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Midday Volatility Report

Jun 28, 2018

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Commentary:

Equities are little changed in slightly more volatile trading as stocks rallied early then sold off before bouncing to where we are now with the S&P 500 +0.15%, the Russell -0.24%, and Nasdaq +0.32%. Bonds and gold are slightly lower. Energy is mixed with WTI crude oil prrice up 1.1% however energy ETFs are in the red with XOP -0.46% and XLE -0.37%. Volatilities are mixed and down from earlier highs with VIX +2% to 18.24, RVX -1.6% to 19.64, and VXN unchanged at 22.78.

 

ETF 30d volatility changes

SPY:        unchanged

IWM:      -1%

QQQ:      -1%

 

Bullish Flow: 

TBT Buyer 3,320 Aug 35 Calls

EEM Seller 30,000 Jun 29th 42.5 puts (likely closing)

EEM Seller 25,000 Sep 42 – 40 put spreads

XLF Buyer 76,077 Jun 29th 27 calls (opening)

DVN Seller 25,000 Oct 42 calls to Buy 50,000 Jan19 50 calls (rolls up and out)

BHF Buyer 3,000 Nov 45 calls

BLL Buyer 7,000 Aug 35 – 37 call spreads

USO Seller 34,000 Jan19 12.5 puts

DLT Buyer 4,000 Jul 85 – 87.5 – 90 call trees

ZNGA Buyer 15,000 Sep 4 calls

FXI Buyer 18,500 Aug 44 calls

 

Bearish Flow:

FXI Buyer 20,000 Jul 39 – 37 put spreads

QCOM 11,885 Jul 57.5 puts trade

TTWO Seller 5,340 Jul 127 calls

INDA Buyer 7,000 Sep 31 puts

PETS Buyer 4,000 Aug 40 puts

HYG 23,000 Jun19 82 – 77 puts spreads trade (appears to be a buyer)

C Buyer 10,000 Jun 29th 67.5 calls (likely closing) to Sell 10,000 Jul 6th 67.5 calls (rolls write out a week)

EEM Seller 10,000 Sep 47.5 calls to Buy 10,000 Sep 35.5 puts

EEM Buyer 55,000 Jul 39.5 – 36 puts spreads

TLT Seller 19,340 Jul 119 puts to Buy 19,430 Aug 119 puts (rolls out)

BP Seller 10,000 Jul 48 calls

SPY Buyer 19,500 Aug 265 – 255 put spreads

EWW Buyer Jul 46 puts

XRT Buyer 14,000 Jul 47 puts

 

Upcoming Earnings:

On Mobile/Tablet scroll to the right

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

KBH

6/28/2018

8.6

5.3

62.8%

D

NKE

6/28/2018

4.8

3.7

29.3%

D

SNX

6/28/2018

7.0

7.9

-11.6%

B

STZ

6/29/2018

4.0

4.2

-4.8%

B

GBX

6/29/2018

7.2

5.9

23.3%

A

MLHR

7/2/2018

6.8

6.7

1.2%

C

AYI

7/3/2018

9.5

8.8

7.6%

C

ISCA

7/5/2018

5.9

4.9

20.5%

A

AZZ

7/5/2018

6.5

7.1

-7.5%

D

INWK

7/6/2018

7.2

5.4

32.9%

D

HELE

7/9/2018

5.0

4.2

21.2%

C

WDFC

7/10/2018

5.0

3.9

28.5%

B

PEP

7/10/2018

2.5

0.7

249.1%

B

SMPL

7/10/2018

6.2

0.6

903.2%

D

AIR

7/10/2018

3.1

4.9

-37.3%

C

HCSG

7/10/2018

7.8

4.9

58.9%

C

FAST

7/11/2018

6.1

4.5

34.4%

C

MSM

7/11/2018

6.0

4.8

25.2%

C

OZRK

7/12/2018

3.2

2.3

38.5%

C

CBSH

7/12/2018

7.0

2.6

170.1%

B

C

7/13/2018

4.0

1.5

174.6%

C

JPM

7/13/2018

3.7

1.5

142.5%

C

WFC

7/13/2018

4.0

1.9

107.2%

C

FHN

7/13/2018

3.3

1.2

180.0%

D

PNC

7/13/2018

3.0

1.1

173.8%

C

FRC

7/13/2018

3.6

2.7

35.2%

C

NFLX

7/16/2018

11.0

8.6

27.8%

C

SNBR

7/16/2018

13.4

11.2

19.9%

D

BAC

7/16/2018

4.2

0.9

363.9%

C

JBHT

7/16/2018

6.2

2.8

117.9%

B

 

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

PAH

73.72%

D

0.00%

98.42

3070

DSW

72.74%

C

0.65%

11.07

7563

MAC

71.72%

D

2.45%

10.28

3932

CTXS

69.03%

A

0.74%

71.15

19284

BX

68.86%

D

4.49%

37.15

42205

HAIN

67.09%

C

-1.40%

93.28

24958

TJX

65.64%

C

-0.03%

57.71

31734

ASH

63.21%

C

0.90%

83.00

6810

IMMU

62.29%

F

-0.70%

76.28

12013

GDX

62.01%

0

-0.25%

18.58

204542

UNIT

61.97%

F

1.03%

54.15

14363

BBBY

61.19%

D

7.50%

99.60

32453

ZAYO

60.21%

D

1.17%

10.28

7135

VST

59.46%

F

2.12%

8.14

1824

CI

5.90E-01

A

-1.04%

80.24

57598

PAYX

58.54%

A

1.05%

54.15

19637

CIT

5.85E-01

C

-0.27%

90.51

5304

TIVO

58.28%

C

1.88%

90.12

1879

COST

58.08%

B

1.55%

24.11

240536

QCOM

57.15%

D

0.54%

83.40

213772

ZS

56.92%

F

0.59%

98.51

8577

COG

56.54%

D

-0.46%

97.23

15617

ISBC

56.14%

C

2.34%

87.35

1610

GS

56.14%

B

4.84%

88.54

742278

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

PAY

-6.97E-01

C

0.00%

3.16

676

USG

-38.38%

D

0.65%

3.95

3207

PF

-36.36%

A

2.45%

0.00

42646

NKTR

-34.90%

F

0.74%

75.10

41732

TTD

-34.61%

D

4.49%

88.54

20810

SRPT

-32.09%

F

-1.40%

71.15

147739

RCII

-30.85%

F

-0.03%

1.98

11816

HRTX

-27.95%

F

0.90%

14.62

8150

ETSY

-25.99%

F

-0.70%

82.21

30860

SRE

-25.18%

C

-0.25%

89.33

16868

OCLR

-24.61%

D

1.03%

12.25

431

SNAP

-23.02%

F

7.50%

93.68

139540

ATHN

-21.55%

C

1.17%

44.27

28653

FOXA

-21.35%

C

2.12%

2.37

315186

FOSL

-21.18%

D

-1.04%

62.06

7544

DPS

-20.11%

B

1.05%

0.79

17190

INFN

-18.73%

C

-0.27%

94.47

475

SKX

-15.51%

C

1.88%

95.26

25510

DXC

-15.11%

B

1.55%

80.56

15432

THS

-14.98%

C

0.54%

78.66

2174

STMP

-14.22%

B

0.59%

48.62

35626

SBUX

-13.99%

A

-0.46%

95.26

456980

TUP

-11.85%

C

2.34%

99.21

6899

ATI

-11.62%

D

4.84%

49.41

4450