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Trades we like this morning in Options Markets: Agriculture Commodities and Emerging Markets Debt

Mar 26, 2019

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  • Invesco DB Agriculture Fund (DBA) is one of the cheapest ETFs in our universe in terms of 1-month implied volatility.  We don’t have a trading signal for DBA, so it is hard for us to come up with a real bias for a trade here.  However, to us, selling a butterfly makes a lot of sense since implied volatility should mean revert from the 2% percentile to the 50th over the next 2 weeks.  DBA is a great play on risk on sentiment with implied-realize spreads south of fair value.  Just might be too difficult to put this trade on given the limited open interest. 
  • The VanEck Vectors JP Morgan EM Local Currency Bond Fund ETF (EMLC) is one of the cheapest ETFs in our universe with both 1-month and 3-month implied volatility in the bottom decile.  Implied-realized spreads are narrow with the percentile ranking for both tenors in the bottom percentile!  EMLC has a “SELL” trading signal according to the Quantamize Models.  Shorting EM credit may not make sense with a risk-on sentiment in markets, but it is a great hedge in the event there is any pull back.  EMLC is primarily exposed to government bonds with the average duration around 5 years.  The fund is most exposed to Latin America with 24% allocated to Brazil, Mexico and Colombia.  April 2019 put spreads make a lot of sense to us here as a way to get cheap downside exposure.

Major ETFs Block Trades From Yesterday

Bullish
  • ITB 5,000 Apr 12th 35 calls trade (US Home Const. ETF, appears bought, $.63, ref. 34.59) 
  • RSX Buyer 19,400 May 22 calls (Russia ETF, paid $.34, ref. 21.20) 
  • HYG Seller 20,000 May 85 puts tied to stock (ref. 85.80) 
Bearish
  • SPY 28,000 Apr 12th 250 puts trade (appears bought, $.27, ref. 278.23) 
  • IYR Buyer 6,000 Apr 83 – 79 put spreads (paid $.31, ref. 85.60) 
  • HYG Buyer 30,000 May 84 puts (ref. 85.75) 
  • VGK Buyer 11,000 May 52 puts tied to stock (Vanguard FTSE ETF, ref. 53.22)

 

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
1-Month Percentile for Implied-Realized Spread 3-Month 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 1-Month Volatility (Percentile)

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Name Ticker 1-Month
Implied Volatility
3-Month
Implied Volatility
1-Month
Percentile
3-Month
Percentile
1-Month Percentile for Implied-Realized Spread 3-Month 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 14.27 11.25 94.25% 79.76% 85.71% 49.21%
iShares 7-10 Year Treasury Bond ETF IEF 5.48 4.87 91.27% 67.66% 35.71% 12.70%
iShares MSCI Europe Financials ETF EUFN 24.1 21.82 89.68% 90.67% 76.19% 98.41%
Direxion Daily 20+ Year Treasury Bear 3X Shares TMV 32.4 30.5 88.49% 69.05% 34.52% 67.86%

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

ETFs with most Expensive 3-Month Volatility (Percentile)

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Name Ticker 1-Month
Implied Volatility
3-Month
Implied Volatility
1-Month
Percentile
3-Month
Percentile
1-Month Percentile for Implied-Realized Spread 3-Month 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 16.77 19.28 70.63% 92.86% 66.27% 100.00%
iShares MSCI Europe Financials ETF EUFN 24.1 21.82 89.68% 90.67% 76.19% 98.41%
SPDR S&P Regional Banking ETF KRE 26.25 24.38 87.70% 89.29% 37.70% 67.06%
Direxion Daily Junior Gold Miners Index Bear 3X Shares JDST 86.29 85.94 88.49% 88.10% 35.71% 60.71%

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 1-Month Volatility (Percentile)

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Name Ticker 1-Month
Implied Volatility
3-Month
Implied Volatility
1-Month
Percentile
3-Month
Percentile
1-Month Percentile for Implied-Realized Spread 3-Month Percentile for Implied-Realized Spread
CarMax, Inc. KMX 40.46 32.26 97.22% 84.13% 74.60% 73.81%
Walgreens Boots Alliance, Inc. WBA 31.96 28.04 96.43% 94.05% 45.63% 77.38%
Celgene Corporation CELG 45.02 31.78 95.63% 70.63% 64.68% 17.06%
Lamb Weston Holdings, Inc. LW 29.89 23.1 95.63% 46.23% 90.08% 44.84%
McCormick & Company, Incorporated MKC 29.03 22.15 94.44% 80.16% 98.81% 28.17%

