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Midday Volatility Report

Jul 10, 2018

Commentary: Equities are mixed in general, with emerging markets, financials, and biotechs lagging with the S&P currently +0.27%, the Nasdaq +0.17%, and the Russell -0.5%. Financials are in the red with XLF -0.25% and KRE -1%. In biotech XBI is -0.22% and IBB -0.32%. Energy is little changed after being up earlier in the day with WTI crude oil price -0.1% and XOP unchanged , though XLE is outperforming +.7%. Volatilities are little changed with VIX -0.8% to 12.59, RVX +2.5% to 15, and VXN +.5% to 18.01. Bonds are little changed, and gold price is down slightly.

 

ETF 30d volatility changes

SPY:        -2%

IWM:      +1%

QQQ:      unch

 

Bullish Flow: 

CZR 20,000 Aug 12 – 13 1x2 call spreads

XOP Seller 16,250 Aug 3rd 45 calls to Buy 16,250 Aug 3rd 47 calls (rolls up)

XLE Seller 5,000 Jul 75 calls to Buy 7,500 Aug 79 calls (rolls up and out)

LPLA Buyer 3,500 Aug 70 – 75 1x2 call spreads

BP 8,600 Oct 50 calls trade

GRPN 2,600 Oct 4.5 calls trade

UNIT Seller 6,500 Feb19 15 puts

XLU Seller 20,000 Aug 48 puts

APC Seller 5,500 Aug 75 puts

AAPL Seller 11,300 175 – 165 put spreads to Buy 11,300 Aug 175 – 165 put spreads and Sell 8,750 Aug 205 calls

SPB Buyer 2,000 Aug 90 – 95 1x2 call spreads

WFC Buyer 10,000 Sep 60 calls

HYG 25k Aug-Sep 82 put spread trades appears sold

 

 

 

Bearish Flow:

P 10,058 Aug 9 puts trade

VIX 25,000 Dec 19th 47.5 calls trade

XRT Buyer 10,332 Aug 49 puts

PG 10,000 Aug 80 puts trade

FEZ Buyer 10,000 Nov 37 puts

KO Seller 10,000 Aug 45 calls

AXL Seller 4625 Jan19 10 put to Buy 5,500 Jan20 8 puts

XRT Buyer 13,155 Aug 48 puts

EFA Seller 23,100 Sep 68-61 put spread to buy 24,500 Dec 68-61 put spread

 

 

Upcoming Earnings:

 

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

Average Daily Vega

AIR

7/10/2018

6.9

4.9

40.8%

C

 

WDFC

7/10/2018

6.4

3.9

63.2%

B

727

FAST

7/11/2018

5.2

4.5

15.3%

B

15808

MSM

7/11/2018

6.1

4.9

25.3%

B

660

OZRK

7/11/2018

3.0

2.3

33.2%

C

2000

CBSH

7/12/2018

7.0

2.6

169.7%

B

 

DAL

7/12/2018

3.2

2.2

47.6%

C

105197

C

7/13/2018

1.8

1.5

21.6%

C

638983

FRC

7/13/2018

3.0

2.7

13.2%

C

581

INWK

7/13/2018

8.4

5.4

55.1%

C

 

JPM

7/13/2018

1.2

1.5

-19.2%

C

713985

PNC

7/13/2018

1.9

1.1

74.5%

C

35347

WFC

7/13/2018

1.8

1.9

-8.3%

C

383867

BAC

7/16/2018

 

0.9

-100.0%

C

1159070

BLK

7/16/2018

1.6

1.9

-15.7%

A

74177

JBHT

7/16/2018

4.2

2.8

47.1%

B

4610

NFLX

7/16/2018

8.1

8.6

-5.6%

C

4230485

AABA

7/17/2018

 

2.3

-100.0%

A

201163

ADTN

7/17/2018

6.1

4.6

31.9%

F

631

CMA

7/17/2018

2.7

2.6

1.9%

B

18449

CSX

7/17/2018

2.7

4.1

-33.3%

B

51214

FHN

7/17/2018

2.4

1.2

103.9%

D

2919

FNF

7/17/2018

2.5

2.1

16.9%

C

 

GS

7/17/2018

1.5

2.2

-33.4%

B

681810

HCSG

7/17/2018

7.1

4.9

44.2%

D

 

IBKR

7/17/2018

4.4

2.7

62.1%

C

6623

JNJ

7/17/2018

1.3

2.5

-46.1%

C

254907

MLNX

7/17/2018

6.0

3.9

54.7%

D

2749

MRTN

7/17/2018

7.0

3.9

79.4%

C

 

PGR

7/17/2018

2.6

2.0

34.2%

A

3365

PLD

7/17/2018

1.4

2.2

-37.0%

C

4729

PNFP

7/17/2018

2.4

2.3

5.9%

C

 

SCHW

7/17/2018

1.5

1.4

9.1%

C

44043

UAL

7/17/2018

4.2

5.8

-28.3%

D

57880

UNH

7/17/2018

2.1

2.6

-17.3%

A

105872

WTFC

7/17/2018

2.5

1.7

45.2%

C

 

