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Midday Volatility Report

Jul 06, 2018

Commentary:

Equities are well in the green and near highs for the day after a strong jobs report, and little new trade agitation with the S&P 500 currently +0.9%, the Russell +0.8% and the Nasdaq +1.3%. Biotech in particular is showing relative strength with IBB +3.2% and XBI +2.5%. Energy is strong today with WTI crude oil price +1.2% and energy ETF’s moving up with XOP +1.5% and XLE +0.75%. Volatilities are easing on the move higher in markets with VIX -10% to 13.52, RVX -5% to 15.96, and VXN -7% to 18.86.

 

 

ETF 30d volatility changes

SPY:        -8%

IWM:      -6%

QQQ:      -8%

 

Bullish Flow: 

FB Buyer 2,702 Jul 205 calls

CARS Buyer 2,500 Sep 35-40 1x2 call spread

NXPI Buyer 10,000 Jul 13th 119-124 call spread

XOP Buyer 16,250 Jul 43 – Aug 3rd 45 call spread

GE Buyer 10,000 Sep 15 calls

JD Buyer 5,100 Sep 41-43 call spread to sell 34 puts

VIPS Buyer 5,000 Nov 12 calls

FOXA Buyer 10,000 Oct 50-55 call spread to sell 47 puts

XLI Seller 12,786 Sep 71 puts

WFC Buyer 8,928 Aug 57.5 calls

 

Bearish Flow:

VXX Buyer 24,000 Aug 24th 47-65 call spread

EFA Seller 10,000 Jul 13-th Aug 68 call spread

T Seller 27,000 Jul 34 puts tied to 2.7M shares

SMH Buyers 10,000 Jul 13th 102 puts

F Buyer 10,000 Aug 12 – Dec 11 put spread

SPY Buyer 30,000 Jul 13th 261 puts

GDX Buyer 20,000 Dec 21.5 puts

EEM Buyer 20,000 Sep 41 – Jul 44 risk reversal

 

Upcoming Earnings:

On Mobile/Tablet scroll to the right

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

Average Daily Vega

HELE

7/9/2018

5.2

4.2

25.4%

C

688

AIR

7/10/2018

5.5

4.9

11.8%

C

 

PEP

7/10/2018

2.0

0.7

183.4%

C

115439

SMPL

7/10/2018

4.7

0.6

666.1%

C

 

WDFC

7/10/2018

5.1

3.9

29.6%

B

 

FAST

7/11/2018

5.2

4.5

15.7%

B

11021

MSM

7/11/2018

5.7

4.9

15.6%

B

 

OZRK

7/11/2018

3.3

2.3

46.7%

C

2074

CBSH

7/12/2018

3.9

2.6

50.5%

B

 

DAL

7/12/2018

3.1

2.2

43.0%

C

94369

C

7/13/2018

2.3

1.5

53.4%

C

673882

FRC

7/13/2018

3.8

2.7

42.1%

C

684

INWK

7/13/2018

8.1

5.4

49.5%

C

 

JPM

7/13/2018

2.2

1.5

47.7%

C

721145

PNC

7/13/2018

2.5

1.1

128.7%

C

35051

WFC

7/13/2018

2.3

1.9

19.6%

C

350903

BAC

7/16/2018

2.5

0.9

175.3%

C

1144338

BLK

7/16/2018

3.0

1.9

56.3%

A

68231

JBHT

7/16/2018

5.5

2.8

95.2%

B

3507

NFLX

7/16/2018

9.0

8.6

4.7%

C

4504512

AABA

7/17/2018

3.0

2.3

29.2%

A

197592

ADTN

7/17/2018

6.1

4.6

31.7%

F

614

CMA

7/17/2018

3.5

2.6

33.6%

B

18804

CSX

7/17/2018

4.0

4.1

-1.6%

B

67172

FHN

7/17/2018

2.3

1.2

91.1%

D

2851

FNF

7/17/2018

2.5

2.1

18.6%

C

502

GS

7/17/2018

2.8

2.2

24.6%

B

716842

HCSG

7/17/2018

10.1

4.9

106.0%

D

 

