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SPY OTM Put Spread Contrarian Play to Consider while KMB Options are too cheap

Apr 24, 2019

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

 

  • We are looking at put spreads on the S&P 500 ETF Trust (SPY) with the VIX at such low levels and overall volatility muted.  According to our Quantamize models, SPY is currently a “SELL” as the S&P 500 closes in on all-time highs.  Over the past few days there has been significant bearish flow in SPY options which may also suggest other bigger players are hedging.  We are favoring May/June Put spreads at the moment.   
  • While it isn’t a shock to see options cheap for Kimberly Clark (KMB) after the company reported great earnings results, it is a little surprising that they are this low.  Rising oil prices will drive up resin prices, which will negatively impact KMB’s gross margin.  Implied volatility for 1-month and 3-month options are definitely missing that reality.  Right now, KMB is rated “Attractive” according to our Quantamize models, but the impact of rising oil prices on the company’s profitability is something we are closely following.  Options markets should reprice soon to reflect this reality.

Major Stock Block Trades From Tuesday

Bullish
  • PFE Seller 26,164 May 37 puts to Buy 26,164 Sep 42 – 44 call spreads (paid $.14 on the package, Earnings 4/30, ref. 39.47) 
  • CVE Seller 44,000 May 10 calls to Buy 75,000 Jun 12 calls (appears to monetize, roll up and out, Earnings 4/24, ref. 10.36)
Bearish
  • PYPL Seller 9,500 May 115 calls (collects $.57, Earnings 4/24, ref. 106.91) 
  • SWN Seller 15,000 May 4 puts to Buy 50,000 May 3.5 puts (untied, appears to monetize and roll down/add units, ref. 4.12)

Major ETFs Block Trades From Tuesday

Bullish
  • XOP Seller 50,000 May 33 calls to Buy 24,610 May 34 calls and 20,000 Jun 35 calls (untied, appears to monetize and roll up/out, ref. 32.95) 
  • TLT Seller 15,000 Jun 121 puts to Buy 15,000 Jun 124 calls tied to stock (paid $.03, ref. 122.59)  
  • XSP 80,000 May 8th 300 calls trade (largest lot trades $.23, ref. 293.65)
Bearish
  • XLI Buyer 20,000 May 3rd 78.5 - 75 put spreads (paid $.53, ref. 78.72) 
  • SPY Buyer 30,000 Jun 28th 285 – 270 put spreads (paid $1.99, ref. 292.07) 
  • QQQ Buyer 20,000 May 31st 176 – 170 put spreads tied to stock (paid $.53, ref. 189.30)

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 32.14% 11.48 28.97% 1.15 66.27% 88.89% 72.62%
Invesco QQQ Trust QQQ 14.34 26.98% 14.77 11.11% 1.03 47.82% 99.21% 75.0%
iShares Russell 2000 ETF IWM 14.27 45.24% 14.24 40.28% 1.00 39.09% 64.29% 46.03%
SPDR EURO STOXX 50 ETF FEZ 11.42 11.9% 13.92 23.41% 1.22 89.88% 94.84% 94.84%
iShares MSCI Emerging Markets ETF EEM 14.02 0.79% 15.27 0.79% 1.09 88.69% 92.06% 73.41%

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
ProShares UltraShort 20+ Year Treasury TBT 26.79 16.1 99.21% 0.79% 98.41% 0.79%
iShares MSCI United Kingdom ETF EWU 29.72 12.52 98.81% 13.89% 100.00% 89.29%
Vanguard FTSE Emerging Markets ETF VWO 28.84 17.03 97.62% 46.03% 100.00% 98.41%
VanEck Vectors J.P. Morgan EM Local Currency Bond ETF EMLC 20.3 6.8 97.22% 8.33% 98.41% 5.16%
iShares Edge MSCI Min Vol EAFE ETF EFAV 16.9 12.78 92.46% 75.60% 98.41% 98.41%

