blog

Latest from the Quantamize Blog

Trades we like this morning in Options Markets: MJ, XRT, EWW, TGT, WMT

Mar 19, 2019

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

 

  • ETMG Alternative Harvest ETF (MJ) is back to being the most expensive ETF in our universe in terms of implied volatility.  Both 30-day and 90-day implied volatility are in the 90th+ percentile.  While we don’t have a trading signal for MJ at the moment, we would have a bullish bias and would again suggest investors consider selling 2 to 3-month ITM Put Spreads on MJ rather than buy single stocks exposed to Marijuana.  Last week, we recommended this trade to our subscribers on our YouTube channel, Quantamize TV. 
  • The S&P Retail ETF (XRT) is the second cheapest ETF in on our 3,000+ universe of ETFs on a 30-day implied volatility basis.  While the ETF has 30-day “Sell” trading signal, it scores well according to our factor-based Smart Beta Rating system.  Given the current melt up in the stock market, we would recommend traders consider a 30-day straddle.  Right now, straddles imply a 1.8% move over the next month.  Given its implied beta of 0.96 to SPY, this is an unreasonable implied move.   
  • iShares MSCI Mexico (EWW) is in the bottom percentile for its 30-day implied volatility.  EWW has an implied beta of 0.79 with the SPDR S&P 500 ETF Trust (SPY) and an implied beta of 0.79 with the iShares MSCI Brazil ETF (EWZ).  Given the rally in the SPY and EWZ, traders may be tempted to buy EWW.  However, according to our Quantamize models, the ETF has a “Sell” trading signal.  Given our recommendation that investors consider long call spreads in EWZ last week (a long call spread collar was published on Quantamize.com), we think it is prudent to buy long put spreads on EWW as a hedge to a rally in Brazil stocks and a potential near-term decline in the SPY. 
  • Target (TGT) is one of the cheapest stocks in the S&P 500 based on 30-day implied volatility.  Over the past month, Target (TGT) has been highlighted as a top buy idea for our subscribers.  Given that its 30-day implied volatility (and 90-day!) is in the bottom percentile, a 1-month long call spread on our high conviction US retail play makes a lot of sense. 
  • Like Target (TGT), Wal-Mart (WMT) is also cheap on a 30-day implied volatility basis.  Given our bullish bias to retail stocks, it is hard for us not to recommend a bullish trade.  However, while we think a further rally in the S&P 500 will boost US retail, it is more prudent to consider a trade that will pay off if the market rallies or sells off.  In that vein, we suggest investors consider a 1-month straddle on Wal-Mart (WMT) given its implied move of 3.7% over the next month.  It has an implied beta of 0.77 with the SPY which would suggest an implied move of around 4.8% for the S&P 500.

 

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 10.54 34.92% 12.21 39.09% 1.16 69.84% 2.49 80.16% -6.46 23.21%
QQQ 14.89 32.54% 15.66 24.6% 1.05 61.71% 4.46 85.71% -8.08 23.61%
IWM 14.63 50.4% 14.89 45.63% 1.02 48.41% 2.24 61.51% -4.83 21.83%
FEZ 12.58 17.06% 16.12 65.67% 1.28 97.62% 2.75 80.95% 0.94 77.58%
EEM 14.95 2.38% 16.03 1.19% 1.07 81.35% -0.14 46.43% -0.85 52.78%

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
ETFMG Alternative Harvest ETF MJ 61.37 54.15 97.97% 93.92%
SPDR Bloomberg Barclays High Yield Bond ETF JNK 9.3 6.73 85.71% 32.54%
Invesco CurrencyShares British Pound Sterling Trust FXB 11.49 10.01 79.76% 60.32%
Xtrackers Harvest CSI 300 China A-Shares ETF ASHR 26.75 26.57 67.86% 71.63%
iShares Russell 2000 Growth ETF IWO 17.19 17.52 52.98% 52.38%

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
ETFMG Alternative Harvest ETF MJ 61.37 54.15 97.97% 93.92%
Invesco Senior Loan ETF BKLN 3.91 7.78 5.16% 77.38%
Xtrackers Harvest CSI 300 China A-Shares ETF ASHR 26.75 26.57 67.86% 71.63%
iShares Preferred and Income Securities ETF PFF 5.69 7.02 23.02% 69.64%
ProShares UltraShort Bloomberg Crude Oil SCO 52.12 58.88 48.41% 65.87%

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 41.85 33.92 96.83% 91.67%
Celgene Corporation CELG 44.91 34.48 95.63% 86.51%
DaVita Inc. DVA 51.9 39.57 93.65% 84.13%
CarMax, Inc. KMX 37.72 31.3 90.48% 75.00%
Constellation Brands, Inc. STZ 31.65 25.95 88.49% 69.44%

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
Fidelity National Information Services, Inc. FIS 24.01 23.48 87.30% 93.65%
Conagra Brands, Inc. CAG 41.85 33.92 96.83% 91.67%
ResMed Inc. RMD 24.43 27.58 56.75% 90.08%
Celgene Corporation CELG 44.91 34.48 95.63% 86.51%
CBRE Group, Inc. CBRE 20.12 22.99 49.65% 85.11%

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 Canadian Dollar Trust FXC 5.2 5.85 0.40% 1.19%
SPDR S&P Retail ETF XRT 15.76 17.56 0.40% 6.75%
iShares MSCI Mexico ETF EWW 16.47 19.63 0.40% 6.15%
ProShares UltraShort Euro ETF EUO 10.14 11.09 0.40% 0.40%
VanEck Vectors Russia ETF RSX 16.92 17.79 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
Direxion Daily Financial Bull 3X ETF FAS 29.25 31.1 3.57% 0.40%
ProShares UltraShort Euro ETF EUO 10.14 11.09 0.40% 0.40%
Invesco CurrencyShares Euro Trust FXE 5.74 6.07 0.79% 0.40%
VanEck Vectors Russia ETF RSX 16.92 17.79 0.40% 0.40%
iShares Edge MSCI USA Momentum Factor ETF MTUM 9.85 11.74 1.39% 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
Target Corporation TGT 17.62 20.2 0.40% 0.40%
Walmart Inc. WMT 13.69 17.15 0.40% 0.40%
Chevron Corporation CVX 14.69 17.31 0.40% 1.98%
Duke Energy Corporation DUK 11.61 13.47 0.40% 7.34%
Mondelez International, Inc. MDLZ 13.59 16.65 0.40% 7.74%

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
3M Company MMM 15.8 17.87 10.32% 0.40%
Raytheon Company RTN 16.49 17.76 8.33% 0.40%
PACCAR Inc PCAR 18.96 22.48 1.19% 0.40%
Nucor Corporation NUE 22.65 22.44 11.90% 0.40%
NextEra Energy, Inc. NEE 11.79 12.72 1.59% 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