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VXX Call Spreads Block Trade Bearish Signal for US Stocks

May 07, 2019

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

 

  • Just shocking to see how much implied volatility for the iShares 20+ Year Treasury Bond ETF, ticker TLT has dropped.  TLT currently has a “BUY” Trading Signal.  We are already looking for ways to take advantage of the cheap implied volatility and play a pull-back in the ETF.

Major Stock Block Trades From Monday

Bullish
  • TEUM 9,000 May 5 calls trade (paid b/w $.55 and $.75, ref. 5.09) 
  • DDD 6,000 May 9.5 puts trade tied to stock (appears top open write, $.24, ref. 11.07)
Bearish
  • IQV Seller 9,500 Jun 145 calls (opens write, collects $1.75, , ref. 137.01) 
  • ITT Buyer 4,000 Jun 60 – 55 put spreads (paid $1.24, ref. 61.59 

Major ETFs Block Trades From Monday

Bullish
  • XLF 10,000 Jun 28th 1x2 call spreads trade (appears bought, $.53, ref. 27.82) 
  • VXX Seller 20,000 May 38 – 48 call spreads (collects $.09, ref. 27.55) 
Bearish
  • KRE Seller 38,500 Jun 51 – 45 put spreads to Buy 43,100 Jun 54 – 48 put spreads (rolls up, ref. 56.55) 
  • BKLN Buyer 22,725 Jan 21 puts (paid $.22, untied, ref. 22.98) 
  • XLB 7,000 May 55 puts trade ($.44, appears opening, ref. 55.87)

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 11.8 57.14% 13.05 59.13% 1.11 51.79% 96.03% 88.49%
Invesco QQQ Trust QQQ 15.98 53.97% 16 41.07% 1.00 34.72% 100.0% 100.0%
iShares Russell 2000 ETF IWM 15.94 63.89% 15.79 61.11% 0.99 34.72% 59.92% 57.14%
SPDR EURO STOXX 50 ETF FEZ 12.99 25.6% 14.42 37.3% 1.11 70.04% 90.48% 96.83%
iShares MSCI Emerging Markets ETF EEM 16.7 36.51% 16.12 9.13% 0.97 19.44% 96.03% 94.84%

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 28.64 87.50% 85.91% 64.68% 90.48%
iShares U.S. Medical Devices ETF IHI 20.83 19.13 83.73% 81.35% 60.71% 87.30%
Xtrackers Harvest CSI 500 China A-Shares Small Cap ETF ASHS 33.43 30.54 83.73% 71.83% 25.00% 2.38%
iShares MSCI Australia ETF EWA 19.84 16.96 80.95% 61.71% 100.00% 100.00%
Xtrackers Harvest CSI 300 China A-Shares ETF ASHR 29.21 27.91 80.16% 82.14% 58.33% 42.46%

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
VanEck Vectors Junior Gold Miners ETF GDXJ 28.07 29.56 78.17% 93.65% 69.05% 60.32%
Direxion Daily Junior Gold Miners Index Bull 3X Shares JNUG 84.13 87.6 76.19% 91.67% 67.46% 59.13%
Direxion Daily Junior Gold Miners Index Bear 3X Shares JDST 83.8 85.76 76.59% 89.29% 69.05% 57.54%
iPath Series B Bloomberg Coffee Subindex Total Return ETN JO 28.75 28.64 87.50% 85.91% 64.68% 90.48%
Xtrackers Harvest CSI 300 China A-Shares ETF ASHR 29.21 27.91 80.16% 82.14% 58.33% 42.46%

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
International Flavors & Fragrances Inc. IFF 34.98 24.66 100.00% 88.10% 98.81% 59.13%
Capri Holdings Limited CPRI 59.79 49.13 100.00% 100.00% 100.00% 100.00%
Centene Corporation CNC 53.76 43.26 100.00% 99.60% 39.68% 51.98%
Tapestry, Inc. TPR 51.12 40.69 99.60% 92.46% 86.11% 94.84%
CBRE Group, Inc. CBRE 27.77 22.8 98.86% 73.14% 99.43% 92.57%

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 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
Capri Holdings Limited CPRI 59.79 49.13 100.00% 100.00% 100.00% 100.00%
Centene Corporation CNC 53.76 43.26 100.00% 99.60% 39.68% 51.98%
The Walt Disney Company DIS 26.05 23.67 91.27% 95.04% 5.56% 13.49%
Cognizant Technology Solutions Corporation CTSH 25.16 26.49 75.00% 94.44% 0.40% 30.16%
DowDuPont Inc. DWDP 29.31 30.74 80.16% 93.25% 40.08% 8.73%

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
ProShares UltraShort Gold GLL 16.81 17.54 2.78% 2.38% 43.65% 2.78%
iShares 20+ Year Treasury Bond ETF TLT 8.12 7.89 3.17% 1.19% 53.97% 1.19%
ProShares UltraShort 20+ Year Treasury TBT 15.68 16.56 3.97% 2.38% 46.83% 3.57%
Invesco Senior Loan ETF BKLN 3.69 4.46 4.17% 5.75% 21.03% 26.19%
Direxion Daily Financial Bull 3X Shares FAS 28.12 30.38 5.56% 5.16% 49.60% 50.79%

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 20+ Year Treasury Bond ETF TLT 8.12 7.89 3.17% 1.19% 53.97% 1.19%
Direxion Daily 20+ Year Treasury Bear 3X Shares TMV 25.47 25.19 17.46% 1.59% 58.33% 1.98%
SPDR Gold Trust GLD 8.96 8.88 17.06% 1.98% 57.54% 7.14%
ProShares UltraShort Gold GLL 16.81 17.54 2.78% 2.38% 43.65% 2.78%
iShares 20+ Year Treasury Bond ETF TBT 15.68 16.56 3.97% 2.38% 46.83% 3.57%

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

S&P 500 Stocks with most 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
Red Hat, Inc. RHT 3.07 5.1 0.40% 0.40% 22.22% 72.22%
Anadarko Petroleum Corporation APC 18.94 14.33 0.40% 0.40% 0.40% 0.40%
Cboe Global Markets, Inc. CBOE 18.17 18.75 0.79% 0.40% 69.84% 57.14%
Johnson Controls International plc JCI 17.51 18.08 1.59% 1.59% 11.90% 75.00%
Synchrony Financial SYF 21.04 23.07 1.98% 3.97% 76.59% 95.24%

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
Red Hat, Inc. RHT 3.07 5.1 0.40% 0.40% 22.22% 72.22%
Cboe Global Markets, Inc. CBOE 18.17 18.75 0.79% 0.40% 69.84% 57.14%
Anadarko Petroleum Corporation APC 18.94 14.33 0.40% 0.40% 0.40% 0.40%
Under Armour, Inc. UAA 33.69 34.36 3.57% 0.40% 36.11% 43.25%
DENTSPLY SIRONA Inc. XRAY 21.87 21.2 2.78% 0.79% 20.24% 0.79%

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

Global Stock Indice Price Returns

 

 

Stock Model PortfoliosMulti-factor quantitatively optimized portfolios risk-adjusted to provide investors an ATTRACTIVERISK/RETURN TRADE-OFF
Stock Model PortfoliosMulti-factor quantitatively optimized portfolios risk-adjusted to provide investors an ATTRACTIVERISK/RETURN TRADE-OFF