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Trades we like this morning in Options Markets: Short Tesla if you can!

Apr 04, 2019

Actionable and Transparent Quantitative ResearchActionable and Transparent Quantitative Research
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  • Top Short Tesla (TSLA) is plunging 8% in pre-market trading after announcing Model3 deliveries are not meeting analyst expectations.  There was heavy call buying ahead of this announcement yesterday including an April 300-315 call spread that lines up with a technical resistance level for Tesla.  Ironically, we were preparing to put on a short trade using options, though this AM’s pre-market move just threw cold water on that idea! 
  • Implied Volatility is dampened across the board with the VIX holding below 14.  Just in time with earnings season right around the corner!  There should be tons of opportunities to play stocks earnings announcements! 

Major Stock Block Trades From Wednesday

Bullish
  • GE Buyer 48,000 May 9 – 8 put spreads (paid $.10, ref. 10.21) 
  • SNAP Buyer 14,500 Apr 5th 11.5 calls to Sell 14,500 Apr 18th 12 calls (rolls write out and up, ref. 11.33) 
  • TEVA Seller 14,500 Jun 18 calls tied to stock (opens write, collects $.22, ref. 15.11)

Major ETFs Block Trades From Wednesday

Bullish
  • EEM Buyer 120,000 May 46 calls tied to 2.4M shares (appears to add to 180,000 opened Monday, paid $.26, ref. 43.94) 
  • EWY Buyer 10,000 May 65 calls (South Korea ETF, paid $.72, ref. 63.16) 
  • FXI Seller 30,000 Jan 35 puts to Buy 30,000 Aug 49 calls tied to stock (paid $.19, ref. 45.44)
Bearish
  • FXI Buyer 107,574 Apr 12th 44.5 puts (paid $.23, 250,000 trade on the day, ref. 45.43) 
  • ASHR Seller 15,000 My 30 calls to Buy 15,000 May 28 puts tied to stock (paid $.84, ref. 30.09) 
  • XLF Buyer 25,000 Jan 27 puts tied to 1.3M shares (paid $1.80, ref. 26.43) 
  • XLF Seller 50,000 Apr 26.5 calls (appears closing, collects $.38, ref. 26.51)

Implied Volatility Data For Liquid Macro Index ETFs

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ETF Name ETF Ticker 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
S&P 500 ETF Trust SPY 10.54 35.52% 12.03 36.71% 1.14 65.67% 30.95% 65.48%
Invesco QQQ Trust QQQ 14.98 33.73% 15.63 24.01% 1.04 55.36% 57.14% 66.67%
iShares Russell 2000 ETF IWM 15.27 54.76% 16.07 61.71% 1.05 60.71% 18.25% 60.71%
SPDR EURO STOXX 50 ETF FEZ 13.15 26.79% 16.54 73.02% 1.26 95.63% 20.63% 99.21%
iShares MSCI Emerging Markets ETF EEM 15.57 9.52% 16.87 15.28% 1.08 85.52% 13.49% 83.73%

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 Senior Loan ETF BKLN 19.79 12.22 96.43% 96.83% 78.17% 59.52%
ProShares UltraShort 20+ Year Treasury ETF TBT 22.5 18.1 92.86% 15.87% 30.16% 19.44%
iShares 1-3 Year Treasury Bond ETF SHY 22.88 4.85 87.70% 56.35% 60.32% 38.89%
Invesco CurrencyShares British Pound ETF FXB 12.9 10.58 85.12% 66.87% 55.16% 20.24%
Direxion Daily Junior Gold Miners Index Bull 3X Shares JNUG 85.18 83.46 83.73% 80.95% 28.57% 44.44%

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 19.79 12.22 96.43% 96.83% 78.17% 59.52%
Direxion Daily Junior Gold Miners Index Bull 3X Shares JNUG 85.18 83.46 83.73% 80.95% 28.57% 44.44%
iPath Series B Bloomberg Coffee Subindex TR ETN JO 28.31 28.5 82.14% 80.16% 95.24% 78.17%
iShares MSCI Europe Financials ETF EUFN 18.16 20.2 43.25% 78.77% 11.90% 94.05%
iShares MSCI South Korea ETF KRE 21.73 22.3 69.84% 77.78% 4.37% 52.78%

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
Mylan N.V. MYL 51.49 36 100.00% 84.92% 99.21% 30.16%
Nielsen Holdings plc NLSN 65.65 44.6 100.00% 92.06% 35.32% 60.71%
CVS Health Corporation CVS 33.7 30.05 95.24% 90.08% 69.05% 63.89%
Chipotle Mexican Grill, Inc. CMG 45.1 33.48 93.65% 63.89% 99.21% 88.49%
Snap-on Incorporated SNA 33.84 24.46 93.65% 69.25% 65.87% 70.24%

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
Monster Beverage Corporation MNST 28.75 32.8 55.56% 92.46% 50.40% 70.63%
CBRE Group, Inc. CBRE 23.54 24.18 81.05% 92.16% 67.97% 13.07%
Nielsen Holdings plc NLSN 65.65 44.6 100.00% 92.06% 35.32% 60.71%
Centene Corporation CNC 32.89 33 85.12% 91.67% 50.79% 70.63%
The Hershey Company HSY 23.22 21.86 82.54% 90.08% 99.21% 100.00%

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 12.52 17.85 0.40% 43.25% 0.40% 47.62%
Invesco CurrencyShares Swiss Franc Trust FXF 4.5 5.54 0.40% 3.17% 7.54% 31.75%
Alerian MLP ETF AMLP 15.23 18.41 0.79% 18.65% 60.32% 58.73%
Invesco CurrencyShares Euro Trust FXE 5.75 6.22 1.19% 2.78% 9.13% 48.41%
ProShares UltraShort Gold ETF GLL 17.03 18.83 1.98% 5.36% 6.75% 16.27%

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 14.94 14.8 7.74% 0.79% 27.38% 1.59%
Invesco CurrencyShares Japanese Yen Trust FXY 5.46 5.99 2.78% 1.59% 14.29% 44.84%
ProShares UltraShort Euro ETF EUO 11.43 11.61 4.76% 2.38% 14.68% 38.10%
Invesco DB US Dollar Index Bullish Fund UUP 5.87 5.89 1.98% 2.58% 19.44% 32.14%
Invesco CurrencyShares Euro Trust FXE 5.75 6.22 1.19% 2.78% 9.13% 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 18.89 15.29 0.40% 0.40% 8.33% 10.71%
Regency Centers Corporation REG 13.13 16.67 0.60% 37.90% 66.27% 98.02%
Foot Locker, Inc. FL 27.97 39.98 0.79% 42.46% 31.35% 98.02%
Ulta Beauty, Inc. ULTA 22.96 29.11 0.79% 8.73% 4.37% 66.27%
Paychex, Inc. PAYX 14.2 14.68 1.19% 1.59% 25.79% 62.30%

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
Celgene Corporation CELG 18.89 15.29 0.40% 0.40% 8.33% 10.71%
Walmart Inc. WMT 14.2 16.88 2.78% 0.79% 63.89% 89.68%
Iron Mountain Incorporated IRM 17.76 17.87 6.55% 0.79% 94.44% 100.00%
Norwegian Cruise Line Holdings Ltd. NCLH 23.62 23.52 15.67% 1.19% 92.46% 86.90%
Cintas Corporation CTAS 16.54 18.4 7.94% 1.19% 0.79% 52.78%

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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