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Midday Volatility Report

Jul 16, 2018

Commentary:

Equities are in the red as the Trump/Putin summit occurs. Energy continues last week’s move lower. Currently, the S&P 500 is -.16%, the Nasdaq -.13%, and the Russell -.52% on weakness in Biotech (XBI -1.4%) and Energy (XOP -2.6%, XLE -1.5%) with WTI crude oil price -3.9% after last week’s reports of a possible SPR release. Bonds are lower as well with TLT -.6% and the 10- year yield rising to 2.862%. Gold price is modestly lower with GLD -.16%. Volatilities are in the green on the move lower with the VIX +3.8% to 12.64, RVX +3% to 15.22, and VXN +2% to 17.26.

 

ETF 30d volatility changes

SPY:        -3%

IWM:      -2%

QQQ:      -1%

 

Bullish Flow: 

MSFT Seller 12,500 Sep 95 puts to Buy 12,500 Sep 105 – 110 call spread

EPC Buyer 5,000 Aug 60 calls

AA Buyer 4,000 Aug 50 calls

FB Seller 8,902 Jul 205 calls to Buy 10,794 Sep 215 calls (rolls up)

TGT Seller 12,000 Jul 70 calls to Buy 12,000 Jan19 72.5 calls (rolls up and out)

JCP Seller 12,500 Jan19 2.5 puts

CCJ Buyer 8,000 Jan 11 calls tied to stock

ZEN Buyer 5,000 Jan19 70 – 80 call spreads

P Buyer 12,000 Jan19 5 calls

MS Seller 10,000 Jul 49.5 calls to Buy 10,000 Aug 50 calls (rolls up and out)

EEM Seller 12,000 Aug 44-45 1x3 call spread

EEM Seller 47,900 Jul 45 – Sep 44 put spread collects $157.5k

FOXA Buyer 3,240 Aug 48-50 call spread to sell the 46 puts in repeat action

 

 

Bearish Flow:

TSRO 5,100 Aug 35 puts trade

SNAP 8,000 Aug 15 puts trade

QQQ Seller 30,000 Aug 144 puts to Buy 30,000 Sep 28th 144 puts (rolls out)

VIX Buyer 25,000 Aug 22nd 20 calls

ENDP Seller 7,000 Jan20 15 calls

HBI Buyer 5,000 Aug 21-19 1x2 put spread to sell 3,000 Aug 22 puts to roll down

 

 Upcoming Earnings:

