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Options Trades We Like this AM: CIEN Bull Put Spreads, SKEW is cheap

Apr 09, 2019

Actionable and Transparent Quantitative ResearchActionable and Transparent Quantitative Research
Actionable and Transparent Quantitative ResearchActionable and Transparent Quantitative Research
 
 
  • Yesterday’s Daily Top Buy Idea Ciena Corp (CIEN) is bouncing off its 100-day moving average after hitting its 52-week high on March 5.  1-month volatility looks rich here and we would consider selling put spreads to capture the rich implied volatility levels while still expressing our bullish bias.  Remember, when selling implied volatility, time decay is your friend -- in this case, theta bleed will help us.  Ciena Corp (CIEN) is expected to report earnings at the end of May, and as a result, we are focusing in on expiration dates before that event to avoid any volatility associated earnings. 
  • Skew in options markets is getting cheap.  After a 16% run in the S&P 500 YTD, really have to consider whether it makes sense to hedge gains here.  It is so inexpensive, you can put on downside protection without giving away too much upside. 
  • Surprised to see 1-month implied volatility for Activision Blizzard (ATVI) so expensive a month out from earnings.  The Quantamize models are neutral to negative on ATVI, and we would not recommend shorting the stocks into earnings.  Unfortunately, given the fact that Activision’s earnings announcement is so close, it really makes using strategies like butterflies to capture rich implied volatility untenable.

Major Stock Block Trades From Thursday

Bullish
  • BP Buyer 10,000 Jun 48 calls (opening, paid $.25, Earnings 4/30, ref. 44.95) 
  • CVE Seller 40,000 Apr 10 calls to Buy 20,000 May 10 calls (rolls out, reduces units, maintains bullish exposure, Earnings 4/24, ref. 9.54)
Bearish
  • GE Buyer 50,000 Apr 26th – May 3rd 9.5 puts (monetizes, paid $.19 to roll out, ref. 9.44) 
  • WFC 6,700 Nov 45 puts trade (appears bought, $1.94, Earnings 4/12, ref. 48.73)

Major ETFs Block Trades From Thursday

Bullish
  • XOP Seller 35,000 May 32 calls to Buy 36,000 May 34 calls (untied, paid $.46, monetizes, rolls up, ref. 32.34)  
  • RSX Buyer 10,000 May 22 calls (Russia ETF, appears to add to 50,000 open, paid $.23, ref. 21.24) 
  • EWW 5,000 Jun 42 puts trade vs. 5,000 Jun 47 – 49 – 51 call flies (appears to Sell put to finance Call Fly, trades $.01, ref. 46.46) 
  • HYG 30,000 May 87 calls trade (appears bought, $.18, ref. 86.37)
Bearish
  • VIX Buyer 60,000 May 22 – 23 call spreads (paid $.06, ref. 15.60 (May future)) 
  • FXI Seller 43,600 Apr 12th 45.5 calls tied to stock (appears closing, collects $.445, ref. 45.60) 
  • QQQ 10,415 May 172 puts trade (appears bought, $.95, ref. 183.93)

Implied Volatility Data For Liquid Macro Index ETFs

On Mobile/Tablet scroll to the right.

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 10.16 31.35% 11.47 25.79% 1.13 63.1% 46.03% 60.32%
Invesco QQQ Trust QQQ 14.86 32.14% 15.22 15.28% 1.02 46.43% 73.81% 63.89%
iShares Russell 2000 ETF IWM 14.44 47.62% 15.18 50.4% 1.05 60.52% 17.86% 53.97%
SPDR EURO STOXX 50 ETF FEZ 12.78 20.63% 15.86 61.51% 1.24 93.65% 37.3% 98.41%
iShares MSCI Emerging Markets ETF EEM 14.73 1.59% 16.05 2.18% 1.09 90.48% 36.51% 73.41%

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 42.36 40.88 68.42% 50.66% 5.92% 2.63%
VanEck Vectors Junior Gold Miners ETF GDXJ 27.05 27.01 67.46% 59.13% 44.05% 34.52%
Invesco CurrencyShares British Pound ETF FXB 10.84 9.82 66.67% 50.79% 23.41% 7.14%
iShares Preferred and Income Securities ETF PFF 8.37 6.28 65.08% 52.38% 75.40% 50.00%
Direxion Daily Junior Gold Miners Index Bear 3X Shares JDST 80.3 81.99 64.29% 69.44% 46.03% 41.27%

