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Implied Volatility Data of Liquid Macro Index ETFs and Stocks for March 12th, 2019

Mar 12, 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 10.69 34.13% 12.89 46.03% 1.21 82.34% 1.33 67.06% -6.65 19.64%
QQQ 15.05 32.54% 16.35 33.73% 1.09 78.17% 4.22 85.52% -8.45 19.44%
IWM 15.34 56.75% 15.55 54.37% 1.01 43.65% 1.21 51.59% -5.34 18.65%
FEZ 13.51 30.95% 16.72 76.98% 1.24 96.43% 2.46 77.18% 0.94 78.17%
EEM 16.41 19.25% 17.74 29.96% 1.08 87.9% 2.18 76.98% 0.5 72.22%

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%
iShares Trust - iShares 1-3 Year Treasury Bond ETF SHY 24.73 6.99 96.43% 73.41%
Invesco CurrencyShares British Pound Sterling Trust FXB 13.56 10.84 92.06% 75.00%
Xtrackers Harvest CSI 300 China A-Shares ETF ASHR 30.76 28.14 88.49% 84.92%
Direxion Daily Junior Gold Miners Index Bull 3X Shares JNUG 86.83 80.54 86.90% 57.54%

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 30.76 28.14 88.49% 84.92%
Invesco Senior Loan ETF BKLN 7.86 7.85 74.21% 77.98%
SPDR EURO STOXX 50 ETF FEZ 13.51 16.72 30.95% 76.98%
Invesco CurrencyShares British Pound Sterling Trust FXB 13.56 10.84 92.06% 75.00%

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
Bristol-Myers Squibb Company BMY 41.39 36.24 98.81% 94.44%
Celgene Corporation CELG 48.08 40.07 98.81% 96.03%
Conagra Brands, Inc. CAG 40.98 36.3 98.41% 96.43%
Ulta Beauty, Inc. ULTA 42.91 36.39 97.62% 89.88%
CarMax, Inc. KMX 39.41 32.99 96.03% 91.27%

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
Conagra Brands, Inc. CAG 40.98 36.3 98.41% 96.43%
Celgene Corporation CELG 48.08 40.07 98.81% 96.03%
CVS Health Corporation CVS 30.3 31.77 82.94% 95.24%
Bristol-Myers Squibb Company BMY 41.39 36.24 98.81% 94.44%
Biogen Inc. BIIB 34.24 34.06 76.59% 91.27%

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 5.34 6.17 0.40% 0.79%
Invesco CurrencyShares Japanese Yen Trust FXY 5.4 6.31 0.40% 4.37%
ProShares UltraShort Euro EUO 11.4 12.09 0.79% 0.40%
ProShares UltraShort 20+ Year Treasury TBT 16.07 17.79 1.79% 7.34%
The Utilities Select Sector SPDR Fund XLU 11.75 13.12 3.17% 19.25%

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
ProShares UltraShort Euro EUO 11.4 12.09 0.79% 0.40%
Invesco CurrencyShares Canadian Dollar Trust FXC 5.34 6.17 0.40% 0.79%
Invesco CurrencyShares Euro Trust FXE 6.28 6.41 5.16% 0.79%
iShares Silver Trust SLV 14.91 16.04 3.57% 1.59%
ProShares Short VIX Short-Term Futures ETF SVXY 28.5 27.5 16.27% 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
Chipotle Mexican Grill, Inc. CMG 22.45 29.84 0.40% 11.51%
Comcast Corporation CMCSA 17.82 20.39 0.40% 0.40%
PPL Corporation PPL 14.34 14.89 0.40% 0.40%
Dollar Tree, Inc. DLTR 20.2 21.41 0.79% 0.40%
NiSource Inc. NI 13.11 14.4 0.79% 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
Comcast Corporation CMCSA 17.82 20.39 0.40% 0.40%
Twenty-First Century Fox, Inc. FOXA 20.43 8.23 51.19% 0.40%
PPL Corporation PPL 14.34 14.89 0.40% 0.40%
The Clorox Company CLX 17.27 17.71 1.59% 0.40%
Exelon Corporation EXC 12.72 13.39 0.79% 0.40%

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

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