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Retail and Consumer Staples Options Most Expensive Among Consumer ETFs

May 30, 2019

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

 

 

  • While the options for the majority of the consumer ETFs in our universe are expensive, XLP and XRT really stand out
    • XLP and XRT risk premiums, measured by looking at the implied-realized volatility spreads, are widest for the peer group

 

  • It is interesting to see XLP topping the list simply because Consumer Staples is a defensive, low beta sector  such rich implied volatility levels suggests investors aren’t “buying” the rotation here
    • Just as a reference point, Consumer Staples has lagged both the S&P 500 and Consumer Discretionary YTD

 

  • Logically, it make sense to XRT on this list with a wide holdings exposure to many different types of Consumer Discretionary retail stocks
    • XRT has an adjusted 2-year beta of 0.82 to XLP 

 

  • Your Takeaway: Consumer ETF options may look expensive but only XLP and XRT truly offer options traders an opportunity to sell volatility with the probabilities in their favor

 

 Consumer ETF Implied Volatility Data


Name
Ticker 30-Day
Implied Volatility
90-Day
Implied Volatility
30-Day
Percentile
90-Day
Percentile
30-DayPercentile for
Implied-Realized Spread
90-Day Percentile for
Implied-Realized Spread
SPDR S&P Retail ETF XRT 23.87 21.9 83.33% 79.37% 68.25% 80.16%
SPDR S&P Homebuilders ETF XHB 20.82 19.86 71.03% 69.44% 44.84% 89.29%
The Consumer Discretionary Select Sector SPDR Fund XLY 17.77 17.69 71.03% 69.84% 47.22% 78.57%
Vanguard Consumer Discretionary ETF VCR 18.84 18.05 66.47% 72.22% 46.03% 79.76%
iShares U.S. Home Construction ETF ITB 23.74 22.72 69.84% 68.06% 74.60% 92.06%
Vanguard Consumer Staples ETF VDC 15.11 13.28 36.71% 51.19% 41.27% 89.68%
First Trust Consumer Discretionary AlphaDEX Fund FXD 19.15 18.14 62.10% 69.44% 27.38% 67.06%
The Consumer Staples Select Sector SPDR Fund XLP 14.38 13.8 81.35% 77.98% 77.38% 95.63%
Fidelity MSCI Consumer Discretionary Index ETF FDIS 34.18 20.4 67.23% 21.85% 61.34% 75.63%

 

 
 

 

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