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Trades we like this morning in Options Markets: EXPE Bull Put Spread & TLT Puts

Mar 29, 2019

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

 

  • Continue to like the idea of selling short put spreads in Expedia (EXPE).  The 30-day OTM Put spread nets you 1.1% yield in just one month -- that is just too hard to pass up.  Expedia (EXPE) is a “Top Buy” according to the Quantamize Models. 
  • Looking at puts for the iShares 20+ Year Treasury Bond ETF (TLT) this morning.  Long-end rates are reflecting too high a probability of a recession.  Puts are looking really cheap and are a great way to play a hedge against a drop in the US stock market.  TLT has a “SELL” trading signal according to our Quantamize models.

Major Stocks Block Trades From Thursday

Bullish
  • GOOS Seller 11,500 Apr 40 puts (opens write, collects $.21, ref. 47.75) 
  • KNX Buyer 20,000 Aug 35 calls tied to stock (paid $2.35, ref. 31.75)  
  • DB Seller 10,000 Jan21 10 calls to Buy 10,000 Jan21 8 puts tied to stock (ref. 8.15) 

Major ETFs Block Trades From Thursday

Bullish
  • KRE Buyer 6,500 Apr 53 calls (paid $.45, ref. 51.23) 
  • XOP 10,0025 May 32 calls trade (appears bought, ref. 30.43) 
  • FXI Buyer 20,000 May 44.5 calls (ref. 43.77)   
Bearish
  • HYG Buyer 28,817 Oct 83 – 79 put spreads (paid $.99, ref. 8.22) 
  • XOP Seller 5,000 Apr 30 – 26 put spreads to Buy 15,000 Jun 27 – 24 put spreads (appears to roll out and down, adds units, ref. 30.54) 
  • XLU Buyer 10,000 May 57 puts (paid $.65, ref. 58.23) 
  • EEM 70,000 Apr 35.5 puts trade ($.02, ref. 42.31) 

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
Invesco CurrencyShares British Pound ETF FXB 15.27 11.42 98.81% 81.75% 89.68% 32.94%
ETFMG Alternative Harvest ETF MJ 61.37 54.15 97.97% 93.92% 37.84% 33.78%
Invesco Senior Loan ETF BKLN 11.62 11.27 92.06% 96.83% 35.71% 23.41%
iShares 7-10 Year Treasury Bond ETF IEF 5.24 5.34 87.10% 91.07% 44.84% 47.62%
Direxion Daily 20+ Year Treasury Bull 3X Shares TMF 32.05 29.84 83.33% 69.64% 57.54% 61.90%

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
Invesco Senior Loan ETF BKLN 11.62 11.27 92.06% 96.83% 35.71% 23.41%
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 5.24 5.34 87.10% 91.07% 44.84% 47.62%
iShares MSCI Europe Financials ETF EUFN 22.02 21.45 80.16% 89.68% 61.51% 96.03%
VanEck Vectors Junior Gold Miners ETF GDXJ 27.15 28.79 68.25% 88.49% 14.29% 46.43%

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
Nielsen Holdings plc NLSN 54.41 41.67 100.00% 88.89% 29.76% 59.92%
Citrix Systems, Inc. CTXS 34.11 23.26 98.81% 62.70% 91.27% 27.78%
Chipotle Mexican Grill, Inc. CMG 46.83 35.28 97.62% 80.95% 100.00% 83.33%
Centene Corporation CNC 37.08 34.42 96.03% 94.05% 54.76% 70.24%
Lamb Weston Holdings, Inc. LW 30.98 25.02 96.03% 80.95% 85.32% 59.13%

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 24.11 25.17 82.55% 99.33% 63.09% 14.09%
Mylan N.V. MYL 38.13 38.22 80.16% 94.44% 81.75% 29.76%
Centene Corporation CNC 37.08 34.42 96.03% 94.05% 54.76% 70.24%
Anthem, Inc. ANTM 28.16 24.63 92.86% 92.06% 49.60% 32.14%
Cigna Corporation CI 27.35 28.17 73.81% 90.48% 34.13% 49.60%

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 1-Month Percentile for Implied-Realized Spread
ProShares Ultra Bloomberg Natural Gas ETF BOIL 38.46 39.64 1.59% 3.57% 39.29% 21.83%
VanEck Vectors Russia ETF RSX 18.3 19.91 3.57% 6.35% 45.63% 96.43%
VanEck Vectors JPM EM Local Currency Bond ETF EMLC 7.25 7.51 5.56% 7.94% 0.79% 1.19%
iShares China Large-Cap ETF FXI 18.23 20.1 5.56% 28.57% 27.78% 80.16%
FAX Capital Corp. FXC 6.04 6.23 6.55% 5.56% 29.37% 6.75%

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 15.14 15.29 8.73% 1.59% 8.73% 5.95%
United States Natural Gas Fund, LP UNG 21.23 21.14 15.87% 1.98% 52.38% 20.24%
ProShares Ultra Bloomberg Natural Gas ETF BOIL 38.46 39.64 1.59% 3.57% 39.29% 21.83%
iShares Edge MSCI USA Momentum Factor ETF MTUM 11.85 12.65 10.71% 3.97% 71.03% 58.33%
iShares MSCI South Korea ETF EWY 17.56 17.67 10.71% 4.96% 70.63% 30.56%

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 17.64 20.19 0.40% 0.79% 8.33% 31.75%
Foot Locker, Inc. FL 29.45 33 0.79% 9.52% 25.40% 92.86%
General Mills, Inc. GIS 17.94 19.31 0.79% 1.59% 50.79% 87.70%
Campbell Soup Company CPB 23.36 27.63 0.79% 17.06% 45.63% 15.48%
AutoZone, Inc. AZO 19.44 24.84 1.79% 20.63% 57.14% 83.33%

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 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
Walmart Inc. WMT 15.52 17.08 10.52% 0.79% 73.02% 90.48%
Darden Restaurants, Inc. DRI 17.64 20.19 0.40% 0.79% 8.33% 31.75%
Apartment Investment and Management Company AIV 21.27 13.21 68.65% 1.19% 96.03% 9.52%
Paychex, Inc. PAYX 15.26 14.81 6.15% 1.19% 32.54% 46.03%
Iron Mountain Incorporated IRM 17.39 17.96 3.57% 1.59% 88.49% 97.62%

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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