blog

Latest from the Quantamize Blog

Trades we like this morning in Options Markets: QQQ, SLV, DUK, XLU

Mar 18, 2019

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

 

  • 30-day implied volatility for Invesco QQQ Trust ETF (QQQ) continues to hold below the 20th percentile!  Our updated ETF ratings were released overnight and the QQQs NOW have a “Poor” smart beta rating and a “Buy” trading signal.  Our trade last week was a long put spread on QQQ earlier in the week, but it might be time to consider a long call spread given how cheap implied volatility is right here. 
  • The iShares Silver Trust ETF (SLV) is the cheapest ETF in our universe in terms of 30-day and 90-day implied volatility.  SLV has a “Buy” trading signal according to Quantamize, which means we are biased to bullish trades for the iShares Silver Trust.  Traders should consider a 30-day Long Call Spread on SLV to get bullish exposure to the precious metal.  For the month, Silver (spot) is up +1.79% -- good time to get on some bullish bets as inflation worries may grow with interest rates on hold in the US. 
  • While there has been a lot of talk about the rally in SPDR Utilities Select Sector ETF (XLU), traders may want to consider single-name trades as a way to play a rally in utility stocks.  Duke Energy (DUK) is one of the cheapest stocks in the S&P 500 according to 30-day implied volatility as it a “Top Buy” in the Quantamize US Large-cap Global Top Stocks Ideas.  A Long Call Spread may be a smart bet here given how inexpensive implied volatility is here and the payoff may be better than simply owning the stock.  
  • While Duke Energy (DUK) may be a buy, we also now have a bullish bias to SPDR Utilities Select Sector ETF (XLU) which NOW has a “Buy” trading signal.  XLU remains 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.  Given the cheap levels of implied volatility for the ETF and now that we have a “Buy” signal for the next month, long call spreads might make sense to create some low beta exposure in your portfolio.

 

Implied Volatility Data For Liquid Macro Index ETFs

On Mobile/Tablet scroll to the right.

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 10.22 31.35% 11.81 33.33% 1.16 69.64% 1.5 69.84% -6.86 19.44%
QQQ 13.52 12.9% 15.32 16.27% 1.13 86.9% 3.07 77.58% -8.43 21.23%
IWM 14.22 46.03% 15.35 51.59% 1.08 74.6% 0.8 46.83% -4.37 23.41%
FEZ 13.16 26.19% 15.49 58.33% 1.18 90.28% 1.99 69.44% 0.32 66.27%
EEM 14.84 1.98% 16.52 5.36% 1.11 96.03% 0.11 51.39% -0.28 60.32%

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)

On Mobile/Tablet scroll to the right.

Name Ticker 30-Day Implied Volatility 90-Day Implied Volatility 30-Day Percentile 90-Day Percentile
ProShares UltraShort Gold ETF GLL 28.99 19.14 99.60% 10.71%
Invesco CurrencyShares Australian Dollar Trust FXA 12.75 8.28 99.60% 21.43%
ProShares UltraShort Euro ETF EUO 17.73 11.45 98.02% 0.40%
ETFMG Alternative Harvest ETF MJ 61.37 54.15 97.97% 93.92%
iShares Edge MSCI Min Vol EAFE ETF EFAV 23.8 10.32 97.22% 38.10%

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)

On Mobile/Tablet scroll to the right.

Name Ticker 30-Day Implied Volatility 90-Day Implied Volatility 30-Day Percentile 90-Day Percentile
Invesco DB Agriculture Fund DBA 13.17 20.09 28.97% 99.60%
ETFMG Alternative Harvest ETF MJ 61.37 54.15 97.97% 93.92%
Invesco Senior Loan ETF BKLN 5.05 7.64 23.02% 74.80%
Invesco CurrencyShares British Pound Sterling Trust FXB 12.8 10.78 88.49% 73.81%
iShares MSCI Europe Financials ETF EUFN 16.77 19.6 27.98% 70.63%

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)

On Mobile/Tablet scroll to the right.

