Midday Volatility Report
Jul 24, 2018
Commentary:
Equities are in the green, led by the Nasdaq on strong earnings from Alphabet (GOOG), and also by energy with oil prices rising on provocative talk from Pres. Trump and Iran. Currently, the S&P is +.65%, the Russell is actually -.53% on weakness in biotech (XBI -1.2%) Utilities -.6%, and Retail (XRT -.9%). The Nasdaq is +.72% though off earlier highs. Gold is unchanged. Bonds are modestly in the green after yesterday’s sell-off. Oil is up 1.5%, which is lifting energy ETF’s XOP +1.3% and XLE +1.4%. Volatilities are mixed with the VIX -3% to 12.20, RVX +3% to 14.73, and VXN +.4% to 16.55.
ETF 30d volatility changes
SPY: -3%
IWM: +1%
QQQ: -1%
Directional:
Bullish
MU Buyer 8,000 Aug 3rd 57 calls (ref. 54.90)
LBTYK Buyer 12,779 Oct 50 calls (ref. 27.11)
BHP Seller 22,000 Aug 55 calls to Buy 22,000 Jan 60 calls (ref. 50.42, rolls out long calls)
PZZA Buyer 6,650 Sep 50 – 60 call spreads (ref. 46.05)
Bearish
GGP Seller 19,239 Jan 11-19 call spread
Earnings Plays:
FTI Buyer 3,000 Oct 31 calls (Earnings 7/25, ref. 30.31)
INTC Seller 6400 Aug 31st 48 puts to Buy 6400 Aug 31st 53.5 – 56 call spreads (Earnings 7/26, ref. 53.13)
CROX Seller 4,500 Aug 15 put to Buy 4,500 Aug 18 – 20 call spreads (Earnings 8/7, ref. 17.17)
GLW 5,000 Aug 29.5 calls trade (Earnings 7/25, ref. 29.93)
CBS Buyer 10,400 Nov 50 puts (Earnings 8/2, ref. 56.93)
RIG Seller 5,000 Nov 15 – 17 call spreads (Earnings 7/30, ref. 12.77)
NYT Buyer 5,600 Aug 23 puts (Earnings 8/2, ref. 24.65)
Writes:
BHC Seller 5,000 Aug 20 puts (ref. 22.87)
IBM Seller 4,800 Oct 155 calls (ref. 146.82)
Macro:
FXI Seller 5,000 Oct 46 calls to Buy 15,000 Oct 42 – 39 put spreads (ref. 43.70)
XHB Buyer 6,000 Sep 42 calls (ref. 40.36)
EEM Buyer 56,000 Sep 46.5 calls tied to stock (ref. 44.55)
EEM Seller 18,500 Sep 46 calls to Buy 18,500 Sep 42 puts (ref. 44.45)
HYG Seller 25,000 Sep 82 – 80 put spreads (ref. 85.76)
LNG Buyer 2,650 Jan 65 calls (ref. 62.49)
Financing Trades:
GGP 10,000 Sep 25 RC trade (ref. 21.16)
Upcoming Earnings:
|
Underlying
|
Earnings Date
|
Imp Move
|
Historical Move
|
Cheap vs Expensive
|
Quantamize Rating
|
Average Daily Vega
|
|
AABA
|
7/24/2018
|
|
2.2
|
-100.0%
|
A
|
92609
|
|
AMP
|
7/24/2018
|
2.6
|
3.1
|
-16.1%
|
B
|
3950
|
|
BHE
|
7/24/2018
|
6.2
|
6.2
|
0.4%
|
C
|
|
|
CSGP
