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Midday Volatility Report

Jul 11, 2018

Commentary:

Equities are in the red across the board today as the trade war heats up more. Currently, the S&P 500 is -.65%, the Russell is -.52%, and the Nasdaq is -.57%. FANG names are outperforming with GOOG, NFLX, and AMZN all in the green. Energy is getting hit particularly hard with crude oil down 2.2% and energy ETF’s lower, XOP -1.3% and XLE -1.5%. Bonds are up slightly with TLT +.16%. Gold is -.77% lower. Volatilities are higher with VIX +7% to 13.58, RVX +3% to 15.83, and VXN +3% to 18.47.

 

ETF 30d volatility changes

SPY:        +8%

IWM:      +4%

QQQ:      +5%

 

Bullish Flow: 

HYG Seller 25,000 Aug 83 – Sep 81 put spread

BLL Seller 7,000 Aug 35 calls (appears to be closing) to Buy 14,000 Jan 40 calls

S Buyer 10,000 Jan19 6 calls

GLD Buyer 9,063 Sep 130 calls

MNST 5,600 Sep 60 calls trade

KORS Buyer 5,007 Aug 67.5 calls

PBR Buyer 5,000 Dec 14 – 17 call spreads

CPB 4,300 Nov 46 calls trade

BBD 19,176 Dec 8 calls trade

 

Bearish Flow:

GPRO Buyer 5,000 Aug 3rd 7 puts

TEVA Seller 3,000 Sep 20 puts to Buy 3,000 Dec 20 puts (rolls out)

VIX Buyer 40,854 Aug 22nd 29 calls

KR Buyer 5,300 Oct 29 puts

DE 11,409 Sep 145 calls trade appears to be a write

VRX Seller 24,374 Jul 18 calls to close

 

Upcoming Earnings:

On Mobile/Tablet scroll to the right

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

Average Daily Vega

OZRK

7/11/2018

3.4

2.3

49.0%

C

2160

CBSH

7/12/2018

7.3

2.6

182.0%

B

 

DAL

7/12/2018

3.7

2.2

68.7%

C

103688

C

7/13/2018

2.0

1.5

35.5%

C

612072

FRC

7/13/2018

3.1

2.7

17.5%

C

667

INWK

7/13/2018

9.7

5.4

79.3%

C

 

JPM

7/13/2018

1.6

1.5

5.8%

C

713032

PNC

7/13/2018

1.9

1.1

67.3%

C

35620

WFC

7/13/2018

2.1

1.9

9.2%

C

388162

BAC

7/16/2018

1.1

0.9

24.1%

C

1029516

BLK

7/16/2018

1.8

1.9

-7.0%

A

70255

JBHT

7/16/2018

4.4

2.8

55.8%

B

4360

NFLX

7/16/2018

8.7

8.6

0.4%

C

3864384

AABA

7/17/2018

1.0

2.3

-57.2%

A

205745

ADTN

7/17/2018

6.0

4.6

28.4%

F

582

CMA

7/17/2018

2.7

2.6

1.6%

B

17766

CSX

7/17/2018

3.0

4.1

-26.8%

B

54482

FHN

7/17/2018

2.5

1.2

115.0%

D

2904

FNF

7/17/2018

2.6

2.1

19.5%

C

 

GS

7/17/2018

1.8

2.2

-18.5%

B

672803

HCSG

7/17/2018

6.7

4.9

36.4%

D

 

IBKR

7/17/2018

4.4

2.7

61.7%

C

7216

JNJ

7/17/2018

1.8

2.5

-25.9%

C

239573

MLNX

7/17/2018

6.4

3.9

64.1%

D

2342

MRTN

7/17/2018

7.9

3.9

103.3%

C

 

PGR

7/17/2018

2.7

2.0

38.4%

A

3824

PLD

7/17/2018

1.5

2.2

-32.3%

C

5437

PNFP

7/17/2018

2.9

2.3

27.1%

C

 

SCHW

7/17/2018

2.1

1.4

54.0%

C

41090

UAL

7/17/2018

5.2

5.8

-11.3%

D

58039

UNH

7/17/2018

2.2

2.6

-16.5%

A

99049

WTFC

7/17/2018

2.9

1.7

72.8%

C

 

AA

7/18/2018

3.9

4.7

-16.2%

C

24140

ABT

7/18/2018

2.2

2.0

11.6%

B

39669

AXP

7/18/2018

3.0

3.7

-17.1%

B

92474

BMI

7/18/2018

6.2

7.6

-18.6%

C

 

