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Options Trades We Like This Morning: EMB Puts, BBY Bull Put Spreads

Apr 17, 2019

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

 

  • May Puts for iShares JP Morgan USD Emerging Markets ETF (EMB) are looking very interesting to us. Following the recent run in EMB, and when we consider the fact that 1-year BETA to the US 10-year yield (due to its similar duration of 7.39 vs ~8.7 of the US 10 year and incremental credit risk) is slightly over 1, we see a risk that either a steepening of the US curve or an outright reversion to earlier 1Q levels could drive EMB to sub $106 levels. EMB’s correlation with the US 10-Year has recently tracked too low but is set to increase with greater belief that the US Fed is more likely to be on hold than drop rates. There is also more confidence that EM equities are now more attractive and could move asset allocation flows away from EMB to equities. We are beginning to see confirmation of this trend. 
  • While Best Buy (BBY) 1-month implied volatility is cheap, BBY’s risk premium remains rich with implied-realized fair values above historical levels.  BBY is a “Top Buy” according to our Quantamize models and we suggested a bullish put spread (“short” put spread) on Best Buy.  Selling the BBY Put Spread translates to a potential realized yield of 1.1% in 30 days.

Major Stock Block Trades From Tuesday

Bullish
  • LYFT Seller 7,200 May 40 puts (collects $.41, Earnings  5/7, ref. 57.28) 
  • WP Buyer 7,000 May 115 calls (paid $2.99, Earnings 5/9, ref. 111.97)
Bearish
  • PG Buyer 16,000 Jan21 77.5 puts tied to stock (paid $2.23, ref. 105.90) 
  • VZ 14,400 Apr 26th 59 puts trade (paid b/w $.95 and $1.02, ref. ref. 58.79)

Major ETFs Block Trades From Tuesday

Bullish
  • EEM Buyer 50,000 May 40 puts to Sell 48,000 Jun 41.5 puts (appears to roll put write up and out, ref. 44.36) 
  • SPY 67,500 May 3rd 304 calls trade (appears bought, $.04, more than 150,000 trade on the day, ref. 290.24)
Bearish
  • XLP Buyer 16,400 May 10th 56 puts (paid $.37, ref. 56.38) 
  • XLV Buyer 11,450 Jun 85 puts (paid $.87, ref. 89.08)

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 9.91 30.95% 11.23 21.23% 1.13 62.1% 37.7% 62.3%
Invesco QQQ Trust QQQ 14.16 22.02% 14.65 7.94% 1.03 49.21% 68.65% 63.49%
iShares Russell 2000 ETF IWM 14.17 44.44% 14.62 43.25% 1.03 52.78% 9.92% 49.21%
SPDR EURO STOXX 50 ETF FEZ 11.04 4.96% 13.86 22.22% 1.26 94.05% 17.86% 89.68%
iShares MSCI Emerging Markets ETF EEM 14.29 0.79% 15.55 0.4% 1.09 89.09% 30.16% 61.11%

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
Invesco Senior Loan ETF BKLN 11.71 5.1 90.48% 18.85% 40.08% 23.81%
iShares U.S. Medical Devices ETF IHI 17 16.55 70.63% 67.46% 89.29% 84.92%
VanEck Vectors Junior Gold Miners ETF GDXJ 27.18 26.85 70.24% 58.33% 54.76% 34.52%
SPDR S&P Regional Banking ETF KRE 21.6 21.46 69.84% 71.43% 2.78% 41.27%
Direxion Daily Junior Gold Miners Index Bear 3X Shares JDST 80.65 81.82 67.46% 70.83% 55.16% 42.86%

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
Direxion Daily Junior Gold Miners Index Bull 3X Shares JNUG 79.95 82.33 65.48% 76.59% 43.25% 39.29%
SPDR S&P Regional Banking ETF KRE 21.6 21.46 69.84% 71.43% 2.78% 41.27%
Direxion Daily Junior Gold Miners Index Bear 3X Shares JDST 80.65 81.82 67.46% 70.83% 55.16% 42.86%
iShares U.S. Real Estate ETF IYR 11.99 13.95 49.21% 69.84% 41.27% 96.83%
iShares U.S. Medical Devices ETF IHI 17 16.55 70.63% 67.46% 89.29% 84.92%

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
Humana Inc. HUM 35.76 31.23 100.00% 99.60% 39.68% 52.38%
Anthem, Inc. ANTM 42.97 32.94 100.00% 100.00% 50.00% 48.81%
HCA Healthcare, Inc. HCA 40.2 35.9 99.60% 99.60% 47.22% 80.95%
Centene Corporation CNC 44.21 40.2 99.60% 99.21% 47.22% 79.76%
Electronic Arts Inc. EA 50.68 41.03 98.81% 89.29% 69.44% 13.10%

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 3-Month Percentile for Implied-Realized Spread
Anthem, Inc. ANTM 42.97 32.94 100.00% 100.00% 50.00% 48.81%
HCA Healthcare, Inc. HCA 40.2 35.9 99.60% 99.60% 47.22% 80.95%
Humana Inc. HUM 35.76 31.23 100.00% 99.60% 39.68% 52.38%
Centene Corporation CNC 44.21 40.2 99.60% 99.21% 47.22% 79.76%
Cigna Corporation CI 37.32 33.79 98.02% 98.02% 44.05% 53.97%

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
ProShares UltraShort Euro EUO 8.82 10.03 0.40% 0.40% 21.43% 8.73%
ProShares VIX Short-Term Futures ETF VIXY 50.95 60.18 0.40% 0.40% 9.13% 50.40%
VanEck Vectors J.P. Morgan EM Local Currency Bond ETF EMLC 4.34 5.73 0.40% 1.19% 0.40% 1.19%
Invesco CurrencyShares Swiss Franc Trust FXF 4.1 4.66 0.40% 0.79% 27.38% 38.89%
Invesco CurrencyShares Australian Dollar Trust FXA 6.74 7.48 0.40% 1.39% 51.59% 18.65%

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
iShares MSCI Eurozone ETF EZU 9.99 12.01 0.79% 0.40% 3.57% 30.16%
Direxion Daily Financial Bull 3X Shares FAS 29.71 30.41 5.16% 0.40% 6.35% 48.41%
iShares MSCI Emerging Markets ETF EEM 14.29 15.55 0.79% 0.40% 30.16% 60.71%
ProShares VIX Short-Term Futures ETF VIXY 50.95 60.18 0.40% 0.40% 9.13% 50.40%
ProShares UltraShort Euro EUO 8.82 10.03 0.40% 0.40% 21.43% 8.73%

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
Broadcom Inc. AVGO 20.05 24.82 0.40% 6.35% 60.32% 78.97%
Celgene Corporation CELG 13.44 13.68 0.40% 0.40% 8.33% 5.16%
Best Buy Co., Inc. BBY 21.51 32.03 0.40% 28.97% 62.30% 30.95%
Ulta Beauty, Inc. ULTA 21.79 29.2 0.60% 11.11% 49.21% 82.14%
Fastenal Company FAST 18.78 20.41 0.79% 0.79% 9.92% 73.02%

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
3M Company MMM 20.59 17.74 53.57% 0.40% 78.97% 61.11%
Omnicom Group Inc. OMC 18.64 19.12 2.98% 0.40% 15.08% 41.27%
Comcast Corporation CMCSA 20.67 18.89 19.05% 0.40% 99.21% 44.44%
Everest Re Group, Ltd. RE 21.83 18.15 58.33% 0.40% 48.02% 56.35%
Kimberly-Clark Corporation KMB 20.04 17.79 44.44% 0.40% 99.21% 99.21%

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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