Name Ticker 30-Day Implied Volatility 90-Day Implied Volatility 30-Day Percentile 90-Day Percentile
Conagra Brands, Inc. CAG 47.37 35.27 100.00% 93.65%
Equity Residential EQR 22.93 15.53 96.83% 6.75%
Darden Restaurants, Inc. DRI 34.66 26.56 94.84% 73.41%
Celgene Corporation CELG 42.85 33.34 94.44% 81.75%
Laboratory Corporation of America Holdings LH 30.72 19.82 93.65% 45.63%

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)

On Mobile/Tablet scroll to the right.

Name Ticker 30-Day Implied Volatility 90-Day Implied Volatility 30-Day Percentile 90-Day Percentile
Conagra Brands, Inc. CAG 47.37 35.27 100.00% 93.65%
Mylan N.V. MYL 37 36.09 75.00% 88.10%
The Kraft Heinz Company KHC 21.07 27.18 9.52% 86.90%
CVS Health Corporation CVS 26 29.35 42.86% 86.51%
Celgene Corporation CELG 42.85 33.34 94.44% 81.75%

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)

On Mobile/Tablet scroll to the right.

Name Ticker 30-Day Implied Volatility 90-Day Implied Volatility 30-Day Percentile 90-Day Percentile
Invesco CurrencyShares Japanese Yen Trust FXY 5.11 5.88 0.40% 0.40%
The Utilities Select Sector SPDR Fund XLU 10.81 12.62 0.40% 5.16%
Invesco CurrencyShares Euro Trust FXE 5.59 6.11 0.40% 0.40%
iShares MSCI South Korea ETF EWY 15.84 17.46 0.40% 2.78%
VanEck Vectors J.P. Morgan EM Local Currency Bond ETF EMLC 4.43 6.21 0.40% 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)

On Mobile/Tablet scroll to the right.

Name Ticker 30-Day Implied Volatility 90-Day Implied Volatility 30-Day Percentile 90-Day Percentile
iShares Silver Trust SLV 13.91 15.01 0.40% 0.40%
Invesco CurrencyShares Canadian Dollar Trust FXC 7.61 5.68 71.83% 0.40%
SPDR S&P Bank ETF KBE 23.16 16.21 73.41% 0.40%
The Consumer Staples Select Sector SPDR Fund XLP 9.18 10.62 0.40% 0.40%
VanEck Vectors J.P. Morgan EM Local Currency Bond ETF EMLC 4.43 6.21 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)

On Mobile/Tablet scroll to the right.

Name Ticker 30-Day Implied Volatility 90-Day Implied Volatility 30-Day Percentile 90-Day Percentile
T. Rowe Price Group, Inc. TROW 16.87 20.14 0.40% 8.73%
Regeneron Pharmaceuticals, Inc. REGN 23.68 26.84 0.40% 0.40%
Automatic Data Processing, Inc. ADP 13.31 16.31 0.40% 0.40%
Duke Energy Corporation DUK 11.65 12.27 0.40% 0.60%
DTE Energy Company DTE 11.53 12.18 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 90-Day Volatility (Percentile)

On Mobile/Tablet scroll to the right.

Name Ticker 30-Day Implied Volatility 90-Day Implied Volatility 30-Day Percentile 90-Day Percentile
Dover Corporation DOV 15.93 18.56 0.40% 0.40%
Automatic Data Processing, Inc. ADP 13.31 16.31 0.40% 0.40%
The Travelers Companies, Inc. TRV 12.65 13.62 0.40% 0.40%
Baker Hughes, a GE company BHGE 35.73 28.05 57.14% 0.40%
NiSource Inc. NI 18.89 13.71 61.51% 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

 

 

Stock Model PortfoliosMulti-factor quantitatively optimized portfolios risk-adjusted to provide investors an ATTRACTIVERISK/RETURN TRADE-OFF
Stock Model PortfoliosMulti-factor quantitatively optimized portfolios risk-adjusted to provide investors an ATTRACTIVERISK/RETURN TRADE-OFF