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Large VXXB Put Buying Bullish Signal for US Stocks

May 01, 2019

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  • Surprised to see implied-realized spreads so rich for our consensus Top Buy idea Visa (V).  It is not unintuitive to see implied volatility so low, but what is interesting is to see that even at such low levels, the spread between implied and realized volatility is so wide.
     
  • Similarly to Visa, implied volatility for iShares Emerging Markets ETF (EEM) is very low.  However, the spread between implied and realized volatility, or the risk premium for options, remains elevated.  Currently, EEM has a “BUY” trading signal according to our Quantamize models.  We are going to be exploring leveraged bullish trades for EEM to take advantage of the continued melt-up in global stocks and current levels of implied volatility.

Major Stock Block Trades From Tuesday

Bullish
  • PFE 11,500 Sep 43 calls trade (appears bought, $.75, ref. 40.73) 
  • PG 20,000 Jul 95 – Nov 100 call spreads trade tied to stock (monetizes, collects $2.70, rolls out and up, ref. 106.39)
Bearish
  • NKE 9,931 Jul 95 calls trade (appears sold to open write, $.23, ref. 87.46) 
  • GE Buyer 30,600 Jun 9 puts (paid $.18, untied, ref. 10.21)

Major ETFs Block Trades From Tuesday

Bullish
  • VXXB Buyer 25,000 May 24th 22 puts (paid $.12, ref. 25.86) 
  • SPX 17,900 Jul 3200 calls trade ($1.80, ref. 2929.90 (Jul))
Bearish
  • XLP 10,000 May 24th 57.5 puts trade (appears bought, 15,000 trade total, $.58, ref. 57.42) 
  • RSX 17,000 Jun 21 puts trade (paid $.40 on largest block, ref. 21.41)

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 9.32 21.03% 11.64 35.12% 1.25 90.28% 98.81% 83.73%
Invesco QQQ Trust QQQ 14.43 29.37% 15.02 15.87% 1.04 51.98% 100.0% 98.02%
iShares Russell 2000 ETF IWM 14.77 51.59% 14.63 44.05% 0.99 34.13% 70.24% 49.6%
SPDR EURO STOXX 50 ETF FEZ 11.91 13.89% 14.34 36.51% 1.20 86.9% 94.84% 96.03%
iShares MSCI Emerging Markets ETF EEM 13.9 1.19% 15.06 1.19% 1.08 81.15% 99.21% 87.3%

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
iPath Series B Bloomberg Coffee Subindex Total Return ETN JO 28.75 28.96 87.70% 90.48% 39.68% 90.08%
Direxion Daily Junior Gold Miners Index Bull 3X Shares JNUG 84.73 86.54 80.95% 90.87% 65.48% 54.76%
Direxion Daily Junior Gold Miners Index Bear 3X Shares JDST 84.67 85.85 80.56% 90.48% 68.25% 59.13%
VanEck Vectors Junior Gold Miners ETF GDXJ 28.24 28.72 79.76% 88.10% 67.86% 51.59%
iShares MSCI Australia ETF EWA 16.97 15.83 67.86% 40.67% 100.00% 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
Direxion Daily Junior Gold Miners Index Bull 3X Shares JNUG 84.73 86.54 80.95% 90.87% 65.48% 54.76%
Direxion Daily Junior Gold Miners Index Bear 3X Shares JDST 84.67 85.85 80.56% 90.48% 68.25% 59.13%
iPath Series B Bloomberg Coffee Subindex Total Return ETN JO 28.75 28.96 87.70% 90.48% 39.68% 90.08%
VanEck Vectors Junior Gold Miners ETF GDXJ 28.24 28.72 79.76% 88.10% 67.86% 51.59%
VanEck Vectors Oil Services ETF OIH 30.31 30.74 67.06% 73.81% 57.54% 63.89%

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
Centene Corporation CNC 44.8 39.83 98.81% 97.22% 32.54% 54.76%
Tapestry, Inc. TPR 47.05 38.14 98.02% 87.30% 84.13% 52.78%
Occidental Petroleum Corporation OXY 35.75 32.2 96.43% 96.03% 96.83% 98.81%
Henry Schein, Inc. HSIC 37.18 27.32 96.43% 81.55% 94.84% 19.05%
ResMed Inc. RMD 38.52 27.09 96.43% 83.33% 78.97% 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
Centene Corporation CNC 44.8 39.83 98.81% 97.22% 32.54% 54.76%
Occidental Petroleum Corporation OXY 35.75 32.2 96.43% 96.03% 96.83% 98.81%
Humana Inc. HUM 31.48 29.53 95.04% 95.63% 19.05% 35.71%
Anthem, Inc. ANTM 27.54 26.44 87.30% 92.86% 4.37% 17.86%
Cigna Corporation CI 33.58 30.84 92.06% 91.87% 10.32% 31.35%

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
Tokuyama Corporation TBT 15.02 17.07 0.40% 4.76% 36.90% 5.16%
iShares MSCI Emerging Markets ETF EEM 13.9 15.06 1.19% 1.19% 99.21% 86.11%
Fidelity Asian Values PLC FAS 25.7 26.95 1.59% 1.19% 57.54% 37.30%
FAX Capital Corp. FXC 5.11 5.46 1.59% 1.98% 76.98% 29.37%
iShares 20+ Year Treasury Bond ETF TLT 8.1 8.63 1.79% 5.95% 45.63% 6.75%

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
Eildon Capital Limited EDC 42.13 43.97 3.17% 0.79% 99.21% 90.87%
ALPS ETF Trust - Alerian MLP ETF AMLP 17.61 15.96 24.60% 1.19% 99.21% 73.41%
Direxion Daily FTSE China Bull 3X Shares YINN 51.93 51.71 4.76% 1.19% 92.06% 85.71%
Galilee Energy Limited GLL 16.96 17.49 2.78% 1.19% 61.90% 3.17%
Fidelity Asian Values PLC FAS 25.7 26.95 1.59% 1.19% 57.54% 37.30%

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
Visa Inc. V 13.86 15.92 0.40% 1.19% 94.84% 99.21%
Anadarko Petroleum Corporation APC 21.81 18.09 0.40% 0.40% 0.40% 0.40%
Mastercard Incorporated MA 15.47 17.17 0.40% 0.40% 80.16% 95.24%
Kimberly-Clark Corporation KMB 15.47 15.47 0.40% 0.79% 1.98% 27.38%
Charter Communications, Inc. CHTR 19.49 21.44 0.79% 0.40% 92.46% 99.60%

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
Colgate-Palmolive Company CL 15.34 16.77 4.76% 0.40% 17.06% 73.81%
Juniper Networks, Inc. JNPR 21.8 21.6 12.70% 0.40% 33.73% 49.60%
The Hershey Company HSY 14.95 16.1 1.59% 0.40% 16.27% 71.03%
Martin Marietta Materials, Inc. MLM 22.5 21.41 20.24% 0.40% 55.95% 41.27%
Comcast Corporation CMCSA 16.56 17.45 1.19% 0.40% 88.49% 98.81%

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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