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Midday Volatility Report

Jul 12, 2018

Commentary: Equities are bouncing following yesterday’s sell-off, though banks and energy are lagging. Currently, The S&P is +.66%, the Nasdaq is +1.26%, and the Russell is unchanged. Energy is a laggard today with WTI Crude -.9% and energy ETF’s lower – XOP -1.2% and XLE -.2%. Bonds are modestly lower. Gold is up +.5% with the Miner’s ETF GDX +1.2%. Emerging markets are bouncing strongly with EEM +1.5% led by Brazil +2.3% and China +1.8%. Volatilities are easing off of yesterday’s move higher with VIX -6% to 12.76, RVX -2% 15.57, and VXN -5% to 17.37.

 

ETF 30d volatility changes

SPY:        -6%

IWM:      -2%

QQQ:      -6%

 

Bullish Flow: 

MGM Seller 3,000 Sep 26 puts to Buy 3,000 Sep 34 calls

AZN Buyer 3,000 Aug 37.5 calls

PAGS 10,000 Nov 25 – 30 call spreads trade

DHI 12,500 Jul 27th 42.5 calls trade

VIPS 4,500 Jan12 calls trade

WFT Seller 10,000 Jan20 2.5 puts

GILD Seller 2,250 Aug 72.5 puts to buy 3,600 Nov 82.5-90 ratio call spread

 

 

Bearish Flow:

FOX Seller 10,000 Jul 50 calls to Buy 10,000 Jul 46 puts

EEM 10,000 Dec 44 – 42 put spreads trade

AAPL 2600 Jan19 115 puts trade

JCP 15,000 Jul 3 puts trade

XRT Buyers 15,200 Aug 47 puts we continue to see bearish activity into earnings season

 

Upcoming Earnings:

 

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

Average Daily Vega

C

7/13/2018

2.1

1.5

43.6%

C

563519

FRC

7/13/2018

3.2

2.7

19.3%

C

729

JPM

7/13/2018

1.8

1.5

17.3%

C

665312

PNC

7/13/2018

2.1

1.1

84.7%

C

32934

WFC

7/13/2018

2.6

1.9

32.3%

C

390533

BAC

7/16/2018

1.2

0.9

37.1%

C

916576

BLK

7/16/2018

1.9

1.9

-0.1%

A

68517

JBHT

7/16/2018

4.3

2.8

51.4%

B

5801

NFLX

7/16/2018

8.5

8.6

-1.2%

C

3679558

ADTN

7/17/2018

5.4

4.6

15.9%

F

581

CMA

7/17/2018

2.7

2.6

1.8%

B

16174

CSX

7/17/2018

3.1

4.1

-25.7%

B

54081

FHN

7/17/2018

3.3

1.2

178.1%

D

2931

FNF

7/17/2018

2.5

2.1

15.1%

C

 

GS

7/17/2018

2.0

2.2

-8.6%

B

659649

HCSG

7/17/2018

6.6

4.9

33.8%

D

 

IBKR

7/17/2018

4.6

2.7

70.3%

C

6732

JNJ

7/17/2018

1.7

2.5

-33.2%

C

233476

MLNX

7/17/2018

6.7

3.9

71.2%

D

2407

MRTN

7/17/2018

5.2

3.9

34.0%

C

 

OMC

7/17/2018

3.6

2.8

29.6%

C

37053

PGR

7/17/2018

2.9

2.0

48.0%

A

6115

PLD

7/17/2018

1.7

2.2

-22.7%

C

5598

PNFP

7/17/2018

6.8

2.3

198.1%

C

 

SCHW

7/17/2018

2.5

1.4

76.7%

C

43972

UAL

7/17/2018

4.7

5.8

-20.0%

D

77074

UNH

7/17/2018

2.3

2.6

-11.9%

A

99243

WTFC

7/17/2018

3.0

1.7

76.1%

C

 

AA

7/18/2018

4.1

4.7

-12.1%

C

22256

ABT

7/18/2018

2.3

2.0

14.9%

B

41565

AXP

7/18/2018

3.1

3.7

-16.6%

B

91529

BMI

7/18/2018

6.4

7.6

-15.3%

C

 

