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Options Markets Muted to Start the Week: VIX nearing lowest levels since October

Apr 15, 2019

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  • While overall levels of implied volatility are dampened across the board, implied risk premiums are not similarly cheap.  Implied-Realized spreads are currently fair value which suggests overall realized volatility has dropped too.  What does that mean to us?  Options may not be AS cheap as volatility levels suggest. 
  • Surprised to see Consumer “Top Buy” Foot Locker (FL) implied volatility at such low levels with implied-realized spreads also very cheap.  We need to run Foot Locker (FL) through our volatility forecasting models, but this a stock we are going to closely follow this morning. 
  • The Invesco DB US Dollar Index Bullish ETF (UUP) continues to exhibit low levels of implied volatility.  UUP currently has a “SELL” trading signal according to our Quantamize models, which makes a lot of sense given the market’s downward pressure on rates.  Narrower implied real rate differentials should pressure the US Dollar.  Continue to be biased to finding ways to get short UUP, and the US Dollar, using options.

Major Stock Block Trades From Friday

Bullish
  • DIS Buyer 10,000 Apr 140 calls (paid $.15, opening, ref. 129.01) 
  • IVZ 25,500 Jan21 25 calls trade (appears bought, $1.25, possibly closing, ref. 21.16)
Bearish
  • MSFT Buyer 10,000 Apr 105 calls to Sell 20,032 Jul 120 calls and Sell 10,016 Jul 125 calls (paid $1.20 on the package, appears to roll ITM write, ref. 120.67) 
  • TSN Buyer 4,000 May 3rd 68 puts (paid $.50, ref. 70.75)

Major ETFs Block Trades From Friday

Bullish
  • FXI 30,000 Jun 46 – 48 call spreads trade vs. 30,000 Jun 42 puts (appears to sell put to buy call spread, $.29, ref. 45.49) 
  • XLF Seller 25,000 Apr 27 calls to Buy 42,500 May 28 calls (monetizes, rolls out and up, adds units, ref. 27.25)
Bearish
  • IYR Buyer 9,000 May 10th 85 puts (paid $.58, ref. 87.34) 
  • IGV Buyer 14,9000 Apr 205 puts (Software ETF, paid $.25, ref. 215.38)

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 9.77 26.59% 11.32 24.4% 1.16 68.65% 35.32% 59.92%
Invesco QQQ Trust QQQ 13.35 10.71% 14.43 4.76% 1.08 72.42% 62.3% 61.9%
iShares Russell 2000 ETF IWM 14.22 45.44% 14.87 45.83% 1.05 60.52% 10.32% 50.4%
SPDR EURO STOXX 50 ETF FEZ 11.34 7.94% 14.82 43.65% 1.31 98.81% 20.63% 95.63%
iShares MSCI Emerging Markets ETF EEM 14.57 1.79% 15.91 1.19% 1.09 89.48% 32.94% 71.83%

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 3-Month Percentile for Implied-Realized Spread
Schwab U.S. Dividend Equity ETF SCHD 15.99 11.04 81.75% 49.21% 85.32% 68.25%
Invesco Senior Loan ETF BKLN 8.85 4.97 74.80% 14.68% 18.25% 22.22%
SPDR S&P Regional Banking ETF KRE 22.06 22.16 73.41% 78.57% 3.97% 48.02%
VanEck Vectors Oil Services ETF OIH 31.6 28.41 72.62% 51.19% 67.06% 37.30%
iShares Preferred and Income Securities ETF PFF 8.29 6.45 64.68% 56.35% 75.40% 53.97%

