blog

Latest from the Quantamize Blog

Volatility Recedes – Conflicting China comments leave markets uneasy

Nov 02, 2018

  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 16.84 90.48% 16.29 91.07% 0.97 12.1% -6.59 10.32% 1.51 41.27%
QQQ 23.1 90.87% 21.3 93.65% 0.92 13.1% -12.15 3.17% -1.1 30.16%
IWM 21.25 95.24% 19.76 95.24% 0.93 7.54% -5.15 7.94% 2.25 44.84%
FEZ 18.04 86.9% 16.69 83.53% 0.93 14.09% -0.75 34.52% -0.46 35.71%
EEM 23.06 91.07% 22.09 93.25% 0.96 15.67% -7.48 6.75% -1.6 26.98%

 

  • What’s one predictable thing about the Trump White House? … Unpredictability. After President Trump’s  ‘very good conversation’ with President Xi, the market rallied on hopes of a trade deal at the upcoming G-20 Summit in Argentina (Nov 30th). However, Larry Kudlow threw cold water on that idea Friday morning – stocks reversed and volatility rallied. The fickle nature of these negations continues to be a thorn in the side of investors. 

Bullish: SPY Buyer 25,250 Dec 31st 280 calls (ref. 272.71)

Bullish: EEM Buyer 85,000 Nov 30th 43 calls (ref. 40.98)

Bearish: SPY: Buyer 29,000 Nov 7th 255 puts (ref. 273.18)

Bearish: QQQ: 35,250 Jan 165 – 150 put spreads trade (ref. 169.54)

 

  • Let’s take a trip to South America. Earlier this week, Brazilian assets received a boost after Jair Bolsonaro (far-right candidate) won the presidential election – EWZ (Brazil ETF) is up roughly 35% since mid-September. Also, we’ve seen a jump in activity in Mexico’s ETF, EWW, as tensions over the Southern border escalate (Trump sent 5,000 troops Monday). Shares fell 7% on the news but have pared losses and now sit down ~ 13.5 for the month of October. With such large moves in both ETFs, options are being used to both capture upside and protect downside.

Bullish: EWZ 25,000 Mar 40 – 44 call spreads trade (ref. 40.29)

Bullish: EWW Buyer 2,000 Jan 44 – 49 call spreads (ref. 44.22)

Bearish: EWZ Buyer 30,000 Jan20 40 puts to Sell 80,000 Jan20 30 puts (ref. 41.26)

 

  • More bad news for tech. Despite beating earnings estimates handily on the top and bottom lines, shares of Apple fell 7% on Friday (it’s worst day in two years). The selling pressure is due to the firm’s conservative holiday forecast and an announcement that it will no longer provide quarterly details on unit sales figures. 

Bullish: AAPL 22,500 Nov 2nd 220 calls trade (note* - traded pre-earning, ref. 221.50)

Bearish: AAPL 24,200 Nov 2nd 215 puts trade (note* - traded pre-earnings, ref. 221.50)