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Midday Volatility Report

Jul 26, 2018

Commentary: Equities are very mixed today as smaller stocks are outperforming on strong earnings while a big disappointment from Facebook has dragged the Nasdaq lower. Currently, the S&P is -.12% led by Staples, Industrials, and Energy. The Nasdaq is -1.25%, and the Russell is +.42%. Energy is in the green with WTI Crude +.65% and Energy ETFs higher, XOP +.33% and XLE +.9%. Bonds are unchanged. Gold is modestly lower with Miners -1%. Volatilities are mixed to slightly higher with the VIX +1% to 12.42, RVX -.5% to 14.73, and VXN +5% to 17.49.

 

ETF 30d volatility changes

SPY:        +2%

IWM:      -1%

QQQ:      +6%

 

Directional:

Bullish

BAC Seller 22,847 Aug 3rd 30.5 calls to Buy 22,847 Aug 32 calls (rolls ITM calls up and out, ref. 31.06)

GM Buyer 10,000 Aug 38 – 40 call spreads (ref. 37.43)

QCOM Buyer 5,700 Jan 65 calls (ref. 62.19)

TPX Buyer 5,000 Dec 60 calls (ref. 50.58)

GILD Seller 10,000 Aug 10th 80 call to Buy 10,000 Aug 77.5 calls (rolls down and out, ref. 76.80)

GE Buyer 9,362 Sep 15 calls (ref. 13.13)

JPM Buyer 5,000 Sep 115 – 120 call spreads (ref. 114. 89)

YNDX Buyer 5,000 Aug 38 – 40 1x2 call spreads (ref. 38.54)

CRI Buyer 4,000 Aug 110 – 115 1x2 call spreads (ref. 110.06)

Bearish

TGT Buyer 4,000 Aug 3rd 85 puts (ref. 80.58)

CMCSA Buyer 5,000 Sep 32.5 puts (ref. 34.51)

 

Earnings Plays:

Bullish

EA Sold 10,450 Aug 150 – 165 call spreads to Buy 7,600 Sep 150 – 170 call spreads and Sell 7,600 Sep 130 puts (ref. 144.03)

 

Bearish

EXAS Buyer 5,000 65 – 60 put spreads (Earnings 8/1, ref. 62.66)

CY Buyer 4,500 Aug 16 puts (Earnings 7/26, ref. 16.96)

 

 

Writes:

Bullish

UNIT Seller 4,000 Nov 15 puts (ref. 17.42)

C Seller 6,000 Aug 68.5 puts (ref. 71.40)

 

Macro:

Bullish

XLI 15,600 Aug 77 calls trade (ref. 75.74)

XLI Seller 10,000 Sep 72 puts (ref. 75.82)

XLF Seller 15,000 Aug 27.5 put to Buy 15,000 Aug 29 calls (ref. 28.19)

GLD 20,000 Dec 125 calls trade (ref. 116.16)

Bearish

QQQ Seller Aug 170 puts to Buy 17,000 Sep 172 puts (ref. 180.81)

EEM Seller 34,000 Aug 43 puts to Buy 34,000 Sep 43 puts (rolls puts out, ref. 44.67)

XBI Seller 7,500 Aug 93 – 82 put spreads to Buy 5,000 Sep 97 – 88 put spreads (reduce and rolls out and up, ref. 97.72)

SMH Buyer 19,100 Sep 100 – 90 puts spreads (ref. 106.65)

EEM Seller 44,800 Aug 24th 46 calls and 56,000 Sep 46.5 calls (ref. 44.58)

EWZ Seller 25,000 Dec 42 calls to Buy 25,000 Dec 36 puts (ref. 36.82)

 

 

Financing Trades:

Bullish

BABA 4,000 Aug 190 RC trade (ref. 194.57)

AABA 10,750 Aug 100 RC trade (ref. 76.71)

EWJ 8,000 Jul 27th 58.5 RC trade (ref. 59.09)

VALE 17,500 Aug 14 RC trade (ref. 13.97)

JD 10,000 Aug 36 RC trade (ref. 36.93)

 

 

Upcoming Earnings:

 

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

Average Daily Vega

AABA

7/26/2018

1.1

2.2

-49.4%

A

86986

AFL

7/26/2018

1.9

1.6

14.2%

A

22453

AJG

7/26/2018

1.7

2.4

-28.8%

C

 

