blog

Latest from the Quantamize Blog

Midday Volatility Report

Jul 17, 2018

Commentary:

Equities started the day in the red as Netflix earnings report disappointed, but stocks have since bounced and now are generally in the green with the S&P +.27%, the Russell +.38%, and the Nasdaq +.23%. NFLX itself was down over 10% earlier but has bounced back and is now down only 21 points or -5.4%. Energy continues its near-term weakness with oil -.75% and energy ETF’s lower, XOP -.23% and XLE -.28%. Gold price and Silver price continue to make lows with GLD -1.1% and SLV -1.05%. Volatilities are lower with VIX -7% to 11.95, RVX -5% to 14.29, and VXN -5% to 16.87.

 

ETF 30d volatility changes

SPY:        -6%

IWM:      -6%

QQQ:      -5%

 

Directional:

CZR Buyer 5,000 Jul 27th 11.5 calls (similar to yesterday’s flow; Earnings 8/2; ref. 11.65)

PAGS Seller 9,000 Aug 30 spreads (closing) to Buy 9,000 Aug 25 calls (rolls down, ref. 26.90)

BMY Buyer 9,648 Aug 57.5 calls (ref. 56.57; off 16.5% from March high)

OMC Seller 8,700 Aug 80 calls to Buy 8,700 Aug 77.5 calls (rolls down, ref. 72.70)

NXPI Seller 7,000 Aug 85 puts to Buy 7,000 Oct 115 – 125 call spreads (ref. 102.02)

EWZ Buyer 20,000 Nov 42 – 45 call spreads (ref. 34.26)

MSFT Buyer 15,000 Aug 3rd 105 – 109 call spreads (ref. 104.79)

VZ Buyer 19,000 Jan 55 calls

XLF Buyer 38,951 Aug 28 calls

 

Earnings Plays:

WYNN Buyer 3,000 Aug 165 calls (Earnings 7/25, ref. 164.05)

ZION Buyer 4,200 Aug 62.5 calls (Earnings 7/23, ref. 53.11)

 

Writes:

MGM Seller 6,330 Sep 36 calls (ref. 31.09)

SRE Seller 9,500 Oct 120 calls (ref. 115.82)

CPB Seller 5,000 Nov 46 calls (ref. 41.28)

 

Macro:

EEM Seller 25,000 Sep 39 puts (ref. 43.51)

 

Upcoming Earnings:

