blog

Latest from the Quantamize Blog

Trades We Like This Morning In Options Markets: TLT Puts, KRE Put Spread Collar

Apr 12, 2019

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

 

  • Yesterday, there was a buyer of 17,000 May 17 $123 puts of the iShares 20+ Year Treasury Bond ETF (TLT).  This is a pretty aggressive bearish trade and would certainly imply a contrarian view of duration risk (short it rather than be long it).  From our perspective, the risk/reward potential of May 31 Puts looks really interesting.  TLT currently has a “SELL” rating according to our Quantamize models. 
  • Continue to like our Put Spread Collar trade idea on the SPDR S&P Regional Bank ETF (KRE) with implied volatility elevated.  You can learn more about it here 

Major Stock Block Trades From Thursday

Bullish
  • ECA Seller 10,000 May 7 puts to Buy 10,000 May 8 calls (collects $.09, ref. 7.29) 
  • CNC Seller 10,700 Sep 47.5 puts to Buy 10,700 Sep 60 calls (paid $3.05, adds to existing position, ref. 56.92) 
  • FOXA Seller 5,000 Jul 33 puts to Buy 5,000 Jul 37 – 40 call spreads (paid $.35 on package, ref. 36.57)
Bearish
  • BHC Buyer 10,000 Apr 25 calls to Sell 10,000 Jul 29 calls (rolls write out and up, ref. 25.95) 
  • YPF Buyer 20,000 Jan 10 puts tied to stock (paid $.50, ref. 14.93) 
  • JBLU 11,828 Jun 17 calls trade (appears sold to open write, collects $.95, ref. 17.29) 
  • X Buyer 20,000 May 15 puts (paid $.47, ref. 17.02)

Major ETFs Block Trades From Thursday

Bullish
  • QQQ Seller 20,000 May 177 puts to Buy 20,000 May 192 calls tied to stock (collects $.40, ref. 185.29) 
  • VIX Buyer 60,000 Apr 13 puts (paid $.16, possibly closing, ref. 14.18 (Apr))
Bearish
  • QQQ 6,675 May 3rd 189 calls trade vs. 13,000 May 3rd 183 – 179 put spreads (appears to sell call to finance put spread, ref. 184.84) 
  • TLT Buyer 17,000 May 123 puts (paid $.89, ref. 123.93)

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 10.46 35.32% 11.59 28.57% 1.11 56.15% 47.22% 63.1%
Invesco QQQ Trust QQQ 14.7 29.76% 15.45 21.03% 1.05 59.72% 70.24% 71.03%
iShares Russell 2000 ETF IWM 14.56 50.4% 15.14 49.6% 1.04 55.95% 13.1% 52.38%
SPDR EURO STOXX 50 ETF FEZ 12.32 13.89% 15.19 49.6% 1.23 92.06% 30.95% 96.43%
iShares MSCI Emerging Markets ETF EEM 15.11 5.36% 16.6 10.91% 1.10 93.06% 33.33% 84.13%

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)

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 3-Month Percentile for Implied-Realized Spread
Invesco Senior Loan ETF BKLN 11.37 5.69 89.68% 39.48% 31.75% 23.41%
SPDR S&P Regional Banking ETF KRE 21.65 21.47 70.63% 71.83% 3.97% 42.46%
Xtrackers Harvest CSI 300 China A-Shares ETF ASHR 26.88 25.94 65.67% 59.92% 58.73% 61.51%
VanEck Vectors Oil Services ETF OIH 30.18 29.9 64.68% 67.86% 52.78% 50.00%
ProShares Ultra Bloomberg Natural Gas ETF BOIL 52.79 46.42 63.49% 48.81% 100.00% 31.75%

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 3-Month Percentile for Implied-Realized Spread
Direxion Daily Small Cap Bear 3X Shares TZA 46.11 61.03 50.40% 73.02% 12.70% 82.54%
iShares MSCI United Kingdom ETF EWU 11.2 17 8.33% 72.62% 43.65% 99.60%
Direxion Daily Junior Gold Miners Index Bull 3X Shares JNUG 78.7 81.87 55.95% 72.22% 43.65% 33.73%
SPDR S&P Regional Banking ETF KRE 21.65 21.47 70.63% 71.83% 3.97% 42.46%
SPDR S&P Biotech ETF XBI 27.43 28.56 57.14% 68.65% 48.81% 64.29%

