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Implied Volatility Data of Liquid Macro Index ETFs and Stocks for March 7th, 2019

Mar 07, 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
ETFMG Alternative Harvest ETF MJ 61.37 54.15 97.97% 93.92%
Xtrackers Harvest CSI 300 China A-Shares ETF ASHR 31.09 28.71 90.08% 90.87%
United States Gasoline Fund, LP UGA 32.76 33.3 70.63% 75.79%
SPDR S&P Biotech ETF XBI 30.87 30.04 69.84% 75.79%
Invesco CurrencyShares British Pound Sterling Trust FXB 11.99 10.67 84.92% 74.01%

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 31.09 28.71 90.08% 90.87%
Invesco CurrencyShares British Pound Sterling Trust FXB 11.99 10.67 84.92% 74.01%
United States Gasoline Fund, LP UGA 32.76 33.3 70.63% 75.79%
Direxion Daily S&P Biotech Bull 3x Shares LABU 88.78 83.51 70.24% 72.62%

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
H&R Block, Inc. HRB 53.9 38.35 100.00% 99.60%
Walgreens Boots Alliance, Inc. WBA 33.04 27.33 97.22% 92.06%
Bristol-Myers Squibb Company BMY 39.02 35.34 96.83% 91.67%
Celgene Corporation CELG 41.78 40.97 96.43% 97.62%
Eli Lilly and Company LLY 27.99 22.24 96.03% 78.37%

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 53.9 38.35 100.00% 99.60%
Celgene Corporation CELG 41.78 40.97 96.43% 97.62%
Conagra Brands, Inc. CAG 35.34 33.73 94.05% 94.44%
CVS Health Corporation CVS 28.96 30.68 71.83% 94.44%
The Kraft Heinz Company KHC 25.45 30.6 50.40% 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 14.39 16.18 0.40% 1.59%
VanEck Vectors J.P. Morgan EM Local Currency Bond ETF EMLC 5.77 6.66 0.40% 0.40%
Invesco DB Agriculture Fund DBA 11.1 13.37 1.19% 18.06%
Invesco CurrencyShares Japanese Yen Trust FXY 5.75 6.13 1.79% 1.19%
The Utilities Select Sector SPDR Fund XLU 11.66 12.49 2.78% 1.98%

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 5.77 6.66 0.40% 0.40%
Invesco CurrencyShares Japanese Yen Trust FXY 5.75 6.13 1.79% 1.19%
ProShares Ultra Bloomberg Natural Gas BOIL 40.65 39.9 15.08% 1.19%
Invesco CurrencyShares Swiss Franc Trust FXF 5.47 5.76 3.57% 1.19%
iShares Silver Trust SLV 14.39 16.18 0.40% 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
UDR, Inc. UDR 10.46 12.81 0.79% 1.39%
Dollar Tree, Inc. DLTR 21.59 22.73 0.79% 0.40%
NRG Energy, Inc. NRG 23.42 26.06 1.19% 1.98%
Consolidated Edison, Inc. ED 12.86 14.94 1.59% 8.93%
Foot Locker, Inc. FL 30.84 30.91 1.59% 0.79%

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
Dollar Tree, Inc. DLTR 21.59 22.73 0.79% 0.40%
Foot Locker, Inc. FL 30.84 30.91 1.59% 0.79%
Paychex, Inc. PAYX 16.99 15.11 26.19% 0.79%
Dominion Energy, Inc. D 13.52 13.74 2.78% 0.79%
Kohl's Corporation KSS 30.6 30.24 7.14% 0.79%

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

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