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Midday Volatility Report

Jul 18, 2018

Commentary:

Equities are mixed today with weakness in tech, but strength in financials on the heels of earnings from Morgan Stanley, XLF +1.7% and KRE +1.2%. In equities the S&P 500 is +.19%, the Russell is unchanged, and the Nasdaq -.23%. Energy is mixed with Crude oil price +.22%, however energy stocks continue to underperform, XOP -.6% and XLE -.1%. Silver continues to move lower -.5% though was down 1% earlier this morning. Gold price is -.1%. Volatilities are little changed with VIX -1% to 11.95, VXN +1.4% to 16.95, and RVX -.4% to 13.98.

 

ETF 30d volatility changes

SPY:        -1%

IWM:      -2%

QQQ:      -1%

 

Directional:

AAL Seller 20,000 Aug 39 puts to Buy 20,000 Aug 36 puts (ref 38.99, rolls down, Earnings 7/26)

CZR Seller 10,000 Jan 10 puts to Buy 6,600 Jan 12 – 15 call spreads (ref 11.47)

ITB Buyer 10,000 Jul 27th 39.5 calls (ref 39.43)

BABA Buyer 3,000 Oct 205 – 220 call spreads (ref. 191.25)

HLT Buyer 7,000 Aug 85 – 90 call spreads (ref 82.93)

CPB Buyer 5,000 Aug 45 calls (ref 40.60)

BYD Buyer 6,000 Aug 40 – 42 1x2 call spreads (ref. 37.97)

FOXA Buyer 20,000 Oct 39 puts (ref. 46.67)

 

 

Earnings Plays:

MT Seller 10,000 Sep 28 puts to Buy 10,000 Sep 32 – 36 call spreads (Earnings 8/1, ref 30.66)

MSFT Buyer 15,000 Aug 3rd 109 – 110 call spreads (Earnings 7/19, ref. 105.05)

EXAS Buyer 5,000 Aug 3rd 65 – 60 puts spreads (Earnings 8/1, ref. 66.38)

ESRX Buyer 4,900 Nov 70 puts (Earnings 8/1, ref 78.69)

 

Vol Products:

VIX Seller 15,000 Sep 12 puts to Buy 15,000 Sep 17-21 call spreads (ref. 14.78)

 

 

 

Writes:

GM Buyer 10,000 Jul 41 puts to Sell 10,000 Aug 41 puts (rolls write, ref. 39.92)

 

Macro:

IYR Buyer 15,000 Jan 77 – 72 put spreads (ref. 80.15)

GLD Buyer 3,000 Oct 142 calls (ref. 116.11)

 

 

Financing Trades:

JD 5,618 Jul 38 RC trade (ref, 37.50)

JD 22,800 Aug 38 RC trade (ref 37.48)

AAPL 5,000 Sep 190 RC trade (ref 190.15)

HYG 20,000 Aug 95 RC trade (ref. 85.59)

NFLX 10,000 Aug 380 RC trade (ref 381.45)

 

 Upcoming Earnings:

 

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

Average Daily Vega

AA

7/18/2018

4.1

4.7

-12.5%

C

24039

AXP

7/18/2018

2.9

3.7

-20.2%

B

75581

BMI

7/18/2018

6.7

7.6

-11.2%

C

7

CCI

7/18/2018

2.0

2.0

-2.0%

C

14997

CCK

7/18/2018

4.4

2.4

84.3%

C

2929

EBAY

7/18/2018

5.9

6.5

-9.8%

C

40414

IBM

7/18/2018

4.3

5.0

-12.4%

C

312385

KMI

7/18/2018

2.4

2.8

-13.9%

C

21672

NDLS

7/18/2018

16.6

7.2

 

 

