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Midday Volatility Report

Jul 03, 2018

Commentary:

Equities started the day strong, but have reversed much of their gains, with the Nasdaq in the red and underperforming on this holiday shortened day. Currently, the S&P 500 is up 0.1%, the Russell leads the way +0.5%, and the Nasdaq is -0.4%. Oil price is one of the lead stories today as it topped $75 a barrel earlier before selling off, and now -0.5% to 73.59. Bonds are higher with TLT +.45%. Volatilities are generally slightly lower with VIX and RVX -1% each though VXN is +1.5% on the Nasdaq move lower.

 

ETF 30d volatility changes

SPY:        -1%

IWM:      -2%

QQQ:      +1%

 

Bullish Flow: 

BX Buyer 10,670 Jan 40 calls

ABX Buyers 13,600 Aug 14 calls

ITB Seller 5,000 Jul 37.5 puts

WYNN 2,900 Sep 155 and Jul 6th 155 calls trade

PBR Buyer 5,000 Nov 16-18 call spreads also Nov 17 and 19 calls trade in volume

WBA Buyer 2,500 Jul 27th 61.5-63.5 call spread to sell 58.5 puts

 

Bearish Flow:

SCHW Buyer 2,700 Jul 6th 50.5 – Jul 13th 51 put spread

WPX Buyer 4,000 Jul 17 – Aug 18 put spread

XOP Buyer 20,000 Sep 42 puts

EEM Buyer 10,880 Dec 41 – Jun 2019 36 puts

 

 

Upcoming Earnings:

On Mobile/Tablet scroll to the right

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

ISCA

7/5/2018

7.7

4.9

58.6%

A

PSMT

7/5/2018

6.8

5.5

24.1%

D

INWK

7/6/2018

7.8

5.4

43.8%

C

HELE

7/9/2018

5.0

4.2

19.2%

C

WDFC

7/10/2018

5.0

3.9

26.5%

B

PEP

7/10/2018

2.2

0.7

206.1%

C

SMPL

7/10/2018

3.0

0.6

386.8%

C

AIR

7/10/2018

7.3

4.9

49.4%

C

OZRK

7/11/2018

3.0

2.3

31.4%

C

FAST

7/11/2018

5.7

4.5

26.5%

B

MSM

7/11/2018

5.9

4.8

23.3%

B

CBSH

7/12/2018

7.5

2.6

189.5%

B

DAL

7/12/2018

4.3

2.2

96.5%

C

C

7/13/2018

2.8

1.5

90.1%

C

JPM

7/13/2018

2.7

1.5

75.9%

C

WFC

7/13/2018

2.6

1.9

35.2%

C

FHN

7/13/2018

2.6

1.2

119.9%

D

PNC

7/13/2018

2.5

1.1

127.7%

C

FRC

7/13/2018

3.8

2.7

40.9%

C

NFLX

7/16/2018

9.5

8.6

10.0%

C

BAC

7/16/2018

3.0

0.9

233.4%

C

JBHT

7/16/2018

5.7

2.8

101.2%

B

TTS

7/17/2018

14.0

12.3

13.7%

F

AABA

7/17/2018

3.3

2.3

42.9%

A

CMA

7/17/2018

3.9

2.6

47.7%

B

PNFP

7/17/2018

2.8

2.3

22.6%

C

SNV

7/17/2018

2.6

1.6

66.6%

A

WTFC

7/17/2018

3.1

1.7

80.8%

C

IBKR

7/17/2018

5.2

2.7

90.8%

C

SCHW

7/17/2018

4.4

1.4

214.1%

C

PGR

7/17/2018

3.3

2.0

69.2%

A

JNJ

7/17/2018

2.7

2.5

10.6%

C

UNH

7/17/2018

3.3

2.6

26.2%

A

LMT

7/17/2018

4.3

2.8

53.6%

B

UAL

7/17/2018

5.8

5.8

0.0%

D

CSX

7/17/2018

4.4

4.1

7.5%

B

MRTN

7/17/2018

5.3

3.9

35.0%

C

PLD

7/17/2018

2.7

2.2

22.8%

C

ADTN

7/17/2018

5.8

4.6

25.3%

F

MLNX

7/17/2018

6.6

3.9

68.4%

D

 

 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

HAIN

67.42%

C

-0.34%

82.14

22277

TJX

67.29%

A

-0.49%

72.62

24914

PAH

65.47%

D

3.67%

87.70

973

MAC

64.76%

D

0.89%

14.68

936

DSW

62.25%

C

-1.15%

13.10

7273

CZR

61.10%

D

-2.38%

90.48

11880

COTY

60.81%

F

-1.68%

72.62

3792

AZO

59.99%

B

0.96%

16.27

82171

AOBC

59.71%

F

-0.99%

27.78

2882

DY

59.19%

D

-1.04%

19.84

2327

COST

59.06%

B

-2.70%

27.78

261321

WATT

55.76%

D

-1.61%

55.16

7406

UNIT

55.37%

D

1.95%

48.41

14202

IMMU

55.17%

F

-3.37%

75.00

8489

UNFI

54.19%

C

-0.08%

5.16

1728

CTXS

53.58%

B

-3.75%

50.79

14875

ALNY

53.40%

F

0.61%

75.40

10084

IBKR

53.27%

C

-4.34%

90.48

5762

SEAS

53.05%

D

0.60%

84.13

5641

DG

52.23%

A

0.54%

30.95

21075

ROST

5.16E-01

B

-0.25%

33.33

6882

APOG

51.48%

D

0.87%

11.51

886

COG

50.80%

C

1.26%

94.44

13658

CIT

50.35%

C

0.90%

83.33

5900

On Mobile/Tablet scroll to the right

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

PAY

-69.13%

C

-0.34%

17.86

608

PTCT

-49.06%

F

-0.49%

62.95

5971

PF

-42.83%

B

3.67%

0.00

40475

USG

-40.48%

C

0.89%

6.35

1357

RCII

-38.86%

D

-1.15%

3.17

4162

DPS

-38.37%

B

-2.38%

4.37

93054

NKTR

-37.94%

D

-1.68%

73.41

30518

TTD

-37.82%

C

0.96%

86.51

16768

SRPT

-35.07%

F

-0.99%

61.90

147870

SRE

-33.59%

C

-1.04%

68.65

14782

HRTX

-32.60%

F

-2.70%

6.75

9969

VMW

-31.90%

C

-1.61%

53.17

96684

MSG

-31.42%

C

1.95%

99.21

31334

CAVM

-30.09%

D

-3.37%

34.92

4804

SNAP

-28.50%

F

-0.08%

88.89

94320

OCLR

-27.26%

D

-3.75%

4.76

481

SBUX

-24.73%

B

0.61%

96.43

538526

SEP

-24.62%

D

-4.34%

77.38

962

INFN

-23.80%

F

0.60%

90.08

376

ATHN

-23.61%

C

0.54%

40.48

14675

VRTX

-23.18%

C

-0.25%

37.70

50674

DXC

-21.99%

B

0.87%

76.10

12586

FOSL

-21.38%

D

1.26%

68.25

8814

SCG

-21.36%

D

0.90%

42.46

1692