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Midday Volatility Report

Jul 25, 2018

Commentary:

Equities are little changed in relatively quiet trading, especially considering we are in the heart of earnings seasons. Currently, the S&P 500 is +0.16%, the Russell continues to lag, -0.05%, and the Nasdaq is +0.52% ahead of Facebook, FB earnings. The current implied move for FB earnings is 5.24% compared to a weighted average historical move of 4.3%. Skew indicates sentiment is positive into the event. Oil has been volatile today rallying early, then backing off, before rallying on the API inventory # with WIT +1.5%. Energy ETF’s are up, but not as much as oil itself with XOP +0.56% and XLE +0.65%. Bonds are up slightly. Gold price is +0.3%, however the miners ETF GDX is -.37%. Volatilities are generally lower with VIX -1.5% to 12.23, RVX -2% to 15.28, and VXN -2% to 16.78.

 

 

ETF 30d volatility changes

SPY:        -2%

IWM:      -2%

QQQ:      -1%

 

Directional:

Bullish

FCAU Buyer 4,365 Sep 25 calls (ref. 17.49)

Bearish

FOXA Seller 12,000 Aug 46 calls to Buy 8,000 Apri19 40 puts tied to stock (ref. 45.01)

GLE Buyer 14,000 Aug 31 puts (ref. 31.75)

SIRI 10,000 Dec 7 puts trade (ref. 7.09)

 

Earnings Plays:

ABX Buyer 5,074 Aug 14 calls (Earnings 7/25, ref. 11.77)

MGM Buyer 9,207 Aug 33 calls (Earnings 8/2, ref. 30.99)

NOK Buyer 10,000 Jul 27th 5.5 – 6 put stupids (Earnings 7/26, ref. 5.92)

DHI Buyer 5,000 Jan 45 calls (Earnings 7/26, ref. 39.56)

FB Seller 9,296 Sep 215 calls to Buy 12,500 Dec 230 – 260 call spreads (rolls out and up, Earnings 7/25, ref. 215.32)

CZR Seller 10,000 Jul 26th 11.5 calls to Buy 10,000 Aug 3rd 12 calls (rolls up and out a week, Earnings 8/2, ref. 11.72)

CTL Buyer 5,007 Aug 19 puts (ref. 18.22)

ATVI 6,000 Aug 3rd 85 calls trade (Earnings 8/2, ref. 79.61)

QCOM Seller 7,500 Sep 65 calls to Buy 7,500 Sep 50 puts (ref. 58.27)

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:

YNDX Seller 3,000 Aug 41 calls (ref. 37.67)

HAL Seller 4,000 Jan 35 puts (ref. 39.63)

BBD Seller 10,000 Jan20 8 puts (ref. 8.40)

 

Macro:

EEM Buyer 22,500 Aug 24th 46 calls (ref. 44.62)

EEM Seller 11,200 Oct 48 calls to Buy 11,200 Oct 40 puts (ref. 44.54)

EWZ Seller 30,000 Aug 35 calls to Buy 30,000 Aug 37.5 calls (rolls up, ref. 36.72)

XLF Buyer 14,000 Sep 28 – 29 call spreads (ref. 27.88)

ITB 5,100 Jul 27th 37.5 puts trade (ref. 37.15)

HYG Buyer 25,000 Sep 81 puts (likely closing) to Sell 12,500 Oct 82 – 83 put stupids (ref. 85.79)

GDX Buyer 10,000 Oct 20 puts (ref. 21.54)

 

 

Financing Trades:

EWZ 5,000 Jan 45 – 50 JR trade (ref. 36.61)

SNAP 6,800 Jan15 RC trade (ref. 13.20)

EEM 12,500 Sep 43 RC trade (ref. 44.63)

 

 

 

Upcoming Earnings:

 

