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Trades we like this morning in Options Markets: Buy US stocks by selling SPY Puts and Short the Euro

Mar 27, 2019

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

 

  • 30-day Implied volatility for the SPDR S&P 500 ETF Trust (SPY) has rebounded back to fair value.  However, relative to realized volatility, it is still rich.  SPY currently has a “BUY” trading signal according to the Quantamize models.  Selling 30-day OTM Put spreads makes a lot of sense here to us. 
  • Invesco CurrencyShares Euro Currency ETF (FXE) has the cheapest 30-day implied volatility levels of all the ETFs in our universe.  According to our Quantamize Models, FXE receives a “SELL” trading signal.  Following ECB President Mario Draghi’s comments that further monetary accommodation may be needed by the ECB, we definitively continue to have a bearish bias to the Euro via the US dollar.  In this scenario, buying 30-day OTM puts on FXE may make a lot of sense for traders looking to get downside exposure to a weakening Euro and further worries about the macro-economic environment across Europe.

Major Stocks Block Trades From Tuesday

Bullish
  • TEVA Buyer 40,000 Jan 17.5 calls to Sell 60,000 Jan 22.5 calls (ref. 15.82)
Bearish
  • BBBY Buyer 20,000 May 15 – 12.5 put spreads (appears to roll up, ref. 17.32)

Major ETFs Block Trades From Tuesday

Bullish
  • SPY 15,000 Apr 294 calls trade (appears bought, ref. 280.27) 
  • GDX Buyer 49,000 Sep 25 – 27 call spreads (paid $.49, ref. 23.28)
Bearish
  • KRE Seller 37,725 May 54 – 48 put spreads to Buy 38,325 May 48 – 43 put spreads (monetizes and rolls down, collected $2.40, ref. 50.17) 
  • KRE Seller 42,263 Jun 52 – 46 put spreads to Buy 38,513 Jun 48 – 42 put spreads (monetizes, adjusts strikes, ref. 50.12) 
  • EEM 36,000 Jun 36.5 puts trade (appears bought, ref. 42.51) 
  • TLT Buyer 20,000 Apr 123.5 – 121 put spreads (appears to roll up, ref. 124.71)

Implied Volatility Data For Liquid Macro Index ETFs

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ETF 1-Month IV 1-Month IV
Percentile
3-Month IV 3-Month IV
Percentile
3-Month/1-Month IV 3-Month/1-Month 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
1-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 13.12 10.75 88.49% 71.83% 87.30% 31.35%
iShares 7-10 Year Treasury Bond ETF IEF 5.26 4.87 88.29% 67.46% 29.76% 13.10%
Direxion Daily 20+ Year Treasury Bull 3X Shares TMF 31.07 30.03 79.76% 71.03% 23.81% 64.29%
SPDR S&P Regional Banking ETF KRE 23.94 22.57 77.78% 80.56% 15.48% 52.78%

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
1-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 15.65 18.89 60.32% 91.27% 56.35% 99.60%
iShares MSCI Europe Financials ETF EUFN 21.15 21.06 76.19% 86.90% 59.13% 95.63%
iShares Edge MSCI Min Vol EAFE ETF EFAV 9.86 13.42 43.65% 82.94% 48.81% 96.83%
SPDR S&P Regional Banking ETF KRE 23.94 22.57 77.78% 80.56% 15.48% 52.78%

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
1-Month Percentile for
Implied-Realized Spread
CarMax, Inc. KMX 40.4 32.63 96.83% 88.49% 73.41% 75.00%
Lamb Weston Holdings, Inc. LW 30.47 24.04 96.43% 62.50% 94.05% 55.95%
Walgreens Boots Alliance, Inc. WBA 30.77 27.36 94.44% 91.27% 41.27% 75.00%
UnitedHealth Group Incorporated UNH 27.07 23.53 92.46% 86.90% 27.78% 50.40%
WellCare Health Plans, Inc. WCG 37.34 32.14 92.06% 88.89% 28.17% 63.89%

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)

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
1-Month Percentile for
Implied-Realized Spread
CBRE Group, Inc. CBRE 22.6 23.95 78.23% 93.20% 53.74% 8.16%
Walgreens Boots Alliance, Inc. WBA 30.77 27.36 94.44% 91.27% 41.27% 75.00%
Mylan N.V. MYL 36.64 37.04 72.22% 91.27% 15.08% 27.78%
Anthem, Inc. ANTM 26.53 23.99 90.87% 90.87% 39.29% 26.98%
CVS Health Corporation CVS 31.19 30.06 89.29% 90.87% 51.19% 65.08%

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)

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
1-Month Percentile for
Implied-Realized Spread
iShares Silver Trust SLV 14.45 15.27 1.59% 0.79% 7.54% 11.51%
Invesco CurrencyShares Australian Dollar Trust FXA 7.4 7.84 1.98% 4.17% 89.68% 19.05%
iShares MSCI South Korea ETF EWY 16.35 17.84 2.58% 5.56% 46.03% 34.52%
Invesco CurrencyShares Swiss Franc Trust FXF 5.19 5.6 3.37% 2.78% 21.83% 27.78%
Invesco CurrencyShares Canadian Dollar Trust FXC 5.84 5.89 3.97% 2.38% 21.03% 2.38%

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
1-Month Percentile for
Implied-Realized Spread
iShares Silver Trust SLV 14.45 15.27 1.59% 0.79% 7.54% 11.51%
iShares Edge MSCI USA Momentum Factor ETF MTUM 12.18 12.24 15.87% 1.59% 78.17% 53.17%
Invesco CurrencyShares Canadian Dollar Trust FXC 5.84 5.89 3.97% 2.38% 21.03% 2.38%
Invesco CurrencyShares Swiss Franc Trust FXF 5.19 5.6 3.37% 2.78% 21.83% 27.78%
ProShares Ultra Short Euro ETF EUO 11.6 11.87 5.56% 3.17% 19.84% 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 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
1-Month Percentile for
Implied-Realized Spread
General Mills, Inc. GIS 18.7 18.88 1.19% 0.79% 61.11% 83.73%
The J. M. Smucker Company SJM 18.29 21.89 1.19% 4.76% 19.44% 25.40%
Xcel Energy Inc. XEL 10.36 13.2 1.59% 8.73% 78.17% 75.00%
Dollar Tree, Inc. DLTR 19.99 22.71 1.98% 5.56% 32.14% 86.90%
Campbell Soup Company CPB 24.23 27.63 2.38% 16.87% 12.30% 15.87%

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
1-Month Percentile for
Implied-Realized Spread
Eversource Energy ES 13.81 12.38 13.10% 0.40% 77.38% 41.67%
General Mills, Inc. GIS 18.7 18.88 1.19% 0.79% 61.11% 83.73%
NIKE, Inc. NKE 20.61 20.8 31.35% 2.38% 22.22% 74.21%
Darden Restaurants, Inc. DRI 18.91 20.86 3.57% 3.17% 9.13% 36.90%
Kinder Morgan, Inc. KMI 20.54 18.66 41.87% 3.17% 73.02% 32.54%

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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