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)

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 3-Month Percentile for Implied-Realized Spread
Snap-on Incorporated SNA 37.94 26.17 99.60% 85.32% 73.81% 87.30%
Monster Beverage Corporation MNST 38.59 31.29 97.62% 85.32% 65.48% 72.62%
Pentair plc PNR 33.62 27.12 96.03% 88.89% 3.17% 1.19%
CVS Health Corporation CVS 34.37 29.98 96.03% 88.49% 91.67% 71.03%
Centene Corporation CNC 38.69 36.3 95.63% 94.05% 50.79% 79.37%

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)

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 3-Month Percentile for Implied-Realized Spread
Hewlett Packard Enterprise Company HPE 23.05 43.52 21.83% 98.41% 41.27% 100.00%
Arthur J. Gallagher & Co. AJG 21.32 21.43 87.70% 96.03% 84.52% 92.46%
Centene Corporation CNC 38.69 36.3 95.63% 94.05% 50.79% 79.37%
Humana Inc. HUM 27.75 27.26 93.25% 93.65% 42.06% 51.98%
Anthem, Inc. ANTM 27.64 24.72 91.67% 92.46% 71.83% 38.10%

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 3-Month Percentile for Implied-Realized Spread
Invesco CurrencyShares Japanese Yen Trust FXY 4.9 5.56 0.40% 0.40% 5.56% 38.49%
Invesco CurrenchShares Australian Dollar Trust FXA 6.77 7.22 0.40% 0.40% 65.08% 2.38%
Invesco CurrenchShares British Pound Sterling Trust FXB 6.59 6.94 0.40% 0.40% 0.40% 0.40%
Invesco CurrencyShares Euro Trust FXE 4.67 5.43 0.40% 0.79% 23.02% 36.51%
Invesco CurrencyShares Swiss Franc Trust FXF 4.17 4.72 0.40% 0.40% 31.35% 39.29%

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 3-Month Percentile for Implied-Realized Spread
ProShares UltraShort Euro  EUO 9.05 10.21 0.40% 0.40% 31.35% 18.25%
Invesco CurrenchShares British Pound Sterling Trust FXB 6.59 6.94 0.40% 0.40% 0.40% 0.40%
Invesco CurrenchShares Australian Dollar Trust FXA 6.77 7.22 0.40% 0.40% 65.08% 2.38%
Invesco CurrencyShares Japanese Yen Trust FXY 4.9 5.56 0.40% 0.40% 5.56% 38.49%
Invesco CurrencyShares Swiss Franc Trust FXF 4.17 4.72 0.40% 0.40% 31.35% 39.29%

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 3-Month Percentile for Implied-Realized Spread
Autodesk, Inc. ADSK 23.41 32.9 0.40% 47.42% 30.95% 99.60%
Best Buy Co., Inc. BBY 22.73 31.63 0.40% 24.60% 67.46% 28.97%
Broadcom Inc. AVGO 20.76 25.23 0.79% 7.54% 13.49% 81.35%
Fastenal Company FAST 19.89 21.16 0.79% 0.40% 13.10% 47.22%
Lennar Corporation LEN 26.14 27.67 0.79% 2.78% 13.89% 36.90%

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 3-Month Percentile for Implied-Realized Spread
Fastenal Company FAST 19.89 21.16 0.79% 0.40% 13.10% 47.22%
NRG Energy, Inc. NRG 26.36 23.7 26.98% 0.40% 82.94% 95.24%
Iron Mountain Incorporated IRM 16.5 17.27 2.78% 0.79% 82.94% 98.41%
Kimberly-Clark Corporation KMB 19.81 18.16 40.08% 0.79% 98.41% 98.02%
Chevron Corporation CVX 18.1 16.94 33.33% 0.99% 92.06% 85.32%

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

Global Stock Indice Price Returns

 

 

Stock Model PortfoliosMulti-factor quantitatively optimized portfolios risk-adjusted to provide investors an ATTRACTIVERISK/RETURN TRADE-OFF
Stock Model PortfoliosMulti-factor quantitatively optimized portfolios risk-adjusted to provide investors an ATTRACTIVERISK/RETURN TRADE-OFF