On Mobile/Tablet scroll to the right

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

Average Daily Vega

NFLX

7/16/2018

8.5

8.5

0.3%

C

3458894

ADTN

7/17/2018

6.5

4.7

39.7%

F

603

CMA

7/17/2018

2.6

2.5

1.8%

B

14889

CSX

7/17/2018

3.2

4.2

-22.8%

B

53877

FHN

7/17/2018

3.0

1.2

152.1%

D

3088

FNF

7/17/2018

2.4

2.1

13.4%

C

303

GS

7/17/2018

1.6

2.2

-29.7%

B

625584

HCSG

7/17/2018

7.7

5.1

52.5%

D

257

IBKR

7/17/2018

4.3

2.7

57.6%

C

7400

JNJ

7/17/2018

1.7

2.5

-31.9%

C

247070

MLNX

7/17/2018

6.2

3.9

59.9%

D

3621

MRTN

7/17/2018

1.7

3.8

-56.8%

C

2

OMC

7/17/2018

3.8

2.8

36.7%

C

36399

PGR

7/17/2018

2.7

1.9

39.9%

A

6596

PLD

7/17/2018

1.9

2.2

-15.4%

C

4474

PNFP

7/17/2018

2.6

2.3

12.8%

C

302

SCHW

7/17/2018

2.3

1.4

65.7%

C

45490

UAL

7/17/2018

3.8

5.8

-34.9%

D

76320

UNH

7/17/2018

2.1

2.6

-19.5%

A

99720

WTFC

7/17/2018

2.6

1.6

67.3%

C

1883

AA

7/18/2018

4.5

4.7

-3.8%

C

22213

ABT

7/18/2018

2.3

2.0

14.8%

B

45146

AXP

7/18/2018

2.8

3.7

-24.5%

B

85062

BMI

7/18/2018

5.9

7.6

-21.8%

C

7

CCI

7/18/2018

1.9

2.0

-6.2%

C

17092

CCK

7/18/2018

3.7

2.4

53.4%

C

2563

EBAY

7/18/2018

5.4

6.5

-16.7%

C

52096

GWW

7/18/2018

5.6

8.4

-33.2%

B

41898

IBM

7/18/2018

3.9

5.0

-21.6%

C

332887

KMI

7/18/2018

0.7

2.8

-76.4%

C

19695

LHO

7/18/2018

 

4.2

-100.0%

D

75

MS

7/18/2018

1.5

1.6

-5.2%

D

231384

MTB

7/18/2018

2.3

2.2

2.7%

B

6221

MTG

7/18/2018

3.9

3.3

17.4%

C

1087

NDLS

7/18/2018

13.5

7.2

88.2%

B

317

NTRS

7/18/2018

2.8

3.0

-4.6%

C

1720

PACW

7/18/2018

2.4

1.9

25.8%

C

413

PLXS

7/18/2018

3.5

5.9

-41.1%

C

69

PTC

7/18/2018

5.1

4.8

6.6%

C

2774

RECN

7/18/2018

5.5

6.9

-20.3%

B

10

SLG

7/18/2018

2.3

1.9

20.4%

C

2233

TCBI

7/18/2018

4.2

4.5

-5.6%

D

348

TXT

7/18/2018

4.1

3.8

8.0%

B

13854

UFPI

7/18/2018

3.3

5.3

-38.1%

C

139

UMPQ

7/18/2018

0.3

3.0

-91.5%

C

1337

URI

7/18/2018

4.6

5.7

-18.6%

B

72996

USB

7/18/2018

1.5

1.3

18.7%

C

42134

ADS

7/19/2018

5.5

5.0

9.2%

C

10929

ASB

7/19/2018

2.2

3.5

-36.3%

C

11

BBT

7/19/2018

2.3

2.1

12.4%

A

20299

BK

7/19/2018

3.0

3.3

-9.6%

C

22429

BX

7/19/2018

2.0

1.4

45.4%

D

115760

CE

7/19/2018

3.4

2.8

18.8%

B

2465

COF

7/19/2018

3.0

3.1

-4.2%

C

28791

CTAS

7/19/2018

4.2

4.2

1.8%

A

4060

DHR

7/19/2018

2.2

2.7

-19.3%

A

9727

DOV

7/19/2018

2.5

2.5

-0.8%

C

3836

DPZ

7/19/2018

5.7

5.1

10.9%

B

20959

ETFC

7/19/2018

3.1

2.4

28.8%

C

16440

EWBC

7/19/2018

2.8

3.2

-10.5%

C

476

EXPO

7/19/2018

5.1

4.3

18.1%

C

695

FITB

7/19/2018

2.5

1.8

40.0%

B

9343

GATX

7/19/2018

3.3

2.3

45.1%

D

1173

GPC

7/19/2018

2.9

3.8

-23.3%

C

4720

GTLS

7/19/2018

6.1

6.3

-4.5%

C

912

IIIN

7/19/2018

6.5

6.6

-2.0%

D

70

ISRG

7/19/2018

4.0

4.9

-17.8%

C

157990

KEY

7/19/2018

2.5

2.9

-14.5%

C

3560

LLNW

7/19/2018

12.9

9.3

38.6%

C

915

MBFI

7/19/2018

 

