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Trades we like this morning in Options Markets: XLF Calls

Apr 01, 2019

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  • Following a large block trade in April 26.5 calls on Friday, we are tracking whether there is a real opportunity for a trade here with XLF closing at its 100-day moving average.  According to our Quantamize models, XLF is a buy with implied volatility at fair values.   We are looking at May or June calls as a bullish play. 
  • While implied volatility for both the SPDR S&P 500 Trust ETF (SPY) and Invesco QQQ Trust (QQQ) are relatively inexpensive, implied-realized spreads appear to be fairly valued.  Not sure we would be chasing anything here, even with our bullish bias.  Both SPY and QQQ have “BUY” trading signals according to our Quantamize models.

Major ETFs Block Trades From Friday

Bullish
  • XLF Buyer 50,000 Apr 26.5 calls (100,000 trade on the day, paid $.13, ref. 25.70) 
  • EEM Buyer 10,000 Jun 44 calls (ref. 42.91) 
  • SPY Seller 38,000 May 3rd 255 – 245 – 235 put spreads (collects $.11, ref. 281.68)    
Bearish
  • IWM Buyer 13,750 Jun 150 puts tied to stock (paid $3.62, ref. 153.40) 
  • FXI Buyer 10,000 Jun 44 – 39 put spreads tied to stock (ref. 44.18) 
  • SPX Buyer 16,500 Apr 26th 2525 puts (paid $2.25, ref. 2827.76) 

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 13.91 11.13 91.67% 77.98% 79.76% 32.94%
Traded Fund Trust II - Invesco Senior Loan ETF BKLN 10.67 10.49 88.29% 95.24% 25.00% 23.02%
Direxion Daily 20+ Year Treasury Bull 3X Shares TMF 31.05 29.66 78.57% 67.86% 72.62% 61.51%
iShares 7-10 Year Treasury Bond ETF IEF 4.85 5.3 76.19% 90.48% 51.59% 45.24%

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 10.67 10.49 88.29% 95.24% 25.00% 23.02%
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 4.85 5.3 76.19% 90.48% 51.59% 45.24%
iShares MSCI Europe Financials ETF EUFN 20.53 21.3 68.65% 88.49% 47.62% 95.24%
Invesco CurrencyShares British Pound ETF FXB 13.91 11.13 91.67% 77.98% 79.76% 32.94%

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 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 59.85 44.85 100.00% 93.25% 46.83% 77.38%
Chipotle Mexican Grill, Inc. CMG 46.38 33.86 97.22% 68.25% 99.60% 79.37%
Lamb Weston Holdings, Inc. LW 29.47 22.93 94.05% 43.45% 85.71% 26.98%
Walgreens Boots Alliance, Inc. WBA 29.46 26.42 90.08% 84.52% 68.65% 73.02%
Xilinx, Inc. XLNX 40.78 32.77 87.70% 53.57% 91.67% 19.84%

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

S&P 500 Stocks with most 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
CBRE Group, Inc. CBRE 23.33 25.27 80.67% 99.33% 54.00% 14.67%
Centene Corporation CNC 32.53 34.53 85.12% 94.05% 40.48% 74.21%
Nielsen Holdings plc NLSN 59.85 44.85 100.00% 93.25% 46.83% 77.38%
Monster Beverage Corporation MNST 28.15 32.7 54.76% 92.46% 44.05% 65.48%
Mylan N.V. MYL 39.51 37.18 86.11% 90.67% 96.03% 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)

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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 DB Agriculture Fund DBA 9.99 13.31 0.40% 11.90% 15.08% 70.63%
ProShares Short VIX Short-Term Futures ETF SVXY 25 29.07 1.59% 9.52% 17.06% 70.24%
Alerian MLP ETF AMLP 15.64 18.59 1.59% 20.04% 58.33% 34.13%
iShares MSCI South Korea ETF EWY 16.09 17.56 1.98% 4.76% 51.59% 32.14%
ProShares  UltraShort  Euro ETF EUO 11.27 11.77 2.78% 2.78% 14.29% 36.51%

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 14.59 15.32 3.17% 1.98% 22.22% 4.76%
ProShares UltraShort  Euro ETF EUO 11.27 11.77 2.78% 2.78% 14.29% 36.51%
Invesco DB US Dollar Index Bullish Fund UUP 6.11 6.11 5.16% 3.57% 25.40% 32.14%
Invesco  CurrenchShares  Canadian Dollar  ETF FXC 5.52 6.12 3.17% 4.37% 43.65% 4.76%
Invesco CurrencyShares Euro Trust FXE 5.97 6.39 2.98% 4.37% 13.89% 48.41%

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

S&P 500 Stocks with most 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
Celgene Corporation CELG 19.66 19.08 0.40% 0.40% 8.33% 0.40%
Darden Restaurants, Inc. DRI 16.84 20.32 0.40% 1.19% 8.33% 33.33%
Foot Locker, Inc. FL 27.9 33.64 0.40% 12.70% 34.92% 94.05%
Campbell Soup Company CPB 23.1 27.45 0.79% 14.29% 44.05% 17.06%
Loews Corporation L 13.15 17.62 0.79% 50.40% 44.05% 42.46%

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
NIKE, Inc. NKE 18.61 19.93 10.71% 0.40% 17.06% 69.44%
Cintas Corporation CTAS 17.08 18.48 11.11% 0.40% 1.98% 28.97%
Celgene Corporation CELG 19.66 19.08 0.40% 0.40% 8.33% 0.40%
CBS Corporation CBS 22.66 22.69 16.07% 0.40% 49.60% 89.29%
The Williams Companies, Inc. WMB 18.78 19.79 7.54% 0.79% 72.22% 46.03%

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

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