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Midday Volatility Report

Jul 05, 2018

Commentary:

Equities started the day well in the green, sold off to almost unchanged, and have since rallied back towards highs on reports of auto-trade tensions possibly easing. Currently, the S&P 500 is +0.6%, the Nasdaq +0.9%, and the Russell +0.4% with energy lagging. WTI crude oil price is -0.6% which is making energy ETF’s underperform market indexes with XOP -0.1% and XLE +0.2%. Gold price is rallying slightly +.35%. Bonds are up as well with TLT +.3% and the ten-year yield dipping to 2.83%. Volatilities are lower, though they made it back to unchanged on the brief market dip earlier today with the VIX -6% to 15.17, RVX unch at 17.52, and VXN -4.5% to 20.81.

 

 

ETF 30d volatility changes

SPY:        -7%

IWM:      -2%

QQQ:      -6%

 

Bullish Flow:

GM Buyer 5,000 Jan19 45 calls

GLD 3,000 Oct 130 – 142 call spreads trade

FXI Seller 5,000 Feb19 37.5 puts 

T Seller 10,000 Jul 34 puts tied to stock

XLF Buyer 7,500 Jul 27 calls

BAC 11,000 July 6th 28.5 – 29 call spreads trade

MDT Seller 15,000 Jul 90 calls to Buy 15,000 Sep 90 calls (rolls out)

GDX Buyer 16,142 Jun19 24 calls

HYG Seller 25,000 Sep 81 puts

INTC Buyer 5,000 Jan19 57.5 calls

 

Bearish Flow:

SOGO Buyer 2,500 Jul 10 puts trade

MDXG 2,500 Sep 2.5 puts trade

MT 3,000 Jul 6th 30 puts trade

VIX Buyer 10,000 Dec 19th 30 calls

SPY Seller 10,000 Dec 31st 285 calls to Buy 10,000 Dec 31st 271 – 257 put spreads  

XRT Buyer 12,373 Aug 47 puts

XLF Seller 17,800 Sep 28 calls

AAL Seller 2,000 Jan19 45 calls

XLU Buyer 75,000 Sep 50 – 47 put spreads

USO Buyer 10,000 Sep 14.5 puts

TSLA Buyer 11,400 Jul 6th 300 puts trade (likely closing)

 

 

Upcoming Earnings:

