blog

Latest from the Quantamize Blog

Square Options Among The Cheapest For Tech, Qualcomm Among The Most Expensive

May 24, 2019

Better Data for Better Investment DecisionsBetter Data for Better Investment Decisions
Better Data for Better Investment DecisionsBetter Data for Better Investment Decisions

 

  • There are some notable Russell 1000 tech names that screen out as having the cheapest options
  • Even though on an absolute basis, the 1-month implied volatility for Square (SQ) is high, on a relative basis it is inexpensive
    • Square is rated "Unattractive" in our US Large-Cap Global Top Stock Ideas and "Attractive" in our US Information Technology Global Top Stock Ideas
    • The implied risk premium for SQ is fairly valued but as you move out the curve, the risk premium get rich
      • First Solar (FSLR) is another notable one on this list and like SQ, it is expensive on an absolute basis but on a relative basis, FSRL’s options are cheap
      • Implied risk premiums for FSLR are actually quite narrow.  Owning options here may make sense since mean-reversion in risk premium should be expected.
      • FSLR is rated "Top Short" in our US Large-Cap Global Top Stock Ideas and "Unattractive" in our US Information Technology Global Top Stock Ideas
  • No surprise to see Qualcomm (QCOM) on the most expensive options list for Russell 1000 tech stocks given the recent negative news for the stock
    • QCOM is rated "Unattractive" in our US Large-Cap Global Top Stock Ideas and "Neutral" in our US Information Technology Global Top Stock Ideas
  • Jabil (JBL) is another interesting stock whose 1-month options are relative expensive.
    • Cautious about doing anything here simply because risk premiums appear to fairly valued
    • JBL is rated "Neutral" in our US Large-Cap Global Top Stock Ideas and "Top Buy" in our US Information Technology Global Top Stock Ideas

 

We Crunch the Numbers, You Make the Trade.We Crunch the Numbers, You Make the Trade.
We Crunch the Numbers, You Make the Trade.We Crunch the Numbers, You Make the Trade.


Stocks With Most Expensive 30-Day Volatility (Percentile)                    
 

Name Ticker 30-Day Implied Volatility 90-Day Implied Volatility 30-Day Percentile 90-Day Percentile 30-Day Percentile for Implied-Realized Spread 90-Day Percentile for Implied-Realized Spread
HP Inc. HPQ 41.01 32.41 99.60% 94.05% 86.90% 28.17%
Nutanix, Inc. NTNX 80.33 62.95 98.41% 92.46% 84.13% 23.41%
Dell Technologies Inc. DELL 41.03 35.26 98.41% 99.60% 48.81% 69.44%
Keysight Technologies, Inc. KEYS 39.27 33.19 97.22% 93.25% 34.13% 60.32%
Palo Alto Networks, Inc. PANW 49.5 38.58 96.43% 86.90% 77.78% 87.70%

 Stocks With Most Expensive 90-Day Volatility (Percentile)      

Name Ticker 30-Day Implied Volatility 90-Day Implied Volatility 30-Day Percentile 90-Day Percentile 30-Day Percentile for Implied-Realized Spread 90-Day Percentile for Implied-Realized Spread
QUALCOMM Incorporated QCOM 37.15 37.28 93.65% 100.00% 14.68% 10.32%
Dell Technologies Inc. DELL 41.03 35.26 98.41% 99.60% 48.81% 69.44%
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%
Skyworks Solutions, Inc. SWKS 38.28 38.76 81.15% 92.86% 30.16% 59.13%

Stocks With Most Cheapest 30-Day Volatility (Percentile)                    

Name Ticker 30-Day Implied Volatility 90-Day Implied Volatility 30-Day Percentile 90-Day Percentile 30-Day Percentile for Implied-Realized Spread 90-Day Percentile for Implied-Realized Spread
SolarWinds Corporation SWI 2.4 3.6 0.79% 1.59% 9.92% 21.83%
Red Hat, Inc. RHT 4.69 6.41 3.97% 5.95% 49.21% 88.89%
Ceridian HCM Holding Inc. CDAY 32.49 34.72 4.15% 6.74% 4.15% 78.76%
Versum Materials, Inc. VSM 13.53 15.79 12.30% 14.29% 98.02% 100.00%
Worldpay, Inc. WP 20 21.92 19.84% 26.59% 65.87% 43.65%

Stocks With Most Cheapest 90-Day Volatility (Percentile)                    

Name Ticker 30-Day Implied Volatility 90-Day Implied Volatility 30-Day Percentile 90-Day Percentile 30-Day Percentile for Implied-Realized Spread 90-Day Percentile for Implied-Realized Spread
SolarWinds Corporation SWI 2.4 3.6 0.79% 1.59% 9.92% 21.83%
The Western Union Company WU 19.37 20.01 22.82% 1.59% 22.62% 49.21%
Elastic N.V. ESTC 50.29 45.07 45.54% 2.68% 72.32% 67.86%
Red Hat, Inc. RHT 4.69 6.41 3.97% 5.95% 49.21% 88.89%
Ceridian HCM Holding Inc. CDAY 32.49 34.72 4.15% 6.74% 4.15% 78.76%
Global Top Stock IdeasTOP LONG & TOP SHORT STOCK IDEAS FOR GLOBAL MARKETSMONTHLY TOP IDEAS FROM OUR MULTI-FACTOR QUANTITATIVE MODELS
Global Top Stock IdeasTOP LONG & TOP SHORT STOCK IDEAS FOR GLOBAL MARKETSMONTHLY TOP IDEAS FROM OUR MULTI-FACTOR QUANTITATIVE MODELS