3.1

-100.0%

F

68

MSFT

7/19/2018

2.8

3.1

-8.3%

B

908664

NUE

7/19/2018

1.9

2.4

-20.7%

C

15846

PBCT

7/19/2018

2.0

1.9

2.6%

B

120

PM

7/19/2018

3.9

4.5

-15.0%

C

82951

POOL

7/19/2018

5.9

4.1

44.6%

B

1457

PPG

7/19/2018

2.6

2.6

1.0%

C

6299

RPM

7/19/2018

3.7

3.4

9.1%

B

4200

SBNY

7/19/2018

3.4

2.2

50.3%

C

812

SCHL

7/19/2018

1.7

3.7

-53.2%

C

158

SEIC

7/19/2018

4.9

4.0

20.6%

A

61

SKX

7/19/2018

14.2

16.9

-15.9%

D

13113

SNA

7/19/2018

4.1

4.8

-16.0%

B

4235

SRPT

7/19/2018

 

8.4

-100.0%

F

48047

SWKS

7/19/2018

5.6

5.8

-3.5%

C

30806

SYNT

7/19/2018

9.3

12.2

-23.5%

C

6034

TRV

7/19/2018

2.6

2.8

-5.1%

C

14886

TTS

7/19/2018

12.9

12.3

4.9%

F

244

UNP

7/19/2018

2.9

3.9

-25.7%

A

117889

WAL

7/19/2018

3.1

1.8

72.4%

C

1645

WBS

7/19/2018

4.0

3.0

34.0%

B

66

 

 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

IMMU

74.44%

F

0.11%

27.27

4151

PRSP

74.25%

D

-0.44%

25.00

1356

VER

73.70%

D

-3.98%

16.60

316

COTY

71.50%

F

-1.55%

86.17

2270

ISBC

71.12%

B

3.84%

36.36

1468

BURL

69.76%

A

-2.93%

25.30

17237

MAC

67.99%

D

1.58%

6.32

692

COG

64.43%

C

-3.05%

81.42

8206

DHI

63.11%

C

-2.62%

92.49

34347

NAVI

62.79%

D

-0.21%

37.55

197

TIF

61.90%

C

-1.88%

91.30

24130

TJX

61.54%

A

0.71%

22.13

12754

LBRDK

6.06E-01

B

-5.27%

41.11

1896

AOBC

59.55%

F

0.00%

32.02

1178

WATT

58.41%

D

-3.54%

48.62

5436

BIG

58.23%

D

-0.36%

63.64

6846

AZO

57.30%

B

-0.41%

13.44

69695

DSW

57.09%

C

2.30%

21.34

2148

WU

56.83%

A

0.50%

66.80

519

CZR

55.70%

D

9.75%

74.70

26629

UNFI

55.60%

C

-0.54%

0.00

890

ROST

54.78%

B

0.31%

24.90

4192

HDS

54.78%

B

-0.44%

12.25

4294

FIVE

54.73%

A

4.57%

85.38

13089

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

USG

-5.33E-01

C

0.11%

9.49

197

TTD

-43.70%

C

-0.44%

76.28

11955

PTCT

-35.94%

F

-3.98%

47.62

887

SNAP

-35.71%

F

-1.55%

60.08

63944

DXC

-35.11%

B

3.84%

52.38

15078

OCLR

-33.64%

D

-2.93%

2.77

3483

VMW

-32.81%

C

1.58%

50.59

91681

PAY

-31.37%

C

-3.05%

10.28

71

FOSL

-30.15%

D

-2.62%

64.82

8609

BIIB

-29.86%

C

-0.21%

97.23

361447

AVGO

-2.95E-01

A

-1.88%

78.26

729314

INFN

-29.42%

F

#REF!

73.52

296

S

-27.78%

D

-5.27%

1.19

2958

VRTX

-26.23%

C

0.00%

13.44

40085

CMG

-25.30%

D

-3.54%

26.48

298372

WMT

-24.96%

B

-0.36%

49.01

255914

LB

-23.51%

F

-0.41%

33.20

35480

ATHN

-23.38%

C

2.30%

54.55

13078

ACHC

-22.57%

C

0.50%

41.50

671

ARNC

-22.19%

D

9.75%

87.75

3585

SRE

-21.78%

C

-0.54%

60.08

6336

PI

-19.42%

F

0.31%

94.86

1169

THS

-19.38%

D

-0.44%

81.82

662

LL

-19.07%

D

4.57%

53.36

2110