blog

Latest from the Quantamize Blog

Trades we like this morning in Options Markets: EXPE and Bank ETFs

Mar 28, 2019

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

 

  • Selling short put spreads in Expedia (EXPE) is one of our top ideas this morning.  A 30-day OTM Put spread nets you 1.1% yield in just one month!  Expedia rates as “Attractive” in our Quantamize models.  The stock is currently around its 200-day moving average, which we think is a good support level here for the stock.  Based on a forecasting model which considers implied-realized spreads, 30-day implied volatility for Expedia (EXPE) is more than 25% expensive which means it is an awesome time to sell volatility! 
  • SPDR S&P Regional Banking ETF (KRE) options are looking a little rich to us.  While implied-realized spreads are not wide as of yesterday’s close, we are exploring opportunities this morning to find bullish trades here.  KRE has a "Buy" trading signal according to our Quantamize models.

Major Stocks Block Trades From Wednesday

Bullish
  • CVS Buyer 20,000 Jan21 90 calls (paid $1.20, ref. ref. 53.65) 
  • CVS Seller 25,000 Apr 50 puts (collected $.52, ref. 53.16) 
  • ZNGA Buyer 25,000 May 3rd 5.5 calls tied to stock (ref. 5.10) 

Major ETFs Block Trades From Tuesday

Bullish
  • QQQ 22,500 Jun 192 calls trade (appears bought, $1.05, ref. 177.45) 
  • EEM Seller 15,000 May 40 puts to Buy 15,000 May 43 calls tied to stock (paid $.42, ref. 42.25) 
  • VIX Buyer 30,000 Apr 15 puts (paid $.64, ref. 16.93) 
  • ASHR 11,000 Apr 28 calls trade tied to stock (appears bought, ref. 27.73)
Bearish
  • VIX Buyer 50,000 Apr – Jul 45 call spreads (appears to roll out, ref. 16.45 (Apr) and 17.38 (Jul)) 
  • XEO Buyer 12,000 Apr 5th 1265 – 1255 put spreads (European S&P 100 Index, ref. 1240.57­) 
  • TUR Buyer 3,400 Apr 21 puts (Turkey ETF, paid between $.25 and $.30, ref. 23.81) 
  • QQQ Seller 20,000 Dec 200 calls to Buy 20,000 Jun20 150 puts tied to stock (ref. 177.03) 
  • LQD 13,000 Sep 115 – 105 1x2 put spreads trade (ref. 119.09)

Implied Volatility Data For Liquid Macro Index ETFs

On Mobile/Tablet scroll to the right.

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 3-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)

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
ETFMG Alternative Harvest ETF MJ 61.37 54.15 97.97% 93.92% 37.84% 33.78%
iShares 20+ Year Treasury Bond ETF TLT 11.1 9.77 92.86% 63.89% 49.60% 46.83%
Invesco CurrencyShares British Pound ETF FXB 14.06 10.98 92.86% 75.00% 93.65% 40.08%
Direxion Daily 20+ Year Treasury Bear 3X Shares TMV 33.2 30.44 91.27% 68.06% 55.95% 66.67%
iShares 7-10 Year Treasury Bond ETF IEF 5.51 5.23 91.27% 87.70% 46.43% 39.29%

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)

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
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 5.51 5.23 91.27% 87.70% 46.43% 39.29%
iShares MSCI Europe Financials ETF EUFN 21.02 20.92 74.40% 86.31% 55.95% 94.84%
SPDR EURO STOXX 50 ETF FEZ 15.55 17.91 59.92% 86.11% 55.16% 99.21%
SPDR S&P Regional Banking ETF KRE 23.41 22.97 74.40% 82.94% 14.29% 54.37%

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

S&P 500 Stocks with most Expensive 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
Centene Corporation CNC 40.58 36.9 98.41% 97.62% 61.90% 84.52%
CarMax, Inc. KMX 41.63 33.48 97.62% 92.06% 75.79% 76.59%
Lamb Weston Holdings, Inc. LW 32.4 25.03 97.22% 81.35% 96.43% 64.29%
Walgreens Boots Alliance, Inc. WBA 29.87 26.48 92.86% 84.92% 37.70% 73.81%
Anthem, Inc. ANTM 27.18 24.24 91.67% 90.87% 45.24% 28.97%

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
Centene Corporation CNC 40.58 36.9 98.41% 97.62% 61.90% 84.52%
CBRE Group, Inc. CBRE 24.69 24.58 84.46% 96.62% 70.95% 10.81%
Mylan N.V. MYL 38.08 37.42 79.76% 93.06% 81.35% 28.97%
CarMax, Inc. KMX 41.63 33.48 97.62% 92.06% 75.79% 76.59%
Anthem, Inc. ANTM 27.18 24.24 91.67% 90.87% 45.24% 28.97%

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 13.59 14.79 0.40% 0.40% 3.97% 4.76%
Invesco DB Agriculture Fund DBA 11.95 13.28 4.56% 11.51% 46.83% 75.00%
Invesco CurrencyShares Canadian Dollar Trust FXC 5.85 6.15 4.76% 4.56% 21.83% 5.16%
iShares MSCI Mexico ETF EWW 18.7 20.83 7.34% 15.48% 21.83% 80.95%
The Utilities Select Sector SPDR Fund XLU 12.01 13.33 7.34% 32.74% 91.27% 86.51%

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 13.59 14.79 0.40% 0.40% 3.97% 4.76%
ProShares Ultra Bloomberg Natural Gas ETF BOIL 39.58 39.28 7.74% 1.19% 44.44% 18.65%
Invesco CurrencyShares Swiss Franc Trust FXF 5.55 5.7 7.54% 3.97% 31.35% 28.57%
Invesco CurrencyShares Canadian Dollar Trust FXC 5.85 6.15 4.76% 4.56% 21.83% 5.16%
Invesco DB US Dollar Index Bullish Fund UUP 6.78 6.34 32.74% 4.96% 49.60% 33.33%

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
Darden Restaurants, Inc. DRI 18.38 20.95 1.19% 3.97% 8.33% 38.49%
Dollar Tree, Inc. DLTR 19.42 22.23 1.59% 3.97% 26.19% 78.17%
General Mills, Inc. GIS 18.94 19.08 1.98% 1.19% 56.75% 85.32%
Copart, Inc. CPRT 20.39 20.59 1.98% 0.79% 84.13% 64.68%
Ulta Beauty, Inc. ULTA 24.61 29.86 1.98% 13.10% 10.32% 48.81%

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
Cintas Corporation CTAS 17.98 18.51 19.44% 0.40% 2.78% 30.16%
Copart, Inc. CPRT 20.39 20.59 1.98% 0.79% 84.13% 64.68%
General Mills, Inc. GIS 18.94 19.08 1.98% 1.19% 56.75% 85.32%
Paychex, Inc. PAYX 16.48 15.21 17.06% 1.98% 47.22% 49.21%
Walmart Inc. WMT 15.64 17.27 11.11% 2.38% 70.24% 90.87%

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

Global Stock Indice Price Returns

 

 

Stock Model PortfoliosMulti-factor quantitatively optimized portfolios risk-adjusted to provide investors an ATTRACTIVERISK/RETURN TRADE-OFF
Stock Model PortfoliosMulti-factor quantitatively optimized portfolios risk-adjusted to provide investors an ATTRACTIVERISK/RETURN TRADE-OFF