Trades we like this morning in Options Markets: DRI, DLTR, FXB
Mar 25, 2019
- 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)
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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 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)
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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 |
| 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