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Escalating global trade tensions & sell-off in Emerging Markets drove an expansion in implied volatility across international stock markets

Sep 07, 2018

 

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 10.3 63.1% 11.76 67.06% 1.14 46.63% 3.15 90.08% 3.91 87.9%
QQQ 16.5 72.62% 17.07 73.02% 1.03 30.36% 5.93 94.44% 3.93 88.1%
IWM 12.98 50.6% 13.67 41.07% 1.05 28.97% 3.75 83.33% 2.88 57.74%
FEZ 17 88.89% 16.86 90.87% 0.99 20.63% -1.21 29.76% 2.08 55.16%
EEM 20.21 85.32% 20.07 87.7% 0.99 17.66% -2.22 21.03% 1.26 50.0%

 Options Recap Week of 9/4-9/7/18

  • After the US and Canada failed to reach a NAFTA agreement last Friday, one investor is taking profits while maintaining downside exposure in EWC (Canada ETF – down 4% from last week).

Bullish: Seller 10,200 Sep 29 puts to Buy 10,200 Sep 28 puts (rolls down, ref. 28.36)

  • The appearance of Sheryl Sandberg (Facebook COO) and Jack Dorsey (Twitter CEO) before Congress coincided with a difficult week for tech. We saw some interesting trades go up in both single names (FB, AAPL) and the index (QQQ).

Bullish: FB Buyer 40,000 Jan20 270 calls (bought over 3 days, ref. 169.51)

Bearish: AAPL Buyer 10,000 Sep 225 – 217.5 1x2 put spreads (ref. 222.85)

Bearish: QQQ Buyer 30,000 Dec 154 puts (ref. 182.04)

  • This year’s tough stretch for EM failed to relent as South Africa’s GDP contraction spooked investors. The news hit other currencies such as the Turkish Lira and Argentinian Peso and EEM flirts with bear market territory. Despite the recent pressures, flow was mixed.

Bullish: EWZ (Brazil) Buyer 25,000 Sep 34 calls (ref. 31.97)

Bullish: EEM Seller 25,000 Nov 40 puts (ref. 41.62)

Bearish: EEM Buyer 25,000 Nov 40 puts (ref. 41.67)

  • In single name action, shares of JD.com fell roughly 14% this week on sexual assault allegations toward its CEO, Richard Liu. On another note, we saw a large trade in Ford this week after the company had to recall 2 million trucks.

Bullish: JD Seller 14,679 Jan 27 puts (monetizes, ref. 27.44)

Bearish: F Buyer 16,700 Dec 8 puts (ref. 9.49)