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Trades we like this morning in Options Markets: SHY

Mar 21, 2019

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  • Following dovish comments from the Fed, the iShares 1-3 Year Treasury Bond ETF (SHY) is the most expensive ETF in our universe of ETFs on a 30-day implied volatility basis and one of the most expensive on a 90-day implied volatility basis.  According to the Quantamize ETF AI Trading Signals, SHY is currently a “BUY”.  The “BUY” signal should not be a surprise given the Fed’s retreat from its previously hawkish monetary commentary and the current sell-off in yields.  In this scenario, we would be selling implied volatility while also holding a bullish bias on SHY -- selling 30-day ITM Put Spreads makes the most sense here.

Major ETFs Block Trades From Yesterday

Bullish
  • SPY Buyer 13,585 May 300 calls (ref. 282.37)
Bearish
  • FXB Buyer 6,200 Jun 120 puts (ref. 127.70) 
  • VNQ Seller 60,000 Apr 77 puts to Buy 40,500 Jun 81 puts (rolls out and up, ref. 84.62) 
  • KRE Seller 34,500 Apr 53 – 46 put spreads to Buy 42,000 Jun 52 – 46 puts spreads (paid $.985, rolls out, adjusts upper strike, ref. 53.92) 
  • SPY Buyer 26,353 Mar 29th 271 puts (ref. 282.31)

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 11.39 41.07% 12.53 42.06% 1.1 55.56% 3.24 90.08% -5.46 27.38%
QQQ 14.89 32.34% 15.72 25.0% 1.06 66.87% 4.45 84.92% -7.1 30.16%
IWM 15.53 57.74% 15.55 55.36% 1 38.89% 2.73 64.29% -3.45 26.98%
FEZ 12.44 15.87% 15.85 62.1% 1.27 96.63% 2.63 77.38% 0.87 76.19%
EEM 15.77 13.1% 16.65 8.73% 1.06 76.19% 0.92 61.9% 0.24 69.44%

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

iShares 1-3 Year Treasury Bond ETF SHY 26.12 10.8 99.21% 90.48% 75.40% 75.40%
Invesco Senior Loan ETF BKLN 23.8 8.92 98.41% 88.10% 97.22% 20.63%
ETFMG Alternative Harvest ETF MJ 61.37 54.15 97.97% 93.92% 37.84% 33.78%
iShares 7-10 Year Treasury Bond ETF IEF 5.08 6.16 84.92% 98.41% 32.94% 64.68%
Invesco CurrencyShares British Pound ETF FXB 11.97 10.15 82.14% 63.29% 75.00% 20.63%

On Mobile/Tablet scroll to the right.

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

iShares 7-10 Year Treasury Bond ETF IEF 5.08 6.16 84.92% 98.41% 32.94% 64.68%
ETFMG Alternative Harvest ETF MJ 61.37 54.15 97.97% 93.92% 37.84% 33.78%
iShares 1-3 Year Treasury Bond ETF SHY 26.12 10.8 99.21% 90.48% 75.40% 75.40%
Invesco Senior Loan ETF BKLN 23.8 8.92 98.41% 88.10% 97.22% 20.63%
iShares Preferred and Income Securities ETF PFF 6.58 7.7 42.06% 80.56% 62.30% 36.90%

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

30-Day Percentile for

Implied-Realized Spread

90-Day Percentile for

Implied-Realized Spread

Conagra Brands, Inc. CAG 47.26 35.81 99.60% 93.65% 100.00% 96.03%
Celgene Corporation CELG 42 32.61 92.86% 78.57% 50.79% 15.87%
Walgreens Boots Alliance, Inc. WBA 29.22 26.09 91.27% 82.54% 34.92% 67.86%
DaVita Inc. DVA 48.43 38.89 90.48% 82.34% 60.71% 73.02%
Constellation Brands, Inc. STZ 32.35 26.86 90.08% 80.36% 90.87% 17.86%

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

30-Day Percentile for

Implied-Realized Spread

90-Day Percentile for

Implied-Realized Spread

CBRE Group, Inc. CBRE 24.04 24.59 83.92% 97.90% 91.61% 10.49%
Conagra Brands, Inc. CAG 47.26 35.81 99.60% 93.65% 100.00% 96.03%
Garmin Ltd. GRMN 17.56 24.5 34.13% 91.27% 78.17% 8.33%
ResMed Inc. RMD 23.13 27.6 50.79% 89.68% 59.52% 14.68%
CVS Health Corporation CVS 27.06 29.8 50.79% 89.29% 41.67% 50.00%

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

ProShares UltraShort 20+ Year Treasury ETF TBT 15.07 18.38 0.40% 22.22% 2.78% 42.46%
VanEck Vectors Russia ETF FXC 5.16 5.91 0.40% 2.38% 4.76% 2.38%
Sun Resources NL RSX 16.72 18.16 0.40% 0.79% 83.33% 66.27%
iShares MSCI South Korea ETF EWY 13.85 15.57 0.40% 0.40% 41.67% 11.11%
iShares Silver Trust SLV 13.95 15.79 0.79% 2.38% 2.38% 9.52%

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

30-Day Percentile for

Implied-Realized Spread

90-Day Percentile for

Implied-Realized Spread

iShares Investment Grade Corporate Bond ETF LQD 3.89 3.89 3.17% 0.40% 3.57% 0.40%
iShares MSCI South Korea ETF EWY 13.85 15.57 0.40% 0.40% 41.67% 11.11%
Invesco CurrencyShares Euro Trust FXE 5.89 5.57 1.98% 0.40% 34.13% 0.40%
ProShares UltraShort Bloomberg Natural Gas KOLD 54.36 34.82 65.48% 0.40% 92.86% 8.73%
MSCI Emerging Markets Bull & Bear 3X Shares EDC 41.99 45.6 0.79% 0.40% 37.70% 55.16%

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

30-Day Percentile for

Implied-Realized Spread

90-Day Percentile for

Implied-Realized Spread

Regeneron Pharmaceuticals, Inc. REGN 23.24 27.14 0.40% 1.19% 13.89% 10.32%
American Tower Corporation (REIT) AMT 12.87 15.68 0.40% 15.48% 56.35% 80.56%
Dollar Tree, Inc. DLTR 18.14 21.76 0.40% 1.59% 23.81% 70.63%
Digital Realty Trust, Inc. DLR 14.98 18.6 0.79% 21.43% 29.76% 29.37%
Quanta Services, Inc. PWR 18.67 24.35 0.99% 29.56% 62.30% 37.70%

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

S&P 500 Stocks with most 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

30-Day Percentile for

Implied-Realized Spread

90-Day Percentile for

Implied-Realized Spread

Marathon Oil Corporation MRO 32.23 32.25 2.78% 0.40% 70.24% 5.56%
Walmart Inc. WMT 14.58 17.15 3.17% 0.60% 70.63% 63.49%
Nektar Therapeutics NKTR 53.19 54.75 3.97% 0.79% 37.70% 35.32%
Exxon Mobil Corporation XOM 14.69 15.17 13.89% 1.19% 81.75% 17.06%
Xcel Energy Inc. XEL 12.31 12.74 5.16% 1.19% 81.35% 11.11%

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

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