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
iShares 7-10 Year Treasury Bond ETF IEF 4.81 5.66 71.83% 94.44% 35.71% 61.11%
Xtrackers Harvest CSI 500 China A-Shares Small Cap ETF ASHS 31.13 33.12 69.05% 88.89% 33.73% 44.84%
Direxion Daily Junior Gold Miners Index Bear 3X Shares JDST 84.43 83.67 80.95% 86.90% 76.59% 55.16%
VanEck Vectors Junior Gold Miners ETF GDXJ 27.97 27.83 80.16% 77.38% 77.38% 48.41%
iShares Edge MSCI Min Vol EAFE ETF EFAV 16.9 12.78 92.46% 75.60% 98.41% 98.41%

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 34.54 29.92 99.21% 96.03% 28.97% 37.70%
Unum Group UNM 54.4 41.93 98.41% 79.17% 100.00% 95.24%
Xilinx, Inc. XLNX 45.81 35.66 98.41% 83.33% 100.00% 100.00%
Mattel, Inc. MAT 68.4 51.25 98.02% 86.11% 78.97% 19.84%
Thermo Fisher Scientific Inc. TMO 30.72 24.89 98.02% 94.44% 92.86% 92.86%

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 38.72 46.17 72.73% 100.00% 63.64% 100.00%
Anthem, Inc. ANTM 34.6 30.66 97.42% 97.62% 26.19% 27.38%
Humana Inc. HUM 34.54 29.92 99.21% 96.03% 28.97% 37.70%
Centene Corporation CNC 39.37 38.15 93.65% 95.63% 10.32% 54.76%
Thermo Fisher Scientific Inc. TMO 30.72 24.89 98.02% 94.44% 92.86% 92.86%

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 Emerging Markets ETF EEM 14.02 15.27 0.79% 0.79% 92.06% 72.62%
Direxion Daily Financial Bull 3X Shares FAS 26.36 28.4 0.79% 0.40% 27.38% 41.27%
iPath Series B S&P 500 VIX Short-Term Futures ETN VXXB 52.3 60.53 0.79% 2.78% 84.92% 79.37%
SPDR Bloomberg Barclays High Yield Bond ETF JNK 3.96 5.84 1.19% 10.71% 0.40% 1.59%
Direxion Daily MSCI Emerging Markets Bull 3X Shares EDC 40.83 41.62 1.19% 0.40% 91.67% 54.37%

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 26.36 28.4 0.79% 0.40% 27.38% 41.27%
Direxion Daily MSCI Emerging Markets Bull 3X Shares EDC 40.83 41.62 1.19% 0.40% 91.67% 54.37%
ProShares Short VIX Short-Term Futures ETF SVXY 24.68 26.53 1.59% 0.40% 89.29% 82.94%
ProShares UltraShort Gold GLL 17.48 17.72 6.55% 0.40% 46.43% 5.56%
Alerian MLP ETF AMLP 17.22 15.38 19.44% 0.40% 97.62% 57.94%

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
Paychex, Inc. PAYX 13.54 14.56 0.40% 1.98% 17.86% 54.76%
CSX Corporation CSX 16.68 18.52 0.79% 0.79% 20.24% 66.27%
Dover Corporation DOV 16.01 17.78 0.79% 0.79% 31.75% 15.08%
BlackRock, Inc. BLK 16.16 17.7 1.59% 4.76% 24.60% 56.75%
Fastenal Company FAST 18.83 19.91 1.59% 1.19% 15.48% 63.49%

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
The Procter & Gamble Company PG 13.4 13.33 15.67% 0.40% 45.63% 85.71%
Cintas Corporation CTAS 17.03 17.45 12.30% 0.40% 66.67% 41.27%
Kimberly-Clark Corporation KMB 17.43 16.13 4.37% 0.40% 10.32% 32.94%
Adobe Inc. ADBE 20.23 23.52 2.78% 0.40% 82.14% 93.65%
Twitter, Inc. TWTR 36.03 36.26 4.76% 0.40% 8.73% 23.41%

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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