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Options Trades We Like this AM: Short Regional Bank Stocks

Apr 10, 2019

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

 

  • Today we are considering a short play in the S&P 500 Regional Banking ETF (KRE). Yesterday we observed that the S&P 500 Regional Banking ETF bounced off its trend resistance line, indicating that the ETF may be overbought. Additionally, this short play is reinforced by the S&P 500 Regional Banking ETF’s “Sell” AI Trading Signal. Investors who want to take advantage of this opportunity should consider defensive options position in June, specifically out-of-the-money put spreads or short out-of-the-money call spreads.

Major Stock Block Trades From Thursday

Bullish
  • CNC Seller 10,000 Jun 47.5 puts to Buy 10,000 Jun 60 – 75 1x2 call spreads (Earnings 4/23, ref. 57.99) 
  • AVYA Buyer 6,500 Sep 20 – 22.5 1x2 call spreads (paid $.25, ref. 18.25)
Bearish
  • BAC Seller 32,000 Aug 32 calls to Buy 32,000 Aug 27 puts (paid $.34, Earnings 4/16, ref. 28.89)  
  • F Buyer 13,000 Jun 9 puts (paid $.39, ref. 9.20) 

Major ETFs Block Trades From Thursday

Bullish
  • SPY Seller 33,000 Apr 285 – May 3rd 293 calls spreads (monetizes, rolls out and up, maintains bullish exposure, ref. 287.38) 
  • HYG Seller 26,250 Sep 87 – 81 put spreads tied to stock (collects $1.95, ref. 86.35) 
  • IWM 7,500 IWM Apr 12th 159 – 160.5 1x2 call spreads trade ($.06, ref. 156.18)
Bearish
  • EFA Buyer 74,500 May 10th 65 – 64 put spreads (opening, paid $.21, ref. 65.94) 
  • XOP Buyer 75,000 Sep 27 – 25 put spreads (appears to roll up, paid $.36, ref. 31.55) 
  • IYR 29,000 Apr 84 puts trade (opening, appears bought, $.065, ref. 87.38) 
  • KRE Seller 38,500 Jun 48 – 42 put spreads to Buy 38,500 Jun 51 – 45 put spreads (paid $.50, rolls up, ref. 53.10)  
  • TLT Buyer 40,000 Jun 120 puts (paid $.40, untied, ref. 124.01)

Implied Volatility Data For Liquid Macro Index ETFs

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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 3-Month Percentile for Implied-Realized Spread 3-Month Percentile for  Implied-Realized Spread
S&P 500 ETF Trust SPY 11.14 41.67% 12.08 39.48% 1.08 42.86% 52.38% 65.08%
Invesco QQQ Trust QQQ 15.63 42.86% 15.98 33.73% 1.02 46.23% 75.79% 69.05%
iShares Russell 2000 ETF IWM 15.64 60.32% 15.67 58.73% 1.00 38.69% 22.22% 55.95%
SPDR EURO STOXX 50 ETF FEZ 13.1 27.78% 16.19 66.27% 1.24 93.45% 38.49% 98.81%
iShares MSCI Emerging Markets ETF EEM 15.56 10.52% 16.31 4.76% 1.05 66.67% 55.56% 80.16%

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 11.75 6.71 90.87% 59.92% 32.94% 23.41%
SPDR S&P Regional Banking ETF KRE 21.98 22.4 71.83% 80.75% 4.76% 49.21%
Xtrackers Harvest CSI 500 China A-Shares Small Cap ETF ASHS 31.63 26.92 71.23% 32.54% 40.48% 5.56%
ETFMG Alternative Harvest ETF MJ 42.12 41.58 67.97% 54.90% 8.50% 3.27%
SPDR S&P Bank ETF KBE 21.2 20.83 64.68% 69.05% 5.56% 48.41%

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
SPDR S&P Regional Banking ETF KRE 21.98 22.4 71.83% 80.75% 4.76% 49.21%
VanEck Vectors Oil Services ETF OIH 29.97 30.49 62.70% 71.83% 48.02% 54.76%
SPDR S&P Bank ETF KBE 21.2 20.83 64.68% 69.05% 5.56% 48.41%
Direxion Daily Junior Gold Miners Index Bear 3X Shares JDST 79.29 81.74 59.13% 68.06% 50.40% 40.48%
iShares MSCI Europe Financials ETF EUFN 17.35 19.34 34.92% 66.87% 25.40% 84.13%

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 37.66 25.75 100.00% 83.73% 75.40% 85.32%
Capri Holdings Limited CPRI 40.36 46.11 100.00% 100.00% 100.00% 100.00%
Centene Corporation CNC 43.38 40.92 99.60% 100.00% 62.30% 93.25%
Monster Beverage Corporation MNST 37.96 31.08 96.83% 83.73% 64.29% 72.22%
Nielsen Holdings plc NLSN 53.28 40.56 96.43% 77.78% 21.43% 53.17%

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 40.36 46.11 100.00% 100.00% 100.00% 100.00%
Centene Corporation CNC 43.38 40.92 99.60% 100.00% 62.30% 93.25%
CBRE Group, Inc. CBRE 23.63 24.73 80.89% 96.82% 75.16% 19.11%
ResMed Inc. RMD 31.71 27.52 78.57% 90.48% 77.38% 20.24%
CVS Health Corporation CVS 32.94 29.99 92.46% 88.89% 78.97% 69.84%

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
ProShares UltraShort Euro  EUO 9.73 11.12 0.40% 1.19% 36.51% 44.44%
ProShares Ultra Bloomberg Crude Oil UCO 42.26 47.09 0.79% 2.38% 49.60% 57.54%
Invesco CurrencyShares Euro Trust FXE 5.38 5.78 0.79% 0.79% 46.03% 48.41%
Vanguard FTSE Emerging Markets ETF VWO 13.89 15.43 0.79% 7.14% 21.43% 79.76%
Invesco CurrencyShares Swiss Franc Trust FXF 4.75 5.3 1.19% 1.98% 46.83% 77.38%

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
United States Oil Fund LP USO 23.01 23.38 1.98% 0.60% 67.86% 49.21%
ProShares Ultra Bloomberg Natural Gas BOIL 38.21 39.04 1.59% 0.79% 46.83% 24.60%
Invesco CurrencyShares Euro Trust FXE 5.38 5.78 0.79% 0.79% 46.03% 48.41%
ProShares UltraShort Euro  EUO 9.73 11.12 0.40% 1.19% 36.51% 44.44%
iShares Silver Trust SLV 15.56 14.84 17.46% 1.19% 68.65% 5.16%

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 18.04 15.2 1.19% 1.59% 9.13% 11.11%
Darden Restaurants, Inc. DRI 17.72 21.32 1.59% 8.13% 9.13% 61.90%
Copart, Inc. CPRT 19.56 21.61 2.38% 7.54% 60.32% 73.41%
Ulta Beauty, Inc. ULTA 23.15 29.61 2.38% 14.68% 6.35% 74.60%
General Mills, Inc. GIS 18.22 18.44 2.38% 1.39% 38.89% 85.71%

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 18.18 17.68 11.90% 1.19% 91.67% 99.21%
General Mills, Inc. GIS 18.22 18.44 2.38% 1.39% 38.89% 85.71%
Celgene Corporation CELG 18.04 15.2 1.19% 1.59% 9.13% 11.11%
The Western Union Company WU 20.7 20.41 41.27% 1.98% 55.16% 77.78%
Xerox Corporation XRX 28.65 26.64 28.37% 2.38% 24.21% 15.48%

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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