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What we are seeing in Options Markets: Volatility is cheap!

Apr 11, 2019

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

 

  • Volatility continues to drop as we inch towards 1Q earnings season.  The VIX is currently on track to hit 13 while the 30-Day implied volatility for the macro ETFs we track are also falling below fair value. 
  • Notably, surprised to see 30-day implied volatility for iShares MSCI Emerging Markets ETF (EEM) so cheap!  EEM currently has a “BUY” trading signal and this one we will be tracking closely.

Major Stock Block Trades From Wednesday

Bullish
  • CVS Seller 32,000 May 52.5 puts to Buy 32,000 May 55 calls tied to 3.2M shares (paid $.69, Earnings 5/1, ref. 53.31) 
  • CVE Seller 42,500 Apr 10 calls to Buy 50,000 May 11 calls (appears to roll out and up, Earnings 4/24, ref. 9.65)
Bearish
  • PG 8,850 Ap 105 – June 110 call spreads trade (appears to roll write, collects $.71 on Jun 110s, ref. 104.70)

Major ETFs Block Trades From Wednesday

Bullish
  • INDA Buyer 6,300 May 3rd 37 – 39.5 call spreads (paid $.13, ref. 35.48) 
  • EEM Seller 10,000 Jul 40 puts tied to stock (collects $.40, ref. 44.46)
Bearish
  • SMH Buyer 9,500 May 107 puts tied to stock (paid $1.50, ref. 112.41)  
  • XLF Seller 100,000 Jun 28 calls (collects b/w $.16 and .18, possibly closing, ref. ref. 26.36) 
  • FXI Buyer 22,000 May 43.5 puts (paid $.37, ref. 45.46)

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 1-Month Percentile for Implied-Realized Spread 3-Month Percentile for Implied-Realized Spread
S&P 500 ETF Trust SPY 10.54 36.51% 11.77 33.13% 1.12 60.32% 48.81% 63.1%
Invesco QQQ Trust QQQ 14.82 30.95% 15.9 32.94% 1.07 68.85% 71.43% 72.62%
iShares Russell 2000 ETF IWM 14.4 47.42% 15.16 49.8% 1.05 60.32% 11.9% 52.38%
SPDR EURO STOXX 50 ETF FEZ 12.49 16.27% 15.09 47.62% 1.21 90.67% 34.52% 96.43%
iShares MSCI Emerging Markets ETF EEM 13.86 0.4% 16.37 5.95% 1.18 99.6% 20.24% 85.32%

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
iShares 7-10 Year Treasury Bond ETF IEF 6.01 4.64 96.43% 42.46% 39.68% 18.06%
Xtrackers Harvest CSI 500 China A-Shares Small Cap ETF ASHS 34.71 30.68 86.90% 75.00% 71.03% 38.49%
ProShares UltraShort Bloomberg Crude Oil SCO 69.34 54.25 78.17% 53.57% 100.00% 83.33%
iShares 1-3 Year Treasury Bond ETF SHY 20.31 9.89 76.39% 87.70% 56.75% 72.22%
SPDR S&P Regional Banking ETF KRE 21.3 22.07 67.46% 78.17% 3.57% 46.83%

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 1-3 Year Treasury Bond ETF SHY 20.31 9.89 76.39% 87.70% 56.75% 72.22%
SPDR S&P Regional Banking ETF KRE 21.3 22.07 67.46% 78.17% 3.57% 46.83%
iShares MSCI Europe Financials ETF EUFN 17.65 20.17 37.70% 77.38% 35.32% 94.44%
Xtrackers Harvest CSI 500 China A-Shares Small Cap ETF ASHS 34.71 30.68 86.90% 75.00% 71.03% 38.49%
 SPDR S&P Bank ETF KBE 20.64 20.72 61.51% 68.65% 4.37% 47.62%

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 38.12 25.13 100.00% 78.57% 73.41% 76.59%
Monster Beverage Corporation MNST 38.92 30.97 98.81% 82.14% 65.48% 71.83%
Pentair plc PNR 34.96 26.95 97.22% 88.89% 4.37% 1.19%
Centene Corporation CNC 40.08 37.01 96.83% 96.43% 59.92% 84.13%
Xilinx, Inc. XLNX 43.48 33.32 94.84% 61.11% 96.43% 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 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
Centene Corporation CNC 40.08 37.01 96.83% 96.43% 59.92% 84.13%
CBRE Group, Inc. CBRE 24.23 24.65 83.54% 94.94% 82.28% 18.99%
Humana Inc. HUM 26.32 25.89 89.48% 88.89% 38.89% 44.84%
Pentair plc PNR 34.96 26.95 97.22% 88.89% 4.37% 1.19%
Cadence Design Systems, Inc. CDNS 31.06 30.43 83.13% 87.70% 80.95% 98.02%

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
Invesco CurrencyShares Swiss Franc Trust FXF 4.48 5.17 0.40% 0.79% 42.46% 62.70%
iShares MSCI Emerging Markets ETF EEM 13.86 16.37 0.40% 5.95% 20.24% 82.54%
Invesco CurrencyShares Euro Trust FXE 4.93 5.35 0.40% 0.40% 28.97% 24.60%
ProShares UltraShort Euro  EUO 9.58 10.95 0.40% 0.40% 38.89% 40.08%
Invesco DB US Dollar Index Bullish Fund UUP 5.39 5.84 0.40% 2.78% 65.87% 50.40%

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 Euro Trust FXE 4.93 5.35 0.40% 0.40% 28.97% 24.60%
ProShares UltraShort Euro  EUO 9.58 10.95 0.40% 0.40% 38.89% 40.08%
VanEck Vectors J.P. Morgan EM Local Currency Bond ETF EMLC 4.88 5.34 1.59% 0.40% 0.40% 0.40%
Invesco CurrencyShares Swiss Franc Trust FXF 4.48 5.17 0.40% 0.79% 42.46% 62.70%
ProShares Ultra Bloomberg Crude Oil UCO 54.71 46.51 60.91% 1.19% 95.63% 60.32%

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
Broadcom Inc. AVGO 20.74 25.15 0.40% 7.14% 11.11% 78.17%
Regency Centers Corporation REG 10.78 14.25 0.40% 1.59% 5.56% 81.75%
Celgene Corporation CELG 17.26 14.81 0.40% 1.19% 8.33% 9.52%
Lennar Corporation LEN 26.64 27.98 1.19% 3.97% 15.87% 37.30%
Foot Locker, Inc. FL 27.82 39.66 1.59% 42.46% 25.00% 94.44%

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 16.45 17.17 1.98% 0.40% 82.94% 98.02%
McCormick & Company, Incorporated MKC 16.11 16.56 5.56% 1.19% 74.60% 1.59%
Celgene Corporation CELG 17.26 14.81 0.40% 1.19% 8.33% 9.52%
Marathon Oil Corporation MRO 35.09 32.56 32.14% 1.59% 51.19% 56.75%
NRG Energy, Inc. NRG 27.32 24.88 37.70% 1.59% 64.68% 98.02%

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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