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VIX closes week below 12 with SPY 1M Implied Volatility at 38th Percentile

Sep 21, 2018

Implied Volatility Data for Liquid Macro Index ETFs

  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 8.31 28.57% 10.73 40.48% 1.29 87.1% 2.07 66.27% 3.37 74.8%
QQQ 13.96 47.02% 16 59.52% 1.15 78.37% 1.71 56.35% 3.23 75.4%
IWM 11.15 7.14% 12.7 11.31% 1.14 84.33% 4.09 86.31% 2.48 49.6%
FEZ 13.23 58.73% 14 57.14% 1.06 42.26% -2.08 21.43% -1.06 25.4%
EEM 17.44 63.1% 18.94 73.81% 1.09 71.23% -1.93 23.02% 0.11 39.68%

Options Recap Week of 9/15-9/21/18

  • China’s measured (and perhaps lighter than expected) response (10% on $50 billion) to the latest round of tariffs gave global equities a boost. With the dollar falling from recent highs, EEM is set to gain roughly 4% on the week. Similar to last week’s flow, we saw some notable bullish trades in China’s Large-Cap ETF (FXI). Meanwhile, despite the EEM rally, the ETF’s largest trade of the week was downside hedge.

Bullish: FXI Buyer 30,000 Sep 28th 42 – 44.5 1x2 call spreads  (ref. 41.48)

Bullish: FXI Buyer 36,000 Nov 42 – 44 call spreads  (ref. 41.48)

Bearish: EEM Buyer 100,000 Oct 33 puts (ref. 43.21)

  • Financials received a boost this week thanks to the rising 10-year yield. Though the 2-10 spread tightened to its low of .186 on August 24th, the 10-year yield has since moved higher and is now comfortably above 3% (3.072). Some are looking to play the steepening curve via XLF while others a shorting bonds (TLT – bonds selling off = yields higher).

Bullish: XLF Seller 35,000 Sep 29 calls to Buy 35,000 Oct 30 calls (rolls out and up, ref. 29.01)

Bearish: TLT Buyer 15,000 Dec 117 – 115 1x2 put spreads (ref. 117.41)

  • In single name activity, the highlight of the week was undoubtedly Tilray, the Canadian pot producer. After finishing up 38% on Wednesday (and being halted on 5 separate occasions due to volatility), the stock has fallen 55% from its highs and is set to close only moderately up for the week.

Bearish: TLRY Buyer 1,000 Sep 100 puts (ref. 179.44)