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Midday Volatility Report

Jul 09, 2018

Commentary: Equities are well in the green today and are near highs with the S&P +.75%, the Russell +.4% and the Nasdaq +.4%. Strength is fairly well spread out, however Energy, Industrials, and Consumer Discretionary lead the way. In energy, crude itself is -.4% but energy ETFs are following equities higher with XOP +1.6% and XLE +1.2%. Gold is up as well +.38%. Bonds are lower with TLT -.52% and the 10-year yield rallying to 2.853%. Volatilities are lower with the VIX -4.4% to 12.78, VXN -1.6%, and RVX -2% to 15.02.

 

ETF 30d volatility changes

SPY:        -8%

IWM:      -5%

QQQ:      -5%

 

Bullish Flow: 

LB Seller 3,500 Jul 13th 35 puts to Buy 3,500 Jul 13th 37 calls

PAH Buyer 4,900 Jul 12.5 calls (likely closing a write)

SMH Buyer 10,000 Jul 109 – 112 call spreads

SGMS Buyer 3,750 Oct 50 – 70 call spreads

ENDP Seller 12,000 Jan 7.5 – 10 call spreads to Buy 6,000 Jan19 11 – 15 call spreads (rolls up and out)

XOP Seller 16,250 Jul 45 calls to Buy 16,250 Aug 47 calls

MET Buyer 5,000 Aug 45 calls

GM Buyer 7,989 Aug 43 calls

RF Seller 10,000 Jul 20 calls

 

 

 

 

Bearish Flow:

LC Buyer 11,700 Jan19 3.5 – 3 put stupids

VIX Seller 21,100 Jul 18th 19 calls to Buy 21,100 Aug 22nd 21 calls (rolls out and up)

SPY 31,000 Aug 10th 250 puts trade

SPY Buyer 15,500 Aug 10th 260 – 240 put spreads

IWO 20,000 Jul 210 – 200 put spreads rolled to 25,000 Aug 210 – 200 put spreads (appears to roll protection out)

HYG Seller 20,000 Aug 83 puts to Buy 20,000 Sep 82 puts

TLT Buyer 15,600 Aug 110 puts 

BABA Buyer 4,000 Jul 175 puts

IWM Buyer 25,000 Aug 165-158 5x6 put spread

T Buyer 17,000 Jan 2020 30-35 risk reversal

 

 

Upcoming Earnings:

 

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

WDFC

7/10/2018

6.8

3.9

75.4%

B

PEP

7/10/2018

1.9

0.7

169.6%

C

SMPL

7/10/2018

8.0

0.6

1204.8%

C

AIR

7/10/2018

4.9

4.9

0.9%

C

OZRK

7/11/2018

3.5

2.3

52.0%

C

FAST

7/11/2018

5.0

4.5

11.1%

B

MSM

7/11/2018

6.4

4.9

29.7%

B

CBSH

7/12/2018

5.7

2.6

120.9%

B

INWK

7/13/2018

10.5

5.4

95.3%

C

C

7/13/2018

1.8

1.5

25.5%

C

JPM

7/13/2018

1.8

1.5

20.4%

C

WFC

7/13/2018

1.8

1.9

-9.1%

C

PNC

7/13/2018

1.9

1.1

73.4%

C

FRC

7/13/2018

3.4

2.7

26.7%

C

NFLX

7/16/2018

8.1

8.6

-6.0%

C

BLK

7/16/2018

2.4

1.9

27.4%

A

BAC

7/16/2018

1.4

0.9

59.6%

C

JBHT

7/16/2018

4.7

2.8

65.5%

B

AABA

7/17/2018

 

