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Implied Volatility Data of Liquid Macro Index ETFs and Stocks for March 5th, 2019

Mar 05, 2019

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Implied Volatility Data For Liquid Macro Index ETFs

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ETF 30D IV 30D IV
Percentile
90D IV 90D IV
Percentile
90D/30D IV 90D/30D IV
Percentile
30D IV-
20D HV
30D IV-20D HV
Percentile
90D IV-
60D HV
90D IV-60D HV
Percentile
SPY 11.51 41.27% 12.65 42.06% 1.1 56.15% 3.43 94.05% -8.27 9.33%
QQQ 15.21 34.13% 15.6 20.24% 1.03 51.79% 5.68 94.44% -10.99 10.71%
IWM 15.24 57.54% 15.17 48.81% 1 36.9% 4.42 90.08% -7.42 9.13%
FEZ 13.35 28.37% 15.41 54.37% 1.15 88.69% 1.6 65.48% -1.31 38.1%
EEM 16.86 24.6% 17.07 15.48% 1.01 42.46% 4.33 93.65% -0.54 59.52%

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

ETFs Sorted By 30-Day Implied Volatility Percentile

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ETF Name Ticker 30-Day Implied Volatility 90-Day Implied Volatility 30 Day IV Percentile 90 Day IV Percentile
ETFMG Alternative Harvest ETF MJ 61.37 54.15 97.97% 93.92%
Xtrackers Harvest CSI 300 China A-Shares ETF ASHR 32.01 30.07 92.86% 97.02%
Invesco CurrencyShares British Pound Sterling Trust FXB 11.19 10.05 79.37% 65.08%
Invesco DB Agriculture Fund DBA 15.17 14.19 77.18% 44.05%
Xtrackers Harvest CSI 500 China A-Shares Small Cap ETF ASHS 32.09 29.22 72.02% 55.95%

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

ETFs Sorted By 90-Day Implied Volatility Percentile

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ETF Name Ticker 30-Day Implied Volatility 90-Day Implied Volatility 30 Day IV Percentile 90 Day IV Percentile
Xtrackers Harvest CSI 300 China A-Shares ETF ASHR 32.01 30.07 92.86% 97.02%
ETFMG Alternative Harvest ETF MJ 61.37 54.15 97.97% 93.92%
Invesco Senior Loan ETF BKLN 5.45 7.55 30.56% 73.81%
iShares MSCI Europe Financials ETF EUFN 18.13 19.78 41.47% 72.22%
ProShares Ultra Bloomberg Crude Oil UCO 54.98 56.19 63.49% 69.05%

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

S&P 500 Stocks Sorted By 30-Day Implied Volatility Percentile

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Stock Name Ticker 30-Day Implied Volatility 90-Day Implied Volatility 30 Day IV Percentile 90 Day IV Percentile
Ross Stores, Inc. ROST 37.44 26.33 98.81% 72.22%
H&R Block, Inc. HRB 51.30 36.98 98.41% 98.81%
Bristol-Myers Squibb Company BMY 38.81 35.67 96.83% 93.25%
The Cooper Companies, Inc. COO 31.24 24.41 96.43% 79.37%
Celgene Corporation CELG 40.62 39.50 96.03% 96.43%

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

S&P 500 Stocks Sorted By 90-Day Implied Volatility Percentile

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Stock Name Ticker 30-Day Implied Volatility 90-Day Implied Volatility 30 Day IV Percentile 90 Day IV Percentile
H&R Block, Inc. HRB 51.30 36.98 98.41% 98.81%
Celgene Corporation CELG 40.62 39.50 96.03% 96.43%
The Kraft Heinz Company KHC 27.52 31.68 69.84% 96.43%
Bristol-Myers Squibb Company BMY 38.81 35.67 96.83% 93.25%
Darden Restaurants, Inc. DRI 28.61 28.31 76.59% 91.67%

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

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