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VIX down to 16 while Top Buy ULTA Implied Volatility Spikes Ahead of Earnings

May 24, 2019

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

 

  • While the VIX is back down to 16, after moving up as high as 18.05 yesterday, implied volatility levels for major ETFs remain elevated.  Given the trajectory of the VIX this morning, we would expect implied volatility for the S&P 500 ETF Trust (SPY) and the iShares Russell 2000 ETF (IWM) to dampen heading into the 3-day Memorial Day Weekend holiday. 
     
  • “Top Buy” Ulta Beauty (ULTA) is one of the most expensive stocks in terms of implied volatility this morning.  ULTA reports earnings next week, so not sure it makes sense to simply sell put spreads here.  We will be focusing on finding ways to play earnings event variance next week while also continuing to be bullish on the stock.

Major Stock Block Trades From Thursday

Bullish
  • KTOS 14,000 Jun 22.5 calls trade (opening, paid b/w $.35 and $.50, ref. 20.60) 
  • NOV Seller 61,000 Jul 21 puts to Buy 57,000 Jul 23 calls tied to stock (ref. 21.90)
Bearish
  • TEVA Buyer 12,500 Sep 8 puts (paid $.20, ref. 11.36) 
  • GE Seller 25,000 May 24th 10 puts to Buy 54,000 Jun 9 puts (monetizes, rolls out and down/adds units, ref. 9.70)

Major ETFs Block Trades From Thursday

Bullish
  • VXX Buyer 20,000 Jul 32 – 42 call spreads (paid $1.49, ref. 29.09) 
  • XLE Buyer 94,000 May 31st 63 calls (untied, paid $.26, ref. 61.37) 
  • QQQ Buyer 10,000 Aug 188 calls tied to stock (paid $2.47, ref. 177.48)
Bearish
  • XOP Seller 125,000 Sep 27 – 25 put spreads (untied, collects $.75, rolls down, ref. 27.36) 
  • IWM 80,000 Jun 28th 143 – 140 put spreads trade ($.53, ref. 150.43) 
  • XLP 16,873 Jul 55 puts trade (appears bought to open, $.43, ref. 57.64)

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 16.32 77.78% 15.1 70.63% 0.93 7.34% 59.92% 71.43%
Invesco QQQ Trust QQQ 21.06 73.41% 20.08 72.62% 0.95 20.24% 61.11% 91.67%
iShares Russell 2000 ETF IWM 19.73 75.4% 18.5 74.4% 0.94 18.85% 36.9% 52.38%
SPDR EURO STOXX 50 ETF FEZ 19.87 90.67% 15.53 55.16% 0.78 0.6% 80.95% 67.86%
iShares MSCI Emerging Markets ETF EEM 19.09 63.49% 18.98 59.72% 0.99 30.56% 46.03% 90.87%

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 31.63 29.31 99.21% 99.21% 88.10% 98.81%
iShares MSCI Europe Financials ETF EUFN 28.21 21.47 96.03% 87.70% 97.22% 92.86%
iShares 7-10 Year Treasury Bond ETF IEF 5.82 5.24 95.04% 85.71% 69.05% 52.38%
iPath Series B Bloomberg Coffee Subindex Total Return ETN JO 29.85 29.88 92.86% 97.22% 85.71% 86.11%
iShares MSCI Germany ETF EWG 21.42 17.55 92.06% 66.27% 78.57% 90.87%

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 31.63 29.31 99.21% 99.21% 88.10% 98.81%
iPath Series B Bloomberg Coffee Subindex Total Return ETN JO 29.85 29.88 92.86% 97.22% 85.71% 86.11%
iShares MSCI Europe Financials ETF EUFN 28.21 21.47 96.03% 87.70% 97.22% 92.86%
Orascom Investment Holding S.A.E. OIH 36.09 34.49 82.14% 86.90% 43.25% 58.33%
iShares PHLX Semiconductor ETF SOXX 30.64 28.34 84.13% 86.11% 48.02% 60.32%

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

S&P 500 Stocks with most 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
The Kroger Co. KR 44.2 35.82 100.00% 100.00% 90.87% 84.13%
Ulta Beauty, Inc. ULTA 45.22 37.23 100.00% 94.84% 74.21% 88.89%
Flowserve Corporation FLS 54.16 27.92 99.60% 41.47% 58.33% 31.75%
HP Inc. HPQ 41.01 32.41 99.60% 94.05% 86.90% 28.17%
Keysight Technologies, Inc. KEYS 39.27 33.19 97.22% 93.25% 34.13% 60.32%

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

S&P 500 Stocks with most 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 37.15 37.28 93.65% 100.00% 14.68% 10.32%
The Kroger Co. KR 44.2 35.82 100.00% 100.00% 90.87% 84.13%
Mylan N.V. MYL 45.85 51.24 93.25% 100.00% 7.94% 43.25%
Capri Holdings Limited CPRI 63 52.69 84.85% 96.97% 100.00% 100.00%
DowDuPont Inc. DWDP 35.25 33.18 92.06% 96.83% 35.32% 13.10%

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
ProShares UltraShort Gold GLL 16.17 18.12 0.79% 8.33% 36.11% 31.75%
SPDR Gold Trust GLD 8.56 8.87 6.75% 3.97% 53.57% 30.95%
iShares Silver Trust SLV 14.46 14.77 7.14% 3.17% 42.46% 28.17%
Invesco CurrencyShares Euro Trust FXE 5.36 5.56 7.14% 4.76% 100.00% 71.03%
ProShares UltraShort Euro EUO 10.48 11.2 7.94% 9.13% 100.00% 96.43%

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
The Utilities Select Sector SPDR Fund XLU 12.42 11.94 26.39% 0.40% 43.25% 78.97%
iShares Silver Trust SLV 14.46 14.77 7.14% 3.17% 42.46% 28.17%
SPDR Gold Trust GLD 8.56 8.87 6.75% 3.97% 53.57% 30.95%
FAX Capital Corp. FXC 5.27 5.55 8.73% 4.76% 86.51% 71.03%
Invesco CurrencyShares Euro Trust FXE 5.36 5.56 7.14% 4.76% 100.00% 71.03%

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
Everest Re Group, Ltd. RE 15.98 16.84 0.79% 1.59% 11.90% 42.06%
Celgene Corporation CELG 13.33 14.11 2.38% 7.34% 46.43% 17.46%
Anadarko Petroleum Corporation APC 11.33 11.56 2.38% 3.17% 11.51% 3.17%
Extra Space Storage Inc. EXR 16.11 17.27 3.17% 3.37% 26.59% 56.75%
Public Storage PSA 14.34 15.81 3.37% 1.19% 34.92% 82.94%

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
Church & Dwight Co., Inc. CHD 16.99 15.95 8.13% 1.19% 36.11% 84.92%
Public Storage PSA 14.34 15.81 3.37% 1.19% 34.92% 82.94%
AutoZone, Inc. AZO 20.95 21.66 18.06% 1.19% 24.60% 57.94%
Everest Re Group, Ltd. RE 15.98 16.84 0.79% 1.59% 11.90% 42.06%
The Western Union Company WU 19.37 20.01 22.82% 1.59% 22.62% 49.21%

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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