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Midday Volatility Report

Jul 19, 2018

Commentary: Equities are mixed to lower today as small-caps outperform. Currently, the S&P is -.3%, the Nasdaq -.35%, however the Russell is +.5% on strength in housing and retail. Energy is little changed with energy ETF’s generally unchanged, even with crude +1.2%. Bonds are moving higher.  Precious metals continue to make new lows for the year with GLD -.9% and SLV -1.7%. Volatilities are higher overall with the VIX +6% to 12.79, RVX +2.6% to 14.22, and VXN +5% to 17.35.

 

 

ETF 30d volatility changes

SPY:        +6%

IWM:      +1%

QQQ:      +4%

 

Directional:

Bullish

CZR Seller 10,000 Jan 10 puts to Buy 6,900 Jan 12 – 15 call spreads (ref 11.30, same print yest.)

DAL Buyer 10,000 Aug 52.5 calls (ref 52.74)

DISCA Seller 7,500 Aug 25 puts to Buy 7,500 Aug 27.6 – 30 call spreads (ref. 27.01)

FOXA Buyer 10,000 Jan 50 calls (ref. 45.87)

Bearish

AVGO Buyer 4,000 Aug 200 puts

 

 

Earnings Plays:

MT Seller 5,000 Sep 28 puts to Buy 5,000 Sep 32 – 36 call spreads (ref 30.17, Earnings 8/1, similar to yest. flow)

GE Buyer 15,000 Sep 15 calls (ref 13.64, Earnings 7/20)

 

 

Writes:

VZ Buyer 4,234 Jul 140 calls (closing) to Sell 7,447 Aug 150 calls (rolls write up and out, ref 140.33)

CMCSA Seller 14,500 Mar 35 calls (ref 35.00)

 

Macro:

IYR Buyer 15,00 Jan19 77 – 72 put spreads (ref. 80.60)

QQQ Buyer 22,500 Aug 31st 166 puts (ref 179.08)

XLI Buyer 5,000 Sep 72 puts (ref. 74.30)

EEM Buyer 11,000 Sep 41 – 39 put spreads (ref. 43.24)

HYG Seller 15,000 Oct 82 puts (ref. 85.55)

XME Buyer 8,871 Aug 35 puts (ref 36.09)

 

 

Financing Trades:

GS 5,000 Aug 230 RC trade (ref 230.70)

JPM 10,000 Sep 110 RC trade (ref 110.43)

 

 

 

Upcoming Earnings:

 

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

Average Daily Vega

ASB

7/19/2018

9.1

3.5

158.9%

C

8

CE

7/19/2018

3.5

2.8

22.5%

B

3532

COF

7/19/2018

3.6

3.1

16.6%

C

24552

CTAS

7/19/2018

4.2

4.2

1.8%

A

5008

ETFC

7/19/2018

3.1

2.4

28.8%

C

16408

EXPO

7/19/2018

5.2

4.3

20.4%

C

789

ISRG

7/19/2018

4.5

4.9

-7.3%

C

197807

LLNW

7/19/2018

14.2

9.3

51.8%

C

514

MBFI

7/19/2018

14.6

3.1

373.7%

F

34

MSFT

7/19/2018

3.4

3.1

9.2%

B

1281612

PBCT

7/19/2018

3.6

1.9

89.9%

B

85

SEIC

7/19/2018

4.7

4.0

16.2%

A

188

SKX

7/19/2018

14.5

16.9

-13.9%

D

26461

SWKS

7/19/2018

5.3

5.8

-8.8%

C

37788

WAL

7/19/2018

3.2

1.8

80.4%

C

1412

BHGE

7/20/2018

3.0

2.4

27.7%

D

4919

CFG

7/20/2018

2.7

2.1

28.1%

B

982

CLF

7/20/2018

6.7

8.6

-22.1%

D

21946

GE

7/20/2018

3.4

2.3

50.3%

D

186574

GNTX

7/20/2018

5.5

4.6

18.2%

B

190

HON

7/20/2018

2.1

1.6

30.4%

B

63831

IBKC

7/20/2018

7.6

3.4

122.6%

C

145

INWK

7/20/2018

 

5.4

-100.0%

C

17

KSU

7/20/2018

2.9

2.3

29.5%

A

7222

MAN

7/20/2018

6.9

6.1

13.8%

B

4636

RF

7/20/2018

2.7

2.6

2.3%

B

13083

SLB

7/20/2018

2.4

1.5

57.9%

D

106289

STI

7/20/2018

1.8

1.3

36.1%

B

16606

STT

7/20/2018

3.6

3.6

0.9%

C

7289

SWK

7/20/2018

3.7

3.6

5.0%

C

30633

VFC

7/20/2018

3.7

4.6

-18.0%

C

40354

AABA

7/23/2018

 

