000 Jul 28 calls to buy 25,000 Aug 28 calls and sell 5k Aug 26 puts

VALE Buyer 7,663 Jan 2020 12-20 call spread

BWP Buyers 5,200 Jul 12 calls

 

Bearish Flow:

AEM Buyer 3,000 Aug 23 puts

JD Buyer 8,175 Jul 41 puts

XRT Seller 5,000 Sep 51 calls

SMH Buyer 10,000 Aug 100 puts

NXPI Seller 7,425 Jul 117-125 call spread to buy 4,950 Jul 95 puts possibly to close

EWZ Buyer 10,000 Jan 2020 29 puts

 

 

 

Upcoming Earnings:

 

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

SONC

6/26/2018

6.4

4.7

36.2%

B

AVAV

6/26/2018

11.3

13.3

-15.1%

F

EROS

6/27/2018

10.4

5.8

79.5%

D

UNF

6/27/2018

4.7

4.5

2.7%

C

BBBY

6/27/2018

12.4

10.2

21.2%

D

GIS

6/27/2018

6.2

3.3

86.6%

B

FC

6/27/2018

9.1

9.7

-5.7%

F

PAYX

6/27/2018

3.8

2.2

71.2%

A

CAMP

6/27/2018

9.8

10.6

-7.0%

C

APOG

6/28/2018

7.4

7.3

1.4%

D

GMS

6/28/2018

8.0

1.0

727.1%

B

KBH

6/28/2018

7.3

5.3

38.3%

D

NKE

6/28/2018

5.2

3.7

40.1%

D

BSET

6/28/2018

7.5

5.8

28.1%

F

CAG

6/28/2018

4.2

2.0

109.9%

A

MKC

6/28/2018

4.2

3.2

32.6%

A

WBA

6/28/2018

3.2

3.0

8.3%

B

SNX

6/28/2018

6.8

7.9

-13.8%

B

LNN

6/28/2018

5.7

5.4

5.3%

C

STZ

6/29/2018

4.1

4.2

-2.8%

B

MLHR

7/2/2018

6.2

6.7

-7.3%

C

AYI

7/3/2018

9.1

8.8

3.5%

C

ISCA

7/5/2018

5.3

4.9

8.8%

A

PSMT

7/5/2018

6.0

5.5

10.6%

D

AZZ

7/5/2018

6.6

7.1

-7.2%

D

INWK

7/6/2018

7.2

5.4

34.3%

D

HELE

7/9/2018

4.5

4.2

9.1%

C

WDFC

7/10/2018

4.9

3.9

25.2%

B

SMPL

7/10/2018

8.6

0.6

1297.7%

D

AIR

7/10/2018

6.8

4.9

37.8%

C

HCSG

7/10/2018

6.1

4.9

24.6%

C

FAST

7/11/2018

5.6

4.5

24.2%

C

MSM

7/11/2018

6.1

4.8

26.1%

C

FIZZ

7/12/2018

7.4

5.3

41.3%

C

OZRK

7/12/2018

2.4

2.3

7.2%

C

CBSH

7/12/2018

6.4

2.6

148.8%

B

DAL

7/12/2018

4.0

2.2

86.4%

C

 

Volatility Standouts:

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

BURL

74.97%

C

-3.64%

7.54

13160

AGNC

74.81%

B

0.20%

58.33

10679

MDCO

71.92%

F

-1.91%

48.81

4153

AOBC

71.39%

F

-2.54%

14.29

3019

PAH

6.94E-01

D

1.44%

87.70

3016

CTXS

68.12%

A

-0.39%

55.95

20818

DSW

67.03%

C

2.52%

7.54

8094

DNKN

63.78%

C

-2.94%

69.44

12738

TIF

61.87%

C

-1.91%

24.60

37173

IMMU

61.64%

F

-2.98%

72.22

14303

ASH

61.08%

C

0.96%

85.71

11201

FTAI

60.54%

C

-3.28%

9.92

171

VST

59.15%

F

4.86%

11.36

1859

VER

59.11%

C

-3.31%

50.40

226

TJX

58.45%

C

-1.49%

51.98

38649

UNIT

56.84%

F

-7.06%

48.41

12504

BX

55.75%

D

-2.87%

34.13

43503

PICO

54.13%

F

0.16%

90.48

243

DOCU

53.68%

F

0.45%

94.44

52240

LEA

53.35%

B

0.16%

76.98

13425

COG

53.07%

D

-1.75%

98.02

16812

ZAYO

52.27%

D

14.45%

8.73

7980

CIT

52.17%

C

-3.56%

65.87

3442

TRN

52.17%

C

-1.55%

73.41

12071

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

PAY

-73.31%

C

-3.64%

11.90

887

RCII

-58.12%

F

0.20%

1.19

17184

EVHC

-52.35%

B

-1.91%

3.57

25449

USG

-38.21%

D

-2.54%

4.37

5526

NKTR

-34.19%

F

1.44%

63.89

35898

TTD

-33.92%

D

-0.39%

92.06

23865

SRE

-32.92%

C

2.52%

67.86

14191

SRPT

-31.53%

F

-2.94%

66.67

136561

SBUX

-28.28%

A

-1.91%

96.83

431245

FOXA

-27.93%

C

-2.98%

4.76

338099

HRTX

-27.88%

F

0.96%

19.05

9366

ETSY

-26.56%

F

-3.28%

80.56

31532

OCLR

-24.42%

D

4.86%

11.11

331

ATHN

-24.11%

C

-3.31%

36.51

29228

FOSL

-23.23%

D

-1.49%

59.52

7355

SNAP

-22.64%

F

-7.06%

95.24

158344

INFN

-20.19%

C

-2.87%

94.44

429

SAGE

-16.38%

F

0.16%

14.29

15684

DXC

-16.25%

B

0.45%

82.47

18352

SKX

-15.66%

C

0.16%

96.43

27335

WMT

-15.34%

C

-1.75%

59.92

357651

STMP

-15.08%

B

14.45%

49.60

42632

GM

-13.90%

D

-3.56%

85.71

320400

THS

-12.86%

C

-1.55%

76.19

6355