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

Average Daily Vega

AGNC

7/25/2018

1.1

1.7

-34.5%

C

4940

ALGN

7/25/2018

7.8

7.7

2.0%

C

111361

ALGT

7/25/2018

5.8

5.8

0.7%

D

1500

AMD

7/25/2018

9.4

13.6

-30.6%

C

201607

APY

7/25/2018

13.0

2.5

422.5%

D

 

ASGN

7/25/2018

5.6

4.6

20.4%

C

1258

AXTI

7/25/2018

15.5

10.2

51.7%

B

3179

BPI

7/25/2018

16.4

9.1

80.9%

F

 

CCMP

7/25/2018

4.8

4.9

-2.5%

A

435

CHE

7/25/2018

5.0

3.9

28.0%

A

306

CLGX

7/25/2018

3.9

3.3

16.2%

A

 

CTXS

7/25/2018

4.7

3.1

53.4%

B

11130

CUZ

7/25/2018

7.0

1.5

382.6%

F

 

CVTI

7/25/2018

8.1

6.0

35.2%

C

657

CW

7/25/2018

2.0

2.8

-30.2%

B

278

DDR

7/25/2018

6.2

4.0

57.0%

D

493

DLB

7/25/2018

4.5

4.8

-6.7%

B

267

DRE

7/25/2018

8.0

1.7

368.0%

D

 

ECHO

7/25/2018

8.7

7.3

 

 

1168

EFX

7/25/2018

3.2

2.8

11.8%

C

11003

EHC

7/25/2018

5.9

5.3

10.0%

A

375

ETH

7/25/2018

7.0

4.8

46.7%

D

 

F

7/25/2018

4.2

2.8

46.0%

C

84146

FARO

7/25/2018

12.8

11.8

8.0%

C

 

FB

7/25/2018

5.3

4.3

23.0%

A

3502330

FFIV

7/25/2018

4.7

5.0

-6.0%

B

19573

FWRD

7/25/2018

4.1

5.2

-21.4%

B

 

GGG

7/25/2018

4.6

5.4

-14.7%

B

 

GILD

7/25/2018

4.0

4.3

-6.6%

D

245838

HCCI

7/25/2018

7.9

8.4

-5.3%

D

 

JBT

7/25/2018

7.1

7.8

-9.6%

C

 

KEX

7/25/2018

3.9

3.9

-0.4%

B

4257

KNX

7/25/2018

7.6

5.0

52.7%

C

15881

KRC

7/25/2018

5.9

1.6

261.2%

C

 

LHO

7/25/2018

13.0

4.2

213.3%

D

 

LM

7/25/2018

2.6

2.9

-10.2%

C

2422

LSTR

7/25/2018

2.6

3.6

-27.6%

B

648

LVS

7/25/2018

3.0

2.7

11.9%

B

74976

MAT

7/25/2018

8.1

7.9

3.3%

D

21544

MDLZ

7/25/2018

2.8

3.1

-8.3%

B

31693

MHK

7/25/2018

4.9

3.3

47.8%

B

20644

MPWR

7/25/2018

3.7

2.9

30.7%

B

1029

MSA

7/25/2018

4.5

3.1

44.6%

C

274

MTH

7/25/2018

4.9

5.8

-14.5%

D

902

NOW

7/25/2018

5.7

4.5

28.6%

D

59240

OII

7/25/2018

5.2

5.0

4.2%

F

 

ORLY

7/25/2018

5.4

5.6

-3.9%

B

19882

PCMI

7/25/2018

14.7

21.9

-33.2%

D

 

PKG

7/25/2018

2.6

2.2

20.7%

B

5484

PYPL

7/25/2018

4.9

5.1

-3.2%

C

264842

QCOM

7/25/2018

5.7

3.0

93.4%

D

185235

QEP

7/25/2018

7.0

6.4

9.3%

F

5026

RJF

7/25/2018

 

2.5

-100.0%

A

5181

SFS

7/25/2018

13.8

9.5

45.3%

F

 

