Low Beta Pepsi Options Look Cheap As VIX jumps to 18
May 06, 2019
- 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)
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 |
| 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