Large VIX Block Trade Points to Rise in Volatility
Apr 26, 2019
- 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)
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 |
| 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)
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 |
| 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