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Large VIX Block Trade Points to Rise in Volatility

Apr 26, 2019

Actionable and Transparent Quantitative ResearchActionable and Transparent Quantitative Research
Actionable and Transparent Quantitative Research
Actionable and Transparent Quantitative Research

 

  • Surprised to see risk premium for S&P 500 ETF Trust (SPY) options remain so narrow with SPY 1-month implied volatility hovering around 10% (annualized).  Yesterday’s block trade in OTM VIX Calls suggests someone else is surprised too. Would be closely following implied volatility levels with expectations that the VIX mean reverts to closer to 16 from 13.5 right now.

Major Stock Block Trades From Thursday

Bullish
  • APC Seller 10,000 May 64 puts to Buy 10,000 May 72.5 – 77.5 call spreads (paid $1.05, ref. 71.50) 
  • ABEV 10,000 Oct 5 calls trade tied to stock ($.20, ref. 4.57)
Bearish
  • YPF Buyer 15,000 Jan21 10 puts tied to stock (paid $1.50, Earnings 5/9, ref. 13.24) 
  • KSS 7,150 May 72.5 calls trade (appears sold, $2. 00, ref. 72.05)

Major ETFs Block Trades From Thursday

Bullish
  • TUR Seller 27,000 Jun 19 puts (Turkey ETF, collects $.325, ref. 23.01) 
  • XLV Buyer 10,000 Jun 91 calls (paid $.82, ref. 88.18) 
  • EMB Seller 20,000 Jun 108 – 107 put spreads (EM Bonds ETF, collects $1.03, ref. 109.02)
Bearish
  • SMH 8,500 May 125 calls trade vs. 8,500 May 114 – 110 put spreads (trades $.31, ref. 118.36)  
  • VIX Buyer 30,000 May 23 calls (paid $.35, ref. 15.05 (May)) 
  • USO Seller 35,000 Jul 13.5 puts to Buy 50,000 Jul 13 puts (opening on both legs, net short delta, ref. 13.52)

Implied Volatility Data For Liquid Macro Index ETFs

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Name Ticker 1-Month IV 1-Month IV Percentile 3-Month IV 3-Month IV Percentile 3-Month/1-Month IV 3-Month/1-Month IV
Percentile
1-Month Percentile for Implied-Realized Spread 3-Month Percentile for Implied-Realized Spread
S&P 500 ETF Trust SPY 10.02 32.94% 11.49 30.16% 1.15 66.07% 95.24% 75.0%
Invesco QQQ Trust QQQ 14.72 32.54% 14.73 11.11% 1.00 37.1% 100.0% 80.16%
iShares Russell 2000 ETF IWM 14.31 46.03% 14.4 41.67% 1.01 44.05% 64.29% 46.43%
SPDR EURO STOXX 50 ETF FEZ 12.15 15.08% 14.04 25.99% 1.16 79.56% 93.25% 93.25%
iShares MSCI Emerging Markets ETF EEM 14.78 5.16% 15.22 0.79% 1.03 47.62% 92.06% 66.67%

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

ETFs with most Expensive 1-Month Volatility (Percentile)

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Name Ticker 1-Month Implied Volatility 3-Month Implied Volatility 1-Month
Percentile
3-Month
Percentile
1-Month Percentile for Implied-Realized Spread 3-Month Percentile for Implied-Realized Spread
Direxion Daily Junior Gold Miners Index Bear 3X Shares JDST 89.76 86.88 92.86% 92.46% 77.38% 65.08%
VanEck Vectors Junior Gold Miners ETF GDXJ 29.65 28.69 91.27% 88.49% 79.37% 59.92%
Direxion Daily Junior Gold Miners Index Bull 3X Shares JNUG 88.9 85.94 90.08% 90.87% 72.22% 59.92%
iShares Preferred and Income Securities ETF PFF 9.8 6.84 81.35% 63.10% 92.46% 65.08%
iPath Series B Bloomberg Coffee Subindex Total Return ETN JO 27.89 28.03 76.98% 67.06% 20.63% 61.11%

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

ETFs with most Expensive 3-Month Volatility (Percentile)

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Name Ticker 1-Month Implied Volatility 3-Month Implied Volatility 1-Month
Percentile
3-Month
Percentile
1-Month Percentile for Implied-Realized Spread 3-Month Percentile for Implied-Realized Spread
Direxion Daily Junior Gold Miners Index Bear 3X Shares JDST 89.76 86.88 92.86% 92.46% 77.38% 65.08%
Direxion Daily Junior Gold Miners Index Bull 3X Shares JNUG 88.9 85.94 90.08% 90.87% 72.22% 59.92%
VanEck Vectors Junior Gold Miners ETF GDXJ 29.65 28.69 91.27% 88.49% 79.37% 59.92%
Teucrium Corn Fund CORN 18.45 20.32 52.18% 69.44% 20.63% 70.24%
iShares U.S. Medical Devices ETF IHI 17.94 16.85 72.22% 68.25% 39.68% 56.75%

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 1-Month Volatility (Percentile)

