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Midday Volatility Report

Jul 20, 2018

Commentary: Equities are mostly muted. Currently, the S&P is +.09%, the Nasdaq +.25% and the Russell is flat. Energy is little changed with energy ETF’s generally lower, although crude is modestly higher. Bonds are mixed with the longer end of the curve catching a small bid. Precious metals are bouncing today with GLD +.52% and SLV +1.07%. Emerging markets are catching a bid on dollar weakness, led by Brazil +3.3%. EEM itself is +1.3%. Volatilities are softer overall with the VIX -2.3% to 12.57, RVX -1% to 14.06 and VXN -2.1% to 16.98.

 

ETF 30d volatility changes

SPY:        +6%

IWM:      +1%

QQQ:      +4%

 

Directional:

Bullish

FXI Seller 15,000 Oct 42 – 39 put spreads to Buy 15,000 Oct 44 calls (ref. 42.00)

JPM Buyer 5,000 Aug 3rd 118 calls (ref 110.89)

Bearish

GM Buyer 5,650 Sep 37 puts (ref. 39.21)

TSLA Buyer 7,000 Aug 100 puts (ref. 317.37)

 

 

Earnings Plays:

QCOM Seller 15,000 Oct 65 calls to Buy 15,000 Oct 50 puts (ref. 58.87, Earnings 7/25)

AN Buyer 5,100 Oct 45 puts (ref. 48.73, Earnings 8/1)

 

 

Writes:

WFT Seller 20,000 Jan20 2.5 puts (ref 3.45)

EEM Seller 20,000 Jun19 55 calls (ref. 43.97)

SLB Seller 15,000 Sep 72.5 calls (ref. 67.35)

EEM Buyer 58,000 Jul 44 put (closing) to Sell 58,000 Aug 43.5 puts (rolls write, ref. 43.88)

CSX Seller 4,500 Nov 72.5 calls (ref. 69.50)

 

Macro:

VIX 20,000 Sep 19th 30 calls trade (ref. 15.15)

EEM Buyer 55,000 Aug 37 puts (ref 43.87)

IWM Buyer 20,000 Aug 165 puts to Sell 30,000 Aug 158 puts tied to stock (ref. 168.88)

USO Buyer 30,000 Aug 14 straddles (ref. 14.10)

IEF Buyer 20,000 Aug 103 calls (ref. 102.27)

SHY 15,000 Aug 82 puts trade (ref. 83.26)

XAU Seller 10,000 Jul 80 puts to Buy 10,000 Aug 77.5 puts (rolls puts, ref. 81.97)

XLF Buyer 45,000 Aug 28 calls (ref. 27.58)

XLF Buyer 10,000 Aug 28 – 28.5 – 29 call flies (ref 27.58)

 

 

Financing Trades:

HYG 15,000 Aug 95 RC

AABA 2,500 Aug 100 RC

 

 

Upcoming Earnings:

 

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

Average Daily Vega

AABA

7/23/2018

 

2.2

-100.0%

A

93196

ACC

7/23/2018

3.9

1.5

155.0%

C

104

AMTD

7/23/2018

2.7

2.8

-1.8%

C

29962

BPOP

7/23/2018

 

3.9

-100.0%

C

734

CALM

7/23/2018

3.3

3.6

-8.2%

D

7518

CDNS

7/23/2018

4.2

5.4

-21.8%

C

36

CR

7/23/2018

5.2

5.3

-1.2%

B

45

ELS

7/23/2018

 

