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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