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VIX Pops on Market Reversal

Jul 27, 2018

Commentary: Equities started the day in the green, but have seen turned around perhaps due to a slightly weaker than expected GDP report, and are now down across the board with particular weakness in the Nasdaq and the Russell. Currently, the S&P is -.52%, the Nasdaq is -1%, and the Russell is -1.66% as biotech (XBI -2.8%) underperforms. Bonds and gold are up slightly (+.3% on TLT and GLD). Energy is in the red with WTI Crude -.6% and Energy ETF’s lower (XOP -1.2% and XLE -.21%). Volatilities are moving higher with the VIX +11% to 13.44, RVX +14% to 16.26, and VXN +12% to 18.96.

 

 

ETF 30d volatility changes

SPY:        +6%

IWM:      +11%

QQQ:      +6%

 

Directional:

Bullish

CHK Buyer 5,000 Jan 7 calls to Sell 5,000 Jan 20 5 calls (ref. 4.74)

MHK Buyer 4,950 Nov 200 – 220 call spreads (ref. 181.53)

INTC Seller 7,729 Aug 53 calls to Buy 7,729 Sep 50 calls (rolls down and out, ref. 48.27)

INTC Buyer 10,000 52.5 – 55 call spreads (ref. 48.02)

Bearish

TWTR Seller 10,000 Dec 30 calls (likely closing, ref. 35.65)

AFL Seller 3,000 Aug 3rd 44 puts to Buy 3,000 Aug 3rd 46 puts (rolls up, ref. 46.11)

AAL Seller 21,000 Aug 40 puts to Buy 21,000 Aug 36 puts (rolls up, ref. 40.03)

 

Earnings Plays:

Bullish

APRN Buyer 20,000 Oct 3.5 (Earnings, 8/2, ref. 2.96)

TEVA Buyer 5,000 Dec 24 – 30 call spreads (Earning 8/2, ref. 23.15)

Bearish

SNAP Buyer 12,000 Jan 12 puts (Earnings 8/7, ref. 12.81)

CBS 3,500 Aug 55 and Oct 50 puts trade (Earning 8/2, ref. 54.14)

 

 

Writes:

WFT Seller 249,770 Sep 3.5 puts (ref. 3.51)

 

Macro:

Bullish

GLD Buyer 6,591 Oct 127 calls (ref. 115.86)

GLD Buyer 8,111 Sep 124 calls (ref. 115.97)

VXX Seller 8,246 Aug 31st 48 calls (ref. 30.39)

Bearish

VIX Buyer 10,000 Sep 21 calls (ref. 14.75)

XLP Buyer 10,010 Aug 53.5 puts (ref. 53.50)

XBI Buyer 6,000 Aug 94 puts (ref 95.39)

XRT Buyer 20,810 Aug 48 puts (ref. 49.50)

 

 

Financing Trades:

YNDX 2,800 Aug 30 RC trade (ref. 37.98)

AABA 5,000 Aug 100 RC trade (ref. 74.60)

FB 5,000 Aug 225 RC trade (ref. 175.09)

 

 

Upcoming Earnings:

 

Underlying

Earnings Date

Imp Move

Historical Move

Cheap vs Expensive

Quantamize Rating

Average Daily Vega

KBR

7/27/2018

5.6

6.8

-17.7%

D

1008

SMCI

7/27/2018

8.7

4.9

76.7%

D

5143

ON

7/29/2018

4.9

3.7

33.4%

B

18420

AABA

7/30/2018

3.6

2.2

62.3%

A

86736

ACHC

7/30/2018

8.6

8.6

-0.5%

C

3478

AEIS

7/30/2018

4.2

2.3

82.4%

A

1164

AKS

7/30/2018

8.1

10.1

-19.8%

F

10421

ALSN

7/30/2018

4.2

2.9

43.3%

A

725

AMG

7/30/2018

3.2

3.7

-14.9%

B

3239

AMKR

7/30/2018

6.6

7.3

-9.0%

B

220

ARE

7/30/2018

0.7

1.6

-60.3%

C

1211

ATHN

7/30/2018

6.0

11.4

-47.5%

C

27374

AVB

7/30/2018

1.9

1.4

36.5%

C

24228

BAH

7/30/2018

6.0

5.0

21.4%

B

252

BKI

7/30/2018

4.4

2.9

52.9%

A

 

BLKB

7/30/2018

5.8

5.3

9.4%

C

644

BLMN

7/30/2018

8.1

5.2

57.2%

D

5314

BMCH

7/30/2018

7.8

6.4

21.7%

C

 

BRX

7/30/2018

4.5

1.5

194.2%

D

470

CAT

7/30/2018

3.7

4.1

-9.2%

C

310455

CGNX

7/30/2018

6.5

5.5

17.8%

D

1770

CHGG

7/30/2018

11.2

10.8

4.3%

D

1038

CRCM

7/30/2018

9.4

11.7

-19.5%

C

 

DENN

7/30/2018

8.9

6.9

30.0%

A

 

DO

7/30/2018

3.7

4.3

-15.4%

F

1985

EDR

7/30/2018

0.8

1.8

-56.3%

C

 

EFII

7/30/2018

10.8

10.3

4.2%

C

264

EPR

7/30/2018

1.9

2.8

-31.8%

B

1543

EXP

7/30/2018

3.7

3.8

-4.5%

B

22743

FDC

7/30/2018

5.1

7.0

-27.3%

C

14396

HLIT

7/30/2018

22.0

11.7

88.5%

F

 

HSII

7/30/2018

10.5

12.8

-17.8%

B

 

