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KBH Short Call Spread Options Trade of the Day. Coffee and Corn Implied Volatility Spiking!

May 23, 2019

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  • Trade of the day is the short call spread in KB Homes (KBH) that we published yesterday.  Implied-Realized volatility spreads are too wide which would suggest selling volatility here makes the most sense.  KBH is a “Top Short” this month and is a great play for those investors worried about a slowdown in the US economy. 
  • There is something going on with commodities with the Teucrium Corn Fund (CORN) and the iPath Series B Bloomberg Coffee ETN (JO) two of the most expensive ETFs in our universe based on implied volatility.  
  • “Top Short” L Brands (LB) shows up as one of the most expensive stocks in terms of 1-month implied volatility.  LB only reports earnings in August which would suggest there is no implied event variance priced into the stock’s options.  There might be a short call spread opportunity here that may be worth tracking.

Major Stock Block Trades From Wednesday

Bullish
  • URBN Seller 12,794 Jun 22.5 puts (collects $.21, ref. 24.92)  
  • FCX Buyer 8,000 Sep 13 calls (paid $.24, ref. 10.10)
Bearish
  • TSLA Buyer 10,000 Jun 40 puts (paid $.04, ref. 195.21) 
  • M Seller 20,000 May 24 calls tied to stock (collects $1.36, ref. 21.79)

Major ETFs Block Trades From Wednesday

Bullish
  • EMB Seller 2,500 Jun 109 calls and 5,000 Jun 110 calls to Buy 9,300 Jul 110 calls (untied, appears to roll long calls up, ref. 109.74) 
  • FXI Seller 25,000 Jun 7th 42.5 calls to Buy 12,500 Jul 41 calls tied to stock (paid $.79 on the package, ref. 40.57)
Bearish
  • HYG 21,000 Aug 84 – 79 1x2 put spreads trade ($.31, ref. 86.06) 
  • KWEB Seller 6,300 Jun 46 puts to Buy 6,300 Aug 41.74 put spreads (appears to roll out and down, ref. 42.19)

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 13.23 63.69% 13.38 57.74% 1.01 22.62% 35.71% 61.9%
Invesco QQQ Trust QQQ 18.8 63.89% 18.26 63.29% 0.97 28.57% 49.21% 81.35%
iShares Russell 2000 ETF IWM 17.28 64.29% 17.44 67.46% 1.01 48.81% 22.22% 46.83%
SPDR EURO STOXX 50 ETF FEZ 17.6 78.57% 14.67 37.7% 0.83 2.58% 65.48% 63.49%
iShares MSCI Emerging Markets ETF EEM 16.87 36.71% 17.16 29.17% 1.02 43.65% 13.49% 55.56%

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
Teucrium Corn Fund CORN 33.72 29.8 100.00% 99.60% 97.22% 99.21%
iPath Series B Bloomberg Coffee Subindex Total Return ETN JO 31.23 29.53 97.22% 96.03% 90.48% 73.02%
iShares MSCI Europe Financials ETF EUFN 22.81 19.94 79.76% 70.63% 78.57% 76.59%
SPDR EURO STOXX 50 ETF FEZ 17.6 14.67 78.57% 37.70% 65.48% 65.87%
iShares PHLX Semiconductor ETF SOXX 28.11 25.97 74.60% 73.02% 39.29% 54.37%

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
Teucrium Corn Fund CORN 33.72 29.8 100.00% 99.60% 97.22% 99.21%
iPath Series B Bloomberg Coffee Subindex Total Return ETN JO 31.23 29.53 97.22% 96.03% 90.48% 73.02%
iShares 1-3 Year Treasury Bond ETF SHY 11.64 7.43 54.76% 80.16% 45.63% 65.87%
VanEck Vectors Junior Gold Miners ETF GDXJ 27.12 28.31 61.90% 78.97% 60.71% 65.08%
iShares Trust - iShares U.S. Medical Devices ETF IHI 17.62 18.49 65.08% 74.60% 71.83% 68.65%

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
Hormel Foods Corporation HRL 36.29 28.25 99.21% 97.22% 100.00% 100.00%
L Brands, Inc. LB 56.66 46.07 97.22% 92.06% 82.54% 85.71%
Medtronic plc MDT 27.31 23.31 95.63% 94.44% 97.22% 99.21%
HP Inc. HPQ 37.45 29.78 95.24% 88.49% 78.17% 21.43%
The Gap, Inc. GPS 49.52 41.01 94.05% 83.33% 88.10% 42.06%

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
QUALCOMM Incorporated QCOM 36.87 35.12 93.65% 100.00% 13.89% 9.92%
Mylan N.V. MYL 45.3 48.45 91.27% 100.00% 7.54% 19.05%
The Kroger Co. KR 39.07 34.48 91.87% 97.42% 88.49% 74.60%
Hormel Foods Corporation HRL 36.29 28.25 99.21% 97.22% 100.00% 100.00%
Medtronic plc MDT 27.31 23.31 95.63% 94.44% 97.22% 99.21%

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
SPDR Gold Trust GLD 7.99 8.76 0.40% 1.98% 51.98% 28.57%
ProShares UltraShort Gold GLL 16.37 17.38 0.99% 1.98% 55.16% 15.87%
VanEck Vectors Russia ETF RSX 17.04 18.81 1.98% 5.36% 39.68% 88.10%
Alerian MLP ETF AMLP 15.23 16.1 2.58% 3.57% 6.75% 46.03%
iShares 20+ Year Treasury Bond ETF TLT 8.1 9.39 2.78% 50.60% 66.27% 43.25%

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)

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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
The Utilities Select Sector SPDR Fund XLU 12.62 11.98 33.33% 0.40% 46.03% 80.56%
Invesco CurrencyShares Canadian Dollar Trust FXC 5.17 5.37 4.76% 0.79% 93.25% 59.92%
SPDR Gold Trust GLD 7.99 8.76 0.40% 1.98% 51.98% 28.57%
Direxion Daily 20+ Year Treasury Bull 3X Shares TMF 26.17 24.78 35.12% 1.98% 81.35% 1.59%
iShares Silver Trust SLV 14.85 14.69 13.89% 1.98% 60.32% 26.19%

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 9.52 11.21 0.40% 1.98% 11.11% 2.38%
Consolidated Edison, Inc. ED 11.99 13.93 0.40% 2.18% 17.06% 96.43%
Cboe Global Markets, Inc. CBOE 17.52 19.85 0.40% 2.78% 40.87% 78.17%
DENTSPLY SIRONA Inc. XRAY 20.26 22.53 0.40% 3.17% 23.02% 4.37%
General Mills, Inc. GIS 14.84 19.7 0.40% 7.34% 69.84% 96.83%

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
AutoZone, Inc. AZO 19.48 20.5 2.98% 0.40% 20.24% 37.70%
Macy's, Inc. M 33.74 37.09 26.39% 0.79% 78.57% 91.67%
AbbVie Inc. ABBV 19.81 21.94 4.37% 1.19% 75.00% 93.25%
Under Armour, Inc. UAA 33.88 34.55 3.97% 1.19% 9.52% 32.14%
Welltower Inc. WELL 15.07 16.23 2.38% 1.19% 34.52% 56.75%

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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