0.9

-100.0%

C

161

GOOGL

7/23/2018

4.3

3.6

17.4%

B

14

HAL

7/23/2018

3.0

2.9

3.4%

C

243

HAS

7/23/2018

5.6

7.6

-25.8%

F

10378

HNI

7/23/2018

4.0

6.4

-38.2%

D

71

HXL

7/23/2018

3.8

3.2

16.1%

C

3023

ITW

7/23/2018

2.2

2.6

-13.6%

B

47413

LECO

7/23/2018

5.1

4.3

20.5%

B

7972

LHO

7/23/2018

13.6

4.2

225.0%

D

1063

LII

7/23/2018

2.1

2.5

-15.3%

C

40785

NTGR

7/23/2018

10.3

9.4

9.0%

D

1605

PETS

7/23/2018

8.0

10.6

-24.3%

C

88

STLD

7/23/2018

1.2

2.9

-59.1%

B

12353

VMI

7/23/2018

1.5

3.2

-52.8%

C

16719

WERN

7/23/2018

6.8

4.3

56.8%

C

277

WHR

7/23/2018

4.7

5.7

-17.5%

C

6095

ZION

7/23/2018

3.0

1.5

91.6%

A

331

ABG

7/24/2018

5.2

3.6

43.6%

C

181

AMP

7/24/2018

3.0

3.1

-1.0%

B

3134

ATI

7/24/2018

5.5

10.3

-46.1%

C

112

AVY

7/24/2018

2.6

4.0

-36.1%

C

262

BHE

7/24/2018

6.1

6.2

-1.3%

C

52446

BIIB

7/24/2018

6.7

3.2

110.1%

C

1448

BKU

7/24/2018

3.3

1.7

96.9%

C

5262

BTU

7/24/2018

5.7

2.2

152.9%

C

226248

CIT

7/24/2018

3.4

1.6

106.9%

C

4417

CNC

7/24/2018

2.1

3.9

-47.1%

C

156398

CSGP

7/24/2018

4.6

4.3

6.4%

C

29142

CSL

7/24/2018

3.3

4.4

-24.4%

C

1817

CVLT

7/24/2018

7.2

5.7

26.8%

D

412

DGX

7/24/2018

1.0

1.9

-43.7%

B

798

EEFT

7/24/2018

6.0

4.2

43.1%

C

251

EQR

7/24/2018

2.0

1.6

24.0%

D

85

FELE

7/24/2018

3.6

5.5

-35.5%

C

1643

FNB

7/24/2018

4.4

2.4

83.5%

B

455

FORR

7/24/2018

2.6

4.9

-46.5%

D

9258

GPK

7/24/2018

5.4

3.8

42.6%

C

15623

HA

7/24/2018

3.6

5.1

-28.7%

D

1575

HIW

7/24/2018

9.0

0.8

968.6%

C

278

HOG

7/24/2018

5.6

4.4

29.0%

D

1611

HUBB

7/24/2018

3.7

3.4

8.3%

C

13

IEX

7/24/2018

2.0

2.4

-16.3%

A

20977

IPG

7/24/2018

5.3

5.1

4.6%

C

364

IPHI

7/24/2018

11.4

8.0

42.4%

C

163

IQV

7/24/2018

3.4

2.3

49.6%

C

311

IRBT

7/24/2018

10.6

14.7

-28.3%

D

3528

JBLU

7/24/2018

4.2

3.4

24.4%

C

1150

KMB

7/24/2018

3.1

1.7

79.8%

C

313

KN

7/24/2018

7.2

7.2

0.7%

D

0

LLY

7/24/2018

2.1

2.4

-11.1%

B

21

LMT

7/24/2018

 

2.9

-100.0%

B

83

LPT

7/24/2018

10.4

1.3

678.1%

D

228

MANH

7/24/2018

11.5

8.3

38.2%

D

5886

MDSO

7/24/2018

7.4

6.9

7.1%

D

4311

MKSI

7/24/2018

2.1

2.4

-12.8%

C

131

MLI

7/24/2018

4.4

2.4

83.3%

D

3062

MMM

7/24/2018

3.3

3.6

-8.2%

C

459

NAVI

7/24/2018

5.7

3.4

69.5%

D

308

PCAR

7/24/2018

4.2

3.8

9.4%

B

1703

RHI

7/24/2018

5.2

5.2

-0.3%

B

142

RUSHA

7/24/2018

5.5

7.4

-26.0%

C

973

SHW

7/24/2018

3.0

3.9

-21.3%

C

186

SLM

7/24/2018

3.1

4.5

-31.3%

C

2256

SNV

7/24/2018

2.7

1.6

67.9%

A

1766

STL

7/24/2018

4.1

1.7

146.8%

B

149

SYK

7/24/2018

1.5

2.8

 

