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SPY Risk Reversal Block Trade Positive Signal for Stocks, BABA Call Spread Collar is Our Top Idea

May 09, 2019

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

 

  • 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

 

 

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