IBKR

7/17/2018

5.2

2.7

90.5%

C

6629

JNJ

7/17/2018

2.4

2.5

-2.6%

C

235633

MLNX

7/17/2018

6.6

3.9

68.4%

D

6658

MRTN

7/17/2018

5.4

3.9

39.2%

C

 

PGR

7/17/2018

3.2

2.0

61.9%

A

3051

PLD

7/17/2018

2.4

2.2

9.6%

C

3272

PNFP

7/17/2018

2.2

2.3

-5.6%

C

 

SCHW

7/17/2018

3.8

1.4

172.7%

C

31932

SNV

7/17/2018

2.3

1.6

47.4%

A

1806

UAL

7/17/2018

5.4

5.8

-7.7%

D

57398

UNH

7/17/2018

2.9

2.6

13.4%

A

113870

WTFC

7/17/2018

3.2

1.7

87.4%

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

MAC

71.95%

D

-3.35%

15.81

755

AOBC

65.68%

F

-1.77%

21.34

1983

ROST

6.42E-01

B

-1.97%

30.83

5701

ISBC

62.24%

B

-3.25%

98.42

1988

AZO

62.08%

B

0.02%

11.46

76166

DSW

61.51%

C

-0.01%

14.23

6707

UNFI

6.02E-01

C

-0.69%

5.53

1487

CZR

59.04%

D

-2.25%

87.75

9152

DG

57.43%

A

-1.13%

31.62

21781

LBRDK

56.39%

B

-5.39%

62.45

1838

PDCO

55.47%

F

-2.24%

81.42

3190

BTU

55.28%

C

-4.20%

60.08

1548

COTY

55.11%

F

4.86%

97.63

4487

FIVE

54.10%

A

0.08%

27.67

15835

PAH

54.01%

D

-1.38%

77.47

483

PRSP

53.42%

D

-3.95%

66.67

4227

GIII

53.08%

C

-2.03%

18.18

744

WATT

52.35%

D

-2.24%

58.10

6843

DISH

51.85%

B

-0.09%

91.70

14707

COST

51.66%

B

-1.26%

18.18

248952

LULU

51.49%

B

-4.23%

24.51

79141

CTXS

51.03%

B

-3.67%

51.78

13820

RH

50.15%

C

-3.34%

3.16

25811

XRX

50.11%

D

0.76%

98.81

25968

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

PAY

-67.03%

C

-3.35%

17.39

188

DPS

-41.90%

B

-1.77%

4.74

91819

TTD

-38.66%

C

-1.97%

83.79

13348

VMW

-37.49%

C

-3.25%

50.59

103278

USG

-35.03%

C

0.02%

6.72

783

PTCT

-34.90%

F

-0.01%

55.16

1456

SRE

-33.94%

C

-0.69%

57.71

14508

MSG

-33.51%

C

-2.25%

98.81

40769

OCLR

-33.45%

D

-1.13%

8.70

515

HRTX

-32.23%

F

-5.39%

4.74

10018

SNAP

-30.39%

F

-2.24%

81.82

56624

CAVM

-28.45%

D

-4.20%

35.18

4846

PF

-28.30%

B

4.86%

1.98

37774

VRTX

-28.20%

C

0.08%

29.25

46009

SEP

-26.91%

D

-1.38%

69.57

961

ATHN

-25.93%

C

-3.95%

47.04

10228

INFN

-25.17%

F

-2.03%

97.63

504

DXC

-25.04%

B

-2.24%

71.83

14234

NKTR

-23.53%

D

-0.09%

76.68

29197

FOSL

-22.82%

D

-1.26%

68.77

7052

CMG

-20.23%

D

-4.23%

55.73

531773

SKX

-20.05%

D

-3.67%

94.86

14581

ATI

-18.85%

C

-3.34%

23.32

5180

SRPT

-18.59%

F

0.76%

53.36

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