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What trades we like this morning in Options Markets: SPY, IWM, XLU and CON

Mar 13, 2019

Actionable and Transparent Quantitative ResearchActionable and Transparent Quantitative Research
Actionable and Transparent Quantitative ResearchActionable and Transparent Quantitative Research

 

  • Implied volatility for SPDR S&P 500 ETF Trust (SPY) and iShares Russell 2000 ETF (IWM) became even more inexpensive during yesterday trading, now in the 30th percentile.  
  • Given the steepness in the implied volatility term structure for SPDR S&P 500 ETF Trust (SPY) and iShares Russell 2000 ETF (IWM), selling calendar spreads  makes sense (buy near-term option and sell later dated option).  We would consider using puts given that both ETFs have “Sell” trading signals. 
  • While there has been a lot of talk about the rally in utilities stocks, and notably, the rally in the Utilities Select Sector ETF (XLU), 30-day implied volatility for XLU is one of the cheapest in our universe of ETFs.  For those who continue to be bullish, this is a great opportunity to put on a call spread since the cost of implementing it is low.  XLU has a “Sell” trading signal for us at the moment and would suggest potentially selling a butterfly (or condor) spread to play a potential increase in volatility. 
  • Conagra Brands (CAG) continues to be expensive on an implied volatility basis and we would be biased to find ways to sell volatility here.  It makes sense to buy a butterfly (or condor) spread to take advantage of elevated implied volatility levels.  In a situation like this, it might be smarter to focus on shorter duration options with a month or so to expiration to manage risk.  Conagra Brands (CAG) has a rating of “Neutral” in our US Large-cap Global Top Stocks Ideas.

Implied Volatility Data For Liquid Macro Index ETFs

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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 10.69 34.13% 12.89 46.03% 1.21 82.34% 1.33 67.06% -6.65 19.64%
QQQ 15.05 32.54% 16.35 33.73% 1.09 78.17% 4.22 85.52% -8.45 19.44%
IWM 15.34 56.75% 15.55 54.37% 1.01 43.65% 1.21 51.59% -5.34 18.65%
FEZ 13.51 30.95% 16.72 76.98% 1.24 96.43% 2.46 77.18% 0.94 78.17%
EEM 16.41 19.25% 17.74 29.96% 1.08 87.9% 2.18 76.98% 0.5 72.22%

Note: Please see our Options FAQs to learn more about Implied Volatility and other advanced options volatility measures

ETFs with most Expensive 30-Day Volatility (Percentile)

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Name Ticker 30-Day Implied Volatility 90-Day Implied Volatility 30-Day Percentile 90-Day Percentile
ETFMG Alternative Harvest ETF MJ 61.37 54.15 97.97% 93.92%
iShares 1-3 Year Treasury Bond ETF SHY 24.12 6.96 94.05% 73.02%
Xtrackers Harvest CSI 300 China A-Shares ETF ASHR 31.39 28.52 90.87% 86.90%
Invesco CurrencyShares British Pound Sterling Trust FXB 13.11 10.9 89.68% 75.60%
The Real Estate Select Sector SPDR Fund XLRE 17.65 12.57 85.32% 21.83%

Note: Please see our Options FAQs to learn more about Implied Volatility and other advanced options volatility measures

ETFs with most Expensive 90-Day Volatility (Percentile)

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Name Ticker 30-Day Implied Volatility 90-Day Implied Volatility 30-Day Percentile 90-Day Percentile
ETFMG Alternative Harvest ETF MJ 61.37 54.15 97.97% 93.92%
Xtrackers Harvest CSI 300 China A-Shares ETF ASHR 31.39 28.52 90.87% 86.90%
Invesco Senior Loan ETF BKLN 7.5 7.68 72.22% 75.79%
Invesco CurrencyShares British Pound Sterling Trust FXB 13.11 10.9 89.68% 75.60%
iShares 1-3 Year Treasury Bond ETF SHY 24.12 6.96 94.05% 73.02%

Note: Please see our Options FAQs to learn more about Implied Volatility and other advanced options volatility measures

S&P 500 Stocks with most Expensive 30-Day Volatility (Percentile)

