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IWM options look cheap while OXY implied volatility spikes

Apr 30, 2019

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

 

  • The iShares Russell 2000 ETF (IWM) continues to be one of the top ETFs in our universe for the week.  Implied volatility for IWM continues to be cheap on both a 30-day and 90-day basis.  Our Quantamize models remain biased to small-cap ETFs coming out of earnings and we will be looking to see if we can find possible options trades on IWM to take advantage of cheap implied volatility levels. 
     
  • Interesting to see Occidental Petroleum (OXY) as the number 1 stock in our universe in terms of 90-day implied volatility.  Yesterday’s news that Anadarko Petroleum’s (APC) Board may consider OXY’s bid for the company is driving up the options risk premium for stock.  What is surprising is that Chevron (CVX) is not also higher, especially given the risk that the company may get into a bidding war with OXY for APC.

Major Stock Block Trades From Monday

Bullish
  • TGT Seller 8,600 Jun 70 puts (untied, collects $.93, ref. 77.84) 
  • DBX Buyer 10,000 Jan 45 calls (paid b/w $.20 and $.25, Earnings 5/9, ref. 24.36)
Bearish
  • GE 47,000 May 3rd 9 puts trade tied to stock (appears bought, $.18, ref. 9.66) 
  • HST Seller 10,750 Jun 20 calls to Buy 10,750 May 19 puts tied to stock (trades even, ref. 19.26)

Major ETFs Block Trades From Monday

Bullish
  • XLF Buyer 49,400 Jun 29 calls (paid $.23, ref. 28.04) 
  • XLE Buyer 8,500 Jun 70 calls trade (appears bought, $.55, ref. 66.20)
Bearish
  • EEM Buyer 30,000 Jan 37 puts tied to stock (paid $.075, ref. 43.96) 
  • HYG Buyer 15,000 Oct 83 puts and 5,000 Nov 84 puts tied to stock (paid $3.96 on the put stupid, ref. 86.98)

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 9.76 27.38% 11.32 26.98% 1.16 68.06% 90.48% 77.38%
Invesco QQQ Trust QQQ 14.2 24.6% 14.67 10.32% 1.03 47.22% 99.21% 96.43%
iShares Russell 2000 ETF IWM 13.86 38.89% 13.94 35.52% 1.01 44.44% 57.54% 42.46%
SPDR EURO STOXX 50 ETF FEZ 11.86 13.49% 13.41 10.12% 1.13 75.0% 93.25% 86.9%
iShares MSCI Emerging Markets ETF EEM 13.99 1.19% 14.84 0.4% 1.06 68.65% 91.67% 79.37%

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
VanEck Vectors Junior Gold Miners ETF GDXJ 29.38 29.38 89.68% 93.25% 66.27% 57.94%
Direxion Daily Junior Gold Miners Index Bull 3X Shares JNUG 87.7 87.21 88.10% 91.27% 62.70% 57.54%
Direxion Daily Junior Gold Miners Index Bear 3X Shares JDST 86.06 87.74 87.70% 94.05% 64.68% 62.70%
iPath Series B Bloomberg Coffee Subindex Total Return ETN JO 28.41 29.06 84.13% 92.46% 24.60% 89.29%
ProShares VIX Short-Term Futures ETF VIXY 72.35 68.16 68.25% 30.16% 98.81% 92.46%

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 86.06 87.74 87.70% 94.05% 64.68% 62.70%
VanEck Vectors Junior Gold Miners ETF GDXJ 29.38 29.38 89.68% 93.25% 66.27% 57.94%
iPath Series B Bloomberg Coffee Subindex Total Return ETN JO 28.41 29.06 84.13% 92.46% 24.60% 89.29%
Direxion Daily Junior Gold Miners Index Bull 3X Shares JNUG 87.7 87.21 88.10% 91.27% 62.70% 57.54%
Teucrium Corn Fund CORN 19.2 21.06 63.49% 72.02% 81.35% 78.57%

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
Arconic Inc. ARNC 77.74 32.07 100.00% 42.06% 100.00% 98.41%
Capri Holdings Limited CPRI 50.97 48.16 100.00% 86.67% 100.00% 100.00%
Unum Group UNM 56.18 41.62 98.81% 75.20% 99.21% 94.05%
Tapestry, Inc. TPR 47.03 38.15 98.02% 87.70% 82.54% 52.78%
ResMed Inc. RMD 39.47 27.29 98.02% 86.11% 84.52% 83.73%

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 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
Occidental Petroleum Corporation OXY 36.84 32.95 96.83% 96.83% 97.62% 99.21%
Centene Corporation CNC 40.55 38.19 94.84% 95.63% 13.89% 53.17%
Humana Inc. HUM 32.19 28.85 96.03% 94.44% 19.44% 29.76%
Anthem, Inc. ANTM 26.27 26.03 84.52% 92.46% 0.40% 16.27%
Cigna Corporation CI 32.76 31 90.48% 92.46% 8.33% 30.95%

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
Vanguard FTSE Emerging Markets ETF VWO 13.54 14.88 0.40% 2.78% 90.87% 88.49%
Direxion Daily Financial Bear 3X Shares FAZ 27.11 31.14 0.79% 1.39% 31.35% 38.49%
ProShares UltraShort 20+ Year Treasury TBT 15.12 16.92 0.79% 3.57% 13.89% 3.57%
iShares MSCI Emerging Markets ETF EEM 13.99 14.84 1.19% 0.40% 91.67% 78.17%
Direxion Daily Financial Bull 3X Shares FAS 26.09 26.69 1.59% 0.79% 37.30% 36.90%

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 Russell Mid-Cap ETF IWR 9.32 9.96 10.32% 0.40% 41.27% 46.83%
iShares Edge MSCI USA Momentum Factor ETF MTUM 9.32 10.51 1.59% 0.40% 88.89% 96.83%
iShares MSCI Emerging Markets ETF EEM 13.99 14.84 1.19% 0.40% 91.67% 78.17%
Alerian MLP ETF AMLP 16.1 15.38 6.55% 0.60% 89.68% 67.06%
Direxion Daily Financial Bull 3X Shares FAS 26.09 26.69 1.59% 0.79% 37.30% 36.90%

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
Comcast Corporation CMCSA 16.31 18.03 0.40% 0.79% 86.11% 100.00%
Chipotle Mexican Grill, Inc. CMG 21.89 24.94 0.40% 0.40% 41.67% 38.89%
Allegion plc ALLE 16.17 16.47 0.79% 0.40% 44.05% 21.03%
Kimberly-Clark Corporation KMB 15.8 16.51 0.79% 2.38% 5.16% 54.37%
Twitter, Inc. TWTR 32.64 37.11 1.59% 1.98% 7.94% 36.51%

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 16.84 17.27 20.63% 0.40% 0.40% 0.40%
AbbVie Inc. ABBV 20.1 21.92 5.56% 0.40% 59.52% 98.41%
Chipotle Mexican Grill, Inc. CMG 21.89 24.94 0.40% 0.40% 41.67% 38.89%
Tractor Supply Company TSCO 23.91 22.64 28.97% 0.40% 78.57% 87.70%
Allegion plc ALLE 16.17 16.47 0.79% 0.40% 44.05% 21.03%

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

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