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Emerging markets find their footing as global trade tensions ease

Sep 14, 2018

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 8.54 35.32% 11.15 54.17% 1.31 89.29% 2.86 83.93% 3.33 75.0%
QQQ 13.52 42.46% 16.25 62.7% 1.2 91.27% 3.47 72.62% 3 72.42%
IWM 11.91 28.17% 13.18 21.63% 1.11 70.83% 5.16 94.05% 2.49 50.4%
FEZ 14.76 72.22% 15.25 74.4% 1.03 32.34% 0.03 38.49% 0.24 42.86%
EEM 19.23 78.57% 19.92 84.13% 1.04 46.63% 0.19 44.84% 1.08 49.21%

 

Options Recap Week of 9/7-9/14/18

  • Emerging Markets bounced off recent lows this week after Turkey’s central bank hiked its benchmark rate 625 basis points (from 17.75% to 24%) helping to strengthen the Lira. We saw some interesting longer-dates trades this week that are worth highlighting.

Bullish: EEM Buyer 10,000 Jan 45 calls to Sell 10,000 Jan20 54 calls (ref. 42.20) 
Bearish: EEM Buyer 35,000 Dec 38 puts (ref. 41.25)

 

  • We had a couple new developments in the unpredictable US-China relationship this week. On Thursday, the Trump administration (led by Sec. Mnuchin) approached China about a new round of talks. President Trump, however, reportedly wants to move forward with $200 billion in tariffs. Despite the somewhat contradictory signals, some have taken the renewed discussions as an opportunity to reinitiate longs on China. 

Bullish: FXI Seller 60,000 Dec 38 puts to Buy 60,000 Dec 44 – 48 call spreads (ref. 41.48)

 

  • Although Apple dominated the headlines this week with the introduction of its new iPhones, it wasn’t all roses for Tech. In particular, Snap had a rough week and is now trading near all-time lows. First, its Chief Strategy Officer, Imran Khan, announced his plans to depart the firm. A day later, the stock got hit with a sell rating from BTIG. In options action, one player doesn’t see bluer skies ahead for the beleaguered firm.

Bearish: SNAP Seller 15,000 Jan20 10 calls (ref. 42.41)