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Name Ticker 1-Month Implied Volatility 3-Month Implied Volatility 1-Month
Percentile
3-Month
Percentile
1-Month Percentile for Implied-Realized Spread 3-Month Percentile for Implied-Realized Spread
Unum Group UNM 58.34 43.75 100.00% 87.30% 100.00% 98.02%
Tapestry, Inc. TPR 49.69 39.18 99.60% 90.08% 88.49% 61.90%
Occidental Petroleum Corporation OXY 37.26 33.28 98.02% 97.62% 99.21% 100.00%
Mattel, Inc. MAT 67.05 52.01 98.02% 89.29% 71.43% 20.63%
Henry Schein, Inc. HSIC 37.22 27.32 97.62% 82.54% 95.63% 19.44%

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 3-Month Volatility (Percentile)

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Name Ticker 1-Month Implied Volatility 3-Month Implied Volatility 1-Month
Percentile
3-Month
Percentile
1-Month Percentile for Implied-Realized Spread 3-Month Percentile for Implied-Realized Spread
Capri Holdings Limited CPRI 38.81 48.32 84.62% 100.00% 46.15% 100.00%
Occidental Petroleum Corporation OXY 37.26 33.28 98.02% 97.62% 99.21% 100.00%
Centene Corporation CNC 37.57 38.18 91.27% 95.63% 13.49% 54.37%
CenturyLink, Inc. CTL 54.18 43.42 96.83% 94.84% 98.02% 73.81%
Anthem, Inc. ANTM 29.47 27.54 92.06% 94.05% 13.49% 13.10%

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

ETFs with most Cheapest 1-Month Volatility (Percentile)

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Name Ticker 1-Month Implied Volatility 3-Month Implied Volatility 1-Month
Percentile
3-Month
Percentile
1-Month Percentile for Implied-Realized Spread 3-Month Percentile for Implied-Realized Spread
Direxion Daily Financial Bear 3X Shares FAZ 26.92 30.88 0.40% 0.79% 32.14% 38.89%
Direxion Daily Financial Bull 3X Shares FAS 25.22 27.01 0.79% 0.40% 31.75% 37.70%
SPDR Gold Trust GLD 8.28 9.43 1.19% 22.82% 37.30% 37.10%
Invesco CurrencyShares Canadian Dollar Trust FXC 5.16 5.74 1.39% 5.16% 67.46% 27.78%
iShares Silver Trust SLV 13.96 14.48 1.59% 0.40% 64.68% 13.10%

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

ETFs with most Cheapest 3-Month Volatility (Percentile)

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Name Ticker 1-Month Implied Volatility 3-Month Implied Volatility 1-Month
Percentile
3-Month
Percentile
1-Month Percentile for Implied-Realized Spread 3-Month Percentile for Implied-Realized Spread
ProShares UltraShort Gold GLL 17.23 17.3 4.76% 0.40% 38.49% 2.38%
iShares Silver Trust SLV 13.96 14.48 1.59% 0.40% 64.68% 13.10%
Direxion Daily Financial Bull 3X Shares FAS 25.22 27.01 0.79% 0.40% 31.75% 37.70%
iShares MSCI Emerging Markets ETF EEM 14.78 15.22 5.16% 0.79% 92.06% 67.86%
iShares Edge MSCI USA Momentum Factor ETF MTUM 10.7 10.76 7.74% 0.79% 96.03% 87.30%

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 1-Month Volatility (Percentile)

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Name Ticker 1-Month Implied Volatility 3-Month Implied Volatility 1-Month
Percentile
3-Month
Percentile
1-Month Percentile for Implied-Realized Spread 3-Month Percentile for Implied-Realized Spread
W.W. Grainger, Inc. GWW 21.23 22.2 0.40% 0.79% 18.25% 25.79%
Dollar General Corporation DG 16.73 21.18 0.40% 15.87% 59.52% 67.86%
Kimberly-Clark Corporation KMB 16.07 15.37 0.79% 0.40% 5.95% 26.19%
PayPal Holdings, Inc. PYPL 20.56 22.51 1.19% 0.40% 71.43% 91.67%
Allegion plc ALLE 16.46 17.74 1.59% 1.98% 45.24% 45.63%

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 3-Month Volatility (Percentile)

On Mobile/Tablet scroll to the right.

Name Ticker 1-Month Implied Volatility 3-Month Implied Volatility 1-Month
Percentile
3-Month
Percentile
1-Month Percentile for Implied-Realized Spread 3-Month Percentile for Implied-Realized Spread
Kimberly-Clark Corporation KMB 16.07 15.37 0.79% 0.40% 5.95% 26.19%
Comcast Corporation CMCSA 17.81 18.27 2.38% 0.40% 86.90% 98.41%
Visa Inc. V 14.69 16.3 7.94% 0.40% 98.81% 79.37%
PayPal Holdings, Inc. PYPL 20.56 22.51 1.19% 0.40% 71.43% 91.67%
Facebook, Inc. FB 22.53 22.63 16.07% 0.40% 42.06% 38.49%

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

Global Stock Indice Price Returns

 

 

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