355

PLXS

7/18/2018

7.0

5.9

17.5%

C

53

PTC

7/18/2018

5.0

4.8

5.0%

C

6243

RECN

7/18/2018

8.9

6.9

29.5%

B

13

SLG

7/18/2018

2.5

1.9

30.6%

C

2303

TCBI

7/18/2018

4.3

4.5

-4.0%

D

411

UFPI

7/18/2018

6.9

5.3

29.9%

C

175

UMPQ

7/18/2018

7.6

3.0

157.0%

C

1874

URI

7/18/2018

4.8

5.7

-15.7%

B

76979

ADS

7/19/2018

5.0

5.0

-0.9%

C

15127

ASB

7/19/2018

7.9

3.5

124.7%

C

8

BBT

7/19/2018

2.2

2.1

3.9%

A

25441

BK

7/19/2018

2.7

3.3

-18.2%

C

23564

BX

7/19/2018

2.2

1.4

58.9%

D

108047

CE

7/19/2018

3.6

2.8

25.2%

B

2483

COF

7/19/2018

2.9

3.1

-6.4%

C

25513

CTAS

7/19/2018

4.3

4.2

4.1%

A

4789

DHR

7/19/2018

2.4

2.7

-10.2%

A

10430

DOV

7/19/2018

2.9

2.5

14.8%

C

5067

DPZ

7/19/2018

5.7

5.1

10.5%

B

21088

ETFC

7/19/2018

2.9

2.4

18.8%

C

15590

EWBC

7/19/2018

3.2

3.2

0.0%

C

438

EXPO

7/19/2018

5.1

4.3

18.3%

C

721

FITB

7/19/2018

2.4

1.8

31.8%

B

4803

GATX

7/19/2018

4.6

2.3

101.6%

D

452

GPC

7/19/2018

3.2

3.8

-14.9%

C

4145

GTLS

7/19/2018

6.4

6.3

0.3%

C

1007

IIIN

7/19/2018

7.6

6.6

14.1%

D

72

ISRG

7/19/2018

4.5

4.9

-6.4%

C

191824

KEY

7/19/2018

2.3

2.9

-18.4%

C

3073

LLNW

7/19/2018

17.5

9.3

88.2%

C

884

MBFI

7/19/2018

4.7

3.1

51.6%

F

34

MSFT

7/19/2018

3.3

3.1

7.0%

B

1129221

NUE

7/19/2018

1.9

2.4

-19.8%

C

15942

PBCT

7/19/2018

2.2

1.9

15.8%

B

99

PM

7/19/2018

4.3

4.5

-5.2%

C

83199

POOL

7/19/2018

5.7

4.1

41.6%

B

1492

PPG

7/19/2018

2.9

2.6

12.4%

C

6876

RPM

7/19/2018

3.6

3.4

5.8%

B

1528

SBNY

7/19/2018

3.4

2.2

51.2%

C

1236

SCHL

7/19/2018

9.7

3.7

162.4%

C

151

SEIC

7/19/2018

4.3

4.0

7.2%

A

128

SKX

7/19/2018

14.2

16.9

-15.9%

D

24347

SNA

7/19/2018

5.1

4.8

6.2%

B

7092

SRPT

7/19/2018

 

8.4

-100.0%

F

38155

SWKS

7/19/2018

5.1

5.8

-12.1%

C

34032

TRV

7/19/2018

2.6

2.8

-6.2%

C

13445

TTS

7/19/2018

16.2

12.3

31.3%

F

402

UNP

7/19/2018

3.0

3.9

-21.5%

A

120270

WAL

7/19/2018

3.5

1.8

96.9%

C

1507

WBS

7/19/2018

2.9

3.0

-3.9%

B

75

 

Volatility Standouts:

 

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

DSW

71.29%

C

-3.31%

22.53

1806

BGCP

70.97%

D

-0.03%

99.21

1261

COTY

68.27%

F

3.99%

80.95

2044

VER

67.78%

D

0.76%

20.16

235

SGEN

67.33%

F

-0.35%

56.92

2200

TRCO

66.49%

C

1.80%

95.63

43695

LBRDK

65.72%

B

0.67%

60.08

1715

COTY

64.35%

F

-0.24%

83.00

2052

COG

63.11%

C

-3.42%

82.21

9019

AOBC

62.94%

F

-1.06%

33.60

1245

CAMP

62.17%

D

4.11%

1.19

617

WATT

60.95%

D

-2.18%

45.85

4289

FL

58.04%

C

-1.13%

18.18

12668

CZR

57.57%

D

0.00%

74.70

26377

BTU

56.99%

C

-0.28%

43.87

5093

BIG

56.93%

D

-0.54%

58.89

7494

STWD

56.74%

D

0.78%

17.79

893

EROS

55.17%

F

1.76%

3.95

921

AZO

52.90%

B

2.05%

15.42

74850

XRX

52.88%

D

-1.15%

94.47

17472

HRB

52.71%

B

-2.34%

17.00

3019

DHI

52.63%

C

-2.55%

84.98

31087

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

EVHC

-65.80%

C

0.42%

3.95

25225

TTD

-45.36%

C

-0.67%

65.22

11896

USG

-39.66%

C

-3.31%

8.30

168

AVGO

-37.05%

A

-0.03%

60.08

881581

PTCT

-36.81%

F

3.99%

48.41

1097

DXC

-34.96%

B

0.76%

44.05

16332

FOXA

-33.91%

C

-0.35%

0.79

239901

SNAP

-32.69%

F

1.80%

74.31

73668

NVRO

-32.66%

D

0.67%

98.42

10785

FOSL

-30.31%

D

-0.24%

49.41

6704

ARNC

-29.39%

D

-3.42%

90.91

10882

INFN

-26.47%

F

-1.06%

82.21

470

PAY

-26.39%

C

4.11%

18.18

454

WMT

-26.28%

B

-2.18%

50.59

253894

CMG

-23.64%

D

-1.13%

23.32

270036

INGR

-21.93%

C

0.00%

99.21

2389

ATHN

-21.77%

C

-0.28%

51.38

15242

JPM

-20.87%

C

-0.54%

17.00

817288

GRUB

-20.73%

C

0.78%

73.52

15428

THS

-20.09%

D

1.76%

80.63

612

LB

-19.95%

F

2.05%

8.70

37553

PI

-19.87%

F

-1.15%

88.54

1183

BIIB

-19.16%

C

-2.34%

99.21

392185

ATI

-18.90%

C

-2.55%

22.13

2519