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)