IDTI

7/30/2018

5.5

7.1

-22.1%

C

1936

ILMN

7/30/2018

5.7

4.4

29.6%

C

61415

INST

7/30/2018

5.5

5.6

-1.5%

D

507

IVAC

7/30/2018

20.1

7.8

158.3%

F

 

KAI

7/30/2018

4.5

5.7

-21.0%

C

 

KLAC

7/30/2018

3.1

2.7

15.3%

B

11702

KNL

7/30/2018

6.7

4.8

38.1%

B

 

L

7/30/2018

2.4

1.8

35.0%

B

329

NLS

7/30/2018

10.8

10.9

-1.3%

D

 

NTRI

7/30/2018

11.8

13.7

-13.8%

D

4998

PGTI

7/30/2018

6.2

5.6

11.0%

C

1144

QTM

7/30/2018

27.9

11.8

136.0%

D

 

QTNA

7/30/2018

11.6

15.7

-26.2%

C

 

RCII

7/30/2018

30.5

7.1

331.8%

D

706

RMBS

7/30/2018

5.4

6.3

-13.4%

C

1440

RRC

7/30/2018

4.1

4.0

1.0%

F

6529

RXN

7/30/2018

4.9

3.9

25.0%

C

417

SANM

7/30/2018

8.5

9.5

-10.5%

C

620

SBAC

7/30/2018

1.7

3.0

-42.2%

C

5447

SCI

7/30/2018

5.4

3.5

54.5%

B

1199

SHO

7/30/2018

9.1

0.9

962.2%

D

 

SPG

7/30/2018

2.3

2.7

-14.2%

C

27928

SPWR

7/30/2018

9.8

8.9

10.4%

C

3181

SSD

7/30/2018

8.7

4.5

95.8%

D

 

TBI

7/30/2018

11.1

8.8

25.3%

C

 

TCO

7/30/2018

4.0

2.9

40.5%

C

405

TNET

7/30/2018

10.0

10.3

-2.8%

D

778

TREX

7/30/2018

7.7

9.9

-22.4%

C

788

TXRH

7/30/2018

6.0

4.9

23.4%

C

1820

UDR

7/30/2018

3.4

1.5

127.1%

C

 

UNM

7/30/2018

4.0

3.9

3.2%

B

9338

VNO

7/30/2018

2.3

1.8

30.4%

D

2834

VRNS

7/30/2018

7.1

5.8

20.8%

C

2545

WWD

7/30/2018

6.0

4.3

41.2%

D

 

 

Volatility Standouts:

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

ESPR

74.70%

F

0.22%

90.12

3542

DNKN

74.56%

A

0.29%

50.99

34261

ZS

7.26E-01

F

4.99%

98.85

9768

CZR

68.46%

D

0.06%

65.22

35083

GGP

6.61E-01

C

1.81%

36.36

76190

TIF

65.50%

C

0.37%

83.40

29119

GRA

63.67%

B

1.63%

38.34

19165

NYCB

62.61%

C

-1.17%

73.91

3960

SERV

6.23E-01

A

0.31%

35.97

9668

BMRN

61.37%

C

-8.53%

71.94

7730

VST

60.40%

F

-1.44%

6.33

721

ESRX

59.80%

B

0.40%

97.63

75702

CAMP

58.82%

D

-5.11%

0.79

662

ALNY

58.45%

F

-2.18%

84.58

19718

RST

57.57%

C

2.13%

11.86

166

ONCE

57.32%

F

-0.31%

96.83

3159

HAIN

56.80%

C

-0.33%

94.86

8289

XRX

56.32%

D

0.01%

73.12

9841

FOLD

56.10%

D

2.36%

39.13

2572

SNBR

55.66%

D

4.45%

1.19

5552

COG

55.39%

C

-1.02%

73.12

23251

ALLY

54.85%

D

-0.77%

46.25

9520

WU

54.80%

A

-4.27%

49.80

678

NOV

54.23%

F

-3.78%

24.11

4258

 

 

Underlying

2M Volatility vs Forecast

Q Rating

2M IV Change

IV 2M Percentile

Average Daily Vega

CA

-6.72E-01

B

0.22%

2.78

4984

NVRO

-62.66%

D

0.29%

97.63

16571

EVHC

-45.62%

C

4.99%

5.93

10434

BIIB

-42.19%

C

0.06%

64.43

585335

PVTL

-39.72%

F

1.81%

70.31

4921

TTD

-39.64%

C

0.37%

60.47

19541

ARNC

-34.05%

D

1.63%

81.03

22208

OCLR

-31.34%

D

-1.17%

0.40

3545

ADS

-30.74%

C

0.31%

1.58

30593

PTCT

-30.15%

F

-8.53%

27.38

2291

UNFI

-26.29%

C

-1.44%

50.99

2078

INFN

-25.62%

F

0.40%

64.82

3448

SRE

-25.52%

C

-5.11%

57.71

28064

DXC

-25.14%

B

-2.18%

59.13

12095

INGR

-24.92%

C

2.13%

96.05

5332

AVGO

-23.90%

A

-0.31%

37.94

868955

SNAP

-23.31%

F

-0.33%

79.05

79117

ATHN

-22.26%

C

0.01%

46.25

27374

SYF

-22.07%

D

2.36%

89.33

47492

NKTR

-20.63%

D

4.45%

71.54

17638

RH

-20.39%

C

-1.02%

43.48

35985

FOXA

-20.23%

C

-0.77%

2.37

271246

CLDR

-19.64%

F

-4.27%

37.94

1137

FOSL

-19.37%

D

-3.78%

31.23

3309