|
7/24/2018
|
4.4
|
4.3
|
1.1%
|
C
|
573
|
|
CSL
|
7/24/2018
|
4.4
|
4.4
|
-0.2%
|
C
|
298
|
|
EEFT
|
7/24/2018
|
5.0
|
4.2
|
21.4%
|
C
|
1335
|
|
EQR
|
7/24/2018
|
1.8
|
1.6
|
15.1%
|
D
|
4359
|
|
HA
|
7/24/2018
|
3.9
|
5.1
|
-24.6%
|
D
|
2905
|
|
HIW
|
7/24/2018
|
4.7
|
0.8
|
453.6%
|
C
|
|
|
IEX
|
7/24/2018
|
1.6
|
2.4
|
-33.1%
|
A
|
1141
|
|
IPHI
|
7/24/2018
|
8.0
|
8.0
|
-0.2%
|
C
|
552
|
|
IRBT
|
7/24/2018
|
11.7
|
14.7
|
-20.6%
|
D
|
20595
|
|
KN
|
7/24/2018
|
7.5
|
7.2
|
4.1%
|
D
|
1123
|
|
MANH
|
7/24/2018
|
7.8
|
8.3
|
-6.7%
|
D
|
505
|
|
MKSI
|
7/24/2018
|
1.4
|
2.5
|
-42.0%
|
C
|
2887
|
|
NAVI
|
7/24/2018
|
4.4
|
3.4
|
30.6%
|
D
|
307
|
|
RHI
|
7/24/2018
|
5.1
|
5.1
|
-0.4%
|
B
|
992
|
|
RUSHA
|
7/24/2018
|
5.7
|
7.4
|
-22.8%
|
C
|
|
|
SLM
|
7/24/2018
|
4.1
|
4.5
|
-8.6%
|
C
|
432
|
|
STL
|
7/24/2018
|
2.6
|
1.7
|
57.0%
|
B
|
|
|
SYK
|
7/24/2018
|
1.4
|
2.8
|
-49.9%
|
B
|
20323
|
|
T
|
7/24/2018
|
2.9
|
3.3
|
-13.0%
|
B
|
431142
|
|
TER
|
7/24/2018
|
5.9
|
7.1
|
-16.7%
|
D
|
3455
|
|
TR
|
7/24/2018
|
1.7
|
1.0
|
82.9%
|
D
|
|
|
TSS
|
7/24/2018
|
3.0
|
4.2
|
-29.8%
|
A
|
8018
|
|
TXN
|
7/24/2018
|
2.7
|
3.5
|
-23.2%
|
A
|
74851
|
|
USNA
|
7/24/2018
|
6.1
|
9.4
|
-35.7%
|
C
|
|
|
VICR
|
7/24/2018
|
17.1
|
11.6
|
47.4%
|
F
|
4216
|
|
AEP
|
7/25/2018
|
0.9
|
1.1
|
-11.3%
|
A
|
12590
|
|
AGNC
|
7/25/2018
|
1.2
|
1.7
|
-33.3%
|
C
|
5061
|
|
ALGN
|
7/25/2018
|
7.3
|
7.7
|
-4.2%
|
C
|
102063
|
|
ALGT
|
7/25/2018
|
5.5
|
5.8
|
-4.5%
|
D
|
1401
|
|
AMD
|
7/25/2018
|
9.3
|
13.6
|
-31.6%
|
C
|
185253
|
|
ANTM
|
7/25/2018
|
2.7
|
3.9
|
-29.7%
|
B
|
117396
|
|
AOS
|
7/25/2018
|
3.5
|
2.3
|
53.9%
|
B
|
4789
|
|
APH
|
7/25/2018
|
2.1
|
1.1
|
93.3%
|
B
|
1482
|
|
APY
|
7/25/2018
|
13.3
|
2.5
|
433.6%
|
D
|
|
|
ASGN
|
7/25/2018
|
5.8
|
4.6
|
25.1%
|
C
|
425
|
|
AVX
|
7/25/2018
|
2.9
|
3.5
|
-17.7%
|
C
|
|
|
AXTI
|
7/25/2018
|
15.5
|
10.2
|
51.0%
|
B
|
3122
|
|
BA
|
7/25/2018
|
3.4
|
4.4
|
-23.0%
|
A
|
955402
|
|
BCO
|
7/25/2018
|
3.8
|
6.6
|
-41.7%
|
D
|
2015
|
|
BPI
|
7/25/2018
|
11.4
|
9.1
|
25.2%
|
F
|
|
|
BSX
|
7/25/2018
|
2.7
|
2.8
|
-1.1%
|
B
|
20333
|
|
CAI
|
7/25/2018
|
8.5
|
11.3
|
-24.6%
|
D
|
308
|
|
CCMP
|
7/25/2018
|
3.9
|
4.9
|
-20.2%
|
A
|
385
|
|
CHE
|
7/25/2018
|
5.2
|
3.9
|
32.4%
|
A
|
|
|
CLGX
|
7/25/2018
|
3.7
|
3.3
|
11.6%
|
A
|
|
|
CTXS
|
7/25/2018
|
4.6
|
3.1
|
50.2%
