blog

Latest from the Quantamize Blog

XLP Options Look Cheap While Volatility Is Rich For Top Trade Ideas KRE & Monster Beverage (MNST)

Apr 16, 2019

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

 

  • Volatility continues to be muted with VIX on the edge of breaking below 12, the lowest levels it has reached since 3rd quarter of CY2018. 
  • SPDR Consumer Staples Select (XLP) is one of the cheapest ETFs in our ETF universe in terms of 1-month implied volatility.  XLP has a “BUY” trading signal and we are biased to see if we can find bullish US Consumer Staples trades to take advantage of its underperformance to start CY2019.  For the year, XLP is +11.93% vs. +16.53% for the SPDR S&P 500 ETF Trust (SPY) and +20.15% for SPDR Consumer Discretionary Select (XLY)
  • The SPDR S&P Regional Banking ETF (KRE) is one of the most expensive ETFs in terms of 1-month and 3-month implied volatility.  We continue to have a “SELL” trading signal for KRE and remain negatively biased to banking stocks... especially now after disappointing earnings from the money center banks. 
  • Yesterday’s Top Buy Idea, Monster Beverage (MNST) is one of the most expensive stocks in terms of 1-month volatility.  Implied-realize spreads also look rich which may offer an opportunity to sell volatility while also expressing a positive delta bias.  You can watch why we like Monster Beverage (MNST) here.

Major Stock Block Trades From Monday

Bullish
  • WFC Buyer 40,000 Sep – Nov 55 call (paid $.68, ref. 46.68) 
  • MPC Buyer 10,600 May 65 calls (paid $.67, 60.85) 
  • ARQL 10,000 Jun 7.5 calls trade (appears bought, $.60, ref. 5.60)
Bearish
  • EXPR Buyer 10,000 Jul 4 puts (paid $.59, ref. 3.73) 
  • OSTK Seller 14,400 Jun 30 puts to Buy 14,400 Sep 30 puts (appears to monetize and roll out, paid $.46, ref. 15.23) 
  • ORCL Seller 4,300 Jun 57.5 calls to Buy 4,300 Jun 52.5 – 45 put spreads (paid $.18, ref. 54.59)

Major ETFs Block Trades From Monday

Bullish
  • SPY Buyer 29,520 Apr 26th 293 calls (paid $.80, more than 60,000 trade total, ref. 290.16) 
  • EEM 30,000 May 46 calls trade tied to stock ($.18, ref. 44.06)
Bearish
  • SPX Buyer 38,000 Mar20 100 puts (paid $1.20 ($4.5M in premium), ref. 2903.78) 
  • XAU Buyer 20,000 May 72.5 puts (paid avg of $.93, ref. 75.40) 
  • XLP Buyer  10,000 Apr 26th 56 puts (paid, $.24, more than 20,000 trade, appears to add to position opened Friday, ref. 56.37)

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 9.68 25.79% 11.61 29.56% 1.20 80.56% 34.92% 66.27%
Invesco QQQ Trust QQQ 14.82 31.94% 14.95 11.9% 1.01 41.67% 73.81% 65.48%
iShares Russell 2000 ETF IWM 14.8 52.78% 14.79 44.84% 1.00 38.69% 14.29% 49.6%
SPDR EURO STOXX 50 ETF FEZ 11.04 4.76% 14.35 35.71% 1.30 98.02% 17.46% 92.06%
iShares MSCI Emerging Markets ETF EEM 14.79 3.17% 16.1 3.57% 1.09 89.29% 45.24% 74.21%

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
iShares Preferred and Income Securities ETF PFF 10.5 6.29 86.11% 52.38% 88.89% 50.79%
SPDR S&P Regional Banking ETF KRE 22.49 22 75.79% 76.98% 5.16% 46.03%
Xtrackers Harvest CSI 300 China A-Shares ETF ASHR 27.97 26.93 74.60% 74.60% 60.32% 65.08%
iShares U.S. Medical Devices ETF IHI 16.11 14.95 68.25% 49.40% 93.25% 71.03%
SPDR S&P Biotech ETF XBI 29.19 28.89 68.25% 71.03% 58.73% 65.08%

