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Trades we like this morning in Options Markets: XOP Calls, Watching Precious Metals ETF SLV

Apr 03, 2019

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

 

  • Looking at XOP this morning, the E&P-focused ETF.  There were over 100k calls on the tape in yesterday’s trading session.  XOP has a “Buy” trading signal for us and it could be a great way to play the risk-on feel in the markets today.  As of this post, WTI Crude Oil prices are flat. 
  • Implied volatility for the iShares Silver Trust ETF (SLV) continues to be cheap.  We talked about SLV 2 weeks ago as a great play on a weak US Dollar and a low interest rate environment.  This morning, the benchmark Dollar Index is down 0.34%.  Still not seeing the reaction we would expect in precious metals but long-term patience may be required here.  SLV currently has a “SELL” trading signal according to our Quantamize models.

Major Stock Block Trades From Tuesday

Bullish
  • SC Buyer 12,500 Apr 23 calls (paid $.15, ref. 21.70) 
  • MO Buyer 13,000 Apr 26th 58 puts (paid $1.82, Earnings 4/25, ref. 57.22) 
  • FITB Seller 30,000 May 37 calls (opens write, collects $.65, ref. 26.42)

Major ETFs Block Trades From Tuesday

Bullish
  •  SPY 15,000 May 303 calls trade (appears bought, $.19, ref. 285.77) 
  • QQQ 12,000 Jan 210 calls trade tied to stock (appears bought, $1.93, ref. 182.85) 
  • XOP Buyer 20,000 Jun 35 calls (paid $.44, ref. 31.30) 
  • ASHR Buyer 9,500 Apr 12th 30.5 calls (paid $.28, ref. 29.59)
Bearish
  • SPXW Buyer 20,000 May 3rd 2550 puts (untied, paid $2.25, ref. 2867.41) 
  • QQQ Seller 15,000 Sep 30th 195 – 205 call spreads tied to stock (collects $2.32, ref. 182.26) 
  • VIX Seller 40,000 May 22nd 22 – 37.5 call spreads to Buy 40,000 Jun 24 – 37.5 call spreads (appears to roll out and up, ref. 15.93 May, 16.33 Jun)  
  • XLP Buyer 10,000 Apr 56.5 puts (paid $1.06, ref. 55.55) 

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 10.26 32.14% 11.91 35.32% 1.16 69.25% 23.81% 64.29%
QQQ 14.42 25.6% 16.11 34.33% 1.12 86.11% 49.6% 70.24%
IWM 15.53 57.14% 15.79 58.33% 1.02 49.8% 14.29% 55.16%
FEZ 13.52 32.94% 16.06 63.49% 1.19 89.88% 29.37% 99.21%
EEM 15.11 3.97% 16.89 15.67% 1.12 97.42% 8.73% 84.92%

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 12.75 9.16 92.86% 88.49% 36.11% 24.21%
Invesco CurrencyShares British Pound ETF FXB 14.04 11.39 91.67% 81.35% 75.00% 46.43%
iPath Series B Bloomberg Coffee Subindex TR ETN JO 28.06 29.11 80.95% 91.67% 100.00% 90.48%
iShares 7-10 Year Treasury Bond ETF IEF 4.89 4.98 76.79% 75.99% 17.46% 38.89%

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
ETFMG Alternative Harvest ETF MJ 61.37 54.15 97.97% 93.92% 37.84% 33.78%
iPath Series B Bloomberg Coffee Subindex TR ETN JO 28.06 29.11 80.95% 91.67% 100.00% 90.48%
Invesco Senior Loan ETF BKLN 12.75 9.16 92.86% 88.49% 36.11% 24.21%
iShares MSCI Europe Financials ETF EUFN 17.94 20.73 40.48% 84.52% 12.30% 98.81%
Invesco CurrencyShares British Pound ETF FXB 14.04 11.39 91.67% 81.35% 75.00% 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 62.99 44.9 100.00% 93.25% 51.19% 79.37%
Mylan N.V. MYL 49.4 36.88 100.00% 88.89% 99.60% 31.35%
Chipotle Mexican Grill, Inc. CMG 45.34 33.15 95.24% 58.93% 99.21% 78.17%
CVS Health Corporation CVS 32.66 30.44 93.65% 91.67% 63.89% 62.70%
Humana Inc. HUM 26.32 25.39 87.70% 86.11% 39.68% 46.03%

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
Centene Corporation CNC 33.56 34.9 86.90% 94.25% 51.19% 83.73%
Nielsen Holdings plc NLSN 62.99 44.9 100.00% 93.25% 51.19% 79.37%
Monster Beverage Corporation MNST 28.81 32.59 55.56% 91.67% 50.40% 70.63%
CVS Health Corporation CVS 32.66 30.44 93.65% 91.67% 63.89% 62.70%
Coty Inc. COTY 45.74 56.75 59.13% 90.48% 95.63% 15.87%

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
Teucrium Corn Fund CORN 13.04 18.41 0.40% 47.22% 0.40% 48.41%
iShares MSCI South Korea ETF EWY 15 16.94 0.79% 1.59% 18.25% 37.70%
Invesco CurrencyShares Swiss Franc Trust FXF 4.99 5.22 1.19% 0.40% 22.22% 23.41%
Invesco CurrencyShares Japanese Yen Trust FXY 5.42 6.02 2.18% 1.59% 12.70% 45.63%
Eurocontrol Technics Group Inc. EUO 11.18 11.86 2.38% 3.97% 14.29% 40.08%

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
Invesco CurrencyShares Swiss Franc Trust FXF 4.99 5.22 1.19% 0.40% 22.22% 23.41%
iShares Silver Trust SLV 14.84 14.92 5.16% 1.19% 25.40% 3.17%
iShares MSCI South Korea ETF EWY 15 16.94 0.79% 1.59% 18.25% 37.70%
Invesco CurrencyShares Japanese Yen Trust FXY 5.42 6.02 2.18% 1.59% 12.70% 45.63%
iShares Edge MSCI USA Momentum Factor ETF MTUM 10.56 12.23 3.57% 1.98% 61.90% 87.70%

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
General Mills, Inc. GIS 17.49 18.13 0.40% 0.40% 38.89% 77.78%
Celgene Corporation CELG 19.93 15.77 0.79% 0.40% 8.73% 11.90%
Paychex, Inc. PAYX 14.11 15.04 0.79% 2.78% 22.62% 66.27%
Copart, Inc. CPRT 18.82 21.1 0.79% 1.59% 64.68% 73.02%
Dollar Tree, Inc. DLTR 18.93 22 1.19% 3.57% 21.83% 82.94%

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

S&P 500 Stocks with most 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
McCormick & Company, Incorporated MKC 15.94 16.21 3.37% 0.40% 49.60% 0.40%
Celgene Corporation CELG 19.93 15.77 0.79% 0.40% 8.73% 11.90%
General Mills, Inc. GIS 17.49 18.13 0.40% 0.40% 38.89% 77.78%
Cintas Corporation CTAS 16.18 17.99 5.56% 0.40% 0.40% 50.00%
NIKE, Inc. NKE 18.51 20 9.33% 0.79% 16.67% 73.41%

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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