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Trades we like this morning in Options Markets: DRI, DLTR, FXB

Mar 25, 2019

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

 

  • Darden Restaurants (DRI) 30-day and 90-day implied volatility is the cheapest in our universe of stocks.  Implied-realized spreads are also incredibly inexpensive here.  Given the pull-back in US stocks last Friday (and futures point to a negative open today), this is a great time to put on a long call spread on Darden!  Darden Restaurants (DRI) is rated “Top Buy” by our Quantamize models.  We would focus on 1-month long call spreads to avoid introducing too much time decay into the trade.   
  • Like Darden Restaurants (DRI), implied volatility for Dollar Tree (DLTR) is cheap for both 30-day and 90-day periods.  However, on an implied-realized spread basis, only 30-day looks attractive to us.  Dollar Tree (DLTR) is rated “Attractive” by our Quantamize models, and like Darden Restaurants (DRI), we are biased to 1-month long call spreads.  It is very cheap to put on long call spreads when implied volatility is so low (and implied-realized spreads are low!).  Our long bias is also based on a contrarian approach since stocks are already negative -- payoffs from options are ALWAYS better when you are being a contrarian!  In summary, Dollar Tree (DLTR) 1-month long call spreads make a lot of sense to us here -- avoid introducing too much theta into these trades if possible. 
  • The Invesco CurrencyShares British Pound ETF (FXB) is one of the most expensive ETFs in our universe of ETFs on a 30-day implied volatility basis.  Its implied-realized spread (normalized by ATM implied volatility) is in the 78th percentile.  That means “selling volatility” here is very attractive.  The FXB has a “SELL” trading signal in our Quantamize models, which shouldn’t be a surprise given economic uncertainty surrounding BREXIT and the UK economy.  Our idea here is to sell 1-month call spreads to capture rich implied volatility and time decay -- in this trade, theta is your friend!

Major ETFs Block Trades From Friday

Bullish
  • QQQ Buyer 20,000 Mar 29th 181 – 183 call spreads (ref. 179.25) 
  • IWM Buyer 10,000 Apr 5th 155 calls (ref. 150.64) 
  • XOP Seller 6,000 Jan21 25 puts (ref. 29.93) 
Bearish
  • VIX Buyer 65,000 Apr 35 calls (paid $.185, ref. 16.48) 
  • KRE Seller 7,000 May 53 – 49 put spreads to Buy 10,000 May 50 – 45 put spreads (rolls down, ref. 49.30) 
  • EFA Buyer 35,000 May 59 – 55 put spreads (ref. 64.41) 
  • FXI Buyer 20,000 Jun 39 puts tied to stock (ref. 43.66) 
  • EWZ Buyer 15,000 Apr 5th 38 puts (ref. 40.74) 

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

30-Day Percentile for Implied-Realized Spread

90-Day Percentile for Implied-Realized Spread
SPY 11.39 41.07% 12.53 42.06% 1.10 55.56% 84.52% 26.59%
QQQ 14.89 32.34% 15.72 25.0% 1.06 66.87% 87.3% 27.38%
IWM 15.53 57.74% 15.55 55.36% 1.00 38.89% 61.9% 34.52%
FEZ 12.44 15.87% 15.85 62.1% 1.27 96.63% 84.52% 80.16%
EEM 15.77 13.1% 16.65 8.73% 1.06 76.19% 65.08% 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
ETFMG Alternative Harvest ETF MJ 61.37 54.15 97.97% 93.92% 37.84% 33.78%
Invesco CurrencyShares British Pound ETF FXB 13.3 11.01 90.48% 75.79% 78.17% 36.11%
SPDR S&P Regional Banking ETF KRE 27.09 24.34 90.08% 89.29% 47.22% 51.59%
iShares 7-10 Year Treasury Bond ETF IEF 5.04 4.82 83.93% 63.49% 25.00% 7.94%
iShares MSCI Europe Financials ETF EUFN 22.22 21.12 81.35% 87.30% 61.11% 91.27%

