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VIX Spikes Above 20 Ahead of Market Open. Time to Buy ASHR?!

May 08, 2019

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  • And just like that, volatility is back with the VIX north of 20!  Cross-asset implied volatility is increasing across the board and volatility for WTI and Brent is jumping as the futures curves for both commodities go into backwardation.   
     
  • Yesterday’s block trade in the iShares Russell 2000 ETF (IWM) is a positive trading signal, despite the rise in implied volatility.  Selling IWM puts suggests the risk premium for IWM options may have risen too much during the current sell-off. 
     
  • We do not cover it, but implied volatility for Xtrackers Harvest CSI 300 China A-Shares (ASHR) is now one of the most expensive in our universe of ETFs.  ASHR is a direct play on stocks that trade on mainland China, not to be confused with the iShares Large-Cap China ETF (FXI), which owns large-cap stocks exposed to China that trade in Hong Kong.  FXI has a “BUY” trading signal and a “Best” Smart Beta rating.  The correlation between ASHR and FXI is 0.82 with ASHR’s beta vs. FXI as 0.96.  As a result, we might be spending our time looking for ways to get bullish exposure to ASHR as a contrarian play on US-China trade negotiations.

Major Stock Block Trades From Tuesday

Bullish
  • MMM Buyer 12,400 Jul 200 calls (paid $1.00, more than 17,500 trade total, ref. 179.50) 
  • XLNX Seller 10,000 Jun 100 puts (collects $.85, opening, ref. 117.85) 
Bearish
  • CRZO Seller 9,000 Jun 14 calls to Buy 9,000 Jun 11 – 10 put spreads (paid $.12 on the package, Earnings 5/7 post close, ref. 11.25) 
  • S 17,900 Aug 6 puts trade (appears bought, $1.20, 5/7 post close, ref. 5.71)

Major ETFs Block Trades From Tuesday

Bullish
  • XME 12,000 Sep 36 calls trade (appears bought, $.11, ref. 28.46) 
  • IWM Seller 20,000 Aug 140 puts tied to stock (collects $1.71, ref. 158.43)
Bearish
  • EWJ Buyer 15,000 May 54 puts tied to stock (paid $.41, ref. 54.56) 
  • VIXW Buyer 80,000 May 29th 19 calls (paid b/w $2.19 and $2.55, ref. 18.69 (May 29th)

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 17.64 87.3% 15.84 75.79% 0.90 3.77% 100.0% 88.49%
Invesco QQQ Trust QQQ 21.46 75.4% 18.99 69.84% 0.88 5.36% 100.0% 100.0%
iShares Russell 2000 ETF IWM 21.1 83.93% 18.5 75.0% 0.88 3.77% 86.51% 68.25%
SPDR EURO STOXX 50 ETF FEZ 17.19 75.4% 16.74 76.59% 0.97 28.77% 89.29% 96.83%
iShares MSCI Emerging Markets ETF EEM 20.12 71.83% 18.28 49.21% 0.91 6.35% 97.62% 98.41%

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
ProShares VIX Short-Term Futures ETF VIXY 92.21 79.9 97.22% 76.98% 58.33% 77.38%
iShares MSCI Europe Financials ETF EUFN 26.11 21.93 94.05% 91.67% 95.63% 98.81%
iPath Series B Bloomberg Coffee Subindex Total Return ETN JO 29.83 29.16 94.05% 94.05% 66.67% 92.86%
Xtrackers Harvest CSI 500 China A-Shares Small Cap ETF ASHS 38.02 31.91 94.05% 83.73% 48.02% 5.16%
iShares Core S&P Total U.S. Stock Market ETF ITOT 22.03 17.16 93.65% 81.94% 100.00% 97.62%