On Mobile/Tablet scroll to the right

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

Average Daily Vega

ADTN

7/17/2018

7.2

4.7

55.1%

F

611

CSX

7/17/2018

3.6

4.2

-12.7%

B

44875

FNF

7/17/2018

2.3

2.1

8.2%

C

248

HCSG

7/17/2018

6.7

5.1

31.3%

D

258

IBKR

7/17/2018

4.3

2.7

59.8%

C

7719

MLNX

7/17/2018

6.6

3.9

69.6%

D

3869

MRTN

7/17/2018

6.3

3.8

65.4%

C

3

PNFP

7/17/2018

2.9

2.3

27.7%

C

313

UAL

7/17/2018

4.1

5.8

-30.2%

D

85091

WTFC

7/17/2018

2.6

1.6

68.5%

C

1895

AA

7/18/2018

4.0

4.7

-14.9%

C

22089

ABT

7/18/2018

2.4

2.0

20.9%

B

48041

AXP

7/18/2018

3.0

3.7

-19.4%

B

83380

BMI

7/18/2018

6.4

7.6

-16.3%

C

8

CCI

7/18/2018

2.0

2.0

-3.2%

C

15021

CCK

7/18/2018

4.1

2.4

70.8%

C

2709

EBAY

7/18/2018

5.4

6.5

-17.5%

C

42807

GWW

7/18/2018

5.6

8.4

-33.2%

B

41792

IBM

7/18/2018

4.2

5.0

-15.9%

C

312220

KMI

7/18/2018

2.2

2.8

-19.9%

C

20677

LHO

7/18/2018

13.5

4.2

222.8%

D

76

MS

7/18/2018

1.8

1.6

14.1%

D

217122

MTB

7/18/2018

2.1

2.2

-4.1%

B

6447

MTG

7/18/2018

4.9

3.3

48.6%

C

1005

NDLS

7/18/2018

15.3

7.2

113.9%

B

331

NTRS

7/18/2018

2.7

3.0

-8.8%

C

2416

PLXS

7/18/2018

6.5

5.9

9.8%

C

59

PTC

7/18/2018

5.1

4.8

5.8%

C

3076

RECN

7/18/2018

7.2

6.9

4.6%

B

14

SLG

7/18/2018

2.3

1.9

21.9%

C

2819

TCBI

7/18/2018

4.1

4.5

-9.1%

D

362

TXT

7/18/2018

4.5

3.8

17.0%

B

12928

UFPI

7/18/2018

14.6

5.3

174.9%

C

170

UMPQ

7/18/2018

5.5

3.0

84.6%

C

1351

URI

7/18/2018

4.7

5.7

-17.5%

B

71410

USB

7/18/2018

1.5

1.3

18.1%

C

47681

ADS

7/19/2018

5.6

5.0

11.3%

C

10557

ASB

7/19/2018

6.7

3.5

90.6%

C

12

BBT

7/19/2018

2.1

2.1

3.4%

A

25149

BK

7/19/2018

2.8

3.3

-14.5%

C

23630

BX

7/19/2018

2.3

1.4

64.8%

D

109178

CE

7/19/2018

3.3

2.8

16.3%

B

2332

COF

7/19/2018

2.8

3.1

-7.5%

C

28105

CTAS

7/19/2018

4.3

4.2

3.8%

A

4278

DHR

7/19/2018

2.5

2.7

-9.1%

A

8054

DOV

7/19/2018

2.5

2.5

-0.7%

C

4361

DPZ

7/19/2018

5.5

5.1

6.2%

B

20931

ETFC

7/19/2018

3.0

2.4

24.5%

C

15664

EWBC

7/19/2018

3.0

3.2

-3.9%

C

443

EXPO

7/19/2018

5.2

4.3

21.2%

C

703

FITB

7/19/2018

2.3

1.8

29.0%

B

5375

GATX

7/19/2018

3.9

2.3

69.9%

D

1125

GPC

7/19/2018

2.8

3.8

-27.0%

C

6231

GTLS

7/19/2018

6.5

6.3

2.6%

C

974

IIIN

7/19/2018

6.8

6.6

3.0%

D

71

ISRG

7/19/2018

4.2

4.9

-12.9%

C

182533

KEY

7/19/2018

2.4

2.9

-18.2%

C

4020

LLNW

7/19/2018

16.0

9.3

72.1%

C

870

MBFI

7/19/2018

5.3

3.1

73.7%

F

38

MSFT

7/19/2018

3.2

3.1

2.1%

B

980500

NUE

7/19/2018

1.8

2.4

-22.9%

C

16147

PBCT

7/19/2018

2.1

1.9

12.5%

B

90

PM

7/19/2018

3.9

4.5

-13.8%

C

80799

POOL

7/19/2018

5.7

4.1

41.3%

B

1469

PPG

7/19/2018

2.9

2.6

12.6%

C

7028

RPM

7/19/2018

3.3

3.4

-3.1%

B

1495

SBNY

7/19/2018

3.3

2.2

46.4%

C

921

SCHL

7/19/2018

6.9

3.7

88.3%

C

149

SEIC

7/19/2018

4.8

4.0

18.8%

A

92

SKX

7/19/2018

14.5

16.9

-13.9%

D

22045

SNA

7/19/2018

4.3

4.8

-10.3%

B

6110

SRPT

7/19/2018

 

8.4

-100.0%

F

38429

SWKS

7/19/2018

5.5

5.8

-3.8%

C

32219

TRV

7/19/2018

2.6

2.8

-7.8%

C

11809

TTS

7/19/2018

13.6

12.3

10.7%

F

475

UNP

7/19/2018

3.0

3.9

-22.7%

A

118817

WAL

7/19/2018

3.8

1.8

114.1%

C

1660

WBS

7/19/2018

2.7

3.0

-10.3%

B

52

 

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

PRSP

74.40%

D

0.42%

16.00

1168

SGEN

72.31%

F

-0.67%

26.98

1986

COTY

68.27%

F

-3.31%

80.95

2044

TRCO

66.49%

C

-0.03%

95.63

43695

LBRDK

65.14%

B

3.99%

42.86

1896

DHI

62.12%

C

0.76%

86.11

28119

AOBC

61.57%

F

-0.35%

31.75

1197

DSW

60.77%

C

1.80%

19.84

1979

ROST

60.76%

B

0.67%

30.16

4005

AXTA

60.36%

D

-0.24%

34.52

5273

COG

60.19%

C

-3.42%

85.32

8608

TIF

60.11%

C

-1.06%

88.10

23111

FL

60.06%

C

4.11%

15.08

13358

WATT

59.98%

D

-2.18%

52.78

4840

TJX

59.23%

A

-1.13%

15.87

16714

UNIT

59.12%

D

0.00%

28.57

8794

UNFI

58.75%

C

-0.28%

0.79

862

AZO

57.78%

B

-0.54%

15.08

72744

SCG

57.28%

D

0.78%

36.90

776

BURL

56.64%

A

1.76%

20.24

14612

BTU

56.45%

C

2.05%

48.02

4840

BIG

55.48%

D

-1.15%

59.52

7317

XRX

53.54%

D

-2.34%

94.84

17829

HDS

52.38%

B

-2.55%

11.11

7399

On Mobile/Tablet scroll to the right

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

CA

-71.50%

B

0.42%

0.40

9884

TTD

-44.12%

C

-0.67%

69.05

11627

PTCT

-37.35%

F

-3.31%

45.82

970

DXC

-34.73%

B

-0.03%

53.78

15580

VMW

-33.63%

C

3.99%

51.59

93491

FOXA

-32.95%

C

0.76%

0.40

237418

AVGO

-31.74%

A

-0.35%

70.24

825347

SNAP

-31.32%

F

1.80%

76.98

68617

FOSL

-31.02%

D

0.67%

57.94

7617

USG

-29.76%

C

-0.24%

16.27

184

INFN

-28.77%

F

#REF!

83.73

411

NVRO

-28.49%

D

-1.06%

99.60

10755

PAY

-28.18%

C

4.11%

18.65

452

BIIB

-27.58%

C

-2.18%

98.81

375166

OCLR

-27.17%

D

-1.13%

5.56

3395

CMG

-25.50%

D

0.00%

24.21

291213

ARNC

-25.36%

D

-0.28%

92.46

8547

WMT

-24.78%

B

-0.54%

48.81

258772

LB

-23.23%

F

0.78%

9.52

37269

GGP

-22.45%

C

1.76%

1.19

10675

ATHN

-21.94%

C

2.05%

54.37

12822

PBI

-19.99%

C

-1.15%

90.48

790

LL

-19.48%

D

-2.34%

55.95

2715

SRPT

-19.07%

F

-2.55%

13.10

38155