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%
SPDR EURO STOXX 50 ETF FEZ 16.29 18.5 66.67% 90.87% 58.73% 97.62%
SPDR S&P Regional Banking ETF KRE 27.09 24.34 90.08% 89.29% 47.22% 51.59%
iShares MSCI Europe Financials ETF EUFN 22.22 21.12 81.35% 87.30% 61.11% 91.27%
Direxion Daily Junior Gold Miners Index Bear 3X Shares JDST 80.39 84.87 62.70% 85.71% 20.63% 57.94%

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
Viacom Inc. VIAB 48.89 38.87 96.83% 95.63% 95.63% 99.21%
McCormick & Company, Incorporated MKC 29.25 22.18 95.63% 80.56% 96.43% 25.40%
Walgreens Boots Alliance, Inc. WBA 30.36 27.24 93.65% 90.87% 37.70% 74.60%
Celgene Corporation CELG 42.37 32.67 93.65% 78.57% 50.79% 17.46%
The Walt Disney Company DIS 26.22 21.73 93.25% 81.35% 94.84% 73.41%

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 25.25 24.3 89.31% 95.86% 77.24% 8.28%
Viacom Inc. VIAB 48.89 38.87 96.83% 95.63% 95.63% 99.21%
Biogen Inc. BIIB 37.52 35.93 88.49% 95.24% 2.78% 2.38%
Fox Corporation FOXA 26.87 29.01 73.41% 91.67% 0.79% 3.97%
ResMed Inc. RMD 24.53 27.8 57.14% 91.07% 56.75% 15.48%

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
iShares MSCI South Korea ETF EWY 15.95 17.23 1.59% 2.18% 37.70% 22.62%
Invesco CurrencyShares Canadian Dollar Trust FXC 5.43 6.15 2.38% 3.97% 10.71% 3.97%
iShares JPM USD Emerging Markets Bond ETF EMB 5.43 6.22 5.75% 9.72% 10.32% 17.46%
Alerian MLP ETF AMLP 16.35 18.63 7.14% 20.63% 63.49% 21.43%
Invesco CurrencyShares Euro Trust FXE 6.27 6.37 7.94% 2.98% 19.44% 19.44%

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
iShares Silver Trust SLV 15.35 15.68 11.11% 1.98% 13.89% 10.32%
iShares MSCI South Korea ETF EWY 15.95 17.23 1.59% 2.18% 37.70% 22.62%
Invesco DB US Dollar Index Bullish Fund UUP 6.5 5.91 15.28% 2.38% 31.75% 13.89%
ProShares UltraShort Euro ETF EUO 12.15 11.83 8.53% 2.78% 26.59% 8.33%
Invesco CurrencyShares Euro Trust FXE 6.27 6.37 7.94% 2.98% 19.44% 19.44%

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

S&P 500 Stocks with most 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
Darden Restaurants, Inc. DRI 18.45 20.14 1.19% 0.40% 8.33% 29.76%
General Mills, Inc. GIS 18.72 19.81 1.19% 0.79% 57.54% 89.29%
Campbell Soup Company CPB 23.92 27.03 1.19% 13.49% 7.94% 9.52%
Dollar Tree, Inc. DLTR 19.66 22.42 1.59% 3.97% 30.56% 73.41%
Xcel Energy Inc. XEL 10.97 12.36 2.38% 1.59% 64.68% 44.84%

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
30-Day Percentile for
Implied-Realized Spread
90-Day Percentile for
Implied-Realized Spread
Darden Restaurants, Inc. DRI 18.45 20.14 1.19% 0.40% 8.33% 29.76%
Apartment Investment and Management Company AIV 20.26 12.56 60.32% 0.40% 90.48% 1.98%
General Mills, Inc. GIS 18.72 19.81 1.19% 0.79% 57.54% 89.29%
Xcel Energy Inc. XEL 10.97 12.36 2.38% 1.59% 64.68% 44.84%
The J. M. Smucker Company SJM 19.51 20.88 2.78% 1.98% 9.13% 10.71%

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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