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Options Trades We Like This Morning: XLV Bear Put Spreads

Apr 18, 2019

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  • We are looking at Puts on the SPDR Health Care Select Sector ETF (XLV) this morning.  There was bearish options flow yesterday with 10,000 June 83 puts and 10,300 May 85 puts purchased. Technically, the index has already broken down but support appears to be around 80.70.  Currently, XLV has a “SELL” trading signal according to our Quantamize models.  We are looking at buying puts spreads 1 to 2 months out. 
  • Despite disappointing earnings from a few major mega-caps, overall volatility remains muted.  The VIX continues to trade with a 12 handle while implied volatility for SPY (as well as the risk premium for SPY options!) remains cheap.

Major Stock Block Trades From Wednesday

Bullish
  • FCX Seller 13,350 May 14 calls to Buy 26,700 Jun 16 calls (paid .39, untied, monetizes, appears to roll out and up, Earnings 3/25, ref. 14.38) 
  • CRM 13,000 Jun 155 – 160 call spreads trade ($2.65, appears to roll calls up, ref. 156.21)
Bearish
  • DISH Seller 15,000 May 37.5 calls (opens write, collects $.75, ref. 34.48) 
  • NIO Buyer 10,000 Jan21 2 puts (paid $.52, ref. 4.61)

Major ETFs Block Trades From Wednesday

Bullish
  • EEM Seller 22,500 Apr 44.5 calls to Buy 21,750 May 46 calls (untied, appears to roll out and up, ref. 44.69 
  • XOP Seller 10,000 May 32 calls to Buy 10,000 Jun 33 – 36 call spreads (collects $.33, monetizes, rolls out and up into spread, ref. 32.35)
Bearish
  • XLV Buyer 10,000 Jun 83 puts (paid $1.06, ref. 86.72) 
  • IYR 10,000 Apr 84.5 – 80 put spreads trade vs. 10,000 May 84 – 80 put spreads (appears to roll out and down, ref. 84.95) 
  • VIX Buyer 22,000 May 18 – 23 – 28 call flies (paid $.20, ref. 14.68 (May))

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 10.25 33.93% 11.23 21.43% 1.10 50.79% 43.65% 68.25%
Invesco QQQ Trust QQQ 13.64 15.87% 14.73 9.72% 1.08 72.22% 64.68% 76.19%
iShares Russell 2000 ETF IWM 15.03 53.37% 15.27 52.78% 1.02 48.81% 16.67% 57.54%
SPDR EURO STOXX 50 ETF FEZ 11.16 7.14% 14.08 26.98% 1.26 93.85% 16.27% 93.65%
iShares MSCI Emerging Markets ETF EEM 14.1 0.79% 15.36 0.4% 1.09 88.89% 26.59% 65.87%

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 13.08 3.88 93.25% 0.79% 52.38% 16.27%
iShares U.S. Medical Devices ETF IHI 23.2 18.33 91.67% 77.38% 86.11% 74.21%
The Health Care Select Sector SPDR Fund XLV 17.75 16.1 83.33% 77.78% 69.05% 74.21%
Direxion Daily S&P Biotech Bull 3x Shares LABU 92.7 85.73 78.97% 77.38% 48.41% 65.87%
ProShares Ultra Nasdaq Biotechnology BIB 49.41 45.52 78.57% 76.98% 50.79% 79.76%

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
The Health Care Select Sector SPDR Fund XLV 17.75 16.1 83.33% 77.78% 69.05% 74.21%
Direxion Daily S&P Biotech Bull 3x Shares LABU 92.7 85.73 78.97% 77.38% 48.41% 65.87%
iShares U.S. Medical Devices ETF IHI 23.2 18.33 91.67% 77.38% 86.11% 74.21%
ProShares Ultra Nasdaq Biotechnology BIB 49.41 45.52 78.57% 76.98% 50.79% 79.76%
SPDR S&P Biotech ETF XBI 31.89 30.43 77.58% 76.98% 47.22% 65.87%

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 43.02 33.84 100.00% 100.00% 48.41% 50.79%
Centene Corporation CNC 53.01 44.53 100.00% 100.00% 57.54% 84.92%
Humana Inc. HUM 34.31 31.39 99.60% 100.00% 40.08% 53.17%
Merck & Co., Inc. MRK 26.29 19.32 99.60% 78.37% 78.97% 69.84%
Garmin Ltd. GRMN 32.86 21.68 98.81% 61.51% 89.68% 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 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
Humana Inc. HUM 34.31 31.39 99.60% 100.00% 40.08% 53.17%
Centene Corporation CNC 53.01 44.53 100.00% 100.00% 57.54% 84.92%
Anthem, Inc. ANTM 43.02 33.84 100.00% 100.00% 48.41% 50.79%
UnitedHealth Group Incorporated UNH 31.61 28.04 97.22% 98.02% 61.51% 57.94%
HCA Healthcare, Inc. HCA 36.42 32.55 97.22% 96.83% 36.51% 61.51%

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 8.66 10.03 0.40% 0.60% 51.98% 8.93%
VanEck Vectors J.P. Morgan EM Local Currency Bond ETF EMLC 4.09 5.9 0.40% 1.59% 0.79% 1.59%
Invesco CurrencyShares British Pound Sterling Trust FXB 6.43 7.31 0.40% 1.98% 0.79% 1.98%
Direxion Daily MSCI Emerging Markets Bull 3X Shares EDC 40.77 44.36 0.40% 0.40% 19.44% 69.84%
Direxion Daily FTSE China Bull 3X Shares YINN 49.69 56.03 0.79% 12.70% 41.67% 91.67%

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)

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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 Financial Bull 3X Shares FAS 28.71 28.8 2.38% 0.40% 9.13% 43.25%
Alerian MLP ETF AMLP 17.44 16.16 20.24% 0.40% 90.48% 69.05%
iShares MSCI Emerging Markets ETF EEM 14.1 15.36 0.79% 0.40% 26.59% 65.48%
Invesco CurrencyShares Japanese Yen Trust FXY 5 5.35 1.98% 0.40% 17.86% 36.11%
Invesco DB US Dollar Index Bullish Fund UUP 5.11 5.29 1.39% 0.40% 84.92% 25.79%

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)

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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
Dollar General Corporation DG 16.88 21.67 0.40% 21.23% 65.87% 71.43%
Kansas City Southern KSU 18.81 19.6 0.79% 0.40% 8.33% 25.79%
BlackRock, Inc. BLK 15.36 18.44 0.79% 9.92% 5.95% 69.84%
Best Buy Co., Inc. BBY 22.37 32.02 0.79% 28.97% 67.86% 32.54%
Celgene Corporation CELG 13.9 13.28 0.79% 0.40% 8.73% 4.76%

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
Everest Re Group, Ltd. RE 21.82 18.02 57.94% 0.40% 79.37% 55.95%
Walmart Inc. WMT 18.42 16.36 46.43% 0.40% 88.49% 78.97%
CSX Corporation CSX 17.98 18.73 8.33% 0.40% 22.62% 63.10%
Comcast Corporation CMCSA 20.92 18.75 22.22% 0.40% 98.81% 74.60%
Kansas City Southern KSU 18.81 19.6 0.79% 0.40% 8.33% 25.79%

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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