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Midday Volatility Report

Jun 29, 2018

Commentary:

Equities are in the green today ahead of next week’s shortened schedule with the S&P 500 +.8%, the Nasdaq +.6% and the Russell +.4%. Bonds are up slightly and gold price is +.4% with GDX outperforming +1.9%. Energy continues its ascent with WTI crude oil price +1% and energy ETF’s in the green with XOP +.7% and XLE +1.1%. Biotechs are rallying as well with IBB +2%. Volatilities are getting hit ahead of the holiday week with VIX -10% to 15.23, RVX -10% to 17.30, and VXN -6%.

 

ETF 30d volatility changes

SPY:        -9%

IWM:      -9%

QQQ:      -5%

 

Bullish Flow: 

T Seller 18,004 Jul 34 puts

BABA Buyer 10,000 Sep 210-225 call spread

FXI Buyer 11,100 Aug 45-48 call spreads

FXI Seller 7,000 Jan 2020 32 puts

DIS Buyer 2,275 Jul 107 calls to sell 3,500 Jul 110 calls

MAS Buyers 5,600 Aug 38 calls

MS Buyers 3,900 Aug 57.5 calls

STZ Buyer 21,600 Oct 220-230 call spread

STZ Buyer 7,500 Jan 225-250 call spread to sell 200 puts

SPY Buyer 40,000 Oct 300-305 call spread

GLD 10k Dec 121 calls trade appears bought

 

Bearish Flow:

XLI Buyer 10,000 Sep 72-69 put spread

AAPL Buyer 20,000 Jul 165-175 put spread

GT Buyers 5,800 Aug 24 puts

IYR Buyer 5,200 Dec 76 puts

FEZ 40,700 Aug-Nov 38 and 13k Aug-Nov 40 put spreads trade as hedge is rolled

XRT Buyer 15,695 Aug 48 puts

EFA Seller 21,739 Sep 70 calls

QQQ Buyer 23,500 Aug 168-160 put spread

 

Upcoming Earnings:

On Mobile/Tablet scroll to the right

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

MLHR

7/2/2018

7.1

6.7

6.4%

C

AZZ

7/3/2018

6.5

7.1

-7.7%

D

AYI

7/3/2018

8.2

8.8

-6.9%

C

ISCA

7/5/2018

5.8

4.9

18.7%

A

PSMT

7/5/2018

6.1

5.5

11.9%

D

INWK

7/6/2018

9.2

5.4

70.0%

D

HELE

7/9/2018

4.8

4.2

15.7%

C

WDFC

7/10/2018

4.9

3.9

24.5%

B

SMPL

7/10/2018

6.6

0.6

975.1%

D

AIR

7/10/2018

5.4

4.9

10.9%

C

HCSG

7/10/2018

7.6

4.9

55.2%

C

FAST

7/11/2018

5.6

4.5

25.3%

C

MSM

7/11/2018

6.1

4.8

27.5%

C

OZRK

7/12/2018

3.3

2.3

46.1%

C

CBSH

7/12/2018

8.9

2.6

243.4%

B

DAL

7/12/2018

4.3

2.2

99.1%

C

C

7/13/2018

3.8

1.5

159.6%

C

JPM

7/13/2018

3.0

1.5

96.1%

C

WFC

7/13/2018

3.5

1.9

78.6%

C

FHN

7/13/2018

3.0

1.2

154.2%

D

FRC

7/13/2018

4.3

2.7

61.4%

C

NFLX

7/16/2018

10.3

8.6

19.8%

C

SNBR

7/16/2018

12.5

11.2

11.9%

D

BLK

7/16/2018

3.2

1.9

69.8%

B

BAC

7/16/2018

3.4

0.9

279.3%

C

JBHT

7/16/2018

5.7

2.8

102.9%

B

TTS

7/17/2018

14.3

12.3

16.6%

F

AABA

7/17/2018

6.0

2.3

161.2%

B

PNFP

7/17/2018

2.3

2.3

2.2%

C

SNV

7/17/2018

2.3

1.6

46.0%

B

GS

7/17/2018

3.7

2.2

68.5%

B

IBKR

7/17/2018

7.0

2.7

157.3%

C

SCHW

7/17/2018

4.7

1.4

233.9%

C

PGR

7/17/2018

3.6

2.0

82.9%

A

JNJ

7/17/2018

2.8

2.5

11.2%

C

UNH

7/17/2018

3.7

2.6

44.2%

A

LMT

7/17/2018

4.4

2.8

55.8%

C

UAL

7/17/2018

6.2

5.8

7.1%

D

CSX

7/17/2018

4.8

4.1

17.5%

A

MRTN

7/17/2018

6.7

3.9

72.6%

C

PLD

7/17/2018

2.9

2.2

34.1%

C

ADTN

7/17/2018

5.9

4.6

27.4%

C

 

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

74.31%

D

-3.81%

96.84

2731

TIF

73.45%

C

-0.33%

44.66

27640

APOG

70.58%

D

3.52%

5.14

781

MAC

69.10%

D

-3.29%

13.44

2625

AXTA

68.67%

D

-0.54%

48.22

2558

DSW

67.41%

C

1.34%

11.46

7204

IMMU

67.09%

F

-0.50%

73.12

11810

AOBC

63.66%

F

-2.87%

21.34

3034

HAIN

62.83%

C

0.86%

92.09

23833

ZUMZ

62.39%

B

-4.70%

14.62

1350

VST

61.76%

F

2.51%

9.50

1550

ZAYO

60.93%

D

-4.36%

3.16

7924

BBBY

59.66%

D

3.73%

37.15

36706

CTXS

59.23%

A

-1.71%

65.22

19498

UNIT

59.18%

F

0.87%

56.52

14006

TJX

58.56%

C

-3.80%

64.82

30196

CIT

58.26%

C

-2.76%

86.96

5804

BX

57.99%

D

-1.59%

45.06

46827

STZ

57.40%

B

-1.84%

53.36

254419

AZO

56.96%

B

-4.71%

14.23

92724

GDX

5.68E-01

0

-2.27%

13.44

206547

GIII

56.81%

C

1.59%

8.30

1160

EROS

55.47%

D

-7.01%

1.98

1792

COG

53.93%

D

-0.59%

97.63

16598

 

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

PAY

-73.76%

C

-3.81%

17.39

713

PF

-39.43%

A

-0.33%

0.40

42585

USG

-38.45%

D

3.52%

5.14

1789

NKTR

-3.77E-01

F

-3.29%

80.24

33063

TTD

-35.94%

D

-0.54%

88.93

20702

CAVM

-33.49%

D

1.34%

29.64

4589

SRPT

-31.54%

F

-0.50%

70.75

154592

HRTX

-30.16%

F

-2.87%

12.25

9865

SRE

-29.14%

C

0.86%

74.31

18185

MSG

-27.44%

C

-4.70%

96.44

28696

SNAP

-24.92%

F

2.51%

92.49

128780

EVHC

-24.76%

B

-4.36%

4.74

34602

OCLR

-24.59%

D

3.73%

8.30

453

SBUX

-24.53%

A

-1.71%

99.60

533561

INFN

-23.52%

C

0.87%

93.28

437

DPS

-23.42%

B

-3.80%

8.30

44786

FOSL

-22.97%

D

-2.76%

62.85

7541

FOXA

-22.10%

C

-1.59%

0.40

298546

ATHN

-21.13%

C

-1.84%

43.87

28965

DXC

-17.04%

B

-4.71%

79.76

15342

WMT

-16.38%

C

-2.27%

63.64

390912

THS

-15.89%

C

1.59%

76.68

1888

ATI

-15.74%

D

-7.01%

49.41

3821

SKX

-15.15%

C

-0.59%

96.84

21038