AMGN

7/26/2018

2.4

2.3

3.3%

C

136731

AMZN

7/26/2018

5.4

4.7

13.1%

C

20261136

ATEN

7/26/2018

9.5

11.0

-13.3%

D

863

BCOV

7/26/2018

10.1

12.3

-18.1%

C

 

BJRI

7/26/2018

7.9

7.3

8.5%

A

1559

BOOM

7/26/2018

9.4

9.3

1.5%

C

861

BYD

7/26/2018

5.7

4.4

29.9%

C

11927

BZH

7/26/2018

5.9

4.8

21.9%

F

1632

CINF

7/26/2018

3.0

3.1

-4.7%

C

461

CIR

7/26/2018

8.6

6.7

27.3%

C

283

CLUB

7/26/2018

9.4

9.9

-5.2%

C

 

CMG

7/26/2018

6.7

10.1

-33.8%

D

210959

COLM

7/26/2018

6.3

5.2

20.4%

B

5600

CUBE

7/26/2018

3.2

2.8

13.8%

C

729

CVA

7/26/2018

4.3

4.2

2.2%

A

 

CY

7/26/2018

5.3

2.9

80.5%

C

5546

DECK

7/26/2018

8.1

7.1

15.2%

B

22168

DFS

7/26/2018

2.8

2.7

3.2%

B

17472

DGII

7/26/2018

7.0

4.2

64.8%

D

 

DLR

7/26/2018

1.5

2.6

-43.5%

D

21506

EA

7/26/2018

5.3

5.2

0.5%

D

158786

EGHT

7/26/2018

6.9

8.3

-17.0%

D

476

EIX

7/26/2018

3.1

1.8

69.9%

C

31678

ELLI

7/26/2018

6.8

8.1

-16.7%

F

8830

EMN

7/26/2018

2.7

2.7

0.0%

B

3495

ESND

7/26/2018

14.6

15.5

-5.6%

F

 

EW

7/26/2018

5.9

6.3

-6.7%

C

13756

EXPE

7/26/2018

8.0

7.7

3.8%

D

75680

FBHS

7/26/2018

4.3

2.6

66.5%

C

1617

FICO

7/26/2018

3.6

3.6

1.2%

A

1009

FII

7/26/2018

3.8

4.6

-18.5%

C

1253

FIX

7/26/2018

6.0

7.1

-15.3%

C

 

FORR

7/26/2018

2.4

4.9

-50.2%

D

 

FSLR

7/26/2018

7.2

10.4

-31.0%

D

50123

FTV

7/26/2018

2.7

2.5

11.4%

A

6673

HIG

7/26/2018

3.2

3.1

2.7%

C

6552

IMPV

7/26/2018

7.8

8.0

-1.9%

C

482

INTC

7/26/2018

3.7

3.6

4.4%

C

306546

ISBC

7/26/2018

2.8

2.1

32.6%

B

1886

JEF

7/26/2018

0.8

1.9

-57.4%

A

1960

JNPR

7/26/2018

5.4

5.6

-4.0%

D

6488

LEG

7/26/2018

4.4

3.2

39.2%

C

2692

LOGM

7/26/2018

7.4

6.5

14.4%

C

4378

LPLA

7/26/2018

6.0

5.6

6.8%

C

12177

LRCX

7/26/2018

4.7

3.4

37.7%

A

155907

LSCC

7/26/2018

12.5

5.6

124.3%

D

 

LYV

7/26/2018

4.9

6.4

-23.0%

D

6301

MATW

7/26/2018

7.5

4.0

90.5%

C

 

MITK

7/26/2018

8.5

8.9

-4.8%

D

 

MSTR

7/26/2018

7.4

6.3

16.7%

C

351

MTD

7/26/2018

3.3

3.4

-2.3%

A

806

MXIM

7/26/2018

3.5

3.8

-6.4%

B

3730

NATI

7/26/2018

5.8

5.6

3.9%

C

237

NCR

7/26/2018

6.0

8.2

-27.4%

C

4886

NOV

7/26/2018

3.7

3.4

9.6%

F

4069

PFG

7/26/2018

2.5

2.5

-0.3%

B

2314

PFPT

7/26/2018

5.3

5.1

4.0%

D

5705

POWI

7/26/2018

6.6

6.1

9.1%

C

 