CCI

7/18/2018

1.6

2.0

-21.8%

C

18004

CCK

7/18/2018

3.7

2.4

54.5%

C

2514

EBAY

7/18/2018

5.2

6.6

-21.7%

C

58827

GWW

7/18/2018

6.4

8.0

-20.3%

B

31099

IBM

7/18/2018

4.3

5.0

-13.1%

C

314011

KMI

7/18/2018

 

2.9

-100.0%

C

23628

LHO

7/18/2018

12.9

4.2

208.6%

D

 

MS

7/18/2018

1.7

1.6

11.9%

D

255535

MTB

7/18/2018

2.0

2.2

-12.0%

B

8799

MTG

7/18/2018

3.6

3.4

5.6%

C

 

NDLS

7/18/2018

14.7

7.2

104.5%

B

 

NTRS

7/18/2018

2.6

3.0

-10.5%

C

2330

PACW

7/18/2018

2.9

1.9

55.2%

C

 

PLXS

7/18/2018

4.2

5.9

-29.0%

C

 

PTC

7/18/2018

4.8

4.8

0.2%

C

1954

RECN

7/18/2018

8.4

7.0

19.5%

B

 

SBNY

7/18/2018

2.5

2.2

11.1%

C

880

SLG

7/18/2018

2.0

1.9

5.4%

C

2222

TCBI

7/18/2018

4.2

4.5

-5.7%

D

 

TXT

7/18/2018

4.3

3.8

12.3%

B

16304

UFPI

7/18/2018

11.5

5.6

107.2%

C

 

UMPQ

7/18/2018

3.1

2.9

7.9%

C

1238

URI

7/18/2018

4.8

5.7

-15.8%

B

70217

USB

7/18/2018

1.1

1.3

-11.6%

C

49388

 

 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

73.92%

D

1.59%

5.93

843

TIF

73.56%

C

0.24%

8.70

24913

IMMU

71.96%

F

2.63%

64.82

4843

AXTA

71.28%

D

6.32%

32.41

4920

UNFI

71.16%

C

-0.34%

1.98

1289

TJX

70.07%

A

-1.18%

19.37

14233

AOBC

68.51%

F

1.17%

26.88

1149

RH

68.35%

C

1.25%

2.37

23552

FWONK

67.50%

D

1.96%

0.82

754

COG

65.91%

C

5.76%

84.98

8014

CZR

65.33%

D

3.14%

72.73

24830

BTU

63.31%

C

1.33%

56.13

1176

BIG

61.65%

D

-5.47%

64.03

7022

DSW

60.95%

C

1.61%

19.76

2734

WSM

60.92%

C

4.45%

26.88

12557

ROST

60.18%

B

3.76%

17.00

4977

ZAYO

59.14%

D

1.59%

39.92

41714

AZO

59.04%

B

2.65%

11.86

65570

CARS

57.51%

D

2.68%

54.15

9881

FL

57.17%

C

1.94%

9.49

20662

PRSP

57.01%

D

-0.51%

9.52

2528

BGCP

53.84%

D

0.76%

96.05

3820

COST

53.78%

B

4.21%

3.56

238692

WATT

53.59%

D

0.12%

39.13

5920

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

TTD

-42.05%

C

1.59%

75.89

13458

VMW

-37.70%

C

0.24%

49.41

86735

PTCT

-36.33%

F

2.63%

38.10

1140

PAY

-35.68%

C

6.32%

17.79

132

SNAP

-33.86%

F

-0.34%

62.85

63753

SRE

-33.83%

C

-1.18%

56.52

13060

VRTX

-33.23%

C

1.17%

4.74

39346

MSG

-32.99%

C

1.25%

97.23

42085

BIIB

-32.66%

C

1.96%

95.26

328423

OCLR

-32.08%

D

5.76%

3.95

828

EVHC

-30.15%

C

3.14%

4.35

40702

DXC

-30.10%

B

1.33%

56.35

17843

INFN

-27.50%

F

-5.47%

66.40

350

FOSL

-24.78%

D

1.61%

62.45

6247

CMG

-24.52%

D

4.45%

30.04

498345

NKTR

-22.37%

D

3.76%

72.33

22714

SEP

-21.64%

D

1.59%

71.94

1042

ATHN

-21.10%

C

2.65%

49.01

10088

WMT

-20.66%

B

2.68%

46.64

303362

ILG

-19.87%

C

1.94%

0.40

201

SRPT

-19.53%

F

-0.51%

13.04

56671

SKX

-18.71%

D

0.76%

90.91

10278

HRTX

-18.08%

F

4.21%

2.77

5957

THS

-17.46%

D

0.12%

79.45

616