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Trades we like this morning in Options Markets: FEZ Volatility Curve Steepening

Apr 05, 2019

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Actionable and Transparent Quantitative ResearchActionable and Transparent Quantitative Research

 

  • Very interesting to see that the volatility curve for the Euro Stoxx 50 ETF, ticker FEZ, has steepened.  Driven primarily by the front-end of the curve dropping down.  We are looking at the possibility of playing 1-month options on FEZ but are dithering on the idea of playing correlations with US large-cap through Large-cap Europe.  At the moment, FEZ has a “BUY” trading signal according to our Quantamize models. 

Major Stock Block Trades From Thursday

Bullish
  • CZR Seller 20,000 Apr 8 puts to Buy 20,000 Apr 10 – 11 call spreads (untied, trades even, ref. 8.90)
Bearish
  • GE Buyer 50,000 Apr – Apr 26th 9.5 put stupids (paid $.23, ref. 10.01) 
  • NIO Buyer 10,000 Jan 4 puts (paid $.60, ref. 5.33) 
  • NLSN Seller 15,000 Jun 29 calls to Buy 15,000 Jun 23 – 20 put spreads (trades even, ref. 26.52)

Major ETFs Block Trades From Thursday

Bullish
  • XLF Buyer 100,000 Jun 28 calls (more than 240,000 trade on the day, paid $.23 on largest block, ref. 26.53) 
  • EFA Buyer 41,600 Apr 26th 67 calls (paid $.32, ref. 66.07) 
  • FXI Seller 150,000 Apr 12th 44.5 puts (collects $.19, appears to close out trade opened yesterday, ref. 45.40)
Bearish
  • XLU Buyer 22,000 Apr 5th 57 puts trade (more than 45,000 trade on the day, paid $.07, ref. 57.71) 
  • XOP Buyer 30,000 Sep 25 – Jan 27 put spreads (appears to roll out and up, paid $1.03, ref. 30.59) 
  • SPY 73,321 May 266 puts trade (appears bought, $.79, ref. 287.09)

Implied Volatility Data For Liquid Macro Index ETFs

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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 10.97 39.29% 11.87 34.92% 1.08 43.85% 43.65% 64.29%
Invesco QQQ Trust QQQ 15.69 42.86% 16.24 36.9% 1.04 55.16% 67.46% 73.02%
iShares Russell 2000 ETF IWM 15.35 55.95% 15.59 57.14% 1.02 49.21% 20.63% 57.94%
SPDR EURO STOXX 50 ETF FEZ 12.74 19.84% 16.01 63.1% 1.26 95.44% 34.13% 98.81%
iShares MSCI Emerging Markets ETF EEM 15.3 6.75% 16.48 6.15% 1.08 85.32% 26.59% 75.0%

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 10.65 8.93 86.51% 86.11% 23.81% 27.38%
Xtrackers Harvest CSI 500 China A-Shares Small Cap ETF ASHS 34.06 27.55 84.52% 37.90% 11.51% 11.11%
Invesco CurrencyShares British Pound ETF FXB 12.55 10.43 81.94% 63.10% 50.00% 15.48%
Direxion Daily Junior Gold Miners Index Bear 3X Shares JDST 82.97 83.07 75.79% 78.97% 23.02% 42.86%
iShares 7-10 Year Treasury Bond ETF IEF 4.88 4.64 75.79% 42.66% 16.27% 17.06%

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
iShares MSCI United Kingdom ETF EWU 15.19 18.93 61.71% 87.30% 75.40% 100.00%
Invesco Senior Loan ETF BKLN 10.65 8.93 86.51% 86.11% 23.81% 27.38%
Direxion Daily Junior Gold Miners Index Bear 3X Shares JDST 82.97 83.07 75.79% 78.97% 23.02% 42.86%
iPath Series B Bloomberg Coffee Subindex TR ETN JO 27.79 28.35 74.80% 75.79% 97.22% 80.16%
iShares MSCI Europe Financials ETF EUFN 17.99 19.87 41.27% 75.00% 25.40% 90.08%

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 64.02 42.87 99.60% 90.48% 32.14% 57.14%
Perrigo Company plc PRGO 53.28 44.24 98.81% 94.44% 86.11% 99.60%
FirstEnergy Corp. FE 24.53 20.69 97.22% 93.45% 71.03% 100.00%
Snap-on Incorporated SNA 34.9 24.27 96.83% 67.86% 67.06% 69.44%
Chipotle Mexican Grill, Inc. CMG 45.71 34.07 96.03% 72.82% 99.60% 89.68%

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)

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
Perrigo Company plc PRGO 53.28 44.24 98.81% 94.44% 86.11% 99.60%
The Hershey Company HSY 24.41 23.03 88.10% 94.05% 100.00% 100.00%
FirstEnergy Corp. FE 24.53 20.69 97.22% 93.45% 71.03% 100.00%
Centene Corporation CNC 33.08 33.29 85.71% 92.06% 51.59% 76.19%
Fox Corporation FOXA 26.43 29.55 67.86% 91.67% 1.98% 8.73%

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)

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 MSCI South Korea ETF EWY 14.76 16.26 0.79% 0.79% 14.68% 21.83%
ProShares UltraShort Euro ETF EUO 10.5 11.41 0.79% 0.79% 39.29% 35.71%
Invesco CurrencyShares Euro Trust FXE 5.72 6.25 0.79% 3.57% 49.21% 49.60%
Invesco CurrencyShares Swiss Franc Trust FXF 4.95 5.25 1.19% 0.79% 37.30% 26.19%
Invesco CurrencyShares Japanese Yen Trust FXY 5.3 5.67 1.59% 0.40% 11.11% 38.89%

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
Invesco CurrencyShares Japanese Yen Trust FXY 5.3 5.67 1.59% 0.40% 11.11% 38.89%
iShares MSCI South Korea ETF EWY 14.76 16.26 0.79% 0.79% 14.68% 21.83%
Invesco CurrencyShares Swiss Franc Trust FXF 4.95 5.25 1.19% 0.79% 37.30% 26.19%
ProShares UltraShort Euro ETF EUO 10.5 11.41 0.79% 0.79% 39.29% 35.71%
VanEck Vectors J.P. Morgan EM Local Currency Bond ETF EMLC 8.24 6.42 12.30% 1.19% 4.37% 0.40%

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
Foot Locker, Inc. FL 26.95 39.7 0.40% 42.06% 24.21% 96.83%
Deere & Company DE 19.34 24.19 0.40% 3.57% 95.24% 69.05%
Walmart Inc. WMT 13.63 16.69 0.40% 0.40% 57.94% 86.11%
Ulta Beauty, Inc. ULTA 22.84 29.06 0.79% 8.73% 9.13% 66.67%
Campbell Soup Company CPB 22.63 29.58 0.79% 43.25% 42.06% 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
Iron Mountain Incorporated IRM 17.38 17.58 3.57% 0.40% 94.44% 100.00%
Celgene Corporation CELG 19.2 15.15 0.79% 0.40% 8.73% 9.92%
Walmart Inc. WMT 13.63 16.69 0.40% 0.40% 57.94% 86.11%
CBS Corporation CBS 24.5 22.75 34.52% 0.79% 51.98% 88.49%
Nucor Corporation NUE 22.08 22.27 7.14% 0.79% 39.29% 67.06%

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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