Trades we like this morning in Options Markets: XLF Calls
Apr 01, 2019
- 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
Global Stock Indice Price Returns