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VIX Closes the Week Above 13 as Turkish Economic Crisis Drives Demand for Puts

Aug 10, 2018

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Implied Volatility Data for Liquid Macro Index ETFs

ETF 30D IV 30D IV Percentile 90D IV 90D IV Percentile 90D/30D IV 90D/30D IV Percentile 30D IV-20D HV 30D IV-20D HV Percentile 90D IV-60D HV 90D IV-60D HV Percentile
SPY 7.92 31.35% 9.84 28.77% 1.24 69.64% 1.78 70.63% 1.43 41.87%
QQQ 11.48 10.91% 14.38 34.52% 1.25 95.24% -0.88 32.74% 1.64 49.01%
IWM 10.17 2.38% 13.02 13.89% 1.28 98.02% -0.35 23.02% 2.15 42.46%
FEZ 11.53 41.67% 13.48 46.83% 1.17 71.43% 2.95 74.01% -1.36 21.63%

 

Option Recap Week of 8/6/18 – 8/10/18

  • As the US and China continue to slap tariffs on each other, option flow is mixed in FXI (China Large Cap). With the ETF down close to 20% from its January highs, some are looking for a bounce while others are protecting against further losses.

Bullish: Buyer 22,000 Jan 45 – 50 call spreads

Bearish: Buyer 18,200 Aug – Oct 40 put spreads (rolls out to October)

  • Meanwhile, geopolitical tensions with Russia have attracted bearish flow in RSX (Russia Fund)

Bearish: Buyer 5,000 Jan puts

Bearish: Buyer 6,000 Oct 20 – 19 puts spreads

  • Elon Musk’s Twitter shenanigans has Tesla options active this week with put-call skew reaching all-time highs. 2-month skew, for example, is 3.66 standard deviations above its trailing 1-year mean.
  • Although Turkey is only a .50% allocation in EEM, the country’s currency woes has brought about concerns in European financials, driving the Euro lower. Thanks to the stronger dollar, EEM has struggled and is down roughly 1.5% on the week. In options, flow has been mixed.

Bullish: Buyer 67,000 Sep 46.5 – 47 call spreads (for .08)

Bearish: Buyer 40,000 Sep 44 – 40 put spreads