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Trades we like this morning in Options Markets: QQQ, EA, PYPL, XLU

Mar 15, 2019

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  • 30-day implied volatility for Invesco QQQ Trust ETF (QQQ) continues to hold below the 20th percentile!  The QQQs have a “Poor” smart beta rating and a “Sell” trading signal.  We recommended a Long Put Spread on QQQ yesterday to our subscribers and would continue to reiterate that position. 
  • Electronic Arts (EA) implied volatility is one of the most expensive in the universe of S&P 500 stocks with its 90-day implied volatility currently in the 90%+ percentile.  To take advantage of rich implied volatility, a butterfly (or condor) spread with at least a 60-day duration makes the most sense.  Electronic Arts (EA) has a rating of "Neutral" in our US Large-Cap Global Top Stock Ideas and "Neutral" in our US Information Technology Global Top Stock Ideas. 
  • PayPal (PYPL) is the cheapest stock in the S&P 500 in terms of 30-day implied volatility with its percentile ranking currently below 4%!  In comparison to the Electronic Arts (EA) idea above, we would be shorting a butterfly (or condor) spread to play a reversion of implied volatility back to its 50% percentile.  PayPal (PYPL) has a rating of "Neutral" in our US Large-Cap Global Top Stock Ideas and "Neutral" in our US Information Technology Global Top Stock Ideas. 
  • SPDR Utilities Select Sector ETF (XLU) is one of the cheapest ETFs in terms of implied volatility in our universe ETFs.  Currently, its implied volatility, on a 1-year percentile basis, is sitting in the bottom percentile.  While SPDR Utilities Select Sector ETF (XLU) is +10% YTD, it currently has a “Sell” signal on Quantamize. Given the cheap levels of implied volatility for the ETF, we would be looking to buy Put Spreads to play any future downside moves in the ETF and some type of normalization in implied volatility levels.

 

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 10.8 35.71% 12.69 43.25% 1.17 71.43% 1.95 75.0% -6.49 22.22%
QQQ 13.88 17.46% 15.63 23.02% 1.13 87.1% 3.77 81.75% -8.6 20.24%
IWM 14.34 46.83% 15.07 47.62% 1.05 58.93% 0.93 48.41% -5.26 19.64%
FEZ 13.78 35.32% 15.45 56.35% 1.12 81.35% 2.92 83.33% 0.33 67.06%
EEM 15.08 2.78% 17.02 15.28% 1.13 98.81% 1.19 66.47% 0.28 69.84%

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 Edge MSCI Min Vol EAFE ETF EFAV 16.36 10.88 92.06% 48.41%
Xtrackers Harvest CSI 300 China A-Shares ETF ASHR 30.35 27.61 85.71% 80.75%
Invesco CurrencyShares British Pound Sterling Trust FXB 12.32 10.76 85.12% 73.81%
VanEck Vectors J.P. Morgan EM Local Currency Bond ETF EMLC 16.77 7.6 80.95% 4.76%

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
Invesco DB Agriculture Fund DBA 15.02 29.49 72.82% 100.00%
ETFMG Alternative Harvest ETF MJ 61.37 54.15 97.97% 93.92%
Xtrackers Harvest CSI 300 China A-Shares ETF ASHR 30.35 27.61 85.71% 80.75%
Invesco Senior Loan ETF BKLN 7.1 7.61 68.45% 74.01%
Invesco CurrencyShares British Pound Sterling Trust FXB 12.32 10.76 85.12% 73.81%

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 42.01 35.87 97.62% 94.64%
Bristol-Myers Squibb Company BMY 39.99 35.3 97.22% 89.29%
Ulta Beauty, Inc. ULTA 41.33 36.29 94.84% 90.48%
Celgene Corporation CELG 42.1 33.85 94.44% 85.12%
CarMax, Inc. KMX 37.4 32.55 90.08% 87.70%

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 42.01 35.87 97.62% 94.64%
Electronic Arts Inc. EA 35.95 41.41 57.54% 91.27%
Ulta Beauty, Inc. ULTA 41.33 36.29 94.84% 90.48%
CVS Health Corporation CVS 27.21 29.81 51.98% 89.68%
Bristol-Myers Squibb Company BMY 39.99 35.3 97.22% 89.29%

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 5.76 6.24 0.40% 0.40%
Invesco CurrencyShares Canadian Dollar Trust FXC 5.31 5.75 0.40% 0.40%
The Consumer Staples Select Sector SPDR Fund XLP 9.75 11.16 0.40% 2.38%
The Utilities Select Sector SPDR Fund XLU 11.14 12.21 0.40% 0.79%
ProShares VIX Short-Term Futures ETF VIXY 53.51 61.09 0.79% 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
ProShares UltraShort Euro ETF EUO 11.29 11.53 1.19% 0.40%
Invesco CurrencyShares Canadian Dollar Trust FXC 5.31 5.75 0.40% 0.40%
Invesco CurrencyShares Euro Trust FXE 5.76 6.24 0.40% 0.40%
Invesco DB US Dollar Index Bullish Fund UUP 5.96 5.88 1.19% 0.40%
The Utilities Select Sector SPDR Fund XLU 11.14 12.21 0.40% 0.79%

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
PayPal Holdings, Inc. PYPL 20.91 24.74 0.40% 3.97%
Under Armour, Inc. UAA 33.39 37.43 0.40% 4.37%
CenterPoint Energy, Inc. CNP 12.62 14.32 0.40% 0.79%
Caterpillar Inc. CAT 20.52 25.37 0.40% 25.79%
Cabot Oil & Gas Corporation COG 24.69 28.61 0.40% 8.33%

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
Eversource Energy ES 12.36 12.5 1.59% 0.40%
Charter Communications, Inc. CHTR 21.54 24.33 1.19% 0.40%
Extra Space Storage Inc. EXR 15.41 17.45 1.19% 0.40%
Exelon Corporation EXC 12.44 13 1.59% 0.40%
The Travelers Companies, Inc. TRV 13.28 13.72 1.19% 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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