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 3-Month Percentile for Implied-Realized Spread
Xtrackers Harvest CSI 500 China A-Shares Small Cap ETF ASHS 28.47 31.1 43.25% 78.97% 36.90% 33.73%
SPDR S&P Regional Banking ETF KRE 22.06 22.16 73.41% 78.57% 3.97% 48.02%
iShares MSCI Europe Financials ETF EUFN 16.18 19.36 21.43% 66.67% 15.87% 81.75%
Xtrackers Harvest CSI 300 China A-Shares ETF ASHR 26.75 26.24 63.69% 64.29% 55.16% 61.90%
SPDR S&P Biotech ETF XBI 27.57 27.91 57.54% 63.29% 48.81% 61.11%

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 3-Month Percentile for Implied-Realized Spread
Anthem, Inc. ANTM 37.87 30.72 100.00% 99.60% 57.54% 51.98%
Snap-on Incorporated SNA 39.02 26.44 100.00% 86.90% 76.19% 88.89%
Monster Beverage Corporation MNST 40.67 32.19 99.21% 89.09% 67.46% 72.62%
Unum Group UNM 53.67 43.52 98.81% 86.51% 90.48% 99.21%
Centene Corporation CNC 42.16 38.91 98.81% 98.81% 53.57% 84.52%

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
Anthem, Inc. ANTM 37.87 30.72 100.00% 99.60% 57.54% 51.98%
Centene Corporation CNC 42.16 38.91 98.81% 98.81% 53.57% 84.52%
UnitedHealth Group Incorporated UNH 32.38 27.16 98.02% 97.62% 75.79% 61.11%
Humana Inc. HUM 30.78 28.62 98.02% 96.03% 48.81% 55.16%
Cigna Corporation CI 29.73 28.71 88.10% 92.46% 54.37% 49.60%

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 3-Month Percentile for Implied-Realized Spread
iShares MSCI South Korea ETF EWY 12.45 15.78 0.40% 0.79% 3.97% 28.57%
Invesco CurrencyShares Canadian Dollar Trust FXC 5.03 5.45 0.40% 0.40% 48.02% 1.59%
Invesco CurrencyShares Japanese Yen Trust FXY 4.66 5.48 0.40% 0.40% 3.57% 36.11%
Invesco DB US Dollar Index Bullish Fund UUP 4.85 5.56 0.40% 0.40% 30.16% 34.92%
The Utilities Select Sector SPDR Fund XLU 10.76 12.62 0.40% 5.75% 51.98% 99.60%

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
Direxion Daily 20+ Year Treasury Bear 3X Shares TMV 23.86 25.02 1.98% 0.40% 1.19% 1.59%
Invesco CurrencyShares Canadian Dollar Trust FXC 5.03 5.45 0.40% 0.40% 48.02% 1.59%
Invesco CurrenchShares British Pound Sterling Trust FXB 6.69 6.75 0.79% 0.40% 0.79% 0.40%
ProShares UltraShort Gold GLL 17.41 18.1 5.36% 0.40% 25.79% 0.79%
Invesco CurrencyShares Swiss Franc Trust FXF 5.77 4.59 17.46% 0.40% 74.60% 34.52%

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
Ulta Beauty, Inc. ULTA 21.79 29.19 0.40% 10.52% 48.41% 81.75%
Foot Locker, Inc. FL 26.33 38.44 0.40% 37.70% 21.43% 93.25%
Paychex, Inc. PAYX 13.75 14.37 0.40% 0.79% 26.59% 59.92%
Best Buy Co., Inc. BBY 22.4 31.7 0.40% 25.00% 65.48% 29.37%
Celgene Corporation CELG 16.04 14.37 0.40% 0.79% 8.33% 8.33%

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
Equity Residential EQR 14.06 13.98 1.19% 0.40% 70.24% 94.84%
AvalonBay Communities, Inc. AVB 13.69 13.59 5.56% 0.40% 92.06% 97.22%
Fastenal Company FAST 18.17 20.01 0.40% 0.40% 9.13% 28.97%
Anadarko Petroleum Corporation APC 25.01 22.11 0.40% 0.40% 0.40% 0.40%
The Procter & Gamble Company PG 17.9 14.09 77.38% 0.79% 100.00% 55.16%

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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