On Mobile/Tablet scroll to the right

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

PSMT

7/5/2018

7.2

5.5

31.3%

D

HELE

7/9/2018

4.9

4.2

18.1%

C

WDFC

7/10/2018

5.1

3.9

29.1%

B

PEP

7/10/2018

2.2

0.7

205.4%

C

SMPL

7/10/2018

1.8

0.6

187.3%

C

AIR

7/10/2018

7.3

4.9

48.6%

C

OZRK

7/11/2018

3.3

2.3

43.4%

C

FAST

7/11/2018

5.3

4.5

16.8%

B

CBSH

7/12/2018

7.1

2.6

175.3%

B

DAL

7/12/2018

3.4

2.2

58.2%

C

INWK

7/13/2018

8.4

5.4

56.5%

C

C

7/13/2018

2.6

1.5

78.3%

C

JPM

7/13/2018

2.5

1.5

63.7%

C

WFC

7/13/2018

2.5

1.9

26.0%

C

FHN

7/13/2018

2.2

1.2

90.9%

D

PNC

7/13/2018

2.3

1.1

109.5%

C

FRC

7/13/2018

4.1

2.7

52.6%

C

NFLX

7/16/2018

9.2

8.6

6.6%

C

BLK

7/16/2018

3.3

1.9

72.7%

A

BAC

7/16/2018

2.7

0.9

194.2%

C

TTS

7/17/2018

12.1

12.3

-1.5%

F

AABA

7/17/2018

3.4

2.3

46.2%

A

CMA

7/17/2018

3.7

2.6

41.8%

B

PNFP

7/17/2018

2.4

2.3

4.1%

C

SNV

7/17/2018

2.3

1.6

44.8%

A

WTFC

7/17/2018

3.1

1.7

84.1%

C

GS

7/17/2018

3.0

2.2

34.5%

B

IBKR

7/17/2018

6.0

2.7

122.4%

C

PGR

7/17/2018

3.3

2.0

69.3%

A

FNF

7/17/2018

2.4

2.1

13.4%

C

JNJ

7/17/2018

2.8

2.5

13.6%

C

UNH

7/17/2018

3.2

2.6

24.3%

A

UAL

7/17/2018

5.7

5.8

-2.3%

D

HCSG

7/17/2018

10.2

4.9

107.0%

D

CSX

7/17/2018

4.5

4.1

10.2%

B

MRTN

7/17/2018

6.6

3.9

68.2%

C

PLD

7/17/2018

2.7

2.2

21.2%

C

ADTN

7/17/2018

7.5

4.6

62.3%

F

MLNX

7/17/2018

6.6

3.9

70.3%

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

TJX

74.88%

A

-2.08%

67.19

20923

HAIN

74.32%

C

-1.13%

89.72

19211

IMMU

71.02%

F

-0.03%

64.82

7864

MAC

68.49%

D

-1.85%

10.67

712

CZR

67.79%

D

0.66%

91.70

10684

AOBC

65.07%

F

0.81%

30.43

2542

PAH

62.58%

D

-0.01%

77.47

605

LW

61.96%

B

-4.08%

76.68

1914

COTY

61.84%

F

0.73%

67.98

3916

AZO

60.49%

B

-2.86%

13.83

83583

UNFI

59.94%

C

-1.13%

5.93

1699

COST

59.03%

B

-2.40%

29.64

249363

PRSP

57.70%

D

0.55%

29.41

4935

ROST

5.76E-01

B

1.40%

34.78

6764

WATT

57.51%

D

-0.96%

53.75

7502

DSW

57.33%

C

-3.37%

13.04

6470

IBKR

56.43%

C

-4.02%

92.09

5491

UNIT

5.59E-01

D

-1.50%

47.43

10492

CTXS

55.89%

B

-1.48%

52.96

14049

NAVI

54.30%

D

-2.27%

25.69

131

KHC

53.70%

C

-4.15%

96.44

111810

COG

52.87%

C

-3.23%

93.28

14198

XRX

52.46%

D

-0.29%

99.21

24163

ALNY

52.32%

F

2.08%

74.70

9512

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

PAY

-68.92%

C

-2.08%

17.39

194

RCII

-46.18%

D

-1.13%

9.09

3173

DPS

-38.40%

B

-0.03%

0.79

91539

TTD

-38.13%

C

-1.85%

84.19

15111

USG

-37.30%

C

0.66%

6.32

1083

VMW

-35.52%

C

0.81%

45.45

109873

PTCT

-34.46%

F

-0.01%

61.11

3541

HRTX

-33.74%

F

-4.08%

9.09

10019

MSG

-32.55%

C

0.73%

99.21

32760

SRE

-32.51%

C

-2.86%

64.82

14400

CAVM

-29.79%

D

-1.13%

35.18

4910

SNAP

-27.52%

F

-2.40%

86.56

66937

OCLR

-26.31%

D

0.55%

5.93

444

SBUX

-25.98%

B

1.40%

96.84

525974

VRTX

-25.52%

C

-0.96%

43.08

49716

NKTR

-25.11%

D

-3.37%

73.12

29282

ATHN

-23.87%

C

-4.02%

41.11

14184

FOSL

-23.62%

D

-1.50%

79.05

8140

DXC

-22.33%

B

-1.48%

76.19

14767

INFN

-21.89%

F

-2.27%

89.72

347

PF

-19.62%

B

-4.15%

1.58

38169

SRPT

-19.30%

F

-3.23%

45.45

104065

CMG

-18.91%

D

-0.29%

64.82

536984

THS

-18.12%

D

2.08%

76.28

757