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Trades we like this morning in Options Markets: EFAV

Mar 20, 2019

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

 

  • Ironically, the iShares Edge MSCI Min Vol EAFE ETF (EFAV) is one of the most expensive ETFs in our universe of 3,000+ ETFs according to 30-day and 90-day implied volatility.  We are hesitant to put on a bearish trade, even though our trading signal is right now a “Sell” given the melt up in global stocks over the last few weeks.  In this scenario, it makes sense to sell a 1-month straddle to take advantage of rich implied volatility levels.

Major Stocks Block Trades From Yesterday

  • F Buyer 50,000 May 8 puts (paid $.155, ref. 8.73)

Major ETFs Block Trades From Yesterday

Bullish
  • EEM Buyer 63,800 Apr 39 puts to Sell 61,000 May 41 puts (rolls write out and up, ref. 43.59)
  • XLF Buyer 20,000 Apr 28.5 calls trade tied to stock (ref. 27.04)
  • SPY Seller 10,000 Apr 295 – 300 1x2 call spreads to Buy 10,000 Apr 26th 294 – 298 1x2 calls spreads (appears to roll 1x2 out and down, ref. 283.27)
Bearish
  • QQQ Buyer 17,000 Apr 26th 165 – 155 put spreads tied to stock (ref. 179.42)
  • XLP Buyer 10,000 Apr 55 puts (ref. 54.82)
  • XOP 20,000 Jun – Jul 30 put spreads trade (appears to roll out, ref. 30.56)
  • VIX Buyer 33,000 Apr 18 – 22 – 26 call flies (paid $.04, ref. 15.00)
  • HYG Buyer 30,000 Jul 82 puts (ref. 85.83)

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 10.94 37.7% 13.01 48.41% 1.19 78.37% 2.89 86.51% -5.34 28.17%
QQQ 15.29 37.3% 15.79 28.77% 1.03 52.98% 4.85 87.7% -7.3 28.17%
IWM 15.43 57.14% 15.5 54.17% 1 38.69% 2.98 69.84% -3.7 26.19%
FEZ 12.61 17.46% 16.07 65.08% 1.27 96.83% 2.8 81.35% 1.03 78.57%
EEM 15.15 4.17% 16.34 3.57% 1.08 87.1% 0.22 53.17% -0.11 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

30-Day Percentile for

Implied-Realized Spread

90-Day Percentile for

Implied-Realized Spread

ETFMG Alternative Harvest ETF MJ 61.37 54.15 97.97% 93.92% 37.84% 33.78%
iShares Edge MSCI Min Vol EAFE ETF EFAV 26.78 14.34 97.62% 89.48% 99.21% 96.43%
SPDR Bloomberg Barclays High Yield Bond ETF JNK 10.52 8.02 92.06% 65.08% 98.02% 15.48%
Xtrackers Harvest CSI 300 China A-Shares ETF ASHR 27.88 26.45 74.21% 69.05% 13.49% 75.00%
Invesco CurrencyShares British Pound ETF FXB 11.11 9.81 73.81% 55.75% 64.29% 17.86%

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

30-Day Percentile for

Implied-Realized Spread

90-Day Percentile for

Implied-Realized Spread

ETFMG Alternative Harvest ETF MJ 61.37 54.15 97.97% 93.92% 37.84% 33.78%
iShares Edge MSCI Min Vol EAFE ETF EFAV 26.78 14.34 97.62% 89.48% 99.21% 96.43%
Traded Fund Trust II - Invesco Senior Loan ETF BKLN 4.08 7.76 6.75% 76.98% 9.52% 17.46%
iShares MSCI United Kingdom ETF EWU 14.22 16.65 52.58% 70.63% 86.90% 96.43%
Xtrackers Harvest CSI 300 China A-Shares ETF ASHR 27.88 26.45 74.21% 69.05% 13.49% 75.00%

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 45.65 35.49 98.81% 93.65%
CarMax, Inc. KMX 38.4 31.72 93.65% 80.95%
Celgene Corporation CELG 42.21 32.37 93.65% 76.98%
DaVita Inc. DVA 50.97 39.32 92.46% 83.73%
Lamb Weston Holdings, Inc. LW 28.03 23.27 91.67% 49.40%

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

S&P 500 Stocks with most 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 45.65 35.49 98.81% 93.65%
ResMed Inc. RMD 22.23 28.29 45.24% 93.25%
Fidelity National Information Services, Inc. FIS 23.33 21.66 80.95% 86.11%
The Kraft Heinz Company KHC 21.67 26.7 14.09% 84.92%
DaVita Inc. DVA 50.97 39.32 92.46% 83.73%

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

30-Day Percentile for

Implied-Realized Spread

90-Day Percentile for

Implied-Realized Spread

Invesco CurrencyShares Japanese Yen Trust FXY 5.16 6.06 0.79% 1.98% 28.97% 3.57%
Invesco CurrencyShares Canadian Dollar Trust FXC 5.26 5.69 0.79% 0.79% 5.16% 1.19%
Direxion Daily MSCI Emerging Markets Bull 3X ETF EDC 43.89 47.41 0.79% 2.78% 46.43% 65.48%
iShares MSCI South Korea ETF EWY 16.35 17.67 0.79% 3.57% 71.43% 35.71%
Direxion Daily 20+ Year Treasury Bull 3X Shares TMF 22.9 25.58 0.79% 0.79% 4.76% 22.62%

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

30-Day Percentile for

Implied-Realized Spread

90-Day Percentile for

Implied-Realized Spread

United States Natural Gas Fund, LP UNG 20.79 20.84 6.35% 0.40% 27.38% 13.49%
ProShares Ultra Bloomberg Natural Gas ETF BOIL 38.92 38.42 3.17% 0.40% 26.59% 15.08%
Direxion Daily 20+ Year Treasury Bear 3X Shares TMV 23.77 25.35 1.19% 0.40% 8.33% 15.87%
ProShares UltraShort 20+ Year Treasury ETF TBT 16 16.71 2.78% 0.40% 9.13% 16.27%
iShares 20+ Year Treasury Bond ETF TLT 8.62 7.86 8.73% 0.40% 9.52% 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
Comcast Corporation CMCSA 17.1 20.1 0.40% 2.38%
Kohl's Corporation KSS 27.01 29.7 0.40% 0.79%
Dollar Tree, Inc. DLTR 19.32 22.1 0.40% 2.78%
Arconic Inc. ARNC 23.65 27.82 0.40% 2.78%
Ulta Beauty, Inc. ULTA 23.75 28.57 0.60% 6.35%

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
Lam Research Corporation LRCX 28.39 29.65 11.71% 0.40%
Oracle Corporation ORCL 15.26 16.44 5.16% 0.40%
Raytheon Company RTN 17.64 18.54 18.06% 0.79%
Nektar Therapeutics NKTR 51.69 54.94 1.19% 0.79%
Kohl's Corporation KSS 27.01 29.7 0.40% 0.79%

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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