Weekly ETF Options Analysis (December 11th)

by Fat Premiums ()

This update is a world premier of our weekly options analysis report, specifically exchange-traded funds. This new special feature is brought to you by the Fat Premiums staff, one that will hopefully catch on and improve over time as we hone our weekly option skills. We are currently working on fine-tuning the reporting formulas and improving our options screening system to generate friendlier reports. Currently, the raw data posted below is a glimpse of the numbers we are sifting through to find the gems in weekly options.

The following data is a snapshot copy taken on December 11th, 2013. Values have significantly changed over time. The subsequent updates of our options analysis will be posted much sooner, if not real-time. The FP staff is looking forward to crunching the stock options data too, so keep your eyes open for a possible update!

Some notes and explanations on how to make use of the data in the table below. The data is currently in its raw state, but can be of great use to option traders who would like to know specific values.

  • Spread: The option’s bid & ask spread quality score. Lower is better.
  • ATM Prem: The option’s At The Money (ATM) premium in dollars. Higher is better.
  • Strike Int: The option’s strike price interval.
  • Strike Depth Vol: The depth of the strike price (average volume of ATM+ITM). Higher is better.
  • Next Expiry Vol: The reported volume of the option’s next upcoming expiry (calendar spreads, closest strike price). Higher is better.
  • ATM Vol: The reported At The Money (ATM) volume. Higher is better.
  • OI: The option’s current open interest. Higher is better.
  • Avg OI: The option’s average Open Interest on Specific Strike Prices. Higher is better.
SymbolNameSpreadATM PremStrike IntStrike Depth VolNext Expiry VolATM VolOIAvg OI
AGQProShares Ultra Silver0.100.100.5202208041500
DIASPDR Dow Jones Industrial Average0.050.520.5500380380483000
DUSTDirexion Daily Gold Miners Bearish 3X0.703.200.53531366200
DXJWisdomTree Japan Hedged Equity Fund0.150.500.52024053842000
EEMiShares MSCI Emerging Markets Index0.040.380.5220291546977950000
EFAiShares MSCI EAFE Index Fund0.040.320.550970602320000
EWJiShares MSCI Japan Index0.020.020.5621476021810000
EWWiShares MSCI Mexico Investable Market Index0.060.800.5251221312000
EWZiShares MSCI Brazil Index0.030.290.514003528683327000
FASDirexion Daily Financial Bullish 3X0.080.930.5345377810111500
FAZDirexion Daily Financial Bearish 3X0.030.230.5675734101914201000
FXECurrencyShares Euro Trust0.030.170.56582111111500
FXIiShares FTSE/Xinhua China 25 Index0.030.360.5105095814032515000
FXYCurrencyShares Japanese Yen Trust0.100.200.520251001022000
GDXJMarket Vectors Junior Gold Miners0.200.350.5181120326400
GLDSPDR Gold Trust0.020.630.5375101595427392000
GLD7SPDR Gold Trust (Mini) 0.170.570.538021111
GDXMarket Vectors Gold Miners0.030.400.567575021067016000
HYGiShares iBoxx $ High Yield Corp Bond0.150.050.5201688823110000
IWMiShares Russell 2000 Index0.080.680.555006475525296410000
IYRiShares Dow Jones US Real Estate0.030.300.5270105834715000
ITBiShares Dow Jones US Home Construction0.100.150.5653155652000
QQQPowershares QQQ0.020.500.54000500050002900015000
MDYSPDR S&P MidCap 400Not enough data.
NUGTDirexion Daily Gold Miners Bullish 3X0.101.150.54523577701000
OIHMarket Vectors Oil Services0.100.200.525346111500
SCOProShares UltraShort DJ-UBS Crude OilNot enough data.
SDSProShares UltraShort S&P5000.040.270.57502603364021903000
SLViShares Silver Trust0.010.190.5750410189062495000
SPYSPDR S&P 500 Trust0.030.850.56500430001450035000
SPY7S&P 500 Depository Receipts (Mini)
SSOProShares Ultra S&P5000.100.830.54251821201821200
SVXYProShares Trust IINot enough data.
TBTProShares UltraShort 20+ Year Treasury0.020.620.52605067507922500
TLTiShares Barclays 20+ Year Treasury Bond0.040.430.511501551084898815000
TNADirexion Daily Small Cap Bullish 3X Shares0.131.130.585075951681500
TZADirexion Daily Small Cap Bear 3X0.030.400.597531266995512500
UCOProShares Ultra DJ-UBS Crude OilNot enough data.
USOUnited States Oil Fund LP0.020.170.515001184747645266000
UNGUnited States Natural Gas Fund, LP0.040.380.52000775142212972500
UUPPowerShares DB US Dollar Index Bullish0.010.030.5na30105120000
UVXYProShares Ultra VIX Short-Term Futures0.150.650.545072528210371500
VWOVanguard FTSE Emerging Markets0.100.670.54226500
VXXiPath S&P 500 VIX Short Term Futures ETN0.150.760.550008740487736914000
XHBSPDR S&P Homebuilderw0.040.120.5406205212632000
XLBMaterials Select Sector SPDR0.030.150.510006431601753000
XLEEnergy Select Sector SPDR0.130.370.55503350472012000
XLFSelect Sector Financial Select Sector SPDR Fund0.090.090.5550730398416434100000
XLISector SPDR Trust Sbi0.050.260.57010767386000
XLKTechnology SPDR0.040.140.56040107819000
XLPConsumer Staples Select Sector SPDR0.050.100.511357101158000
XLUUtilities SPDR0.030.200.5559720342118000
XLVHealth Care SPDR0.220.280.535114368695000
XLYConsumer Discretionary SPDR0.050.290.5710336183000
XMESPDR S&P Metals and Mining0.050.210.51110930567000
XOPSPDR S&P Oil & Gas Explore & Production0.050.520.5205761152000
XRTSPDR S&P Retail0.070.400.5371150713000