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Implied Volatility Data of Liquid Macro Index ETFs and Stocks for March 6th, 2019

Mar 06, 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 with most Expensive 30-Day Volatility (Percentile)

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Name Ticker 30-day Implied Volatility 90-day Implied Volatility 30-Day Percentile 90-Day 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

ETFs with most Expensive 90-Day Volatility (Percentile)

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Name Ticker 30-day Implied Volatility 90-day Implied Volatility 30-Day Percentile 90-Day 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

S&P 500 Stocks with most Expensive 30-Day Volatility (Percentile)

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Name Ticker 30-day Implied Volatility 90-day Implied Volatility 30-Day Percentile 90-Day Percentile
The Cooper Companies, Inc. COO 34.69 25.22 99.60% 88.69%
Ross Stores, Inc. ROST 38.11 26.09 99.21% 69.05%
H&R Block, Inc. HRB 51.85 36.84 98.81% 98.81%
Bristol-Myers Squibb Company BMY 39.34 35.55 97.62% 92.46%
Aon plc AON 25.71 21.29 97.22% 93.65%

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 90-Day Volatility (Percentile)

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Name Ticker 30-day Implied Volatility 90-day Implied Volatility 30-Day Percentile 90-Day Percentile
H&R Block, Inc. HRB 51.85 36.84 98.81% 98.81%
Celgene Corporation CELG 41.75 41.18 96.43% 98.02%
Willis Towers Watson Public Limited Company WLTW 31.68 24.86 96.43% 94.84%
Conagra Brands, Inc. CAG 34.22 33.61 93.25% 93.85%
Aon plc AON 25.71 21.29 97.22% 93.65%

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

ETFs with most Cheapest 30-Day Volatility (Percentile)

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Name Ticker 30-day Implied Volatility 90-day Implied Volatility 30-Day Percentile 90-Day Percentile
iShares Silver Trust SLV 14.63 15.75 1.19% 0.79%
Invesco DB Agriculture Fund DBA 11.37 13.72 1.59% 31.15%
Teucrium Corn Fund CORN 15.05 15.55 10.12% 3.17%
The Consumer Staples Select Sector SPDR Fund XLP 10.74 11.7 10.91% 13.29%
Vanguard FTSE Emerging Markets ETF VWO 15.22 16.33 13.10% 21.03%

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

ETFs with most Cheapest 90-Day Volatility (Percentile)

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Name Ticker 30-day Implied Volatility 90-day Implied Volatility 30-Day Percentile 90-Day Percentile
VanEck Vectors J.P. Morgan EM Local Currency Bond ETF EMLC 8.2 6.7 6.75% 0.40%
ProShares UltraShort Euro ETF EUO 12.25 12.19 6.55% 0.40%
iShares Silver Trust SLV 14.63 15.75 1.19% 0.79%
Invesco CurrencyShares Euro Trust FXE 6.31 6.42 5.16% 0.79%
Invesco CurrencyShares Japanese Yen Trust FXY 5.88 6.17 3.17% 1.59%

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 30-Day Volatility (Percentile)

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Name Ticker 30-day Implied Volatility 90-day Implied Volatility 30-Day Percentile 90-Day Percentile
NRG Energy, Inc. NRG 23.15 25.71 0.79% 1.59%
Eversource Energy ES 12.55 13.36 0.79% 2.38%
Vornado Realty Trust VNO 13.33 15.72 0.79% 11.11%
PepsiCo, Inc. PEP 12.45 13.98 0.79% 1.19%
Extra Space Storage Inc. EXR 16.44 17.79 1.19% 0.40%

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 90-Day Volatility (Percentile)

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Name Ticker 30-day Implied Volatility 90-day Implied Volatility 30-Day Percentile 90-Day Percentile
Foot Locker, Inc. FL 30.96 30.79 1.98% 0.40%
Extra Space Storage Inc. EXR 16.44 17.79 1.19% 0.40%
Nektar Therapeutics NKTR 55.82 54.03 11.11% 0.40%
Kohl's Corporation KSS 29.98 29.73 2.78% 0.40%
Zions Bancorporation, National Association ZION 20.68 19.99 6.55% 0.40%

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

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