|
B
|
11962
|
|
CUZ
|
7/25/2018
|
7.7
|
1.5
|
429.6%
|
F
|
|
|
CVTI
|
7/25/2018
|
8.1
|
6.0
|
35.4%
|
C
|
696
|
|
CW
|
7/25/2018
|
1.3
|
2.8
|
-54.8%
|
B
|
303
|
|
DAN
|
7/25/2018
|
5.2
|
3.9
|
32.9%
|
C
|
3957
|
|
DDR
|
7/25/2018
|
2.4
|
4.0
|
-40.5%
|
D
|
723
|
|
DLB
|
7/25/2018
|
4.4
|
4.8
|
-8.6%
|
B
|
277
|
|
DRE
|
7/25/2018
|
6.8
|
1.7
|
301.1%
|
D
|
|
|
DTE
|
7/25/2018
|
|
1.0
|
-100.0%
|
C
|
1965
|
|
ECHO
|
7/25/2018
|
8.7
|
7.3
|
19.2%
|
C
|
1247
|
|
EFX
|
7/25/2018
|
3.4
|
2.8
|
19.7%
|
C
|
11074
|
|
EHC
|
7/25/2018
|
4.8
|
5.3
|
-10.7%
|
A
|
343
|
|
ETH
|
7/25/2018
|
6.8
|
4.8
|
41.1%
|
D
|
|
|
EVR
|
7/25/2018
|
1.8
|
3.0
|
-37.7%
|
C
|
2252
|
|
F
|
7/25/2018
|
3.5
|
2.8
|
22.1%
|
C
|
78491
|
|
FARO
|
7/25/2018
|
9.4
|
11.8
|
-20.1%
|
C
|
|
|
FB
|
7/25/2018
|
5.0
|
4.3
|
15.6%
|
A
|
3013563
|
|
FCX
|
7/25/2018
|
4.6
|
6.6
|
-29.4%
|
C
|
92818
|
|
FFIV
|
7/25/2018
|
4.8
|
5.0
|
-3.7%
|
B
|
18324
|
|
FLIR
|
7/25/2018
|
4.1
|
3.6
|
14.5%
|
C
|
572
|
|
FWRD
|
7/25/2018
|
4.6
|
5.2
|
-11.3%
|
B
|
|
|
GD
|
7/25/2018
|
3.0
|
3.1
|
-4.1%
|
C
|
71294
|
|
GGG
|
7/25/2018
|
4.8
|
5.4
|
-9.9%
|
B
|
|
|
GILD
|
7/25/2018
|
3.7
|
4.3
|
-13.4%
|
D
|
249454
|
|
GLW
|
7/25/2018
|
4.0
|
4.7
|
-15.6%
|
D
|
18509
|
|
GM
|
7/25/2018
|
3.6
|
2.5
|
42.5%
|
D
|
144389
|
|
GRUB
|
7/25/2018
|
9.9
|
14.3
|
-30.8%
|
C
|
21391
|
|
HBAN
|
7/25/2018
|
|
2.4
|
-100.0%
|
C
|
2758
|
|
HCA
|
7/25/2018
|
2.7
|
1.7
|
60.8%
|
B
|
8948
|
|
HCCI
|
7/25/2018
|
8.2
|
8.4
|
-2.1%
|
D
|
|
|
HES
|
7/25/2018
|
3.2
|
3.5
|
-10.4%
|
D
|
43430
|
|
HLT
|
7/25/2018
|
2.5
|
2.0
|
28.2%
|
A
|
52950
|
|
IART
|
7/25/2018
|
10.8
|
5.7
|
90.2%
|
B
|
461
|
|
JBT
|
7/25/2018
|
6.2
|
7.8
|
-20.5%
|
C
|
|
|
KEM
|
7/25/2018
|
8.0
|
11.2
|
-29.1%
|
D
|
8921
|
|
KEX
|
7/25/2018
|
4.0
|
3.9
|
1.2%
|
B
|
4207
|
|
KNX
|
7/25/2018
|
8.9
|
5.0
|
77.8%
|
C
|
6335
|
|
KO
|
7/25/2018
|
2.0
|
1.3
|
59.4%
|
B
|
90311
|
|
KRC
|
7/25/2018
|
5.1
|
1.6
|
212.1%
|
C
|
|
|
LAD
|
7/25/2018
|
5.6
|
6.1
|
-8.0%
|
C
|
2551
|
|
LH
|
7/25/2018
|
3.2
|
3.2
|
-1.3%
|
A
|
4811
|
|
LHO
|
7/25/2018
|
12.8
|
4.2
|
208.9%
|
D
|
|
|
LM
|
7/25/2018
|
2.0
|
2.9
|
-30.7%
|
C
|
3642
|
|
LSTR
|
7/25/2018
|
3.6
|
3.6
|
0.5%
|
B
|
322
|
|
LVS
|
7/25/2018
|
2.7
|
2.7
|
2.6%
|
B
|
72364
|
|
LW
|
7/25/2018
|
3.5
|
2.6
|
35.7%
|
B
|
1510
|
|
MAT
|
7/25/2018
|
8.9
|
7.9
|
13.5%
