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Implied Volatility Data of Liquid Macro Index ETFs and Stocks for March 11th, 2019

Mar 11, 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 13.07 57.54% 14.08 59.92% 1.08 47.02% 5 98.41% -5.26 27.38%
QQQ 17.92 54.37% 17.9 53.17% 1 44.44% 9.57 100.0% -6.57 32.34%
IWM 17.79 68.25% 17.31 67.06% 0.97 27.78% 4.91 92.86% -3.48 23.81%
FEZ 13.57 31.15% 16.61 75.6% 1.22 96.03% 2.46 77.38% 0.87 77.98%
EEM 17.83 45.63% 18.47 41.07% 1.04 63.49% 5.15 95.24% 1.49 86.9%

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 12.6 11.06 88.10% 76.98%
Xtrackers Harvest CSI 300 China A-Shares ETF ASHR 30.2 27.61 85.32% 82.14%
iShares 1-3 Year Treasury Bond ETF SHY 22.04 6.86 84.13% 73.21%
Direxion Daily Natural Gas Related Bull 3X Shares GASL 97.18 87.37 79.76% 75.00%

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 18.71 20.46 49.80% 82.94%
Xtrackers Harvest CSI 300 China A-Shares ETF ASHR 30.2 27.61 85.32% 82.14%
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 3X Shares GUSH 97.29 93.01 74.60% 78.57%
Direxion Dly S&P Oil & Gas Ex&Prd Br 3X ETF DRIP 101.07 103.36 70.63% 77.18%

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
Walgreens Boots Alliance, Inc. WBA 34.91 29.2 98.81% 96.43%
CarMax, Inc. KMX 41.74 34.46 98.41% 96.83%
Bristol-Myers Squibb Company BMY 39.56 36.52 97.62% 95.63%
Celgene Corporation CELG 46.15 42.44 97.22% 98.02%
Conagra Brands, Inc. CAG 38.75 36.28 96.83% 96.43%

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 46.15 42.44 97.22% 98.02%
CVS Health Corporation CVS 34.29 33.56 95.63% 97.22%
CarMax, Inc. KMX 41.74 34.46 98.41% 96.83%
Walgreens Boots Alliance, Inc. WBA 34.91 29.2 98.81% 96.43%
Conagra Brands, Inc. CAG 38.75 36.28 96.83% 96.43%

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 FXC 5.45 6.09 0.40% 0.40%
ProShares UltraShort Euro EUO 10.76 12.51 0.40% 2.38%
Invesco DB US Dollar Index Bullish Fund UUP 5.83 6.14 0.40% 0.40%
Invesco CurrencyShares Euro Trust FXE 6.06 6.59 1.19% 4.17%
Invesco CurrencyShares Swiss Franc Trust FXF 5.19 5.8 1.59% 2.38%

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 FXC 5.45 6.09 0.40% 0.40%
Invesco DB US Dollar Index Bullish Fund UUP 5.83 6.14 0.40% 0.40%
iShares Silver Trust SLV 15.26 15.98 7.14% 1.19%
ProShares Ultra Bloomberg Natural Gas BOIL 38.71 39.89 1.98% 1.19%
ProShares UltraShort Euro EUO 10.76 12.51 0.40% 2.38%

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
PPL Corporation PPL 15.31 15.57 0.79% 3.17%
Dollar Tree, Inc. DLTR 21.61 22.07 1.59% 0.79%
Eversource Energy ES 12.75 13.52 1.98% 5.56%
Regency Centers Corporation REG 13.71 15.76 2.78% 11.90%
NRG Energy, Inc. NRG 24.45 26.48 3.17% 2.38%

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 21.61 22.07 1.59% 0.79%
Xcel Energy Inc. XEL 12.96 13.01 10.71% 1.98%
NRG Energy, Inc. NRG 24.45 26.48 3.17% 2.38%
Nektar Therapeutics NKTR 57.71 56.87 17.06% 2.38%
Entergy Corporation ETR 14.46 14.46 5.56% 3.17%

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

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