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QQQ Options a Way to Play Pullback in SPY

May 02, 2019

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

 

  • Overall stocks volatility continues to be muted.  While implied volatility for the S&P 500 ETF Trust (SPY) remains muted, implied risk premiums for options remain rich.  This would suggest that realized volatility is even more muted!  While we have a “BUY” rating for SPY, we have a “SELL” rating for the Invesco QQQ Trust (QQQ).  The QQQ may be a way to play a pullback in US stocks in general with the QQQ having a 0.86 r^2 with SPY and a 1.18 adjusted beta against the SPY.

Major Stock Block Trades From Wednesday

Bullish
  • DO 25,000 Jun 12.5 calls trade (appears bought, $.14, ref. 9.73) 
  • RIG Buyer 34,300 Jun 10 calls (paid $.085, ref. 8.04)
Bearish
  • F Seller 50,000 May 10.5 calls (appears sold to open, untied, $.17, ref. 10.39) 
  • ZNGA Seller 28,000 May 3rd 6 calls to Buy 28,000 May 3rd 5.5 puts (paid $.06, Earnings after the close, ref. 5.63)

Major ETFs Block Trades From Wednesday

Bullish
  • XOP 190,000 May 33 calls trade vs. 110,000 May 32 calls (trades in two separate blocks, appears to roll down, ref. 30.68) 
  • OIH 22,200 Jul 18 calls trade (appears bought b/w $.38 and $.40, possibly adds to existing position, ref. 16.43)
Bearish
  • FXI 23,000 Nov 41 puts trade (appears bought, $1.15, ref. 44.68) 
  • VIX Buyer 30,000 May 27 calls (paid $.25, ref. 14.98 (May))

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 10.24 36.51% 11.44 28.57% 1.12 56.75% 97.62% 76.59%
Invesco QQQ Trust QQQ 13.8 19.05% 15.1 17.86% 1.09 77.38% 98.02% 99.6%
iShares Russell 2000 ETF IWM 15.52 59.13% 15.25 52.78% 0.98 30.95% 71.03% 56.35%
SPDR EURO STOXX 50 ETF FEZ 11.92 13.89% 14.09 27.98% 1.18 83.53% 91.27% 90.87%
iShares MSCI Emerging Markets ETF EEM 14.38 3.57% 14.9 0.79% 1.04 53.77% 99.21% 80.16%

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 Bull 3X Shares JNUG 85.54 82.8 83.33% 76.59% 63.89% 38.89%
VanEck Vectors Junior Gold Miners ETF GDXJ 28.49 29.15 82.54% 92.66% 67.86% 55.56%
iShares MSCI ACWI ETF ACWI 16.49 11.58 81.75% 38.29% 99.60% 88.49%
iPath Series B Bloomberg Coffee Subindex Total Return ETN JO 28.09 28.8 81.55% 88.89% 28.17% 91.27%
Direxion Daily Junior Gold Miners Index Bear 3X Shares JDST 83.05 86.13 73.81% 91.27% 64.68% 57.94%

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 28.49 29.15 82.54% 92.66% 67.86% 55.56%
Direxion Daily Junior Gold Miners Index Bear 3X Shares JDST 83.05 86.13 73.81% 91.27% 64.68% 57.94%
iPath Series B Bloomberg Coffee Subindex Total Return ETN JO 28.09 28.8 81.55% 88.89% 28.17% 91.27%
iShares MSCI Europe Financials ETF EUFN 19.25 20.36 58.73% 79.76% 91.27% 97.22%
Direxion Daily Junior Gold Miners Index Bull 3X Shares JNUG 85.54 82.8 83.33% 76.59% 63.89% 38.89%

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
Capri Holdings Limited CPRI 53.04 45.57 100.00% 47.06% 100.00% 58.82%
Rollins, Inc. ROL 32.68 22.41 98.81% 71.83% 7.14% 17.46%
Tapestry, Inc. TPR 49.27 40.23 98.81% 91.27% 83.33% 60.71%
L Brands, Inc. LB 54.75 42.46 98.02% 71.83% 91.27% 94.44%
ResMed Inc. RMD 38.88 27.11 97.62% 83.33% 81.35% 84.13%

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 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 27.59 27.89 87.30% 95.24% 4.76% 30.56%
Occidental Petroleum Corporation OXY 35.35 31.9 95.63% 94.84% 95.24% 98.02%
Centene Corporation CNC 41.37 37.99 95.24% 93.65% 14.29% 51.59%
American Tower Corporation (REIT) AMT 19.8 20.12 88.10% 93.25% 89.29% 99.21%
Mylan N.V. MYL 45.43 37.47 92.06% 92.86% 100.00% 50.79%

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
Alerian MLP ETF AMLP 14.76 15.65 0.40% 1.19% 90.08% 71.03%
Vanguard FTSE Emerging Markets ETF VWO 12.46 14.35 0.40% 1.19% 93.25% 76.19%
Invesco CurrencyShares Canadian Dollar Trust FXC 5.05 5.43 1.19% 1.59% 59.52% 23.02%
ProShares UltraShort Gold GLL 16.59 17.86 1.59% 2.98% 49.60% 5.95%
Direxion Daily MSCI Emerging Markets Bull 3X Shares EDC 41.69 45.05 1.98% 3.57% 98.41% 93.25%

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
iShares Russell Mid-Cap ETF IWR 13.75 9.69 68.25% 0.40% 90.08% 41.27%
SPDR Gold Trust GLD 8.32 8.74 1.98% 0.40% 53.57% 4.76%
iShares MSCI Emerging Markets ETF EEM 14.38 14.9 3.57% 0.79% 99.21% 80.16%
Direxion Daily FTSE China Bull 3X Shares YINN 52.97 51.23 7.94% 0.79% 94.44% 78.97%
Alerian MLP ETF AMLP 14.76 15.65 0.40% 1.19% 90.08% 71.03%

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
Charter Communications, Inc. CHTR 18.87 21.53 0.40% 0.79% 92.06% 99.60%
Visa Inc. V 13.8 16.1 0.40% 1.59% 86.11% 98.81%
Johnson Controls International plc JCI 16.95 17.27 0.40% 0.40% 10.32% 64.29%
Arconic Inc. ARNC 22.07 25.82 0.40% 2.38% 25.00% 84.52%
General Motors Company GM 19.58 21.8 0.79% 3.97% 53.97% 92.06%

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
3M Company MMM 16.95 16.5 22.62% 0.40% 0.79% 0.40%
Johnson Controls International plc JCI 16.95 17.27 0.40% 0.40% 10.32% 64.29%
Royal Caribbean Cruises Ltd. RCL 21.61 23 3.97% 0.40% 3.97% 59.52%
Jack Henry & Associates, Inc. JKHY 14.35 15.06 6.75% 0.40% 8.33% 12.30%
PACCAR Inc PCAR 21.48 21.27 18.65% 0.40% 83.33% 98.41%

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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