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Midday Volatility Report

Jul 23, 2018

Commentary: Equities are slightly stronger, recovering from earlier losses. Currently, the S&P is +.08%, the Nasdaq +.10% and the Russell is +.20%. Energy is off a bit, although crude is modestly higher. Bonds are selling off as the 10-yr yield is up to 2.95 on BOJ easing speculation. Precious metals are softer today with GLD -.49% and SLV -.75%. Emerging markets are weaker on the stronger dollar as EEM is -.84%. Volatilities are mixed with the VIX +.08% to 12.87, RVX -6% to 15.70 and VXN +3% to 17.65.

 

ETF 30d volatility changes

SPY:        -3%

IWM:      -2%

QQQ:      -2%

 

Directional:

Bullish

MT Seller 5,000 Sep 28 puts to Buy 5,000 Sep 32 – 36 call spreads (ref. 29.50)

BBBY Seller 5,800 Aug 31st 15.5 puts to Buy 5,800 Aug 31st 21.5 calls (ref. 18.89)

AMBC Buyer 7,500 Feb19 25 – 30 call spreads (ref. 20.24)

BAC Buyer 5,000 Nov 34 calls (ref. 30.74)

Bearish

KR Buyer 7,000 Sep 30 puts (ref. 28.52)

CYH Seller 9,000 Jan 5 puts to Buy 9,000 Mar 3 puts (rolls ITM puts out, ref 2.94)

 

 

Earnings Plays:

FCX Buyer 5,000 Aug 18 calls (Earnings 7/25, ref. 15.60)

TRXC Buyer 7,000 Aug 7 calls (Earnings 8/2, ref. 5.11)

SNAP Buyer 10,000 Aug 11 puts (Earning 8/7, ref. 13.19)

GM Buyer 10,000 Aug 40 – 43 1x2 call spreads (Earnings 7/25, ref. 39.04, appears to roll down and reduce size)

EDU Buyer 3,717 Aug 100 calls (Earnings 7/24, ref. 92.26)

 

 

Writes:

DLTR Seller 5,740 Aug 82.5 puts (ref. 86.72)

T Seller 10,000 Aug 29 puts (ref. 30.82)

CMCSA Seller 12,500 Aug 32.5 puts (ref. 33.96)

GE Seller 141,000 Sep 13 puts (ref. 13.00)

 

Macro:

VXX Buyer 8,613 Sep 47 – 65 call spreads  (ref. 31.38)

XLF Buyer 28,800 Sep 28 calls (ref. 30.48)

XLF Buyer 10,000 Aug 28 – 28.5 – 29.5 call flies (ref. 27.73)

XLF Buyer 20,000 Aug 28 – 28.5 1x2 call spreads (ref. 27.88)

XLF Buyer 30,000 Aug 28 – 28.5 – 29 call trees (ref. 27.89)

IWM Buyer 9,000 Oct 160 – 150 put spreads (ref. 168.16)

EWZ Seller 10,000 Aug 37 calls to Buy 10,000 Aug 33.5 puts (ref. 35.30)

GDX Buyer 20,000 Aug 21.5 puts (ref. 21.45)

 

 

Financing Trades:

EEM 40,000 Aug 45 RC trade (ref. 43.72)

USO 7,000 Sep 15 RC trade (ref. 14.22)

 

 

 

Upcoming Earnings:

 

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

Average Daily Vega

ACC

7/23/2018

2.5

1.5

62.2%

C

1605

AMTD

7/23/2018

2.6

2.8

-7.6%

C

207427

CDNS

7/23/2018

4.5

5.4

-16.3%

C

40549

CR

7/23/2018

4.3

5.3

-18.9%

B

8165

ELS

7/23/2018

0.9

0.9

1.6%

C

2747

GOOGL

7/23/2018

4.2

3.6

14.7%

B

585

HNI

7/23/2018

5.3

6.5

-18.7%

D

4669

HXL

7/23/2018

3.7

3.2

13.0%

C

95

STLD

7/23/2018

 

