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Implied Volatility Data of Liquid Macro Index ETFs and Stocks for March 8th, 2019

Mar 08, 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 13.47 59.92% 13.88 55.16% 1.03 32.74% 4.68 97.22% -5.45 25.0%
QQQ 18.16 55.56% 17.53 50.79% 0.97 35.12% 8.47 100.0% -7.01 27.38%
IWM 17.94 69.84% 16.9 65.87% 0.94 16.67% 4.7 90.48% -3.9 22.62%
FEZ 14.53 43.65% 16.13 66.27% 1.11 80.56% 1.6 64.88% 0.37 69.64%
EEM 17.59 40.08% 17.98 33.73% 1.02 48.02% 4.69 94.84% 0.92 78.97%

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%
Invesco CurrencyShares British Pound Sterling Trust FXB 12.04 10.58 85.32% 73.02%
Xtrackers Harvest CSI 300 China A-Shares ETF ASHR 28.76 26.6 78.97% 74.21%
iShares 1-3 Year Treasury Bond ETF SHY 21.11 9.14 78.57% 83.73%
Vanguard Small-Cap ETF VB 16.69 15.16 71.83% 63.69%

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%
iShares MSCI Europe Financials ETF EUFN 18.74 21.56 50.40% 90.48%
iShares 1-3 Year Treasury Bond ETF SHY 21.11 9.14 78.57% 83.73%
SPDR S&P Biotech ETF XBI 31.15 30.1 71.23% 75.79%
Xtrackers Harvest CSI 300 China A-Shares ETF ASHR 28.76 26.6 78.97% 74.21%

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
Celgene Corporation CELG 46.31 42.27 97.62% 98.02%
CarMax, Inc. KMX 39.87 33.84 97.22% 95.04%
Conagra Brands, Inc. CAG 38.68 35.82 96.83% 96.03%
Ulta Beauty, Inc. ULTA 41.83 35.16 95.24% 78.37%
Walgreens Boots Alliance, Inc. WBA 30.94 28.28 94.84% 94.84%

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
Celgene Corporation CELG 46.31 42.27 97.62% 98.02%
CVS Health Corporation CVS 31.84 33.41 91.27% 96.83%
Juniper Networks, Inc. JNPR 23.97 35.78 23.41% 96.43%
Conagra Brands, Inc. CAG 38.68 35.82 96.83% 96.03%
CarMax, Inc. KMX 39.87 33.84 97.22% 95.04%

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
Invesco CurrencyShares Canadian Dollar Trust FXC 6.1 6.32 2.38% 0.60%
iShares Silver Trust SLV 14.89 16.59 2.98% 8.33%
The Utilities Select Sector SPDR Fund XLU 11.91 12.96 3.57% 14.09%
Direxion Daily 20+ Year Treasury Bull 3X Shares TMF 24.62 27.32 4.76% 13.49%
ProShares UltraShort 20+ Year Treasury ETF TBT 16.52 17.65 6.55% 5.56%

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
Invesco CurrencyShares Canadian Dollar Trust FXC 6.1 6.32 2.38% 0.60%
Invesco CurrencyShares Japanese Yen Trust FXY 6.18 6.09 8.13% 0.79%
iShares 20+ Year Treasury Bond ETF TLT 9.02 8.69 27.98% 1.98%
Invesco DB US Dollar Index Bullish Fund UUP 6.48 6.45 13.10% 2.38%
United States Natural Gas Fund, LP UNG 21.71 21.62 23.41% 4.56%

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
Dollar Tree, Inc. DLTR 20.7 21.89 0.79% 0.40%
NiSource Inc. NI 13.85 15.86 1.59% 18.25%
PPL Corporation PPL 15.68 16.01 1.59% 4.96%
NRG Energy, Inc. NRG 24.27 26.78 2.38% 3.77%
Consolidated Edison, Inc. ED 13.15 15.33 2.78% 17.06%

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 20.7 21.89 0.79% 0.40%
Kohl's Corporation KSS 31.15 30.87 11.90% 1.59%
Nektar Therapeutics NKTR 55.4 55.53 10.71% 1.98%
Extra Space Storage Inc. EXR 17.41 18.3 8.13% 1.98%
Foot Locker, Inc. FL 32.24 31.77 10.32% 1.98%

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

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