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Low Beta Pepsi Options Look Cheap As VIX jumps to 18

May 06, 2019

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

 

  • Top Buy Pepsi (PEP) is one of the cheapest stocks in our universe on a 1-month implied volatility basis.  While simply options on a stock because its implied volatility is low is not always a winning strategy, adding low beta exposure like PEP may make sense.  Given the rapid rise in the VIX this morning, we are going to be looking PEP and similar names to see if we can find ways to increase low beta delta exposure at cheap volatility levels. 

Major Stock Block Trades From Friday

Bullish
  • NIO Buyer 8,300 Jun 6 calls (paid $.35, ref. 5.04) 
  • CVE Seller 50,000 May 11 calls to Buy 47,600 Jun 11 calls (rolls out, ref. 8.95) 
  • MCD Buyer 6,200 Jul 200 calls (paid $3.05, ref. 196.44) 
Bearish
  • RLGY Seller 10,000 Jan 10 puts to Buy 25,000 Jan 7.5 puts (monetizes, rolls down, adds units, ref. 9.24) 
  • RRD Buyer 20,000 Dec 3 puts (paid $30, ref. 3.80) 
  • PEI Buyer 25,000 Oct 4 puts (paid $.20, ref. 6.83) 

Major ETFs Block Trades From Friday

Bullish
  • RSX Buyer 15,000 May-Jun 22 call spreads (appears to roll out, paid $.30, ref. 21.56)
Bearish
  • FXI Seller 7,500 May 46 calls to Buy 7,500 May 43.5 puts (paid $.01, ref. 44.87) 

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 10.09 35.12% 11.21 22.22% 1.11 51.98% 81.75% 71.43%
Invesco QQQ Trust QQQ 14.52 30.95% 14.78 13.29% 1.02 40.87% 94.44% 91.67%
iShares Russell 2000 ETF IWM 14.59 49.21% 15 46.83% 1.03 54.56% 46.43% 48.02%
SPDR EURO STOXX 50 ETF FEZ 11.11 5.56% 13.66 15.67% 1.23 91.07% 89.68% 87.3%
iShares MSCI Emerging Markets ETF EEM 13.07 0.4% 15.04 1.59% 1.15 98.81% 90.87% 93.25%

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
Teucrium Corn Fund CORN 19.98 21.56 72.22% 75.20% 83.73% 77.78%
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 3X Shares GUSH 92.98 86.77 69.44% 61.51% 32.14% 29.37%
Alerian MLP ETF AMLP 22.64 14.93 69.44% 0.40% 98.41% 55.95%
VanEck Vectors Junior Gold Miners ETF GDXJ 27.26 28.49 68.25% 84.52% 64.68% 48.41%
iShares MSCI Australia ETF EWA 17.01 15.67 68.25% 34.33% 100.00% 99.60%

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 81.42 85.95 65.87% 89.68% 62.30% 51.98%
Direxion Daily Junior Gold Miners Index Bear 3X Shares JDST 80.03 84.44 60.32% 87.30% 64.68% 50.40%
VanEck Vectors Junior Gold Miners ETF GDXJ 27.26 28.49 68.25% 84.52% 64.68% 48.41%
Teucrium Corn Fund CORN 19.98 21.56 72.22% 75.20% 83.73% 77.78%
VanEck Vectors Oil Services ETF OIH 29.74 30.63 59.92% 71.83% 31.35% 54.76%

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 49.11 42.82 99.21% 99.21% 36.11% 55.56%
CBRE Group, Inc. CBRE 27.21 22.46 98.28% 67.24% 99.43% 91.38%
Tapestry, Inc. TPR 48.48 39.94 97.62% 90.48% 83.73% 59.13%
International Flavors & Fragrances Inc. IFF 30.55 23.13 96.83% 78.97% 100.00% 52.38%
Electronic Arts Inc. EA 48.3 40.04 96.83% 82.74% 90.08% 24.21%

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

S&P 500 Stocks with most 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 49.11 42.82 99.21% 99.21% 36.11% 55.56%
Occidental Petroleum Corporation OXY 35.02 31.44 94.84% 93.65% 93.25% 97.62%
Mylan N.V. MYL 44.53 37.54 90.48% 92.46% 100.00% 49.60%
Anthem, Inc. ANTM 26.16 26.35 81.94% 91.67% 0.79% 19.05%
The Kraft Heinz Company KHC 35.36 29.6 95.63% 91.27% 96.03% 15.08%

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 13.07 15.04 0.40% 1.59% 90.87% 89.29%
ProShares UltraShort 20+ Year Treasury TBT 14.3 16.63 0.40% 2.78% 33.73% 3.17%
The Utilities Select Sector SPDR Fund XLU 10.72 12.55 0.40% 3.77% 48.02% 96.43%
ProShares UltraShort Gold GLL 16.07 17 0.40% 0.40% 32.54% 0.40%
iShares 20+ Year Treasury Bond ETF TLT 7.54 8.05 0.40% 1.59% 43.25% 1.59%

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
Alerian MLP ETF AMLP 22.64 14.93 69.44% 0.40% 98.41% 55.95%
ProShares UltraShort Gold GLL 16.07 17 0.40% 0.40% 32.54% 0.40%
Direxion Daily 20+ Year Treasury Bear 3X Shares TMV 23.81 25 2.78% 0.79% 45.63% 0.79%
Direxion Daily FTSE China Bull 3X Shares YINN 50.13 51.23 1.19% 0.99% 78.17% 82.94%
Invesco CurrencyShares Canadian Dollar Trust FXC 4.99 5.39 0.79% 1.19% 48.81% 23.81%

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
Under Armour, Inc. UAA 30.88 34.51 0.40% 0.40% 27.38% 43.65%
Mondelez International, Inc. MDLZ 13.16 15.49 0.40% 1.59% 81.35% 98.41%
PepsiCo, Inc. PEP 11.87 14.73 0.40% 15.87% 9.52% 91.27%
Cboe Global Markets, Inc. CBOE 17.97 19.7 0.40% 0.40% 82.14% 77.38%
Celgene Corporation CELG 12.17 13.45 0.40% 1.59% 68.25% 6.75%

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
People's United Financial, Inc. PBCT 16.96 17.47 5.95% 0.40% 0.40% 2.78%
DENTSPLY SIRONA Inc. XRAY 20.7 20.52 0.79% 0.40% 17.86% 0.40%
Hilton Worldwide Holdings Inc. HLT 17.93 17.91 4.76% 0.40% 6.35% 9.52%
Cummins Inc. CMI 18.31 19.89 1.98% 0.40% 48.81% 86.11%
Under Armour, Inc. UAA 30.88 34.51 0.40% 0.40% 27.38% 43.65%

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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