PRO

7/26/2018

8.6

7.3

18.4%

D

 

RGA

7/26/2018

2.5

2.4

3.1%

B

719

RSG

7/26/2018

1.9

1.9

0.8%

A

12503

SAM

7/26/2018

7.8

6.8

14.7%

C

16951

SBUX

7/26/2018

3.8

3.3

15.9%

B

141561

SGEN

7/26/2018

5.8

3.9

49.6%

F

3879

SIVB

7/26/2018

6.2

7.2

-13.8%

C

10994

SKYW

7/26/2018

5.4

6.0

-8.6%

B

272

SPSC

7/26/2018

8.6

7.4

16.3%

B

 

TACO

7/26/2018

8.9

7.4

21.5%

B

1113

TYL

7/26/2018

4.3

4.0

7.4%

C

3371

UCTT

7/26/2018

10.0

10.1

-0.7%

B

2597

VRSN

7/26/2018

4.2

1.9

116.1%

A

7260

VVI

7/26/2018

5.8

4.9

19.4%

C

 

WDC

7/26/2018

5.1

5.4

-5.6%

C

119105

 

 Volatility Standouts:

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

ZS

7.37E-01

F

-1.06%

90.70

10209

DNKN

73.14%

A

-0.08%

85.77

35925

UNFI

70.56%

C

7.44%

17.39

931

MAC

69.91%

D

-8.85%

0.40

2641

SERV

69.05%

A

-23.57%

31.62

9795

CZR

66.16%

D

-4.96%

66.80

36092

ESPR

63.29%

F

-1.29%

78.26

3590

BGCP

62.49%

D

2.82%

88.54

2747

TIF

62.00%

C

2.58%

80.63

27132

ESRX

59.93%

B

0.36%

98.81

76878

XRX

59.90%

D

0.29%

86.17

8886

GRA

59.81%

B

2.96%

72.73

9799

NYCB

59.44%

C

1.46%

81.82

3762

FB

59.17%

A

-1.80%

70.75

4543709

ALNY

58.91%

F

3.19%

84.19

15905

ONCE

58.15%

F

1.36%

97.62

3125

FOLD

57.87%

D

-0.12%

41.11

1795

COL

57.80%

A

-0.58%

75.89

6972

CFR

56.51%

B

-1.04%

15.42

3826

KEX

56.17%

B

-0.79%

28.06

4359

LBRDK

55.83%

B

-0.06%

99.21

36

STZ

55.49%

B

-1.33%

0.79

196789

TXT

55.40%

B

0.25%

0.00

22533

EROS

55.22%

F

-2.82%

7.91

579

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

SVU

-72.98%

C

-1.06%

84.98

10179

NVRO

-60.19%

D

-0.08%

98.02

16015

EVHC

-50.18%

C

7.44%

7.91

10196

RCII

-48.42%

D

-8.85%

5.14

724

TTD

-39.48%

C

-23.57%

58.10

19389

PVTL

-39.24%

F

-4.96%

71.43

5143

AVGO

-38.99%

A

-1.29%

28.46

1237296

OCLR

-36.96%

D

2.82%

0.40

3624

PTCT

-35.97%

F

2.58%

26.59

2308

ADS

-35.17%

C

0.36%

0.79

32430

SNAP

-28.88%

F

0.29%

61.26

77303

DXC

-27.52%

B

2.96%

42.06

11781

ARNC

-27.04%

D

1.46%

78.26

15427

INFN

-26.93%

F

-1.80%

63.24

3400

BIIB

-24.66%

C

3.19%

97.63

472557

INGR

-23.01%

C

1.36%

95.65

4443

FOSL

-21.86%

D

-0.12%

52.17

5211

SRE

-21.75%

C

-0.58%

43.87

31556

ATHN

-21.32%

C

-1.04%

19.76

27328

RH

-21.13%

C

-0.79%

42.29

31007

NKTR

-20.93%

D

-0.06%

49.01

18174

CLDR

-20.44%

F

-1.33%

40.32

1253

FOXA

-19.89%

C

0.25%

2.37

273782

SAVE

-19.43%

D

-2.82%

25.69

5475