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Midday Volatility Report

Jun 27, 2018

Commentary: Equities are mixed to higher though well off earlier levels on more moderated trade talk from the Trump administration. Energy is outperforming as oil continues to break higher with WTI crude +3.5% and XOP +2.1% and XLE +1.7%. In stocks the S&P is +.24%, the Russell is -.26% and the Nasdaq is -.10%. Emerging markets are getting hit particularly hard, -1.44% with Brazil, EWZ -2.3% and China, FXI -1.9%. Volatilities are moving higher with VIX +3.5% to 16.50, RVX +4% to 18.45, and VXN +4.3% to 21.40.

 

 

ETF 30d volatility changes

SPY:        +3%

IWM:      +3%

QQQ:      +4%

 

Bullish Flow: 

GLD Buyer 50,000 Jan 2020 180-200 call spread

F Buyer 50,000 Jan 2020 14.87 calls

XLF Buyer 21,000 Jul 27 calls

WWE Buyer 3,000 Aug 75-80 1x2 call spread

STZ Buyer 2,523 Oct 230-255 call spread to sell 210 puts

WMT Seller 6,250 Jul 84 calls to buy 7,500 each Jul 87 and 93 calls and 15k Jul 87.5 calls to sell 22,500 Jul 90 calls to adjust a call fly

PTEN Buyer 5,000 Jul 20 calls

GDX Buyer 6,000 Sep 24 calls

FB Buyer 4,000 Aug 205 calls to sell 4,700 Aug 230 calls

CHK Buyer 10,000 Jan 7 calls

SNAP Buyers 14,700 Jun 29th 13.5 calls

 

Bearish Flow:

AAPL Buyer 7,775 Jul 175-165 put spread

XRT Buyer 5,884 Jul 49.5-47.5 1x2 put spread

UUP Buyer 50,000 Aug 25 puts

XOP Seller 16,250 Jul 43-45 call spread

EWW Buyer 5,000 Jul 6th 44-42 put spread

NXPI Buyer 3,500 Jul 105-95 1x2 put spread

FXI Buyer 10,000 Jul 13th 42-40 put spread

 

Upcoming Earnings:

 

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

BBBY

6/27/2018

12.4

10.2

20.8%

D

FC

6/27/2018

10.3

9.7

6.1%

F

PRGS

6/27/2018

7.0

5.6

26.5%

B

CAMP

6/27/2018

10.0

10.6

-5.4%

C

APOG

6/28/2018

7.3

7.3

-0.5%

D

GMS

6/28/2018

5.8

1.0

500.6%

B

KBH

6/28/2018

7.2

5.3

35.4%

D

NKE

6/28/2018

5.0

3.7

33.4%

D

MKC

6/28/2018

4.4

3.2

37.8%

A

WBA

6/28/2018

3.1

3.0

3.2%

B

SNX

6/28/2018

6.6

7.9

-16.5%

B

LNN

6/28/2018

6.2

5.4

15.2%

C

STZ

6/29/2018

4.1

4.2

-1.6%

B

GBX

6/29/2018

7.2

5.9

22.3%

A

MLHR

7/2/2018

6.6

6.7

-1.6%

C

AYI

7/3/2018

9.1

8.8

3.4%

C

ISCA

7/5/2018

5.7

4.9

16.9%

A

PSMT

7/5/2018

5.5

5.5

0.5%

D

AZZ

7/5/2018

6.4

7.1

-8.9%

D

INWK

7/6/2018

7.1

5.4

32.0%

D

WDFC

7/10/2018

5.0

3.9

26.8%

B

PEP

7/10/2018

2.3

0.7

220.6%

B

SMPL

7/10/2018

7.0

0.6

1033.7%

D

AIR

7/10/2018

4.3

4.9

-12.7%

C

HCSG

7/10/2018

6.7

4.9

35.6%

C

FAST

7/11/2018

5.8

4.5

29.8%

C

MSM

7/11/2018

6.1

4.8

25.9%

C

FIZZ

7/12/2018

6.7

5.3

28.2%

C

CBSH

7/12/2018

6.0

2.6

132.6%

B

DAL

7/12/2018

4.4

2.2

102.9%

C

C

7/13/2018

3.5

1.5

140.5%

C

JPM

7/13/2018

3.3

1.5

120.3%

C

WFC

7/13/2018

3.7

1.9

92.2%

C

FHN

7/13/2018

3.0

1.2

152.4%

D

PNC

7/13/2018

2.6

1.1

131.5%

C

FRC

7/13/2018

3.5

2.7

31.1%

C

 

Volatility Standouts:

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

CTXS

72.37%

A

0.61%

63.64

19333

MDCO

71.77%

F

-0.17%

34.39

2508

IMMU

70.00%

F

-3.96%

68.38

13323

BURL

69.55%

C

0.40%

7.91

14546

DNKN

69.21%

C

0.98%

62.85

12534

DSW

66.70%

C

1.27%

8.30

8103

AOBC

66.30%

F

-2.62%

13.04

3150

PAH

6.49E-01

D

-0.10%

75.89

3065

HAIN

64.12%

C

-0.85%

92.49

27198

TJX

6.33E-01

C

-1.69%

48.62

36609

CIT

61.46%

C

-2.77%

87.75

4862

UNIT

60.19%

F

0.00%

52.17

12726

EROS

59.87%

D

1.15%

6.72

1952

ZAYO

59.68%

D

3.15%

2.37

7414

QCOM

58.95%

D

0.01%

82.21

206153

ASH

58.71%

C

0.65%

81.42

11601

DOCU

57.25%

F

-0.30%

91.89

46998

DLTR

56.64%

A

-0.73%

35.97

64990

ZS

56.47%

 

-2.06%

93.94

8795

GDX

56.35%

0

-1.14%

10.28

202015

VST

54.79%

F

-0.52%

21.72

1629

OKTA

54.76%

D

-3.91%

79.45

32429

KRE

53.94%

0

3.00%

21.74

156947

TIP

53.92%

0

5.65%

47.83

3088

 

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

PAY

-74.62%

C

0.61%

16.21

745

RCII

-53.30%

F

-0.17%

1.58

12151

USG

-36.57%

D

-3.96%

3.95

4229

NKTR

-35.01%

F

0.40%

75.49

40836

TTD

-34.69%

D

0.98%

85.77

21902

PF

-32.58%

A

1.27%

73.12

41875

SRPT

-31.94%

F

-2.62%

71.54

143796

SRE

-29.21%

C

-0.10%

77.08

14571

SBUX

-28.54%

A

-0.85%

94.47

444664

HRTX

-28.02%

F

-1.69%

13.44

8715

FOXA

-27.94%

C

-2.77%

5.93

336424

ETSY

-26.67%

F

0.00%

81.42

31585

OCLR

-25.07%

D

1.15%

10.28

458

ATHN

-24.20%

C

3.15%

30.83

27962

SNAP

-24.08%

F

0.01%

90.91

145176

FOSL

-22.39%

D

0.65%

44.27

7459

INFN

-20.72%

C

-0.30%

92.49

479

DPS

-20.51%

B

-0.73%

10.28

13561

EVHC

-18.53%

B

-2.06%

3.56

27527

SKX

-17.58%

C

-1.14%

96.05

25626

WMT

-16.03%

C

-0.52%

62.06

357833

DXC

-15.39%

B

-3.91%

80.16

15049

ATI

-14.67%

D

3.00%

48.22

9366

STMP

-14.15%

B

5.65%

42.69

41759