2.9

-100.0%

B

1201

VMI

7/23/2018

1.7

3.0

-42.5%

C

14314

WERN

7/23/2018

6.6

4.3

53.2%

C

97

WHR

7/23/2018

5.0

5.6

-11.7%

C

14284

ZION

7/23/2018

3.0

1.5

92.0%

A

1752

AABA

7/24/2018

 

2.2

-100.0%

A

29962

ABG

7/24/2018

5.3

3.6

46.0%

C

3023

AMP

7/24/2018

2.8

3.1

-8.9%

B

6608

ASTE

7/24/2018

4.7

4.8

-0.9%

C

1044

ATI

7/24/2018

5.2

10.3

-49.7%

C

56838

AVY

7/24/2018

3.9

4.0

-1.4%

C

39

BHE

7/24/2018

7.0

6.2

12.6%

C

68

BIIB

7/24/2018

7.0

2.9

143.6%

C

17636

BKU

7/24/2018

3.7

1.6

129.5%

C

24647

BTU

7/24/2018

5.6

2.2

149.8%

C

68

BXMT

7/24/2018

3.0

1.2

157.0%

C

86

CIT

7/24/2018

3.1

1.6

86.6%

C

396

CNC

7/24/2018

1.9

3.9

-50.8%

C

336

CSGP

7/24/2018

4.4

4.3

2.3%

C

2740

CSL

7/24/2018

3.5

4.4

-20.8%

C

7140

CVLT

7/24/2018

6.7

5.7

19.0%

D

12668

DGX

7/24/2018

0.5

1.8

-71.1%

B

4578

EEFT

7/24/2018

5.0

4.2

19.9%

C

415

EQR

7/24/2018

1.8

1.6

11.2%

D

2857

FELE

7/24/2018

3.4

5.5

-38.6%

C

1420

FNB

7/24/2018

4.9

2.3

109.6%

B

51

GPK

7/24/2018

5.1

3.8

35.9%

C

250

HA

7/24/2018

3.9

5.1

-23.1%

D

14260

HIW

7/24/2018

5.5

0.8

547.4%

C

2

HOG

7/24/2018

5.5

4.4

25.6%

D

4

HUBB

7/24/2018

3.4

3.4

1.1%

C

217

IEX

7/24/2018

1.9

2.4

-21.8%

A

213

IPG

7/24/2018

4.9

5.3

-5.8%

C

219

IPHI

7/24/2018

9.1

8.0

13.5%

C

46604

IQV

7/24/2018

2.7

2.3

18.2%

C

17919

IRBT

7/24/2018

11.3

14.7

-23.6%

D

1769

JBLU

7/24/2018

4.4

3.4

28.7%

C

21806

KMB

7/24/2018

3.0

1.7

77.1%

C

325

KN

7/24/2018

7.6

7.2

5.5%

D

1351

LLY

7/24/2018

2.2

2.4

-7.1%

B

797

LMT

7/24/2018

2.2

2.9

-21.8%

B

176

LPT

7/24/2018

14.0

1.3

950.6%

D

117

MANH

7/24/2018

7.5

8.3

-9.5%

D

19

MDSO

7/24/2018

8.5

6.9

23.2%

D

729

MKSI

7/24/2018

2.4

2.5

-1.6%

C

4770

MLI

7/24/2018

4.6

2.4

91.2%

D

22

MMM

7/24/2018

3.2

3.6

-10.8%

C

534

NAVI

7/24/2018

5.2

3.4

54.6%

D

8296

PCAR

7/24/2018

3.9

3.8

1.7%

B

169

RHI

7/24/2018

5.1

5.1

-0.3%

B

2874

RUSHA

7/24/2018

5.5

7.4

-25.5%

C

871

SHW

7/24/2018

3.2

3.9

-17.4%

C

0

SLM

7/24/2018

4.0

4.5

-12.1%

C

4866

SNV

7/24/2018

1.4

1.6

-12.2%

A

26

STL

7/24/2018

3.9

1.7

134.5%

B

1588

SYK

7/24/2018

1.7

2.8

-38.2%

B

90

T

7/24/2018

2.6

3.3

-23.5%

B

88602

TER

