SPY Risk Reversal Block Trade Positive Signal for Stocks, BABA Call Spread Collar is Our Top Idea
May 09, 2019
- Our favorite trade idea this morning is a Call Spread Collar on China All-Cap Top Buy Alibaba (BABA). Implied volatility has increased significantly for BABA over the past few days as trade tensions between the US and China pick up. You can read more about it here: Alibaba June Call Spread Collar.
- The S&P 500 ETF Trust (SPY) Risk Reversal block trade that went up on the tape yesterday is potentially a positive signal for US stocks. Selling Puts with implied volatility at current prices to fund calls would suggest two things: risk premium in options markets are too high and that trader/investor believes the current sell-off is overdone. We would tend to agree with both sentiments.
Major Stock Block Trades From Wednesday
Bullish
- APA Seller 72,500 Jun 14th 30.5 puts to Buy 73,500 Jun 14th 31 calls tied to 7.3M shares (ref. 30.81)
- PINS Buyer 10,500 May 24th 30 calls (paid b/w $1.88 and $2.20, ref. Earnings 5/16, ref. 29.52)
- ATVI Seller 12,575 Jun 40 puts (collects $.335, untied, ref. 46.90)
Bearish
- MYL Seller 11,000 Oct 27.5 – 20 put spreads (appears to monetize and roll down to maintain bearish exposure, ref. 21.75)
- HRL Buyer 14,300 May 24th 38.5 puts (paid b/w $.95 and $1.10, Earnings 5/23, ref. 39.40)
Major ETFs Block Trades From Wednesday
Bullish
- SPY Seller 20,000 Jul 250 puts to Buy 20,000 Mar20 325 calls tied to stock (paid $.66, ref. 288.50)
- FXI 16,630 Jun 44.5 calls trade (appears bought, $.51, ref. 42.44)
Bearish
- XOP Seller 18,000 Jul 33 calls to Buy 18,000 Jul 27 puts (paid $.15, ref. 29.87)
- EEM Buyer 25,000 Jul 40 puts tied to stock (paid $.68, ref. 42.45)
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 |
15.67 |
77.38% |
14.32 |
69.05% |
0.91 |
4.56% |
97.22% |
82.94% |
| Invesco QQQ Trust |
QQQ |
19.78 |
71.63% |
18.42 |
66.27% |
0.93 |
15.67% |
99.6% |
100.0% |
| iShares Russell 2000 ETF |
IWM |
19.9 |
77.78% |
17.97 |
71.83% |
0.90 |
5.56% |
79.76% |
65.48% |
| SPDR EURO STOXX 50 ETF |
FEZ |
16.37 |
69.44% |
15.8 |
59.52% |
0.97 |
28.97% |
86.51% |
92.46% |
| iShares MSCI Emerging Markets ETF |
EEM |
20.25 |
71.83% |
18.2 |
48.41% |
0.90 |
5.16% |
98.02% |
97.62% |
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 Ultra Bloomberg Crude Oil |
UCO |
103.66 |
55 |
96.83% |
63.49% |
100.00% |
92.46% |
| iShares MSCI Europe Financials ETF |
EUFN |
27.08 |
20.73 |
94.84% |
83.93% |
96.03% |
94.84% |
| Xtrackers Harvest CSI 500 China A-Shares Small Cap ETF |
ASHS |
37.28 |
32.65 |
93.65% |
86.90% |
39.29% |
12.30% |
| Xtrackers Harvest CSI 300 China A-Shares ETF |
ASHR |
31.9 |
29.31 |
92.06% |
91.67% |
61.90% |
56.75% |
| Direxion Daily Junior Gold Miners Index Bear 3X Shares |
JDST |
86.91 |
87.19 |
88.10% |
92.86% |
72.22% |
61.90% |
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 |
86.91 |
87.19 |
88.10% |
92.86% |
72.22% |
61.90% |
| Direxion Daily Junior Gold Miners Index Bull 3X Shares |
JNUG |
87.01 |
87.99 |
85.32% |
92.46% |
67.46% |
59.52% |
| VanEck Vectors Junior Gold Miners ETF |
GDXJ |
28.69 |
29.15 |
85.12% |
91.67% |
68.65% |
55.95% |
| Xtrackers Harvest CSI 300 China A-Shares ETF |