AA

7/18/2018

3.4

4.7

-27.8%

C

26553

ABT

7/18/2018

1.9

2.0

-1.7%

B

40313

AXP

7/18/2018

3.0

3.7

-19.6%

B

117744

BMI

7/18/2018

6.4

7.6

-16.3%

C

 

CCI

7/18/2018

1.6

2.0

-21.8%

C

17699

CCK

7/18/2018

3.7

2.4

57.0%

C

1268

EBAY

7/18/2018

5.2

6.6

-21.5%

C

76208

GWW

7/18/2018

6.2

8.0

-23.3%

B

32325

IBM

7/18/2018

3.6

5.0

-28.4%

C

368885

KMI

7/18/2018

 

2.9

-100.0%

C

22218

LHO

7/18/2018

13.2

4.2

215.4%

D

 

MS

7/18/2018

1.4

1.6

-11.2%

D

265537

MTB

7/18/2018

1.7

2.2

-24.9%

B

8578

MTG

7/18/2018

2.7

3.4

-22.0%

C

 

NDLS

7/18/2018

13.9

7.2

93.4%

B

 

NTRS

7/18/2018

2.3

3.0

-21.4%

C

2595

PACW

7/18/2018

2.7

1.9

42.4%

C

 

PLXS

7/18/2018

7.0

5.9

17.6%

C

 

PTC

7/18/2018

5.1

4.8

6.7%

C

1825

RECN

7/18/2018

5.7

7.0

-19.2%

B

 

SBNY

7/18/2018

2.9

2.2

27.5%

C

743

SLG

7/18/2018

1.4

1.9

-26.6%

C

2409

TCBI

7/18/2018

4.2

4.5

-5.4%

D

 

TXT

7/18/2018

4.0

3.8

5.3%

B

23685

UFPI

7/18/2018

12.8

5.6

131.0%

C

 

UMPQ

7/18/2018

2.9

2.9

0.2%

C

 

URI

7/18/2018

4.8

5.7

-15.5%

B

74430

USB

7/18/2018

0.9

1.3

-32.2%

C

56485

 

 Volatility Standouts:

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

HAIN

72.29%

C

-1.78%

67.06

11763

TJX

69.71%

A

-2.64%

23.02

15670

UNFI

69.55%

C

-3.87%

3.17

1326

TIF

67.39%

C

2.53%

16.67

21853

COG

65.59%

C

-1.28%

85.32

8265

DNKN

65.34%

A

-4.15%

44.84

7893

AOBC

65.00%

F

0.78%

25.40

1210

PRSP

64.82%

D

-1.29%

25.00

2676

MAC

64.75%

D

0.89%

8.33

879

AXTA

61.43%

D

-1.62%

39.29

5203

COL

59.36%

A

-1.06%

61.51

5757

DSW

59.11%

C

-1.80%

18.25

3501

LBRDK

58.12%

B

-0.02%

63.10

1919

DG

57.06%

A

-3.57%

13.49

19709

ROST

56.56%

B

-0.12%

14.29

5321

BTU

56.08%

C

-3.02%

61.90

1154

BIG

55.14%

D

-1.06%

64.29

6993

CZR

54.25%

D

5.25%

72.62

26169

RCII

53.74%

D

-1.71%

0.79

2893

RH

52.80%

C

1.53%

3.97

24377

COST

52.72%

B

-1.28%

6.75

231489

COTY

52.55%

F

1.58%

76.98

2872

CTXS

50.67%

B

-1.77%

35.71

7137

AZO

50.41%

B

4.58%

11.11

70593

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

PAY

-63.47%

C

-1.78%

20.63

141

TTD

-41.35%

C

-2.64%

65.87

13905

VMW

-39.73%

C

-3.87%

49.21

85642

OCLR

-35.96%

D

2.53%

2.78

880

SNAP

-35.05%

F

-1.28%

63.89

62123

MSG

-34.75%

C

-4.15%

97.22

41728

SRE

-34.72%

C

0.78%

61.90

13568

VRTX

-32.90%

C

-1.29%

15.87

43885

USG

-32.45%

C

0.89%

7.14

627

BIIB

-32.22%

C

-1.62%

94.05

281970

SEP

-32.01%

D

-1.06%

71.43

1011

DXC

-30.10%

B

-1.80%

65.34

20852

PTCT

-30.10%

F

-0.02%

49.00

1190

EVHC

-29.43%

C

-3.57%

4.76

54590

FOSL

-28.18%

D

-0.12%

58.73

6098

INFN

-27.61%

F

-3.02%

73.41

373

MCK

-23.98%

C

-1.06%

54.76

56835

WMT

-23.91%

B

5.25%

49.21

325578

ILG

-23.88%

C

#REF!

0.00

960

CMG

-23.71%

D

1.53%

38.89

494153

NKTR

-22.88%

D

-1.28%

80.95

27530

SKX

-22.51%

D

1.58%

92.06

12612

CAR

-21.71%

C

-1.77%

63.10

40579

ATHN

-21.49%

C

4.58%

41.67

9902