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Midday Volatility Report

Jul 02, 2018

Commentary: Equities are in the red on increased trade volatility on lighter than usual volume in this holiday shortened week with the S&P -.54%, the Russell -.32%, and the Nasdaq -.48%. Bonds are up slightly, while gold continues to see downside with GLD -.74%. Gold is now at lows not seen since Dec. 2017.  Energy is in the red with WTI -.5% and energy ETF’s underperforming with XOP -2% and XLE -1.5%. Volatilities are moving higher with VIX +8% to 17.44, RVX +7.5% to 19.03, and VXN +6% to 22.07.

 

ETF 30d volatility changes

SPY:        +6%

IWM:      +2%

QQQ:      +2%

 

Bullish Flow: 

BAC Buyer 10,000 Jul 6th 28.5 calls right after open

BX Buyer 7,072 Jan 2020 40 calls

LLNW Buyer 10,000 Jul 4 calls

NBR Buyer 6,300 Sep-Jan 8 call spread

MMM Seller 5,000 Jul 190 puts

T Seller 10,000 Jan 30-32 risk reversal

EEM Seller 20,00 Aug 40-45 risk reversal

 

Bearish Flow:

BAC 50k Jan 31-35 call spreads trade appears sold

FXI Buyer 10,000 Jul 13th 43-42-41-40 put condor

SPY Buyer 28,000 Jul 6th 267.5 puts

AAPL Buyer 10,000 Jul 175-165 put spread

FB Buyer 4,115 Jul 6th 200 puts

IWM Buyer 7,500 Aug 160-140 1x2 put spread

TXN Seller 9,848 Sep 120 calls

 

Upcoming Earnings:

 

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

MLHR

7/2/2018

8.9

6.7

33.0%

C

AZZ

7/3/2018

8.0

7.3

8.8%

D

AYI

7/3/2018

8.1

9.0

-9.5%

C

ISCA

7/5/2018

5.9

4.9

21.5%

A

PSMT

7/5/2018

6.0

5.5

9.4%

D

INWK

7/6/2018

7.4

5.4

38.0%

D

HELE

7/9/2018

5.3

4.2

27.0%

C

WDFC

7/10/2018

5.0

3.9

27.6%

B

SMPL

7/10/2018

3.7

0.6

505.3%

D

AIR

7/10/2018

6.7

4.9

37.1%

C

HCSG

7/10/2018

4.9

4.9

0.6%

C

OZRK

7/11/2018

2.9

2.3

26.4%

C

FAST

7/11/2018

5.2

4.5

16.1%

C

MSM

7/11/2018

6.1

4.8

26.2%

C

CBSH

7/12/2018

6.8

2.6

165.5%

B

DAL

7/12/2018

3.9

2.2

79.6%

C

C

7/13/2018

2.7

1.5

86.7%

C

JPM

7/13/2018

2.6

1.5

73.5%

C

WFC

7/13/2018

2.6

1.9

32.4%

C

FHN

7/13/2018

2.5

1.2

110.3%

D

FRC

7/13/2018

3.8

2.7

43.1%

C

NFLX

7/16/2018

9.2

8.6

7.1%

C

SNBR

7/16/2018

11.6

11.2

3.5%

D

BLK

7/16/2018

3.5

1.9

81.5%

B

BAC

7/16/2018

2.8

0.9

204.8%

C

JBHT

7/16/2018

5.3

2.8

86.4%

B

TTS

7/17/2018

13.3

12.3

8.4%

F

AABA

7/17/2018

3.6

2.3

54.8%

B

PNFP

7/17/2018

2.8

2.3

24.5%

C

SNV

7/17/2018

3.2

1.6

106.9%

B

WTFC

7/17/2018

2.9

1.7

69.6%

C

GS

7/17/2018

3.2

2.2

43.7%

B

IBKR

7/17/2018

6.7

2.7

147.5%

C

SCHW

7/17/2018

3.9

1.4

182.0%

C

PGR

7/17/2018

3.4

2.0

75.6%

A

JNJ

7/17/2018

2.8

2.5

13.6%

C

UNH

7/17/2018

3.4

2.6

31.8%

A

LMT

7/17/2018

4.0

2.8

41.6%

C

UAL

7/17/2018

5.7

5.8

-2.0%

D

CSX

7/17/2018

4.4

4.1

7.0%

A

MRTN

7/17/2018

8.1

3.9

106.6%

C

PLD

7/17/2018

2.7

2.2

21.7%

C

ADTN

7/17/2018

6.2

4.6

33.7%

C

MLNX

7/17/2018

5.9

3.9

50.8%

C

 

Volatility Standouts:

 

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

HYG

69.61%

0

2.03%

73.91

1058759

KIRK

64.94%

D

2.59%

28.06

30

TIVO

61.27%

C

4.77%

95.26

1870

BURL

58.17%

C

-1.72%

16.60

15689

DNKN

52.95%

C

0.67%

55.34

10637

PAH

51.54%

D

0.00%

75.10

2699

AXTA

50.16%

D

1.22%

40.71

2458

TIF

4.97E-01

C

-0.89%

23.72

26717

SHY

46.38%

0

-0.27%

57.31

3378

ISBC

46.29%

C

-0.01%

1.98

1608

MAC

46.12%

D

2.16%

11.46

1082

IMMU

45.07%

F

2.10%

70.75

10052

BX

44.32%

D

-2.82%

28.85

46956

TJX

42.69%

C

4.05%

43.08

28083

ZUO

42.57%

 

0.36%

95.56

14887

ASH

42.30%

C

1.39%

68.77

6374

CTXS

42.28%

A

-1.57%

49.80

15310

SEAS

41.92%

C

2.98%

70.75

5654

UNIT

40.69%

F

1.30%

49.80

14217

DSW

40.43%

C

0.33%

11.86

7100

DISH

39.77%

B

-0.67%

95.65

17773

XRX

38.48%

C

-0.95%

99.21

20127

ZAYO

38.25%

 

3.27%

2.77

7286

HAIN

38.11%

C

3.29%

84.58

23455

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

PAY

-73.73%

C

2.03%

8.70

630

PF

-60.34%

A

2.59%

0.40

41793

USG

-45.15%

D

4.77%

1.58

1500

NKTR

-42.57%

F

-1.72%

73.52

31528

CAVM

-40.30%

D

0.67%

34.39

4748

OCLR

-39.68%

D

0.00%

2.77

487

DPS

-39.55%

B

1.22%

9.09

85640

SRPT

-38.08%

F

-0.89%

66.40

153359

HRTX

-38.02%

F

-0.27%

12.25

9895

TTD

-37.71%

D

-0.01%

86.56

17920

SRE

-35.98%

C

2.16%

69.17

16753

MSG

-34.24%

C

2.10%

99.60

30679

SEP

-32.26%

C

-2.82%

71.15

912

EVHC

-32.23%

B

4.05%

5.14

33873

VRTX

-31.03%

C

0.36%

53.75

53506

FOXA

-29.24%

C

1.39%

4.74

338763

SBUX

-28.23%

A

-1.57%

96.84

555392

SNAP

-2.81E-01

F

2.98%

90.91

125046

ATHN

-26.98%

C

1.30%

33.99

14183

FOSL

-25.94%

D

0.33%

68.77

7858

INFN

-23.31%

C

-0.67%

88.54

397

ATI

-22.57%

D

-0.95%

43.87

4669

CMG

-22.07%

D

3.27%

76.68

553080

DXC

-21.17%

B

3.29%

78.17

13105