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Large Block of XLE Puts Trade While IHI Options Look Expensive

Apr 23, 2019

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

 

  • iShares US Medical Devices ETF (IHI) is one of the most expensive ETFs in our universe of ETFs we track with 1-month and 3-month implied volatility expensive.  This is not a surprise given the recent sell-off in health care stocks, though it is interesting to see IHI screening out rather than the SPDR Health Care Sector Select (XLV).

Major Stock Block Trades From Monday

Bullish
  • GE Seller 119,000 May 31st 9 puts to Buy 116,000 May 31st 9.5 calls tied to 11,739,000 shares (trades even, Earnings 4/30, ref. 9.28) 
  • SE Seller 16,000 May 20 puts (collects $.21, Earnings 5/14, ref. 22.79) 
  • SIRI 42,000 May 6 calls trade (paid b/w $.24 and $.26, Earnings 4/24, appears to add to existing position, ref. 6.09)
Bearish
  • DHI 13,246 May 50 calls trade (appears sold to open, $.30, ref. 45.77) 
  • GM Seller 50,000 Jun 42 calls (opens write, collects $.52, ref. 39.68) 
  • YPF 30,000 Jan 23 calls trade (appears sold to open, $.125, ref. 14.44) 
  • F Seller 50,000 Jun 10 calls trade (collects $.155, untied, possibly closing, ref. 9.51)

Major ETFs Block Trades From Monday

Bullish
  • SPY Seller 10,000 Sep 289 puts to Buy 10,000 Sep 291 calls tied to stock (paid $.63, ref. 289.80) 
  • VIX Seller 33,000 May 19 calls (collects $.49, ref. 14.50 (May))
Bearish
  • ASHR Seller 20,000 May 28 puts to Buy 20,000 May 33 calls tied to stock (paid $.11, ref. 29.94) 
  • XLE 5,400 Oct 65 – 60 1x2 put spreads trade (appears bought, $.04, ref. 68.44)

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 9.72 26.19% 10.95 15.87% 1.13 61.9% 92.06% 65.48%
Invesco QQQ Trust QQQ 13.56 15.08% 14.29 3.97% 1.05 58.33% 99.6% 69.44%
iShares Russell 2000 ETF IWM 15.14 54.76% 15.14 49.4% 1.00 38.89% 87.7% 55.95%
SPDR EURO STOXX 50 ETF FEZ 11.39 11.51% 13.72 17.86% 1.20 86.71% 95.63% 90.08%
iShares MSCI Emerging Markets ETF EEM 14.63 3.57% 15.41 1.19% 1.05 63.89% 94.44% 71.43%

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
iShares U.S. Medical Devices ETF IHI 20.54 17.88 82.94% 73.41% 85.32% 67.06%
VanEck Vectors Junior Gold Miners ETF GDXJ 28.26 27.4 82.14% 70.63% 67.46% 34.13%
Direxion Daily Junior Gold Miners Index Bull 3X Shares JNUG 84.49 81.88 81.75% 73.41% 61.51% 29.37%
Direxion Daily Junior Gold Miners Index Bear 3X Shares JDST 84.27 83.4 80.95% 84.52% 65.87% 41.67%
iPath Series B Bloomberg Coffee Subindex Total Return ETN JO 28.08 28.29 80.95% 73.41% 24.60% 58.73%

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 Bear 3X Shares JDST 84.27 83.4 80.95% 84.52% 65.87% 41.67%
Direxion Daily S&P Biotech Bull 3x Shares LABU 89.83 82.98 73.81% 73.81% 70.24% 62.30%
Direxion Daily Junior Gold Miners Index Bull 3X Shares JNUG 84.49 81.88 81.75% 73.41% 61.51% 29.37%
iShares U.S. Medical Devices ETF IHI 20.54 17.88 82.94% 73.41% 85.32% 67.06%
iPath Series B Bloomberg Coffee Subindex Total Return ETN JO 28.08 28.29 80.95% 73.41% 24.60% 58.73%

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

S&P 500 Stocks with most 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
Capri Holdings Limited CPRI 40.6 46.13 100.00% 100.00% 90.00% 100.00%
Humana Inc. HUM 34.72 30.27 99.60% 96.83% 33.73% 46.43%
Centene Corporation CNC 47.21 42.35 99.21% 99.21% 44.05% 72.22%
Anthem, Inc. ANTM 38.39 32.14 98.81% 98.81% 36.51% 40.48%
Tapestry, Inc. TPR 46.67 37.75 98.41% 87.30% 86.51% 50.40%

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
Capri Holdings Limited CPRI 40.6 46.13 100.00% 100.00% 90.00% 100.00%
Centene Corporation CNC 47.21 42.35 99.21% 99.21% 44.05% 72.22%
Anthem, Inc. ANTM 38.39 32.14 98.81% 98.81% 36.51% 40.48%
Humana Inc. HUM 34.72 30.27 99.60% 96.83% 33.73% 46.43%
HCA Healthcare, Inc. HCA 36.9 31.34 97.22% 96.03% 34.52% 52.78%

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
Invesco CurrencyShares Japanese Yen Trust FXY 4.66 5.29 0.60% 0.40% 58.33% 32.94%
Invesco CurrencyShares British Pound Sterling Trust FXB 6.31 7.23 0.79% 1.59% 2.78% 2.38%
Traded Fund Trust II - Invesco Senior Loan ETF BKLN 3.32 3.81 1.19% 0.79% 9.92% 13.49%
Direxion Daily Financial Bull 3X Shares FAS 27.8 29.23 1.59% 1.19% 34.52% 44.05%
ProShares Short VIX Short-Term Futures ETF SVXY 24.87 27.34 1.79% 2.38% 89.29% 86.11%

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 CurrencyShares Japanese Yen Trust FXY 4.66 5.29 0.60% 0.40% 58.33% 32.94%
Invesco CurrencyShares Canadian Dollar Trust FXC 5.21 5.35 2.98% 0.40% 88.89% 1.59%
Alerian MLP ETF AMLP 17.39 16.02 20.24% 0.40% 91.67% 65.08%
SPDR Gold Trust GLD 8.54 8.83 3.37% 0.60% 29.76% 0.79%
iShares iBoxx $ Investment Grade Corporate Bond ETF LQD 3.99 3.8 7.94% 0.79% 17.86% 0.40%

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
Synchrony Financial SYF 20.96 22.67 0.79% 0.40% 83.33% 99.60%
CSX Corporation CSX 16.94 18.84 0.99% 1.19% 22.22% 67.46%
Adobe Inc. ADBE 19.71 23.6 1.19% 0.79% 84.13% 97.62%
Celgene Corporation CELG 16.01 14.02 1.98% 2.18% 10.32% 8.33%
Fastenal Company FAST 19.36 19.67 1.98% 0.79% 17.86% 63.10%

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

S&P 500 Stocks with most 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
PACCAR Inc PCAR 25.98 21.81 59.92% 0.40% 100.00% 76.19%
Kinder Morgan, Inc. KMI 17.42 17.84 6.75% 0.40% 67.46% 69.44%
Kimberly-Clark Corporation KMB 17.32 16.41 3.57% 0.40% 37.70% 48.81%
W.W. Grainger, Inc. GWW 24.74 22.46 35.91% 0.40% 29.76% 22.22%
Snap-on Incorporated SNA 18.76 19.72 7.54% 0.40% 26.59% 1.19%

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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