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 3-Month Volatility (Percentile)

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Name Ticker 1-Month
Implied Volatility
3-Month
Implied Volatility
1-Month
Percentile
3-Month
Percentile
1-Month Percentile for Implied-Realized Spread 3-Month Percentile for Implied-Realized Spread
CBRE Group, Inc. CBRE 25.03 25.06 86.30% 99.32% 74.66% 12.33%
Mylan N.V. MYL 37.68 39.06 77.78% 96.03% 15.48% 29.37%
Walgreens Boots Alliance, Inc. WBA 31.96 28.04 96.43% 94.05% 45.63% 77.38%
ResMed Inc. RMD 25.47 28.05 59.92% 92.06% 59.52% 16.27%
Fox Corporation FOXA 26.95 29.36 74.40% 91.67% 0.79% 5.56%

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

ETFs with most Cheapest 1-Month Volatility (Percentile)

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Name Ticker 1-Month
Implied Volatility
3-Month
Implied Volatility
1-Month
Percentile
3-Month
Percentile
1-Month Percentile for Implied-Realized Spread 3-Month Percentile for Implied-Realized Spread
iShares MSCI South Korea ETF EWY 16.24 17.81 1.98% 5.16% 44.44% 34.52%
Invesco DB Agriculture Fund DBA 11.4 13.5 2.18% 19.05% 43.65% 77.38%
VanEck Vectors J.P. Morgan EM Local Currency Bond ETF EMLC 6.04 7.33 2.78% 4.76% 0.40% 0.40%
iShares Silver Trust SLV 14.68 15.45 3.17% 1.59% 8.73% 11.11%
Invesco CurrencyShares Canadian Dollar Trust FXC 5.85 6.28 4.17% 4.76% 19.05% 5.95%

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

ETFs with most Cheapest 3-Month Volatility (Percentile)

On Mobile/Tablet scroll to the right.

Name Ticker 1-Month
Implied Volatility
3-Month
Implied Volatility
1-Month
Percentile
3-Month
Percentile
1-Month Percentile for Implied-Realized Spread 3-Month Percentile for Implied-Realized Spread
Invesco CurrencyShares Euro Trust FXE 6.28 5.88 8.53% 0.79% 21.03% 4.76%
iShares Silver Trust SLV 14.68 15.45 3.17% 1.59% 8.73% 11.11%
ProShares Ultra Bloomberg Natural Gas ETF BOIL 40.18 39.43 11.90% 1.98% 41.27% 17.86%
Invesco CurrencyShares Swiss Franc Trust FXF 5.53 5.69 6.35% 3.17% 32.14% 24.60%
VanEck Vectors Russia ETF RSX 19.58 19.37 15.48% 3.17% 73.41% 91.27%

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 1-Month Volatility (Percentile)

On Mobile/Tablet scroll to the right.

Name Ticker 1-Month
Implied Volatility
3-Month
Implied Volatility
1-Month
Percentile
3-Month
Percentile
1-Month Percentile for Implied-Realized Spread 3-Month Percentile for Implied-Realized Spread
General Mills, Inc. GIS 19.06 19.36 1.59% 0.79% 63.10% 88.49%
Copart, Inc. CPRT 20.49 20 1.98% 0.40% 87.30% 59.92%
Ulta Beauty, Inc. ULTA 24.7 29.56 2.38% 11.31% 10.32% 45.24%
Campbell Soup Company CPB 24.42 28.26 3.17% 24.60% 12.30% 17.46%
The J. M. Smucker Company SJM 19.7 22.16 3.17% 5.56% 9.92% 29.37%

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 3-Month Volatility (Percentile)

On Mobile/Tablet scroll to the right.

Name Ticker 1-Month
Implied Volatility
3-Month
Implied Volatility
1-Month
Percentile
3-Month
Percentile
1-Month Percentile for Implied-Realized Spread 3-Month Percentile for Implied-Realized Spread
NRG Energy, Inc. NRG 24.22 24.58 5.16% 0.40% 38.49% 32.14%
Copart, Inc. CPRT 20.49 20 1.98% 0.40% 87.30% 59.92%
General Mills, Inc. GIS 19.06 19.36 1.59% 0.79% 63.10% 88.49%
Xcel Energy Inc. XEL 12.16 12.37 4.76% 1.98% 89.68% 55.56%
Darden Restaurants, Inc. DRI 18.92 20.78 3.57% 2.38% 8.73% 36.11%

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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