CCI

7/18/2018

1.6

2.0

-19.9%

C

17392

CCK

7/18/2018

3.8

2.4

58.7%

C

2555

EBAY

7/18/2018

5.1

6.6

-22.9%

C

52311

GWW

7/18/2018

6.0

8.0

-25.5%

B

33011

IBM

7/18/2018

4.1

5.0

-17.6%

C

328632

KMI

7/18/2018

0.4

2.9

-85.5%

C

22367

LHO

7/18/2018

12.6

4.2

200.1%

D

 

MS

7/18/2018

1.7

1.6

9.5%

D

236470

MTB

7/18/2018

2.0

2.2

-11.1%

B

8941

MTG

7/18/2018

3.6

3.4

3.9%

C

618

NDLS

7/18/2018

13.5

7.2

88.3%

B

 

NTRS

7/18/2018

2.7

3.0

-8.8%

C

1952

PACW

7/18/2018

3.1

1.9

67.7%

C

 

PLXS

7/18/2018

6.1

5.9

2.4%

C

 

PTC

7/18/2018

5.3

4.8

10.7%

C

2552

RECN

7/18/2018

6.8

7.0

-3.2%

B

 

SLG

7/18/2018

2.0

1.9

3.4%

C

2457

TCBI

7/18/2018

6.2

4.5

38.6%

D

 

TXT

7/18/2018

4.3

3.8

12.7%

B

16480

UFPI

7/18/2018

5.6

5.6

0.9%

C

 

UMPQ

7/18/2018

3.5

2.9

19.4%

C

1237

URI

7/18/2018

4.6

5.7

-19.4%

B

77120

USB

7/18/2018

1.3

1.3

-0.3%

C

37753

 

Volatility Standouts:

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
ZAYO 73.67% D -2.71% 48.62 44465
UNFI 72.88% C 0.32% 0.79 1363
ISBC 71.82% B -2.63% 69.57 528
TJX 67.53% A -1.39% 21.74 15244
COG 67.20% C 1.80% 87.75 10745
AVGO 66.34% A 2.04% 13.44 172007
DSW 62.33% C 1.65% 16.21 2362
PRSP 62.13% D -5.74% 31.82 1577
AXTA 61.70% D -0.14% 30.83 4955
TIF 61.66% C -2.69% 16.21 25781
BIG 60.51% D 0.34% 62.45 7066
CZR 59.13% D -3.05% 76.28 26030
WATT 57.34% D -2.01% 35.97 5828
AOBC 55.98% F -1.09% 30.83 1055
LBRDK 55.84% B -1.12% 52.17 1932
COTY 53.54% F -2.25% 85.77 2201
AZO 53.48% B -2.91% 14.23 72450
UNIT 53.48% D -0.19% 34.78 9650
BGCP 53.28% D -0.72% 94.07 3811
BTU 52.31% C -0.69% 66.40 2867
FIVE 52.31% A 1.04% 24.51 11137
ROST 51.82% B 7.22% 30.83 4789
RH 51.28% C -0.37% 7.91 28042
RCII 51.18% D 3.94% 94.47 2446

 

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
TTD -42.46% C -2.71% 75.49 12697
VMW -38.64% C 0.32% 49.41 86658
PTCT -37.16% F -2.63% 42.06 1066
SNAP -34.92% F -1.39% 61.26 64397
MSG -33.91% C 1.80% 98.02 42332
PAY -31.97% C 2.04% 18.97 151
DXC -31.93% B 1.65% 59.13 16483
PF -31.82% B -5.74% 1.98 6721
VRTX -31.73% C -0.14% 5.93 36598
BIIB -31.35% C -2.69% 97.23 340169
OCLR -28.17% D 0.34% 6.32 634
INFN -27.94% F -3.05% 65.61 293
EVHC -27.37% C -2.01% 4.35 36452
FOSL -27.02% D -1.09% 61.66 8170
CMG -25.03% D -1.12% 33.20 469257
SRE -24.52% C -2.25% 60.47 10215
SEP -23.39% D -2.91% 78.66 1013
WMT -23.01% B -0.19% 56.13 295670
THS -20.21% D -0.72% 79.05 583
MCK -20.05% C -0.69% 76.68 61401
NVRO -1.94E-01 D 1.04% 99.60 3819
SKX -19.37% D 7.22% 96.84 10896
SRPT -18.51% F -0.37% 15.42 51341
NRZ -18.49% D 3.94% 13.83 3406