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Options Trades this AM: Buy Google Call Spread Collars on the Dip

May 10, 2019

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

 

  • One of our favorite trade ideas this morning is a June Call Spread Collar in Alphabet (GOOGL).  Implied volatility remains elevated for Google after the recent sell-off in US markets.  The share-price weakness is more related to correlations than anything company-specific.  We have been biased to finding names that may have sold off unnecessarily and Google fits that bill.  The stock is rated “Top Buy” by our Quantamize models. 
  • The iShares Silver Trust (SLV) continues to have a “SELL” trading signal for us, despite the recent volatility.  The Silver ETF’s implied volatility, both 1-month and 3-month, is one of the cheapest in our universe of ETFs.  This is one worth tracking if risk premiums surge going into the weekend.  Our 1-month trading signals always rebalance over the weekend and it will be interesting to see if we get a “BUY” signal after this week’s sell-off.

Major Stock Block Trades From Thursday

Bullish
  • CRM Buyer 6,300 Sep 155 calls (paid VWAP of. $12.34 ($8M), ref. 153.17) 
  • CZR Buyer 38,000 Jan21 10 calls tied to stock (paid $1.40, ref. 8.90) 
  • ODP Seller 20,000 Jan 2 puts (collects $.35, appears to add to existing write, ref. 2.01)
Bearish
  • WMB 14,000 Jun 25 puts trade (appears bought, $.40, ref. 26.93) 
  • LCI Buyer 7,100 Dec 4 puts (paid $.75 is a series of sweeps, ref. 6.63)

Major ETFs Block Trades From Thursday

Bullish
  • EEM Seller 36,000 Jun 38 puts to Buy 36,000 Jun 43 – 44 call spreads tied to stock (collects $.03, ref. 41.68) 
  • VIX Buyer 25,000 Jun 16 – 14 1x1.5 put spreads (paid $.55, ref. 18.90 (Jun))
Bearish
  • FXI Buyer 25,000 May 24th 40.5 – 39 put spreads (untied, paid $.395, ref. 41.22) 
  • XLI 10,000 May 73.5 – 72 put spreads trade (appears bought, $.21, ref. 76.00) 
  • XLK Buyer 10,000 May 73 puts tied to stock (paid $.70, ref. 75.15)

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 16.6 80.56% 15.18 72.22% 0.91 4.76% 98.41% 88.1%
Invesco QQQ Trust QQQ 20.28 72.22% 18.47 66.67% 0.91 10.32% 99.6% 100.0%
iShares Russell 2000 ETF IWM 20.16 77.98% 18.2 73.41% 0.90 5.75% 91.27% 68.25%
SPDR EURO STOXX 50 ETF FEZ 17.97 81.75% 17.4 83.13% 0.97 29.17% 89.68% 98.02%
iShares MSCI Emerging Markets ETF EEM 21.61 76.98% 18.95 60.32% 0.88 3.57% 100.0% 98.81%

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
Vanguard FTSE Emerging Markets ETF VWO 51.7 18.6 100.00% 68.25% 100.00% 100.00%
Xtrackers Harvest CSI 300 China A-Shares ETF ASHR 35.19 30.57 99.21% 98.02% 83.33% 73.41%
Xtrackers Harvest CSI 500 China A-Shares Small Cap ETF ASHS 46.47 37.97 97.22% 97.22% 79.37% 50.79%
Cornelia Capital S.p.A. CORN 25.44 23.52 95.63% 87.70% 79.37% 81.75%
iShares MSCI Europe Financials ETF EUFN 26.75 23 94.44% 95.63% 95.63% 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 87.01 102.56 85.12% 99.60% 67.86% 78.97%
Xtrackers Harvest CSI 300 China A-Shares ETF ASHR 35.19 30.57 99.21% 98.02% 83.33% 73.41%
iShares 1-3 Year Treasury Bond ETF SHY 11.39 12.82 51.19% 97.22% 44.05% 85.32%
Xtrackers Harvest CSI 500 China A-Shares Small Cap ETF ASHS 46.47 37.97 97.22% 97.22% 79.37% 50.79%
iShares MSCI Europe Financials ETF EUFN 26.75 23 94.44% 95.63% 95.63% 99.60%

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
Capri Holdings Limited CPRI 68.84 52.93 100.00% 100.00% 100.00% 100.00%
L Brands, Inc. LB 58.29 45.25 99.60% 90.48% 88.10% 95.24%
Hormel Foods Corporation HRL 36.99 28.09 99.60% 97.22% 99.21% 99.60%
Ulta Beauty, Inc. ULTA 43.11 35.25 99.21% 81.75% 80.16% 98.41%
Mettler-Toledo International Inc. MTD 34.08 25.47 98.81% 90.67% 100.00% 99.21%

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)

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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 68.84 52.93 100.00% 100.00% 100.00% 100.00%
DowDuPont Inc. DWDP 37.3 33.92 96.03% 98.02% 66.67% 9.52%
Humana Inc. HUM 32.93 30.44 97.22% 97.62% 31.75% 40.48%
Hormel Foods Corporation HRL 36.99 28.09 99.60% 97.22% 99.21% 99.60%
Mylan N.V. MYL 41.02 40.23 80.16% 96.83% 2.38% 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 14.47 14.88 5.36% 5.75% 35.71% 10.32%
Alerian MLP ETF AMLP 16.16 18.43 7.74% 27.78% 25.40% 86.51%
SPDR Gold Trust GLD 8.68 9.22 9.33% 15.48% 61.11% 23.81%
Invesco DB Agriculture Fund DBA 12.46 13.55 11.31% 23.21% 71.43% 61.11%
Invesco CurrencyShares Euro Trust FXE 5.94 6.11 11.51% 8.33% 90.08% 87.70%

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 Silver Trust SLV 14.47 14.88 5.36% 5.75% 35.71% 10.32%
ProShares UltraShort Gold GLL 18.18 18.14 20.24% 5.95% 71.03% 9.92%
Direxion Daily 20+ Year Treasury Bear 3X Shares TMV 28.7 25.8 65.48% 6.35% 68.65% 5.56%
Invesco CurrencyShares Euro Trust FXE 5.94 6.11 11.51% 8.33% 90.08% 87.70%
ProShares UltraShort Euro EUO 11.77 11.57 17.86% 10.32% 90.08% 90.48%

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)

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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
Anadarko Petroleum Corporation APC 12.08 10.75 0.40% 0.40% 0.40% 0.40%
Johnson Controls International plc JCI 15.15 19.16 0.40% 4.37% 5.95% 80.95%
Red Hat, Inc. RHT 3.18 5.88 0.79% 1.59% 23.41% 82.54%
Celgene Corporation CELG 14.63 14.69 4.76% 6.75% 82.14% 17.46%
DENTSPLY SIRONA Inc. XRAY 22.85 22.51 5.16% 1.59% 23.02% 1.59%

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
Anadarko Petroleum Corporation APC 12.08 10.75 0.40% 0.40% 0.40% 0.40%
Everest Re Group, Ltd. RE 18.81 17.55 24.80% 0.79% 15.08% 50.40%
DENTSPLY SIRONA Inc. XRAY 22.85 22.51 5.16% 1.59% 23.02% 1.59%
Red Hat, Inc. RHT 3.18 5.88 0.79% 1.59% 23.41% 82.54%
Church & Dwight Co., Inc. CHD 19.54 17.38 37.30% 2.78% 86.51% 98.41%

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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