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
SPDR S&P Regional Banking ETF KRE 22.49 22 75.79% 76.98% 5.16% 46.03%
Xtrackers Harvest CSI 300 China A-Shares ETF ASHR 27.97 26.93 74.60% 74.60% 60.32% 65.08%
SPDR S&P Biotech ETF XBI 29.19 28.89 68.25% 71.03% 58.73% 65.08%
Direxion Daily S&P Biotech Bull 3x Shares LABU 83.09 80.53 65.08% 68.65% 54.37% 63.10%
iShares MSCI Europe Financials ETF EUFN 16.29 19.42 22.22% 67.66% 17.46% 82.14%

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
Unum Group UNM 57.02 46.89 99.60% 97.62% 93.25% 100.00%
Anthem, Inc. ANTM 34.6 27.67 99.21% 96.83% 42.86% 23.41%
Monster Beverage Corporation MNST 40.55 33.77 98.81% 93.65% 63.10% 75.79%
Humana Inc. HUM 31.54 28.88 98.41% 97.22% 52.78% 55.56%
Centene Corporation CNC 41.65 37.47 97.62% 97.22% 50.79% 78.97%

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
Unum Group UNM 57.02 46.89 99.60% 97.62% 93.25% 100.00%
Centene Corporation CNC 41.65 37.47 97.62% 97.22% 50.79% 78.97%
Humana Inc. HUM 31.54 28.88 98.41% 97.22% 52.78% 55.56%
Anthem, Inc. ANTM 34.6 27.67 99.21% 96.83% 42.86% 23.41%
UnitedHealth Group Incorporated UNH 31.73 26.22 97.62% 96.03% 67.46% 54.37%

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
VanEck Vectors J.P. Morgan EM Local Currency Bond ETF EMLC 4.4 5.61 0.40% 0.79% 0.40% 0.79%
iShares MSCI United Kingdom ETF EWU 9.91 13.27 0.79% 35.71% 33.33% 88.49%
The Consumer Staples Select Sector SPDR Fund XLP 9.33 10.71 0.79% 0.79% 78.57% 76.19%
Invesco CurrencyShares Swiss Franc Trust FXF 4.23 4.75 0.79% 1.19% 35.32% 51.59%
Invesco CurrenchShares British Pound Sterling Trust FXB 6.63 7.15 0.79% 1.19% 0.79% 1.19%

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
Invesco DB US Dollar Index Bullish Fund UUP 5.16 5.5 1.19% 0.40% 50.00% 32.54%
ProShares UltraShort Gold GLL 17.96 17.75 10.71% 0.40% 30.95% 0.40%
ProShares UltraShort 20+ Year Treasury TBT 16.56 16.5 11.90% 0.40% 4.76% 0.79%
iShares Edge MSCI USA Momentum Factor ETF MTUM 9.9 11.41 1.98% 0.40% 78.17% 88.89%
ProShares UltraShort Euro EUO 9.46 10.2 1.19% 0.40% 35.32% 14.68%

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
Celgene Corporation CELG 14.77 13.77 0.40% 0.40% 8.33% 5.16%
Dollar General Corporation DG 16.9 21.05 0.40% 14.68% 53.97% 69.84%
Autodesk, Inc. ADSK 23.33 32.22 0.40% 35.52% 29.76% 97.62%
Lennar Corporation LEN 25.63 28.39 0.79% 10.12% 13.49% 41.67%
Best Buy Co., Inc. BBY 22.71 32.23 0.79% 30.95% 66.67% 31.35%

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
Kimberly-Clark Corporation KMB 20.22 18.07 46.43% 0.40% 99.60% 98.02%
Anadarko Petroleum Corporation APC 26.45 21.08 7.54% 0.40% 0.79% 0.40%
Celgene Corporation CELG 14.77 13.77 0.40% 0.40% 8.33% 5.16%
HCP, Inc. HCP 21.27 16.03 57.94% 0.79% 88.49% 90.48%
NRG Energy, Inc. NRG 26.47 23.84 28.17% 0.79% 83.73% 96.03%

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