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Options Trades We Are Tracking this AM: Wal-Mart (WMT) and Duration Risk

Apr 08, 2019

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

 

  • Surprised to see 4 bond ETFs in our top 5 list for most expensive on a 1-month basis!  Of the group, the only one we are considering is the iShares 7-10 Year Treasury Bond ETF (IEF), which has a “BUY” trading signal according to our Quantamize models.  In the current environment, it makes sense to have duration risk; obviously the Quantamize models are picking up on this with a preference for longer dated bonds on US Treasury curve. 
  • Today’s Top Buy idea Wal-Mart (WMT) looks really inexpensive on 1-month implied volatility basis.   We are playing around with different volatility forecast models to see how implied-realized looks, but this is definitely one we are closely tracking this morning.  Great opportunity to potentially play a low beta stock that can beat the S&P 500!

Major ETFs Block Trades From Friday

Bullish
  • XRT Buyer 15,500 May 48 – 49 call trade (opening, paid $.47, ref. 45.91) 
  • XOP 10,000 May 10th 34 calls trade ($.235, ref. 31.43) 
  • SPY 30,000 Apr 12th 289 calls trade (appears bought, $1.10,  ref. 288.30)
Bearish
  • LQD Buyer 17,500 Jan 115 puts (paid $1.40, ref. 118.57) 
  • SPY Buyer 30,000 May 258 – 241 – 224 put flies (paid $.15, ref. 288.19) 
  • EMB Buyer 8,500 Jun 109 – 107 put spreads (paid $.35, ref. 110.12)

Implied Volatility Data For Liquid Macro Index ETFs

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ETF Name 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 9.84 28.17% 11.62 28.77% 1.18 74.6% 29.76% 62.3%
Invesco QQQ Trust QQQ 14.64 28.97% 15.23 15.48% 1.04 54.96% 59.92% 64.29%
iShares Russell 2000 ETF IWM 14.4 47.22% 14.83 45.24% 1.03 52.98% 13.89% 53.17%
SPDR EURO STOXX 50 ETF FEZ 12.75 20.24% 16.69 75.2% 1.31 99.01% 34.52% 100.0%
iShares MSCI Emerging Markets ETF EEM 14.46 0.4% 15.96 1.19% 1.10 93.65% 17.86% 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
Invesco Senior Loan ETF BKLN 9.31 6.96 78.17% 61.51% 18.25% 23.02%
iShares 7-10 Year Treasury Bond ETF IEF 4.91 4.42 78.17% 25.60% 17.86% 8.33%
iShares 1-3 Year Treasury Bond ETF SHY 19.53 7.09 75.40% 73.61% 53.57% 56.35%
Invesco CurrencyShares British Pound ETF FXB 11.05 10.16 68.25% 59.13% 12.30% 11.90%
iShares MSCI Australia ETF EWA 16.15 16.39 59.92% 53.17% 81.75% 93.65%

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)

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
SPDR EURO STOXX 50 ETF FEZ 12.75 16.69 20.24% 75.20% 34.52% 99.60%
iShares MSCI Europe Financials ETF EUFN 16.51 19.86 23.81% 75.00% 15.48% 90.48%
iShares 1-3 Year Treasury Bond ETF SHY 19.53 7.09 75.40% 73.61% 53.57% 56.35%
SPDR S&P Regional Banking ETF KRE 20.13 21.44 58.73% 71.03% 1.59% 46.83%
Direxion Daily Junior Gold Miners Index Bear 3X Shares JDST 79.21 82.11 58.33% 70.44% 46.43% 40.48%

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 63.93 43.14 99.21% 91.27% 32.14% 57.14%
Snap-on Incorporated SNA 35.6 24.57 98.81% 71.43% 72.22% 74.21%
Centene Corporation CNC 40.18 37.12 98.02% 97.62% 58.73% 86.51%
Chipotle Mexican Grill, Inc. CMG 46.21 34.56 96.43% 77.78% 100.00% 90.87%
Cardinal Health, Inc. CAH 37.48 28.45 93.65% 59.13% 70.63% 51.59%

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
Centene Corporation CNC 40.18 37.12 98.02% 97.62% 58.73% 86.51%
ResMed Inc. RMD 29.21 27.63 71.43% 92.46% 68.25% 19.84%
Monster Beverage Corporation MNST 30.71 32.98 61.11% 92.46% 53.97% 77.38%
Nielsen Holdings plc NLSN 63.93 43.14 99.21% 91.27% 32.14% 57.14%
CBRE Group, Inc. CBRE 23.1 24.07 77.42% 90.32% 64.52% 13.55%

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
Invesco CurrencyShares Euro Trust FXE 5.18 5.96 0.40% 1.19% 33.73% 57.54%
iShares MSCI Emerging Markets ETF EEM 14.46 15.96 0.40% 1.19% 17.86% 69.44%
United States Oil Fund LP USO 21.5 23.73 0.40% 0.40% 64.29% 51.19%
Invesco CurrencyShares Australian Dollar Trust FXA 7.09 7.54 0.79% 0.40% 85.71% 40.48%
iShares MSCI South Korea ETF EWY 14.14 16.46 0.79% 1.19% 10.32% 36.90%

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 5.21 5.57 1.39% 0.40% 12.70% 41.67%
Invesco CurrencyShares Australian Dollar Trust FXA 7.09 7.54 0.79% 0.40% 85.71% 40.48%
Fidelity Asian Values PLC FAS 28.74 30.92 2.38% 0.40% 5.95% 48.02%
United States Oil Fund LP USO 21.5 23.73 0.40% 0.40% 64.29% 51.19%
Invesco CurrencyShares Swiss Franc Trust FXF 4.74 5.18 0.79% 0.40% 36.51% 30.95%

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
Lennar Corporation LEN 25.77 27.17 0.40% 1.19% 16.67% 32.94%
Walmart Inc. WMT 13.49 16.9 0.40% 1.59% 54.76% 88.49%
General Mills, Inc. GIS 17.19 18.44 0.40% 1.19% 27.38% 79.37%
Campbell Soup Company CPB 21.83 28.68 0.40% 31.35% 36.90% 29.76%
Best Buy Co., Inc. BBY 22.88 32.72 0.40% 34.33% 66.67% 29.37%

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 16.36 17.36 0.79% 0.40% 92.06% 99.60%
PayPal Holdings, Inc. PYPL 28.12 23.52 45.83% 0.40% 91.27% 96.43%
Nucor Corporation NUE 22.34 22.14 10.32% 0.40% 62.30% 65.87%
Marathon Oil Corporation MRO 34.48 32.23 25.79% 0.40% 44.05% 54.37%
Genuine Parts Company GPC 17.34 16.18 28.97% 0.40% 75.00% 72.62%

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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