Bullish
 TickerStock NameClose PriceDifference[1]Skew[2]Term[3]Call IV[4]Put IV[4]Vol of Vol[5]
StrategyPIIMPINJ INC31.57
StrategyZGZILLOW GROUP INC31.75
StrategyCARBCARBONITE INC15.79
StrategyEQTEQT CORP9.71
StrategyDDD3-D SYS CORP DEL8.27
StrategyGOGROCERY OUTLET HLDG CORP33.07
StrategyTUPTUPPERWARE BRANDS CORP15.86
StrategySONOSONOS INC13.24
StrategyNBLXNOBLE MIDSTREAM PARTNERS LP23.75
StrategyWMGIWRIGHT MED GROUP N V20.81
StrategyCOMMCOMMSCOPE HLDG CO INC11.57
StrategySWCHSWITCH INC14.79
StrategyHZOMARINEMAX INC16.20
StrategyINSTINSTRUCTURE INC42.93
StrategyDLPHDELPHI TECHNOLOGIES PLC13.98
StrategyDODIAMOND OFFSHORE DRILLING IN5.39
StrategyAXLAMERICAN AXLE & MFG HLDGS IN8.31
StrategyBGSB & G FOODS INC NEW16.31
StrategyVRNSVARONIS SYS INC62.34
StrategyNSSCNAPCO SEC TECHNOLOGIES INC27.05
StrategyCHGGCHEGG INC32.37
StrategyFNKOFUNKO INC18.33
StrategyPDCEPDC ENERGY INC21.20
StrategyVGVONAGE HLDGS CORP10.38
StrategyBOOTBOOT BARN HLDGS INC36.85
StrategyEGHT8X8 INC NEW18.83
StrategyMTSIMACOM TECH SOLUTIONS HLDGS I21.04
StrategyCECOCAREER EDUCATION CORP14.52
StrategyIININTRICON CORP21.12
StrategyPLTPLANTRONICS INC NEW37.49
StrategyMOVMOVADO GROUP INC25.53
StrategyCTBCOOPER TIRE & RUBR CO27.60

Bearish
 TickerStock NameClose PriceDifference[1]Skew[2]Term[3]Call IV[4]Put IV[4]Vol of Vol[5]
StrategyCCKCROWN HOLDINGS INC69.87
StrategyWFCWELLS FARGO CO NEW49.97
StrategyDOWDOW INC47.96
StrategyPHPARKER HANNIFIN CORP184.54
StrategyEQHAXA EQUITABLE HLDGS INC21.71
StrategyCTASCINTAS CORP269.31
StrategyFDPFRESH DEL MONTE PRODUCE INC28.80
StrategyNSCNORFOLK SOUTHERN CORP181.91
StrategyPNCPNC FINL SVCS GROUP INC143.52
StrategyACNACCENTURE PLC IRELAND187.08
StrategyJPMJPMORGAN CHASE & CO120.56
StrategyFDSFACTSET RESH SYS INC249.74
StrategyABTABBOTT LABS82.79
StrategyNKENIKE INC96.10
StrategyIBKRINTERACTIVE BROKERS GROUP IN45.00
StrategyBLKBLACKROCK INC445.04
StrategyIBMINTERNATIONAL BUSINESS MACHS134.09

Bibliography

1. Turan G. Bali and Armen Hovakimian, 2009. Volatility Spreads and Expected
Stock Returns.
Management Science 55, 1797-1812

2. Yuhang Xing, Xiaoyan Zhang and Rui Zhao, 2010. What Does the Individual
Option Volatility Smirk Tell Us About Future Equity Returns?.
Journal of
Financial and Quantitative Analysis 45, 641-662.

3. Aurelio Vasquez, 2012. Equity Volatility Term Structures and the Cross-Section
of Option Returns.


4. Byeong-Je An, Andrew Ang, Turan G. Bali and Nusret Cakici, 2013. The
Joint Cross Section of Stocks and Options.
Georgetown McDonough School
of Business Research Paper No. 2012-10

5. Guido Baltussen, Sjoerd Van Bekkum and Bart Van der Grient, 2013.
Unknown Unknowns: Vol-of-Vol and the Cross-Section of Stock Returns. AFA
2013 San Diego Meetings Paper.



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Design & Methodology: Don Fishback Data: Interactive Data Corp.
Lead Developer: James Hughbanks   Hanweck Associates
Contributor:Bruce Spike Standard Option Formulas: Bernt Arne Ødegaard
Contributor:Chris Moore
Contributor:Benjamin Smith
Contributor:UK Computer Science and Engineering
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