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Midday Volatility Report

Jul 13, 2018

Commentary: Equities are little changed to higher with tech generally higher and financials continue to lag. Currently, the S&P is +.15%, the Nasdaq +.22%, and the Russell +.04%. Bonds are up slightly. Gold is -.38%. Emerging markets are mixed with continued strength in Brazil. Volatilities are mixed with the VIX -2% to 12.33, RVX -2% to 15.10, and VXN +.3% to 17.17. Option flow is mixed to slightly bullish overall.

 

ETF 30d volatility changes

SPY:        -3%

IWM:      -3%

QQQ:      -1%

 

Bullish Flow: 

CMCSA Seller 3,330 Jul 33 and 7,200 Jul 34 calls sold to Buy 4,200 Jul 35 calls (rolling up)

FOXA Seller 10,000 Aug 46 puts to Buy 10,000 Aug 48 – 50 calls spreads

SQ Seller 20,000 Sep 40 calls to Buy 20,000 Dec 55 calls (rolls ITM calls out and up)

EWZ Buyer 30,000 Aug 35 calls

AMD Seller 5,000 Jan19 12 puts

STNG Buyer 4,500 Oct 2 calls

ROKU 20,000 Oct 40 calls trade tied to stock

WMB Buyer 6,000 Jan19 30 calls

ON Buyer 15,700 Jan19 25 calls

 

 

 

Bearish Flow:

HLT Buyer 6,000 Aug 75 – 77.5 – 80 put flies

GLD 5,000 Sep 126 calls trade

GRPN Buyer 18,124 Aug 4.5 puts

FXI Buyer 14,000 Oct 40 puts

SYF 7,800 Aug 31 puts trade

SNBR Buyer 3,500 Aug 30 puts

GD 4,100 Buyer Aug 190 – 180 put spreads

CMCSA Buyer 14,000 Aug 31st 32.5 puts

PEGI Buyer 3,600 Dec 17.5 puts

F 10,000 Jul 27th 10.5 puts trade

BKLN Buyer 14,000 Jan19 23 puts

NFLX 15,000 Dec 270 – 350 call spreads trade likely sold. Rolled up long

 

 

Upcoming Earnings:

 

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

Average Daily Vega

BAC

7/16/2018

1.1

0.9

25.4%

C

942370

BLK

7/16/2018

1.7

1.9

-10.4%

A

62583

JBHT

7/16/2018

4.4

2.8

55.4%

B

6065

NFLX

7/16/2018

9.4

8.6

8.7%

C

3458894

ADTN

7/17/2018

6.0

4.7

29.4%

F

603

CMA

7/17/2018

2.7

2.6

4.0%

B

14889

CSX

7/17/2018

3.3

4.2

-21.8%

B

53877

FHN

7/17/2018

2.5

1.2

108.4%

D

3088

FNF

7/17/2018

2.2

2.1

4.9%

C

 

GS

7/17/2018

1.8

2.2

-18.4%

B

625584

HCSG

7/17/2018

6.5

5.1

28.5%

D

 

IBKR

7/17/2018

4.2

2.7

54.2%

C

7400

JNJ

7/17/2018

1.7

2.5

-32.8%

C

247070

MLNX

7/17/2018

6.4

3.9

64.2%

D

3621

MRTN

7/17/2018

6.0

3.8

55.4%

C

 

OMC

7/17/2018

3.7

2.8

30.7%

C

36399

PGR

7/17/2018

2.7

2.0

38.1%

A

6596

PLD

7/17/2018

1.4

2.2

-34.6%

C

4474

PNFP

7/17/2018

2.7

2.3

16.3%

C

 

SCHW

7/17/2018

2.4

1.4

74.2%

C

45490

UAL

7/17/2018

3.9

5.8

-32.4%

D

76320

UNH

7/17/2018

2.3

2.6

-12.8%

A

99720

WTFC

7/17/2018

2.9

1.7

71.0%

C

1883

AA

7/18/2018

4.4

4.7

-7.5%

C

22213

ABT

7/18/2018

2.2

2.0

8.9%

B

45146

AXP

7/18/2018

3.1

3.7

-16.2%

B

85062

BMI

7/18/2018

6.3

7.6

-17.0%

C

 

