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Volatility takes Center Stage, G-20 Approaches

Nov 23, 2018

 

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 18.49 94.44% 18.22 97.22% 0.99 18.45% -0.71 36.51% 1.61 46.43%
QQQ 24.65 90.87% 23.56 96.43% 0.96 23.81% -6.26 18.25% -2.01 27.78%
IWM 21.53 94.05% 20.47 96.83% 0.95 15.87% -0.71 26.59% 1.22 36.51%
FEZ 19.34 91.27% 17.05 86.11% 0.88 7.34% 2.69 77.78% 0.57 57.74%
EEM 25.97 97.22% 22.61 94.84% 0.87 1.59% -0.91 41.07% -1.48 30.56%

 

Highlights from the past week

  • I hope all Quantamize readers had a lovely Thanksgiving! As of late, neither turkeys nor equities have fared too well. After moving lower on Monday and Tuesday, the market made an uninspiring rally Wednesday and SPY now sits roughly flat YTD. VIX is hovering above 21 and oil has fallen further into bear market territory. Here are some of the largest/most interesting trades of the week:

Bearish: QQQ Buyer 40,000 Dec 157 put options (ref. 159.38)

Bearish: QQQ Buyer 11,500 Feb 150 put optons to Sell 23,000 Feb 130 put options (ref. 161.02)

Bearish: USO Seller 65,000 Jan 11 put options (closing) to Buy 70,000 Jan 10.5 put options (rolls down, ref. 11.28)

Bullish: USO 72,500 Dec 28th 13.5 call options trade (ref. 11.28)

Bullish: EEM Buyer 45,500 Mar 43 call options (ref. 40.29)

 

 

  • With the momentum stocks such as the FAANGs struggling, investors have shifted to more defensive sectors (Utilities, Consumer Staples). For example, XLU (Utilities ETF) saw $1.47 billion of inflows just last week. Moving into “low-volatility” funds would make sense at first blush in this environment, but the options market isn’t communicating that same sentiment.

Bearish: XLU Seller 20,000 Mar 55 call options (ref. 54.65)

Bearish: XLP 10,000 Jan 50 put options options trade (ref. 56.30)

Bullish: TLT Buyer 75,000 Jan 120 – 126 call options spreads (ref. 114.95)

 

  • In single name action, we saw lots of bullish flow in Chinese e-commerce firm, JD.com. The stock, down more than 50% YTD, reported earnings this week and fell on poor sales figures and weak guidance. The trade war may be impacting consumer confidence in China as rival Alibaba also disappointing on earnings. Despite this year’s ugly performance, traders are looking for a rebound.

Bullish: JD Buyer 10,000 Jun 29 call options (ref. 22.12)

Bullish: JD Buyer 40,000 Mar 26 call options (ref. 21.75)

Bearish: JD 7,000 Jan 17 put options trade (ref. 19.58)