2.3

-100.0%

A

118101

ACC

7/23/2018

3.6

1.5

134.9%

C

80

AMTD

7/23/2018

2.2

2.7

-18.4%

C

30960

BPOP

7/23/2018

4.0

3.9

1.9%

C

317

CALM

7/23/2018

5.6

3.6

55.4%

D

1263

CDNS

7/23/2018

4.8

5.4

-11.4%

C

1512

CR

7/23/2018

3.6

5.3

-32.4%

B

372

ELS

7/23/2018

 

0.9

-100.0%

C

152

GOOGL

7/23/2018

4.2

3.6

15.5%

B

2840999

HAL

7/23/2018

3.3

2.9

14.0%

C

77429

HAS

7/23/2018

6.0

7.6

-21.5%

F

15613

HNI

7/23/2018

3.7

6.4

-42.5%

D

18

HXL

7/23/2018

3.5

3.2

9.0%

C

919

ITW

7/23/2018

2.6

2.6

0.7%

B

22781

LECO

7/23/2018

4.0

4.3

-5.8%

B

345

LHO

7/23/2018

15.2

4.2

263.2%

D

76

LII

7/23/2018

2.5

2.5

1.3%

C

1191

NTGR

7/23/2018

9.5

9.4

0.7%

D

14407

PETS

7/23/2018

7.6

10.6

-28.0%

C

5338

SANM

7/23/2018

7.9

9.5

-17.3%

C

150

STLD

7/23/2018

0.4

2.9

-87.1%

B

3089

VMI

7/23/2018

1.3

3.2

-60.9%

C

1444

WERN

7/23/2018

6.4

4.3

47.5%

C

899

WHR

7/23/2018

4.7

5.7

-16.3%

C

25281

ZION

7/23/2018

3.0

1.5

92.8%

A

15568

 

 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

TTS

73.04%

F

-0.67%

91.30

619

DSW

72.27%

C

-3.31%

28.06

2957

BSX

70.97%

B

-0.03%

98.81

22330

HAIN

69.66%

C

3.99%

92.89

9081

AOBC

68.44%

F

0.76%

33.60

1305

EROS

67.84%

F

-0.35%

0.00

968

COG

65.26%

C

1.80%

82.61

10718

LBRDK

65.12%

B

0.67%

49.80

1715

VER

63.97%

D

-0.24%

35.57

253

AXTA

63.40%

D

-3.42%

41.11

4406

CZR

61.38%

D

-1.06%

73.12

34044

WATT

61.15%

D

4.11%

46.25

3725

COTY

60.59%

F

-2.18%

84.58

2327

PM

58.58%

C

-1.13%

98.02

102119

AZO

57.97%

B

0.00%

21.74

74624

FL

56.02%

C

-0.28%

13.44

13108

VST

54.99%

F

-0.54%

31.22

1209

TIF

54.91%

C

0.78%

86.96

24700

UNFI

54.46%

C

1.76%

1.98

814

MD

53.82%

B

2.05%

90.91

428

SGEN

53.77%

F

-1.15%

45.06

2173

WSM

53.70%

C

-2.34%

34.39

15061

IMMU

53.52%

F

-2.55%

29.64

5527

 

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

USG

-48.47%

C

0.42%

8.70

185

TTD

-45.16%

C

-0.67%

60.87

12594

AVGO

-38.77%

A

-3.31%

45.85

945070

FOXA

-38.06%

C

-0.03%

0.79

263924

DXC

-36.85%

B

3.99%

48.02

13233

OCLR

-34.47%

D

0.76%

1.98

3558

SNAP

-34.22%

F

-0.35%

75.10

76248

NVRO

-33.31%

D

1.80%

98.42

11946

PTCT

-32.81%

F

0.67%

37.30

1105

FOSL

-31.73%

D

-0.24%

46.25

6937

EVHC

-31.29%

C

-3.42%

7.11

26874

ARNC

-30.57%

D

-1.06%

88.93

11938

INFN

-27.78%

F

4.11%

82.21

486

WMT

-24.99%

B

-2.18%

44.66

278960

CMG

-24.82%

D

-1.13%

23.32

254266

NCS

-24.64%

C

0.00%

89.33

678

PAY

-23.78%

C

-0.28%

9.88

527

S

-23.32%

D

-0.54%

3.56

2982

ADS

-23.20%

C

0.78%

78.26

19819

JPM

-21.75%

C

1.76%

13.04

856546

PI

-21.13%

F

2.05%

92.89

929

ATHN

-20.58%

C

-1.15%

50.59

16447

SRE

-20.16%

C

-2.34%

52.96

29173

LB

-19.54%

F

-2.55%

3.56

40414