CCI

7/18/2018

1.7

2.0

-17.4%

C

17092

CCK

7/18/2018

3.6

2.4

49.8%

C

2563

EBAY

7/18/2018

5.4

6.6

-19.2%

C

52096

GWW

7/18/2018

5.7

8.0

-29.4%

B

41898

IBM

7/18/2018

3.9

5.0

-20.7%

C

332887

KMI

7/18/2018

 

2.9

-100.0%

C

19695

LHO

7/18/2018

13.6

4.2

226.2%

D

 

MS

7/18/2018

1.9

1.6

20.4%

D

231384

MTB

7/18/2018

2.4

2.2

7.0%

B

6221

MTG

7/18/2018

4.2

3.4

23.0%

C

1087

NDLS

7/18/2018

14.6

7.2

103.1%

B

 

NTRS

7/18/2018

2.7

3.0

-8.6%

C

1720

PACW

7/18/2018

2.8

1.9

49.8%

C

 

PLXS

7/18/2018

7.3

5.9

22.2%

C

 

PTC

7/18/2018

5.3

4.8

9.8%

C

2774

RECN

7/18/2018

5.7

7.0

-17.9%

B

 

SLG

7/18/2018

2.0

1.9

7.3%

C

2233

TCBI

7/18/2018

4.3

4.5

-3.3%

D

 

TXT

7/18/2018

4.1

3.8

8.6%

B

13854

UFPI

7/18/2018

15.3

5.6

174.6%

C

 

UMPQ

7/18/2018

2.1

2.9

-26.3%

C

1337

URI

7/18/2018

4.7

5.7

-16.8%

B

72996

USB

7/18/2018

1.6

1.3

20.4%

C

42134

ADS

7/19/2018

5.6

5.0

10.7%

C

10929

ASB

7/19/2018

5.3

3.4

57.8%

C

 

BBT

7/19/2018

2.5

2.0

20.7%

A

20299

BK

7/19/2018

2.9

3.3

-13.1%

C

22429

BX

7/19/2018

2.3

1.4

62.8%

D

115760

CE

7/19/2018

3.3

2.9

13.4%

B

2465

COF

7/19/2018

3.1

3.1

1.1%

C

28791

CTAS

7/19/2018

4.6

4.1

11.1%

A

4060

DHR

7/19/2018

2.1

2.7

-22.1%

A

9727

DOV

7/19/2018

2.7

2.5

7.5%

C

3836

DPZ

7/19/2018

5.6

5.2

7.4%

B

20959

ETFC

7/19/2018

3.5

2.4

42.7%

C

16440

EWBC

7/19/2018

3.4

3.2

8.2%

C

 

EXPO

7/19/2018

5.8

4.3

34.5%

C

695

FITB

7/19/2018

2.4

1.8

35.3%

B

9343

GATX

7/19/2018

3.7

2.3

59.5%

D

1173

GPC

7/19/2018

2.7

3.8

-28.7%

C

4720

GTLS

7/19/2018

6.3

6.3

-0.2%

C

912

HZO

7/19/2018

10.2

15.8

-35.1%

D

 

IIIN

7/19/2018

6.7

6.8

-1.9%

D

 

ISRG

7/19/2018

3.9

4.9

-19.5%

C

157990

KEY

7/19/2018

2.4

2.8

-15.6%

C

3560

LLNW

7/19/2018

13.7

9.3

47.4%

C

 

MBFI

7/19/2018

14.4

3.0

382.3%

F

 

MSFT

7/19/2018

2.9

3.1

-7.6%

B

908664

NUE

7/19/2018

1.9

2.4

-18.6%

C

15846

PBCT

7/19/2018

2.5

1.9

31.9%

B

 

