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Trades we like this morning in Options Markets: QQQ, MJ, CON and UUP

Mar 14, 2019

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

 

  • Implied volatility for Invesco QQQ Trust ETF (QQQ) has seen its 30-day implied volatility drop below the 20th percentile!  The QQQs have a “Poor” smart beta rating and a “Sell” trading signal.  Given our bearish bias to the QQQs and cheap implied volatility, buying a 30-day OTM Put Spread would be smart --> it would be cheap to put on this trade today!
  • Marijuana stocks are back in focus for investors!  ETFMG Alternative Harvest ETF (MJ) is the most expensive ETF in our universe on both a 30-day and 90-day implied volatility basis.   Bullish marijuana investors should sell put spreads on ETFMG Alternative Harvest ETF (MJ) to take advantage of these rich implied volatility levels. 
  • After highlighting a butterfly (or condor) spread on Conagra Brands (CAG) yesterday, the stock is actually now the most expensive stock in the S&P 500 on an implied volatility basis.  Continue to be biased to buying a butterfly (or condor) spread to take advantage of elevated implied volatility levels.  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. 
  • Invesco DB US Dollar Index Bullish Fund (UUP) is one of the cheapest ETFs in our universe based on both 30-day and 90-day implied volatility.  Currently, we have a “Sell” trading signal for Invesco DB US Dollar Index Bullish Fund (UUP).  Given the negative macro backdrop for a stronger US dollar, we would use the current pricing levels to initiate a Put Spread Collar on UUP.  This trade consists of buying a Put Spread on UUP while also selling an OTM Call on UUP to fund the cost of the Put Spread.  This is a highly leveraged trade that is meant for more sophisticated options traders.

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 10.37 32.94% 12.21 38.49% 1.18 74.4% 1.57 71.83% -7.38 16.67%
QQQ 13.95 18.06% 15.11 13.1% 1.08 73.02% 3.9 83.33% -9.69 15.87%
IWM 14.34 47.02% 15.09 47.62% 1.05 58.73% 1.01 48.81% -5.49 18.25%
FEZ 12.64 17.06% 14.85 44.05% 1.17 88.69% 1.76 66.67% -0.61 49.21%
EEM 15.63 7.74% 16.78 10.32% 1.07 82.14% 1.63 73.81% -0.2 62.3%

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 23.41 5.79 90.08% 65.08%
Invesco CurrencyShares British Pound Sterling Trust FXB 11.92 10.69 82.94% 73.02%
Xtrackers Harvest CSI 300 China A-Shares ETF ASHR 28.71 28.37 77.38% 86.31%
iPath Bloomberg Commodity Index Total Return ETN DJP 14.86 13.76 70.63% 54.76%

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 28.71 28.37 77.38% 86.31%
Invesco Senior Loan ETF BKLN 5.9 7.75 48.61% 76.98%
Invesco CurrencyShares British Pound Sterling Trust FXB 11.92 10.69 82.94% 73.02%
ProShares Ultra Bloomberg Crude Oil UCO 51.85 57.56 51.59% 71.03%

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
Conagra Brands, Inc. CAG 43.41 36.4 98.81% 96.43%
The Boeing Company BA 40.68 32.34 98.02% 88.89%
Bristol-Myers Squibb Company BMY 39.64 35.4 97.22% 90.08%
Celgene Corporation CELG 45.67 37.56 96.03% 91.27%
Ulta Beauty, Inc. ULTA 40.72 35.51 94.05% 83.73%

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 43.41 36.4 98.81% 96.43%
Southwest Airlines Co. LUV 30.62 30.71 73.41% 92.46%
Electronic Arts Inc. EA 36.45 41.59 59.52% 91.67%
Celgene Corporation CELG 45.67 37.56 96.03% 91.27%
Bristol-Myers Squibb Company BMY 39.64 35.4 97.22% 90.08%

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
Invesco CurrencyShares Euro Trust FXE 5.95 6.35 0.40% 0.40%
ProShares UltraShort 20+ Year Treasury ETF TBT 15.19 17.4 0.40% 2.38%
VanEck Vectors J.P. Morgan EM Local Currency Bond ETF EMLC 5.76 6.27 0.40% 0.40%
Invesco DB US Dollar Index Bullish Fund UUP 5.59 5.89 0.40% 0.40%
The Consumer Staples Select Sector SPDR Fund XLP 9.78 11.2 0.40% 2.38%

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 5.59 5.89 0.40% 0.40%
Invesco CurrencyShares Canadian Dollar Trust FXC 5.85 5.86 1.59% 0.40%
Invesco CurrencyShares Euro Trust FXE 5.95 6.35 0.40% 0.40%
iShares Trust - iShares 20+ Year Treasury Bond ETF TLT 8.51 8.59 6.35% 0.40%
VanEck Vectors J.P. Morgan EM Local Currency Bond ETF EMLC 5.76 6.27 0.40% 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 30-Day Volatility (Percentile)

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Name Ticker 30-Day Implied Volatility 90-Day Implied Volatility 30-Day Percentile 90-Day Percentile
FirstEnergy Corp. FE 13.52 14.71 0.40% 2.38%
Comcast Corporation CMCSA 17.51 19.23 0.40% 0.40%
PayPal Holdings, Inc. PYPL 21.05 24.62 0.40% 2.78%
Twitter, Inc. TWTR 33.79 43.01 0.40% 9.13%
Genuine Parts Company GPC 14.3 17.25 0.40% 3.17%

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
NextEra Energy, Inc. NEE 11.99 12.74 2.38% 0.40%
PPL Corporation PPL 13.69 14.7 0.79% 0.40%
PACCAR Inc PCAR 21.14 22.5 10.71% 0.40%
The Clorox Company CLX 16.77 17.58 0.79% 0.40%
Entergy Corporation ETR 13.63 13.7 3.17% 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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