7/24/2018

6.4

7.1

-10.7%

D

436

TRU

7/24/2018

4.9

6.0

-17.4%

B

78

TSS

7/24/2018

3.1

4.2

-27.9%

A

237

TXN

7/24/2018

2.7

3.5

-23.0%

A

445

USNA

7/24/2018

6.6

9.4

-30.0%

C

12

UTX

7/24/2018

1.9

1.2

50.9%

C

110753

VICR

7/24/2018

16.3

11.6

40.6%

F

608

VZ

7/24/2018

2.0

2.6

-21.0%

B

1372

WAB

7/24/2018

4.0

4.8

-16.6%

C

12878

WAT

7/24/2018

3.6

4.6

-22.4%

C

52

 

Volatility Standouts:

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

PRSP

73.58%

D

-1.49%

13.79

981

CLVS

72.63%

D

-1.23%

99.21

6054

GGP

70.63%

C

0.06%

11.07

34215

LBRDK

6.80E-01

B

-1.02%

38.34

113

ESRX

65.37%

B

-0.61%

98.81

122650

TIF

65.15%

C

0.27%

83.40

25896

HAS

62.27%

F

-1.50%

48.22

20536

COG

60.91%

C

-0.86%

91.30

20039

FTAI

60.71%

C

1.16%

20.16

2884

CZR

60.57%

D

-0.53%

69.96

36157

FOLD

6.00E-01

D

-2.00%

47.83

2286

VICR

59.42%

F

0.36%

99.60

4188

COL

58.87%

A

0.92%

85.38

5823

WATT

57.37%

D

-2.09%

46.25

3960

REGN

55.99%

C

-1.44%

19.76

98399

HAIN

55.75%

C

-0.13%

81.82

9433

WU

55.34%

A

-0.68%

67.59

491

ALNY

54.84%

F

-0.54%

75.10

12448

BERY

53.98%

A

-0.63%

98.81

18902

CDK

52.03%

A

0.47%

47.83

9818

ONCE

51.87%

F

-1.49%

97.22

3539

BGCP

48.35%

D

0.90%

99.60

1262

SGEN

48.20%

F

-3.45%

27.67

3474

JBLU

47.93%

C

10.96%

9.88

5224

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

RCII

-52.56%

D

-1.49%

5.14

1671

EVHC

-4.99E-01

C

-1.23%

7.11

10814

USG

-38.93%

C

0.06%

9.09

166

PVTL

-37.61%

F

-1.02%

58.33

2933

AVGO

-36.93%

A

-0.61%

36.36

980430

NVRO

-32.87%

D

0.27%

96.84

11879

PTCT

-31.89%

F

-1.50%

31.35

1525

FOXA

-31.55%

C

-0.86%

0.79

241215

ADS

-31.18%

C

1.16%

6.72

23006

TTD

-30.17%

C

-0.53%

64.03

13543

SRE

-25.65%

C

-2.00%

56.13

29298

INGR

-25.34%

C

0.36%

97.23

3506

DXC

-25.12%

B

0.92%

54.76

18521

SNAP

-24.40%

F

-2.09%

67.98

74097

OCLR

-24.31%

D

-1.44%

0.40

3464

ARNC

-22.24%

D

-0.13%

88.14

13076

LB

-22.17%

F

-0.68%

10.67

43376

FOSL

-20.25%

D

-0.54%

53.36

6793

INFN

-19.33%

F

-0.63%

70.36

707

FL

-19.25%

C

0.47%

11.46

12744

NCS

-19.14%

C

-1.49%

96.44

950

ORCL

-17.58%

C

0.90%

35.57

119719

PPL

-17.36%

A

-3.45%

60.87

7075

CMG

-17.25%

D

10.96%

16.60

253450