|
D
|
8889
|
|
MDLZ
|
7/25/2018
|
2.7
|
3.1
|
-12.1%
|
B
|
27241
|
|
MHK
|
7/25/2018
|
4.7
|
3.3
|
43.0%
|
B
|
19533
|
|
MHO
|
7/25/2018
|
7.3
|
3.0
|
143.5%
|
C
|
|
|
MKTX
|
7/25/2018
|
3.6
|
3.8
|
-5.5%
|
C
|
483
|
|
MPWR
|
7/25/2018
|
3.6
|
2.9
|
24.8%
|
B
|
1111
|
|
MSA
|
7/25/2018
|
4.5
|
3.1
|
42.4%
|
C
|
360
|
|
MTH
|
7/25/2018
|
4.0
|
5.8
|
-29.8%
|
D
|
1334
|
|
NDAQ
|
7/25/2018
|
2.1
|
2.0
|
4.6%
|
B
|
2981
|
|
NEE
|
7/25/2018
|
1.9
|
1.5
|
30.4%
|
B
|
61130
|
|
NOC
|
7/25/2018
|
3.0
|
2.2
|
35.6%
|
B
|
107892
|
|
NOW
|
7/25/2018
|
5.6
|
4.5
|
24.7%
|
D
|
43655
|
|
NSC
|
7/25/2018
|
3.0
|
3.6
|
-16.3%
|
A
|
56909
|
|
NYCB
|
7/25/2018
|
4.6
|
3.6
|
27.1%
|
C
|
2761
|
|
OC
|
7/25/2018
|
5.6
|
5.1
|
|
|
13149
|
|
OII
|
7/25/2018
|
4.6
|
5.0
|
-8.2%
|
F
|
|
|
ORLY
|
7/25/2018
|
5.5
|
5.6
|
-2.0%
|
B
|
18536
|
|
PCMI
|
7/25/2018
|
14.6
|
21.9
|
-33.2%
|
D
|
|
|
PII
|
7/25/2018
|
6.0
|
7.7
|
-22.2%
|
C
|
12172
|
|
PKG
|
7/25/2018
|
2.6
|
2.2
|
16.8%
|
B
|
4977
|
|
PYPL
|
7/25/2018
|
4.9
|
5.1
|
-4.2%
|
C
|
203964
|
|
QCOM
|
7/25/2018
|
5.0
|
3.0
|
68.6%
|
D
|
170289
|
|
QEP
|
7/25/2018
|
5.5
|
6.4
|
-14.1%
|
F
|
5165
|
|
R
|
7/25/2018
|
5.1
|
6.7
|
-22.7%
|
C
|
3731
|
|
RES
|
7/25/2018
|
4.6
|
4.2
|
8.0%
|
C
|
1755
|
|
RJF
|
7/25/2018
|
|
2.5
|
-100.0%
|
A
|
2184
|
|
ROK
|
7/25/2018
|
3.4
|
2.8
|
23.0%
|
C
|
14786
|
|
ROL
|
7/25/2018
|
3.2
|
3.7
|
|
|
553
|
|
SC
|
7/25/2018
|
6.3
|
8.5
|
-25.3%
|
D
|
1815
|
|
SCCO
|
7/25/2018
|
1.1
|
1.7
|
-32.1%
|
C
|
3297
|
|
SFS
|
7/25/2018
|
11.7
|
9.5
|
23.0%
|
F
|
|
|
SIRI
|
7/25/2018
|
4.2
|
2.8
|
48.3%
|
A
|
5220
|
|
SIX
|
7/25/2018
|
4.8
|
5.0
|
-4.0%
|
C
|
16149
|
|
SLAB
|
7/25/2018
|
5.3
|
4.6
|
15.6%
|
B
|
621
|
|
SNBR
|
7/25/2018
|
11.8
|
11.2
|
5.1%
|
D
|
3376
|
|
STAY
|
7/25/2018
|
4.5
|
3.8
|
18.8%
|
A
|
|
|
SUI
|
7/25/2018
|
2.2
|
1.3
|
63.6%
|
B
|
330
|
|
TILE
|
7/25/2018
|
6.3
|
5.6
|
10.9%
|
B
|
|
|
TMK
|
7/25/2018
|
2.3
|
1.4
|
61.1%
|
A
|
1144
|
|
TMO
|
7/25/2018
|
1.4
|
3.0
|
-54.2%
|
C
|
24902
|
|
TNC
|
7/25/2018
|
6.3
|
4.6
|
37.2%
|
F
|
|
|
TRN
|
7/25/2018
|
5.4
|
3.9
|
37.8%
|
D
|
11456
|
|
TROW
|
7/25/2018
|
3.3
|
3.3
|
-0.6%
|
B
|
5535
|
|
TUP
|
7/25/2018
|
8.7
|
7.5
|
15.7%
|
D
|
9945
|
|
TZOO
|
7/25/2018
|
9.6
|
8.1
|
18.7%
|
B
|
647
|
|
UHS
|
7/25/2018
|
3.6
|
4.0
|
-9.1%
|
B
|
24099
|
|
UPS
|
7/25/2018
|
2.9
|
3.1
|