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 Bear 3X Shares JDST 88.43 87.95 91.67% 94.44% 72.62% 63.49%
iPath Series B Bloomberg Coffee Subindex Total Return ETN JO 29.83 29.16 94.05% 94.05% 66.67% 92.86%
Xtrackers Harvest CSI 300 China A-Shares ETF ASHR 32.12 29.42 92.86% 92.66% 64.29% 52.78%
VanEck Vectors Junior Gold Miners ETF GDXJ 29.32 29.24 88.89% 92.46% 71.03% 57.14%
iShares MSCI Europe Financials ETF EUFN 26.11 21.93 94.05% 91.67% 95.63% 98.81%

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

S&P 500 Stocks with most 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
CBRE Group, Inc. CBRE 29.47 24.94 100.00% 97.16% 91.48% 94.32%
Capri Holdings Limited CPRI 63.69 51.18 100.00% 100.00% 100.00% 100.00%
Centene Corporation CNC 54.33 45.57 100.00% 100.00% 42.46% 55.56%
Ulta Beauty, Inc. ULTA 44.72 36.61 100.00% 92.86% 84.13% 100.00%
L Brands, Inc. LB 58.1 45.65 100.00% 92.86% 86.90% 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 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 63.69 51.18 100.00% 100.00% 100.00% 100.00%
Centene Corporation CNC 54.33 45.57 100.00% 100.00% 42.46% 55.56%
Mylan N.V. MYL 45.21 42.57 91.67% 98.81% 9.52% 3.57%
The Walt Disney Company DIS 29.45 25.37 98.81% 97.62% 8.33% 23.02%
Hormel Foods Corporation HRL 31.25 27.55 99.21% 97.62% 94.84% 100.00%

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
Invesco CurrencyShares Euro Trust FXE 5.48 6.17 5.95% 9.13% 79.76% 82.14%
ProShares UltraShort Euro EUO 10.83 11.47 7.54% 8.33% 79.37% 74.21%
SPDR Gold Trust GLD 8.66 9.18 7.74% 12.70% 53.17% 19.84%
Invesco CurrencyShares Swiss Franc Trust FXF 5.03 5.4 7.94% 8.93% 88.10% 94.44%
SPDR Bloomberg Barclays High Yield Bond ETF JNK 4.8 6.17 10.12% 19.84% 19.44% 5.16%

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
ProShares UltraShort Gold GLL 17.75 17.56 13.49% 2.78% 56.75% 3.57%
iShares Silver Trust SLV 15.2 14.87 19.44% 4.96% 48.02% 9.92%
Invesco CurrencyShares British Pound Sterling Trust FXB 8.19 7.87 25.40% 7.94% 75.00% 6.75%
ProShares UltraShort Euro EUO 10.83 11.47 7.54% 8.33% 79.37% 74.21%
Invesco CurrencyShares Swiss Franc Trust FXF 5.03 5.4 7.94% 8.93% 88.10% 94.44%

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
Anadarko Petroleum Corporation APC 16.93 12.35 0.40% 0.40% 0.40% 0.40%
Red Hat, Inc. RHT 3.55 5.21 0.79% 0.79% 26.59% 75.00%
Johnson Controls International plc JCI 18.6 18.26 4.37% 1.98% 13.49% 75.00%
DENTSPLY SIRONA Inc. XRAY 23.44 22.92 5.16% 1.19% 23.41% 1.19%
Celgene Corporation CELG 15.82 15.62 5.95% 8.73% 83.73% 22.62%

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
Everest Re Group, Ltd. RE 18.44 17.32 16.67% 0.40% 19.84% 36.90%
Anadarko Petroleum Corporation APC 16.93 12.35 0.40% 0.40% 0.40% 0.40%
Red Hat, Inc. RHT 3.55 5.21 0.79% 0.79% 26.59% 75.00%
DENTSPLY SIRONA Inc. XRAY 23.44 22.92 5.16% 1.19% 23.41% 1.19%
Johnson Controls International plc JCI 18.6 18.26 4.37% 1.98% 13.49% 75.00%

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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