 

13630

T

7/24/2018

2.4

3.2

-26.2%

B

2564

TER

7/24/2018

6.4

7.1

-11.0%

D

476

TRU

7/24/2018

3.9

6.0

-34.9%

B

2066

TSS

7/24/2018

3.6

4.2

-15.5%

A

1240

TXN

7/24/2018

2.3

3.6

-34.4%

A

13075

USNA

7/24/2018

6.4

9.4

-31.9%

C

74850

UTX

7/24/2018

2.0

1.2

66.1%

C

138

VICR

7/24/2018

15.9

11.6

37.4%

F

544

VZ

7/24/2018

1.9

2.6

-26.2%

B

394

WAB

7/24/2018

4.3

4.7

-8.5%

C

23198

WAT

7/24/2018

4.0

4.6

-13.1%

C

2067

 

Volatility Standouts:

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

PRSP

74.40%

D

0.72%

16.00

1168

COG

74.10%

C

-0.16%

94.86

13225

AOBC

71.85%

F

0.14%

35.18

1177

HAIN

69.74%

C

-0.33%

92.09

9226

COTY

69.23%

F

10.33%

83.79

1783

VST

68.30%

F

-1.54%

15.38

986

MAC

67.53%

D

-0.97%

3.16

1076

DSW

67.51%

C

-0.41%

28.06

2841

ISBC

65.75%

B

1.97%

26.09

1599

BSX

65.65%

B

-1.40%

98.81

21770

DHI

64.61%

C

2.55%

88.54

32091

APOG

62.97%

D

-1.65%

19.37

486

EROS

61.77%

F

4.69%

3.56

921

CZR

61.52%

D

-10.46%

69.17

43524

NLY

60.14%

C

4.75%

13.83

1767

LBRDK

59.79%

B

-0.85%

64.43

108

PAH

59.19%

D

-6.57%

78.66

1895

FL

58.48%

C

1.43%

13.83

13160

ESRX

58.45%

B

0.64%

100.00

123304

TIF

57.04%

C

-6.17%

84.58

25034

BTU

56.59%

C

-2.13%

47.04

4847

MD

55.10%

B

-2.26%

98.02

440

ZAYO

54.95%

D

4.43%

32.81

30570

DLTR

54.93%

B

-0.21%

84.19

27634

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

CA

-73.84%

B

0.72%

1.59

9975

INFN

-46.06%

F

-0.16%

77.47

692

USG

-45.06%

C

0.14%

4.74

157

TTD

-45.01%

C

-0.33%

69.57

12310

FOXA

-40.58%

C

10.33%

0.00

265732

AVGO

-40.56%

A

-1.54%

45.45

957515

DXC

-36.86%

B

-0.97%

38.10

13352

SNAP

-35.77%

F

-0.41%

71.54

74660

NVRO

-34.37%

D

1.97%

97.23

11854

OCLR

-32.44%

D

-1.40%

1.98

3532

ARNC

-31.09%

D

2.55%

90.51

12900

PTCT

-29.53%

F

-1.65%

30.95

1395

ADS

-29.32%

C

4.69%

13.83

21722

FOSL

-29.15%

D

-10.46%

52.96

6981

WMT

-26.35%

B

4.75%

47.83

275359

CMG

-25.25%

D

-0.85%

22.53

251889

PAY

-24.55%

C

-6.57%

12.65

528

ATHN

-23.48%

C

1.43%

49.41

17084

LB

-21.80%

F

0.64%

4.74

42469

AAP

-21.30%

C

-6.17%

41.11

12642

THS

-2.08E-01

D

-2.13%

82.61

670

JPM

-20.75%

C

-2.26%

24.11

920369

TPR

-20.24%

C

4.43%

82.61

8848

S

-20.11%

D

-0.21%

4.74

2941