ASHR |
31.9 |
29.31 |
92.06% |
91.67% |
61.90% |
56.75% |
| iPath Series B Bloomberg Coffee Subindex Total Return ETN |
JO |
28.65 |
28.95 |
85.91% |
90.48% |
56.75% |
93.25% |
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 |
| L Brands, Inc. |
LB |
58.44 |
45.61 |
100.00% |
92.06% |
87.70% |
96.03% |
| Capri Holdings Limited |
CPRI |
63.89 |
51.5 |
100.00% |
100.00% |
95.45% |
100.00% |
| Hormel Foods Corporation |
HRL |
37.58 |
29.51 |
100.00% |
99.21% |
99.21% |
100.00% |
| Occidental Petroleum Corporation |
OXY |
40.64 |
32.65 |
99.21% |
96.43% |
99.60% |
98.41% |
| Albemarle Corporation |
ALB |
44.4 |
35.48 |
99.21% |
89.68% |
75.40% |
75.79% |
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 |
63.89 |
51.5 |
100.00% |
100.00% |
95.45% |
100.00% |
| Hormel Foods Corporation |
HRL |
37.58 |
29.51 |
100.00% |
99.21% |
99.21% |
100.00% |
| DowDuPont Inc. |
DWDP |
35.99 |
34.43 |
94.44% |
99.21% |
62.70% |
9.52% |
| Centene Corporation |
CNC |
48.34 |
43.2 |
97.62% |
98.81% |
23.41% |
51.59% |
| Mylan N.V. |
MYL |
42.69 |
40.48 |
84.52% |
97.22% |
5.56% |
0.40% |
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 Silver Trust |
SLV |
14.13 |
14.88 |
2.78% |
5.56% |
34.13% |
10.32% |
| Invesco CurrencyShares Euro Trust |
FXE |
5.66 |
6.12 |
6.75% |
8.93% |
87.30% |
83.33% |
| Invesco DB US Dollar Index Bullish Fund |
UUP |
5.9 |
6.26 |
8.93% |
11.51% |
80.16% |
82.14% |
| ProShares UltraShort Euro |
EUO |
11.12 |
11.32 |
10.32% |
5.95% |
86.51% |
71.83% |
| Invesco CurrencyShares Canadian Dollar Trust |
FXC |
5.45 |
5.65 |
10.32% |
6.35% |
86.51% |
55.56% |
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 |
| VanEck Vectors Russia ETF |
RSX |
18.84 |
18.45 |
16.47% |
1.59% |
98.41% |
86.11% |
| iShares 20+ Year Treasury Bond ETF |
TLT |
9.02 |
8.16 |
37.90% |
2.78% |
63.49% |
2.78% |
| Direxion Daily 20+ Year Treasury Bear 3X Shares |
TMV |
25.98 |
25.36 |
25.60% |
2.98% |
51.19% |
1.98% |
| ProShares UltraShort Gold |
GLL |
18.07 |
17.62 |
17.26% |
3.57% |
66.67% |
4.76% |
| iShares Silver Trust |
SLV |
14.13 |
14.88 |
2.78% |
5.56% |
34.13% |
10.32% |
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 |
15.36 |
13.12 |
0.40% |
0.79% |
0.40% |
0.79% |
| DENTSPLY SIRONA Inc. |
XRAY |
22.26 |
22.12 |
3.97% |
1.19% |
21.83% |
1.19% |
| Red Hat, Inc. |
RHT |
5.4 |
5.68 |
4.56% |
1.19% |
60.32% |
80.56% |
| Johnson Controls International plc |
JCI |
18.79 |
16.77 |
4.76% |
0.40% |
18.65% |
48.02% |
| Charter Communications, Inc. |
CHTR |
20.8 |
23.14 |
5.16% |
2.38% |
89.29% |
100.00% |
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 |
| Johnson Controls International plc |
JCI |
18.79 |
16.77 |
4.76% |
0.40% |
18.65% |
48.02% |
| Anadarko Petroleum Corporation |
APC |
15.36 |
13.12 |
0.40% |
0.79% |
0.40% |
0.79% |
| DENTSPLY SIRONA Inc. |
XRAY |
22.26 |
22.12 |
3.97% |
1.19% |
21.83% |
1.19% |
| Red Hat, Inc. |
RHT |
5.4 |
5.68 |
4.56% |
1.19% |
60.32% |
80.56% |
| Church & Dwight Co., Inc. |
CHD |
19.84 |
16.58 |
40.08% |
1.19% |
90.48% |
95.24% |
Note: Please see our Options FAQs to learn more about Implied Volatility and other advanced options volatility measures
Global Stock Indice Price Returns