PM

7/19/2018

3.7

4.4

-16.0%

C

82951

POOL

7/19/2018

6.0

4.1

47.0%

B

1457

PPG

7/19/2018

2.6

2.6

3.1%

C

6299

RPM

7/19/2018

3.3

3.4

-2.3%

B

4200

SBNY

7/19/2018

3.1

2.2

40.0%

C

812

SCHL

7/19/2018

11.8

3.7

221.9%

C

 

SEIC

7/19/2018

4.8

4.0

18.2%

A

 

SKX

7/19/2018

12.9

16.9

-23.6%

D

13113

SNA

7/19/2018

3.8

4.8

-21.7%

B

4235

SRPT

7/19/2018

 

8.4

-100.0%

F

48047

SWKS

7/19/2018

5.4

5.8

-6.6%

C

30806

SYNT

7/19/2018

9.8

12.2

-19.6%

C

6034

TRV

7/19/2018

2.6

2.8

-5.9%

C

14886

TTS

7/19/2018

13.7

12.3

11.5%

F

 

UNP

7/19/2018

2.9

3.9

-25.7%

A

117889

WAL

7/19/2018

2.8

1.8

55.8%

C

1645

WBS

7/19/2018

4.9

2.9

68.6%

B

 

 

 Volatility Standouts:

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

MAC

70.26%

D

-0.99%

7.91

695

LBRDK

67.89%

B

-0.74%

82.21

1914

PRSP

67.73%

D

0.17%

8.70

1463

ZAYO

64.32%

D

-1.03%

47.43

50857

BGCP

63.92%

D

-1.13%

98.81

3393

TIF

62.81%

C

1.68%

95.65

25534

TJX

62.01%

A

-6.02%

20.95

13495

AXTA

60.66%

D

-0.62%

50.59

5026

COTY

60.62%

F

2.47%

98.81

2093

COG

60.53%

C

1.48%

76.68

10075

BIG

60.39%

D

-1.57%

59.68

6490

WATT

59.32%

D

-0.80%

50.99

6066

ISBC

58.62%

B

0.22%

54.15

1138

XRX

58.57%

D

2.77%

95.65

18986

AOBC

57.10%

F

-0.17%

31.23

1116

DSW

56.45%

C

-0.83%

16.60

2238

NAVI

55.71%

D

1.85%

30.04

190

UNIT

53.90%

D

0.98%

28.85

8318

CTXS

53.80%

B

2.97%

33.99

5865

DHI

52.90%

C

5.73%

94.47

57766

BTU

52.35%

C

1.65%

54.15

3032

WSM

52.12%

C

-2.49%

45.45

12525

ALNY

52.08%

F

-2.18%

76.28

9878

ROST

5.19E-01

B

-0.21%

24.11

3844

 

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

TTD

-43.15%

C

-0.99%

71.54

12216

VMW

-35.99%

C

-0.74%

50.59

86743

PTCT

-35.82%

F

0.17%

44.05

1105

SNAP

-34.92%

F

-1.03%

59.68

64294

MSG

-34.75%

C

-1.13%

96.44

42573

DXC

-32.87%

B

1.68%

54.37

15186

VRTX

-32.59%

C

-6.02%

6.32

37864

USG

-32.18%

C

-0.62%

7.51

167

BIIB

-31.37%

C

2.47%

96.05

351786

PAY

-30.57%

C

1.48%

20.55

164

AVGO

-28.26%

A

-1.57%

79.45

568492

FOSL

-27.55%

D

-0.80%

66.01

9169

INFN

-27.50%

F

0.22%

66.40

308

EVHC

-26.37%

C

2.77%

5.14

24985

CMG

-24.32%

D

-0.17%

29.64

461799

SRE

-23.18%

C

-0.83%

59.68

10121

WMT

-22.71%

B

1.85%

54.55

241006

SRPT

-20.18%

F

0.98%

14.62

48047

ARNC

-19.95%

D

2.97%

86.56

3566

MCK

-19.89%

C

5.73%

68.77

62666

HRTX

-19.37%

F

1.65%

1.98

5243

PI

-18.85%

F

-2.49%

95.26

1338

AAP

-18.78%

C

-2.18%

29.25

6194

PBI

-18.43%

C

-0.21%

75.89

860