2.3

-100.0%

A

CMA

7/17/2018

2.9

2.6

11.4%

B

PNFP

7/17/2018

6.0

2.3

162.9%

C

SNV

7/17/2018

2.3

1.6

47.8%

A

WTFC

7/17/2018

3.0

1.7

75.8%

C

GS

7/17/2018

1.9

2.2

-15.3%

B

IBKR

7/17/2018

4.7

2.7

72.7%

C

SCHW

7/17/2018

2.3

1.4

67.6%

C

PGR

7/17/2018

2.8

2.0

41.0%

A

FNF

7/17/2018

3.0

2.1

40.9%

C

UNH

7/17/2018

2.5

2.6

-3.6%

A

UAL

7/17/2018

4.4

5.8

-25.1%

D

HCSG

7/17/2018

5.0

4.9

2.7%

D

CSX

7/17/2018

3.3

4.1

-18.9%

B

MRTN

7/17/2018

6.6

3.9

69.5%

C

PLD

7/17/2018

1.7

2.2

-21.8%

C

ADTN

7/17/2018

5.9

4.6

27.4%

F

MLNX

7/17/2018

6.6

3.9

69.5%

D

UFPI

7/18/2018

12.7

5.6

128.7%

C

AA

7/18/2018

4.5

4.7

-4.1%

C

CCK

7/18/2018

3.5

2.4

47.8%

C

NDLS

7/18/2018

14.1

7.2

96.5%

B

EBAY

7/18/2018

5.2

6.6

-21.1%

C

KMI

7/18/2018

0.5

2.9

-81.4%

C

NTRS

7/18/2018

3.0

3.0

2.1%

C

MTB

7/18/2018

2.5

2.2

12.3%

B

PACW

7/18/2018

4.5

1.9

143.6%

C

SBNY

7/18/2018

4.1

2.2

83.5%

C

TCBI

7/18/2018

6.4

4.5

42.4%

D

USB

7/18/2018

1.8

1.3

36.4%

C

UMPQ

7/18/2018

3.4

2.9

16.0%

C

MS

7/18/2018

2.0

1.6

25.6%

D

AXP

7/18/2018

3.2

3.7

-13.8%

B

SLM

7/18/2018

5.0

4.5

10.7%

C

ABT

7/18/2018

2.4

2.0

21.9%

B

TXT

7/18/2018

4.5

3.8

18.0%

B

RECN

7/18/2018

7.5

7.0

7.6%

B

URI

7/18/2018

4.7

5.7

-18.1%

B

GWW

7/18/2018

6.5

8.0

-19.4%

B

CCI

7/18/2018

1.7

2.0

-15.3%

C

LHO

7/18/2018

15.0

4.2

259.6%

D

SLG

7/18/2018

1.9

1.9

3.2%

C

MDSO

7/18/2018

8.1

7.0

16.6%

D

IBM

7/18/2018

3.5

5.0

-28.5%

C

PTC

7/18/2018

4.9

4.8

3.1%

C

PLXS

7/18/2018

4.1

5.9

-30.2%

C

BMI

7/18/2018

6.4

7.6

-16.3%

C

 

Volatility Standouts:

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

AXTA

62.17%

D

-3.52%

82.21

5311

TIVO

55.71%

B

-1.48%

95.26

4219

BURL

54.86%

A

-2.30%

73.52

22044

HAIN

46.72%

C

-2.11%

70.36

17459

TIF

45.42%

C

-1.30%

17.39

21715

TJX

43.70%

A

-2.19%

49.01

17133

DNKN

43.49%

A

-1.62%

58.50

7914

UNFI

38.58%

C

-5.17%

4.35

1412

MAC

38.52%

D

1.02%

15.81

659

COG

38.27%

C

-1.47%

88.54

11967

IMMU

37.39%

F

-1.54%

74.31

6009

XRX

36.30%

D

-2.75%

97.63

25185

DISH

35.79%

B

-2.38%

90.91

14787

BIG

35.35%

D

1.51%

73.12

6908

CTXS

34.85%

B

-2.70%

41.90

7656

AOBC

34.41%

F

-3.19%

22.13

1294

SEAS

34.32%

D

-0.81%

66.80

4825

PRSP

33.38%

D

-1.45%

42.11

3547

FL

33.23%

C

0.29%

20.16

21613

LBRDK

32.62%

B

0.09%

62.06

1837

BTU

32.46%

C

-2.59%

64.43

1547

CSOD

32.43%

C

-0.62%

69.57

4536

PWR

32.25%

C

0.86%

54.94

1273

PSA

32.14%

C

-2.02%

96.84

55489

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

RCII

-72.00%

D

-3.52%

3.16

2293

DPS

-48.22%

B

-1.48%

0.40

94944

PF

-45.29%

B

-2.30%

1.98

28518

USG

-45.00%

C

-2.11%

6.32

642

VMW

-44.35%

C

-1.30%

50.20

98239

PTCT

-42.78%

F

-2.19%

52.78

1278

OCLR

-40.50%

D

-1.62%

3.95

787

TTD

-40.22%

C

-5.17%

79.05

13889

MSG

-38.94%

C

1.02%

97.63

40980

SRE

-38.73%

C

-1.47%

64.82

13866

VRTX

-37.45%

C

-1.54%

14.62

46723

BIIB

-35.89%

C

-2.75%

94.86

206518

SEP

-33.68%

D

-2.38%

72.73

1000

SNAP

-33.42%

F

1.51%

75.49

51856

SRPT

-29.42%

F

-2.70%

24.90

65478

DXC

-29.05%

B

-3.19%

70.24

13335

NKTR

-28.47%

D

-0.81%

77.47

28339

CMG

-28.12%

D

-1.45%

47.04

500748

FOSL

-27.96%

D

0.29%

64.43

6295

INFN

-27.34%

F

0.09%

77.08

417

MCK

-26.91%

C

-2.59%

67.59

56185

ILG

-26.09%

C

#REF!

8.30

1330

ATI

-25.51%

C

0.86%

22.53

5250

ATHN

-25.09%

C

-2.02%

40.32

10199