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Major Bullish Block Trade in CVE and Bearish Block Trade in EEM

Apr 29, 2019

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

Major Stock Block Trades From Friday

Bullish
  • CVE Seller 85,000 Jun 12 calls to Buy 120,000 May 11 calls (appears to monetize loss; rolls closer and down, ref. 9.88)
Bearish
  • MDLZ 6,200 May 47.5 puts trade (appears bought, $.28, Earnings 4/30, ref. 50.10)

Major ETFs Block Trades From Friday

Bullish
  • FXI 25,000 Jun 45.5 – 47.5 call spreads trade (appears bought, $.54, ref. 44.54)  
  • OIH Buyer 20,000 Jul 18 calls (paid $.70, ref. 17.30)
Bearish
  • XLE Buyer 10,750 Jun 59 puts tied stock (appears bought, paid $.34, ref. 65.91) 
  • EEM Seller 50,000 Dec 48 calls to Buy 50,000 Dec 40 puts tied to stock (paid $.44, ref. 43.81)

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 9.78 27.98% 11 17.26% 1.12 57.74% 87.7% 73.81%
Invesco QQQ Trust QQQ 13.32 10.71% 14.47 5.95% 1.09 77.58% 98.02% 92.86%
iShares Russell 2000 ETF IWM 13.87 39.48% 14.02 38.1% 1.01 44.25% 58.73% 43.25%
SPDR EURO STOXX 50 ETF FEZ 12.45 17.86% 14.11 28.17% 1.13 74.8% 94.44% 93.65%
iShares MSCI Emerging Markets ETF EEM 13.86 0.6% 15.11 0.79% 1.09 88.49% 87.3% 83.33%

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
VanEck Vectors Junior Gold Miners ETF GDXJ 29.01 28.92 87.70% 91.27% 68.65% 55.95%
Direxion Daily Junior Gold Miners Index Bear 3X Shares JDST 86.05 85.75 87.70% 90.87% 68.25% 59.52%
Direxion Daily Junior Gold Miners Index Bull 3X Shares JNUG 85.08 85.36 82.34% 89.48% 64.29% 51.98%
VanEck Vectors Oil Services ETF OIH 30.21 29.29 66.67% 63.10% 55.95% 55.95%
iPath Series B Bloomberg Coffee Subindex Total Return ETN JO 27.32 28.97 65.87% 90.48% 15.48% 75.40%

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
VanEck Vectors Junior Gold Miners ETF GDXJ 29.01 28.92 87.70% 91.27% 68.65% 55.95%
Direxion Daily Junior Gold Miners Index Bear 3X Shares JDST 86.05 85.75 87.70% 90.87% 68.25% 59.52%
iPath Series B Bloomberg Coffee Subindex Total Return ETN JO 27.32 28.97 65.87% 90.48% 15.48% 75.40%
Direxion Daily Junior Gold Miners Index Bull 3X Shares JNUG 85.08 85.36 82.34% 89.48% 64.29% 51.98%
Teucrium Corn Fund CORN 19.4 21 64.68% 71.43% 19.84% 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 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
Capri Holdings Limited CPRI 41.4 48.19 100.00% 92.86% 85.71% 92.86%
Tapestry, Inc. TPR 49.34 39.29 99.21% 90.48% 85.71% 59.13%
Unum Group UNM 54.91 41.43 98.02% 72.22% 99.21% 94.05%
Henry Schein, Inc. HSIC 37.53 27.92 98.02% 89.68% 95.63% 20.63%
Occidental Petroleum Corporation OXY 38.07 33.2 98.02% 97.22% 99.60% 99.60%

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
Occidental Petroleum Corporation OXY 38.07 33.2 98.02% 97.22% 99.60% 99.60%
Centene Corporation CNC 38.13 37.46 91.67% 94.05% 10.71% 52.38%
CenturyLink, Inc. CTL 52.33 42.73 95.24% 93.25% 94.44% 69.44%
Capri Holdings Limited CPRI 41.4 48.19 100.00% 92.86% 85.71% 92.86%
Cigna Corporation CI 33.55 31.08 92.06% 92.86% 9.92% 31.35%

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 20+ Year Treasury Bear 3X Shares TMV 22.76 24.6 0.40% 0.40% 14.29% 0.40%
Invesco CurrencyShares Canadian Dollar Trust FXC 4.87 5.42 0.40% 1.19% 47.22% 30.16%
Direxion Daily Financial Bull 3X Shares FAS 24.87 25.89 0.40% 0.40% 30.95% 36.11%
iShares MSCI Emerging Markets ETF EEM 13.86 15.11 0.60% 0.79% 87.30% 82.54%
Invesco CurrencyShares British Pound Sterling Trust FXB 6.31 6.94 0.99% 0.99% 61.90% 3.17%

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
Direxion Daily 20+ Year Treasury Bear 3X Shares TMV 22.76 24.6 0.40% 0.40% 14.29% 0.40%
Invesco Senior Loan ETF BKLN 3.31 3.63 1.19% 0.40% 11.11% 10.32%
Vanguard FTSE Emerging Markets ETF VWO 13.81 14.21 1.19% 0.40% 87.70% 69.44%
Direxion Daily Financial Bull 3X Shares FAS 24.87 25.89 0.40% 0.40% 30.95% 36.11%
Direxion Daily 20+ Year Treasury Bull 3X Shares TMF 23.81 24.01 2.18% 0.40% 19.44% 0.40%

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
Comcast Corporation CMCSA 16.48 17.53 0.40% 0.40% 80.56% 97.62%
W.W. Grainger, Inc. GWW 21.17 22.33 0.40% 1.59% 18.25% 26.19%
Kimberly-Clark Corporation KMB 15.53 16.26 0.40% 1.59% 3.97% 31.75%
Twitter, Inc. TWTR 31.89 35.67 1.19% 0.40% 7.54% 23.02%
Celgene Corporation CELG 14.16 12.57 1.19% 0.40% 10.32% 2.78%

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
Visa Inc. V 14.62 15.79 6.94% 0.40% 95.63% 75.40%
Synchrony Financial SYF 21.58 22.51 5.36% 0.40% 78.97% 96.43%
VeriSign, Inc. VRSN 17.74 18.27 3.17% 0.40% 8.73% 50.79%
O'Reilly Automotive, Inc. ORLY 20.49 23.14 1.59% 0.40% 34.13% 42.86%
Discover Financial Services DFS 16.23 17.03 6.75% 0.40% 9.52% 33.73%

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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