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Name Ticker 30-Day Implied Volatility 90-Day Implied Volatility 30-Day Percentile 90-Day Percentile
The Boeing Company BA 40.92 32.72 99.60% 90.48%
Conagra Brands, Inc. CAG 42.4 36.87 98.81% 96.83%
Leggett & Platt, Incorporated LEG 34.06 22.84 98.02% 50.60%
Ulta Beauty, Inc. ULTA 43.01 35.82 98.02% 87.70%
Celgene Corporation CELG 47.58 38.8 98.02% 93.65%

Note: Please see our Options FAQs to learn more about Implied Volatility and other advanced options volatility measures

S&P 500 Stocks with most Expensive 90-Day Volatility (Percentile)

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Name Ticker 30-Day Implied Volatility 90-Day Implied Volatility 30-Day Percentile 90-Day Percentile
Conagra Brands, Inc. CAG 42.4 36.87 98.81% 96.83%
Celgene Corporation CELG 47.58 38.8 98.02% 93.65%
CVS Health Corporation CVS 28.28 30.68 62.90% 93.06%
Bristol-Myers Squibb Company BMY 39.5 35.58 96.83% 91.27%
The Boeing Company BA 40.92 32.72 99.60% 90.48%

Note: Please see our Options FAQs to learn more about Implied Volatility and other advanced options volatility measures

ETFs with most Cheapest 30-Day Volatility (Percentile)

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Name Ticker 30-Day Implied Volatility 90-Day Implied Volatility 30-Day Percentile 90-Day Percentile
Direxion Daily 20+ Year Treasury Bull 3X Shares TMF 23.04 26.07 0.40% 1.59%
The Utilities Select Sector SPDR Fund XLU 11.38 13.37 0.79% 30.95%
ProShares UltraShort Euro EUO 11.17 12.24 0.79% 1.19%
Invesco DB US Dollar Index Bullish Fund UUP 5.97 6.09 0.79% 0.40%
Invesco CurrencyShares Canadian Dollar Trust FXC 5.59 5.98 1.19% 0.40%

Note: Please see our Options FAQs to learn more about Implied Volatility and other advanced options volatility measures

ETFs with most Cheapest 90-Day Volatility (Percentile)

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Name Ticker 30-Day Implied Volatility 90-Day Implied Volatility 30-Day Percentile 90-Day Percentile
Invesco DB US Dollar Index Bullish Fund UUP 5.97 6.09 0.79% 0.40%
Invesco CurrencyShares Canadian Dollar Trust FXC 5.59 5.98 1.19% 0.40%
United States Natural Gas Fund, LP UNG 21.72 21.13 24.60% 0.40%
ProShares Ultra Bloomberg Natural Gas ETF BOIL 40.66 39.31 16.47% 0.79%
Invesco CurrencyShares Swiss Franc Trust FXF 5.57 5.74 5.16% 1.19%

Note: Please see our Options FAQs to learn more about Implied Volatility and other advanced options volatility measures

S&P 500 Stocks with most Cheapest 30-Day Volatility (Percentile)

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Name Ticker 30-Day Implied Volatility 90-Day Implied Volatility 30-Day Percentile 90-Day Percentile
Twitter, Inc. TWTR 34.48 44.3 0.40% 14.68%
PPL Corporation PPL 13.58 15.02 0.40% 0.79%
Xerox Corporation XRX 21.85 25.66 0.40% 0.79%
NiSource Inc. NI 12.99 14.14 0.79% 0.40%
Eversource Energy ES 12.2 12.82 0.79% 0.40%

Note: Please see our Options FAQs to learn more about Implied Volatility and other advanced options volatility measures

S&P 500 Stocks with most Cheapest 90-Day Volatility (Percentile)

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Name Ticker 30-Day Implied Volatility 90-Day Implied Volatility 30-Day Percentile 90-Day Percentile
Comcast Corporation CMCSA 17.87 19.37 0.79% 0.40%
Regeneron Pharmaceuticals, Inc. REGN 25.07 27.13 3.97% 0.40%
The Travelers Companies, Inc. TRV 15.04 14.28 12.50% 0.40%
Eversource Energy ES 12.2 12.82 0.79% 0.40%
Entergy Corporation ETR 14.01 13.96 3.97% 0.40%

Note: Please see our Options FAQs to learn more about Implied Volatility and other advanced options volatility measures

Global Stock Indice Price Returns

 

 

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