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Trades we like this morning in Options Markets: Selling NetApp Calls, Watching MTUM & WMT

Apr 02, 2019

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  • Selling NetApp (NTAP) OTM Calls looks interesting here as the stock is coming up against its 200-day moving average and channel resistance levels.  The company is expected to report earnings sometime around the end of May.  Writing 1-month Calls is looking like a great way to create some income in a portfolio -- about 3.5% yield in just one month! 
  • Very interesting to see that implied volatility for the iShares Edge MSCI US Momentum Factor ETF (MTUM) is so low.  The ETF has a “BUY” trading signal according to our Quantamize models.  The recent run in the S&P 500 probably explains the low implied volatility -- doubt anyone is heavily buying put spreads on momentum stocks funds when markets are rallying.  This is one that we will be following over the next few days. 
  • Wal-Mart (WMT) implied volatility is cheap and really jumps out at us.  Wal-Mart is a “Top Buy” according to our Quantamize models and was an underperformer last month.  Like MTUM above, this is one we are closely following to see if there are any opportunities in options markets over the coming days 

Major ETFs Block Trades From Monday

Bullish
  • EEM Buyer 180,000 May 46 calls tied to 2.7M shares (paid $.19, ref. 43.44) 
  • SPY Buyer 25,243 Apr 17th 293 calls (paid $.29, ref. 285.47) 
  • XLF Buyer 25,000 Apr 5th 26 – Apr 26.5 call spreads (monetizes, rolls out and up, ref. 26.34)  
  • FXI Seller 60,000 Apr 12th 45.5 calls to Buy 60,000 May 3rd 46 – 48 call spreads (paid $.05, monetizes, rolls out and up into spread, ref. 44.96) 
  • XME Buyer 7,500 May 31 – 33 call spreads tied to stock (paid $.54, ref. 30.26) 
Bearish
  • XLU Buyer 14,000 Apr 26th 55 puts (paid $.16, ref. 57.68) 
  • XLV 10,000 Apr 88 puts trade (appears bought, ref. 92.18) 
  • XSP Buyer 45,213 Apr 5th 271 – Jun 274 put spreads (SPX mini, rolls up and out, paid $3.30, ref. 286.46) 
  • XLE Buyer 35,000 Jan 60 puts (paid $2.11, ref. 67.10) 
  • XLF Seller 50,000 Apr 26.5 – 27 call spreads (appears to monetize spread opened last week, ref. 26.25) 
  • IYR Buyer 10,000 May 85 puts (paid $.97, ref. 86.51)

 

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 10.85 37.7% 12.12 38.49% 1.12 62.1% 30.95% 52.38%
QQQ 14.89 32.54% 15.26 15.87% 1.02 48.21% 53.97% 54.76%
IWM 15.58 57.54% 15.95 59.52% 1.02 50.0% 14.29% 46.43%
FEZ 14.56 46.43% 17.17 80.16% 1.18 88.1% 40.87% 98.41%
EEM 15.65 10.71% 16.89 15.48% 1.08 86.11% 11.51% 60.71%

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 Senior Loan ETF BKLN 22.55 14.3 97.62% 99.60% 87.30% 34.13%
ProShares UltraShort 20+ Year Treasury ETF TBT 22.93 19.11 95.63% 52.18% 44.84% 36.90%
Invesco CurrencyShares British Pound ETF FXB 14.46 11.17 95.24% 78.57% 80.16% 30.16%
iShares 1-3 Year Treasury Bond ETF SHY 20.52 8.03 77.78% 79.37% 55.16% 59.52%

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 22.55 14.3 97.62% 99.60% 87.30% 34.13%
ETFMG Alternative Harvest ETF MJ 61.37 54.15 97.97% 93.92% 37.84% 33.78%
Direxion Daily Junior Gold Miners Index Bear 3X Shares JDST 83.68 83.39 77.78% 80.16% 18.25% 46.43%
SPDR EURO STOXX 50 ETF FEZ 14.56 17.17 46.43% 80.16% 40.87% 96.03%
iShares 1-3 Year Treasury Bond ETF SHY 20.52 8.03 77.78% 79.37% 55.16% 59.52%

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 61.95 45.93 100.00% 95.24% 48.81% 78.17%
Mylan N.V. MYL 48 36.37 99.21% 86.51% 100.00% 27.78%
Lamb Weston Holdings, Inc. LW 31.01 23.95 96.03% 61.51% 88.10% 46.03%
Chipotle Mexican Grill, Inc. CMG 45.13 33.54 94.44% 64.88% 98.81% 77.78%
Walgreens Boots Alliance, Inc. WBA 29.83 26.78 91.67% 87.50% 78.17% 73.81%

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

S&P 500 Stocks with most 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 24.05 24.69 82.12% 96.03% 54.97% 13.91%
Nielsen Holdings plc NLSN 61.95 45.93 100.00% 95.24% 48.81% 78.17%
Centene Corporation CNC 33.65 34.9 88.10% 94.44% 51.59% 79.37%
Monster Beverage Corporation MNST 29.38 32.42 57.54% 91.67% 48.02% 61.51%
Coty Inc. COTY 47.69 56.1 67.86% 88.89% 96.03% 15.48%

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
iShares MSCI South Korea ETF EWY 15.45 17 1.19% 1.59% 25.00% 23.02%
Invesco CurrencyShares Euro Trust FXE 5.76 6.2 1.39% 2.38% 11.51% 44.05%
Invesco DB US Dollar Index Bullish Fund UUP 5.93 5.79 2.78% 1.59% 21.03% 26.19%
Invesco CurrencyShares Japanese Yen Trust FXY 5.63 6.27 3.17% 7.34% 15.08% 44.84%
iShares Edge MSCI USA Momentum Factor ETF MTUM 10.47 12.06 3.17% 1.19% 61.11% 63.89%

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 15.35 14.86 13.29% 0.79% 29.76% 1.59%
iShares Edge MSCI USA Momentum Factor ETF MTUM 10.47 12.06 3.17% 1.19% 61.11% 63.89%
Invesco DB US Dollar Index Bullish Fund UUP 5.93 5.79 2.78% 1.59% 21.03% 26.19%
iShares MSCI South Korea ETF EWY 15.45 17 1.19% 1.59% 25.00% 23.02%
Invesco CurrencyShares Swiss Franc Trust FXF 5.35 5.44 5.16% 1.98% 23.81% 26.98%

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
Ulta Beauty, Inc. ULTA 22.62 29.05 0.40% 8.33% 4.37% 45.63%
Paychex, Inc. PAYX 14.34 14.39 0.79% 0.79% 25.00% 46.43%
Walmart Inc. WMT 13.79 16.72 0.79% 0.40% 65.08% 87.30%
Kohl's Corporation KSS 27.12 32.25 0.79% 12.30% 14.29% 63.89%
Deere & Company DE 20.1 24.83 0.79% 10.71% 68.65% 49.60%

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 13.79 16.72 0.79% 0.40% 65.08% 87.30%
Cintas Corporation CTAS 16.85 18.16 10.32% 0.40% 0.40% 28.17%
Darden Restaurants, Inc. DRI 19 20.01 6.35% 0.40% 9.92% 32.14%
Celgene Corporation CELG 22.75 16.99 7.54% 0.40% 9.13% 12.70%
PayPal Holdings, Inc. PYPL 28.26 23.82 46.03% 0.40% 94.05% 76.59%

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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