SNBR

7/25/2018

11.8

11.2

5.5%

D

3389

STAY

7/25/2018

5.2

3.8

37.5%

A

 

SUI

7/25/2018

2.2

1.3

62.1%

B

339

TILE

7/25/2018

6.3

5.6

11.0%

B

 

TMK

7/25/2018

2.4

1.4

66.7%

A

1264

TR

7/25/2018

3.6

1.0

267.6%

D

 

TRN

7/25/2018

5.4

3.9

36.8%

D

17102

UHS

7/25/2018

3.8

4.0

-5.4%

B

24300

V

7/25/2018

2.6

2.7

-2.1%

A

633678

VAR

7/25/2018

5.1

5.4

-4.6%

C

22449

VRTX

7/25/2018

3.2

2.0

58.2%

C

43492

XLNX

7/25/2018

4.8

3.4

42.9%

C

7117

 

 

Volatility Standouts:

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

PRSP

72.74%

D

0.31%

9.68

1015

LBRDK

71.04%

B

2.81%

60.08

36

MAC

70.61%

D

-4.05%

2.37

2617

ESPR

69.53%

F

0.10%

80.63

3950

COG

69.04%

C

5.33%

73.52

25807

AXTA

68.49%

D

3.79%

32.81

23955

BGCP

66.32%

D

1.87%

89.33

2741

TRU

65.14%

B

-0.44%

14.23

3727

TIF

61.56%

C

1.06%

79.84

21585

ESRX

60.93%

B

-1.86%

98.42

76630

ALNY

60.65%

F

-2.67%

82.21

17630

NYCB

58.64%

C

-0.18%

81.42

2975

F

57.97%

C

0.69%

87.35

84146

EIX

56.98%

C

-2.40%

70.75

41363

SC

56.37%

D

-2.13%

54.55

2332

ONCE

55.08%

F

-0.26%

92.46

4185

JBL

54.78%

C

0.07%

13.44

1442

PII

54.59%

C

-0.44%

76.68

14672

EROS

54.43%

F

-0.12%

8.70

447

WATT

53.32%

D

0.69%

32.41

5712

STZ

53.30%

B

-1.87%

0.79

174994

CZR

52.65%

D

-4.34%

63.64

36332

LW

52.14%

B

-2.50%

50.99

3218

SCG

5.16E-01

D

9.07%

48.62

1128

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

RCII

-57.84%

D

0.31%

5.53

741

EVHC

-5.14E-01

C

2.81%

6.72

10889

NVRO

-39.74%

D

-4.05%

100.00

13942

AVGO

-39.65%

A

0.10%

29.25

1126377

TTD

-39.51%

C

5.33%

64.82

18668

PVTL

-39.15%

F

3.79%

61.29

3593

OCLR

-37.34%

D

1.87%

0.00

3579

FOXA

-33.42%

C

-0.44%

1.98

234488

ADS

-33.21%

C

1.06%

2.37

32633

PTCT

-30.61%

F

-1.86%

39.29

1794

SNAP

-29.73%

F

-2.67%

56.52

75129

ARNC

-27.84%

D

-0.18%

76.68

14556

INFN

-27.58%

F

0.69%

65.61

3050

DXC

-25.84%

B

-2.40%

40.87

10516

INGR

-25.78%

C

-2.13%

96.84

3997

SRE

-25.50%

C

-0.26%

52.57

32618

FOSL

-23.20%

D

0.07%

41.11

7015

ATHN

-21.45%

C

-0.44%

19.76

28186

RH

-20.98%

C

-0.12%

42.29

37337

CLDR

-20.23%

F

0.69%

39.13

1272

ORCL

-17.88%

C

-1.87%

43.48

132241

SAVE

-17.81%

D

-4.34%

31.23

5263

ZUO

-17.49%

F

-2.50%

57.38

10927

ABBV

-16.14%

A

9.07%

64.43

223974