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Volatility trades up small for the week as stock prices remain muted

Sep 28, 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 8.93 42.06% 11.63 60.32% 1.3 88.89% 3.09 84.92% 4.39 92.06%
QQQ 13.59 40.48% 15.76 54.56% 1.16 81.55% 2.43 63.1% 3.62 81.35%
IWM 12.3 35.12% 12.88 14.68% 1.05 33.53% 4.45 87.7% 2.95 59.92%
FEZ 13.27 57.94% 14.18 60.32% 1.07 47.22% -0.71 34.52% -0.56 34.92%
EEM 17.02 55.16% 18.63 69.25% 1.09 73.02% 0.02 46.03% 0.45 44.05%

Options Recap Week of 9/22-9/28/18

  • As was expected, the Fed bumped its benchmark rate 25 basis points. This is the eighth increase since December 2015 and the fed funds rate now sits at April 2008 levels (2 – 2.25% range). Generally speaking, higher rates are bullish for the US dollar which was reflected in option flow this week.

Bullish: UUP Buyer 6,000 Sep 28th 25 call options (ref. 24.97)

Bullish: UUP Seller 14,000 Oct 25.5 put options (ref. 25.20)

  • Despite the 10-year yield climbing firmly above 3%, banking shares struggled this week (down 3.5%). Perhaps potential headwinds over trade are clouding growth prospects. Disagreements on the US economic outlook (and  the future path of yields) were reflected in XLF’s mixed flow.

Bullish: XLF Buyer 33,000 Oct 28 – 29 call options spreads (rolls up a strike, ref. 41.48)

Bearish: XLF Seller 95,000 Oct 27 put options (closing) to Buy 96,000 Jan 27 – 24 put options spreads (ref. 28.49)

  • In single name action, General Electric saw a number of size blocks. Once the most valuable company in the S&P, the firm’s difficult 2018 continued with the stock down 6.5% on the week. Some are looking for a bottom as the stock approaches March 2009 levels

Bullish: GE Buyer 46,000 Mar 14 call options (11.70)

Bullish: GE Seller 100,000 Nov 9th 11.5 put options (ref. 11.47)