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SPY Volatility Continues To Edge Lower As Momentum ETF MTUM Options Look Cheap

Apr 25, 2019

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

 

  • Implied volatility for the S&P 500 ETF Trust (SPY) continues to edge lower with 30-day implied volatility now below the 10% annualized level.  Really does make sense to think about 1 to 2 month put spreads to hedge against a downturn.  See our video Hedge Your Portfolio with S&P 500 ETF Trust (SPY), Our Top Options Trade For You to get a better idea about why we think 1-month Put Spreads on SPY makes sense here. 
  • Not a surprise to see the iShares Edge MSCI USA Momentum Factor ETF (MTUM) options so cheap as US stocks continue to grind higher.  While MTUM has a “POOR” Smart Beta Rating, the ETF still has a “BUY” trading signal.

Major Stock Block Trades From Wednesday

Bullish
  • PG Seller 10,000 Jun 95 – Nov 100 call spreads trade tied to stock (rolls calls up and out, ref. 104.38) 
  • NYCB 8,400 Jun 12 calls trade (paid $.19 on largest lot, Earnings 4/30, ref. 11.31)
Bearish
  • AMRN Seller 20,000 Jun 20 calls tied to stock (opens write, collects $2.175, Earnings 5/1, ref. 18.60) 
  • YPF Buyer 20,000 Jan 10 puts (paid $.545, Earnings 5/9, ref. 14.45)

Major ETFs Block Trades From Wednesday

Bullish
  • QQQ 45,000 Jun 192 – 197 call spreads trade (trades $2.21, appears to monetize and roll up, ref. 190.48) 
  • XLF 30,000 Jun 28th 29 calls trade ($.12, ref. 27.43)
Bearish
  • UUP Buyer 180,000 Jun 26 puts (paid $.18, ref. 26.21) 
  • XLK Buyer 15,000 May 3rd 78 - 75 put spreads (paid $.40, ref. 79.03) 
  • SMH Buyer 5,000 Jun 120 – 110 put spreads (paid $2.94, ref. 119.57)

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 9.94 31.75% 11.12 19.64% 1.12 58.33% 90.08% 69.44%
Invesco QQQ Trust QQQ 14.99 38.69% 14.59 7.74% 0.97 27.98% 99.21% 75.0%
iShares Russell 2000 ETF IWM 13.56 38.1% 13.99 37.3% 1.03 53.37% 61.51% 44.84%
SPDR EURO STOXX 50 ETF FEZ 12.12 15.08% 14.04 26.19% 1.16 79.76% 93.65% 93.25%
iShares MSCI Emerging Markets ETF EEM 14.84 6.15% 15.57 2.38% 1.05 63.29% 87.3% 78.57%

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
Direxion Daily Junior Gold Miners Index Bear 3X Shares JDST 88.35 85.62 92.06% 91.27% 72.22% 61.90%
VanEck Vectors Junior Gold Miners ETF GDXJ 29.5 29.15 90.87% 93.25% 73.81% 60.71%
Direxion Daily Junior Gold Miners Index Bull 3X Shares JNUG 88.64 84.47 89.68% 88.10% 69.84% 52.78%
iPath Series B Bloomberg Coffee Subindex Total Return ETN JO 27.78 27.49 74.40% 51.79% 17.06% 55.56%
United States Gasoline Fund, LP UGA 35.01 24.52 73.81% 22.22% 99.60% 57.54%

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
VanEck Vectors Junior Gold Miners ETF GDXJ 29.5 29.15 90.87% 93.25% 73.81% 60.71%
Direxion Daily Junior Gold Miners Index Bear 3X Shares JDST 88.35 85.62 92.06% 91.27% 72.22% 61.90%
Direxion Daily Junior Gold Miners Index Bull 3X Shares JNUG 88.64 84.47 89.68% 88.10% 69.84% 52.78%
iShares MSCI Europe Financials ETF EUFN 17.46 19.85 35.52% 74.21% 55.95% 90.87%
iShares U.S. Medical Devices ETF IHI 18.23 16.94 73.41% 69.05% 56.75% 59.13%

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
Mattel, Inc. MAT 69.13 51.7 98.41% 88.10% 75.00% 20.24%
Juniper Networks, Inc. JNPR 39.92 29.19 98.41% 78.97% 94.05% 72.62%
Humana Inc. HUM 33.63 29.27 98.02% 95.24% 28.17% 33.73%
Tapestry, Inc. TPR 46.46 37.82 97.62% 87.70% 86.11% 55.56%
Unum Group UNM 54.27 42.33 97.62% 81.75% 99.21% 94.84%

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 29.8 28.36 92.86% 96.43% 17.06% 14.68%
Centene Corporation CNC 37.51 38.25 91.27% 96.03% 9.52% 54.76%
Occidental Petroleum Corporation OXY 35.61 31.26 97.62% 95.63% 97.62% 100.00%
Humana Inc. HUM 33.63 29.27 98.02% 95.24% 28.17% 33.73%
Cigna Corporation CI 34.38 31.24 94.05% 93.65% 19.05% 32.14%

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
Direxion Daily Financial Bull 3X Shares FAS 25.09 27.27 0.40% 0.40% 26.98% 38.49%
ProShares Ultra VIX Short-Term Futures ETF UVXY 75.84 92.34 0.79% 10.32% 89.68% 85.71%
Direxion Daily Financial Bear 3X Shares FAZ 27.52 32.79 0.79% 2.58% 31.75% 41.67%
iShares Edge MSCI USA Momentum Factor ETF MTUM 9.45 11.7 1.59% 1.98% 91.27% 96.43%
iShares Silver Trust SLV 14.07 15.09 1.98% 4.76% 56.75% 23.41%

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 25.09 27.27 0.40% 0.40% 26.98% 38.49%
Direxion Daily MSCI Emerging Markets Bull 3X Shares EDC 43.94 44.72 6.35% 1.19% 87.70% 79.37%
Invesco CurrencyShares Canadian Dollar Trust FXC 5.5 5.57 8.33% 1.59% 80.95% 19.44%
SPDR Gold Trust GLD 9.18 8.89 22.62% 1.59% 54.37% 9.92%
Vanguard FTSE Emerging Markets ETF VWO 14.75 14.83 10.32% 1.98% 85.71% 74.21%

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
The Procter & Gamble Company PG 12.82 13.22 9.92% 0.40% 42.46% 84.13%
eBay Inc. EBAY 20.95 21.59 21.63% 0.40% 23.02% 79.76%
Dover Corporation DOV 16.65 17.15 1.59% 0.40% 34.92% 13.49%
Caterpillar Inc. CAT 22.35 22.97 13.89% 0.40% 50.40% 70.63%
Newmont Goldcorp Corporation NEM 26.7 21.77 57.54% 0.40% 95.63% 42.06%

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

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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