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
iShares MSCI Europe Financials ETF EUFN 16.87 20.51 28.97% 82.54% 21.83% 96.83%
SPDR S&P Regional Banking ETF KRE 20.71 21.29 60.71% 70.24% 3.17% 45.24%
Direxion Daily Junior Gold Miners Index Bear 3X Shares JDST 80.3 81.99 64.29% 69.44% 46.03% 41.27%
Direxion Daily Junior Gold Miners Index Bull 3X Shares JNUG 78.6 80.85 52.98% 62.70% 31.75% 32.14%
SPDR S&P Bank ETF KBE 19.82 20.07 53.97% 62.30% 3.17% 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 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
Snap-on Incorporated SNA 37.23 25.29 100.00% 80.56% 78.17% 83.73%
Capri Holdings Limited CPRI 38.74 46 100.00% 100.00% 100.00% 100.00%
Centene Corporation CNC 42.06 38.17 99.21% 98.41% 61.11% 86.90%
Activision Blizzard, Inc. ATVI 47.76 41.47 95.04% 86.90% 97.22% 37.30%
CVS Health Corporation CVS 33.29 29.96 94.05% 88.89% 77.78% 68.25%

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
Capri Holdings Limited CPRI 38.74 46 100.00% 100.00% 100.00% 100.00%
Centene Corporation CNC 42.06 38.17 99.21% 98.41% 61.11% 86.90%
Monster Beverage Corporation MNST 34.7 33.32 83.73% 93.65% 64.29% 78.17%
CBRE Group, Inc. CBRE 24.83 24.34 85.26% 93.59% 81.41% 16.03%
Nielsen Holdings plc NLSN 50.46 44.06 91.27% 91.67% 21.03% 58.73%

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
Invesco DB US Dollar Index Bullish Fund UUP 5.56 5.82 0.40% 1.98% 49.21% 51.19%
ProShares UltraShort Euro  EUO 9.93 10.98 0.40% 0.40% 31.35% 41.67%
Invesco CurrencyShares Japanese Yen Trust FXY 5.04 5.79 0.40% 1.19% 9.13% 46.43%
Invesco CurrencyShares Euro Trust FXE 5.45 5.86 0.79% 0.79% 36.11% 50.00%
Invesco CurrencyShares Swiss Franc Trust FXF 4.8 5.02 1.19% 0.40% 44.84% 47.22%

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
VanEck Vectors J.P. Morgan EM Local Currency Bond ETF EMLC 6.9 6.12 4.56% 0.40% 2.38% 0.40%
Invesco CurrencyShares Swiss Franc Trust FXF 4.8 5.02 1.19% 0.40% 44.84% 47.22%
ProShares Ultra Bloomberg Crude Oil UCO 46.07 45.01 7.94% 0.40% 72.62% 38.49%
United States Oil Fund LP USO 23.51 23.38 2.78% 0.40% 76.98% 47.22%
ProShares UltraShort Euro  EUO 9.93 10.98 0.40% 0.40% 31.35% 41.67%

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
Deere & Company DE 19.79 23.52 0.79% 1.79% 97.22% 73.41%
Celgene Corporation CELG 17.72 14.02 0.79% 0.40% 8.73% 5.56%
Regency Centers Corporation REG 12.84 14.38 0.79% 1.59% 60.32% 94.44%
Broadcom Inc. AVGO 21.24 25.35 1.19% 7.54% 13.89% 80.56%
Ulta Beauty, Inc. ULTA 22.75 29.13 1.19% 9.92% 8.73% 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 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 17.72 14.02 0.79% 0.40% 8.73% 5.56%
Nucor Corporation NUE 22.93 22.12 17.46% 0.40% 77.38% 67.86%
IHS Markit Ltd. INFO 16.29 17.45 7.14% 0.79% 32.14% 80.16%
McCormick & Company, Incorporated MKC 16.04 16.35 5.16% 0.79% 69.44% 0.79%
Exxon Mobil Corporation XOM 17.35 14.94 47.62% 0.79% 95.63% 63.10%

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

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