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Major Bearish Block Trades in Alibaba (BABA) and the iShares High Yield Corporate Bond ETF (HYG)

May 13, 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
  • AVYA Buyer 12,500 Sep 15 - 20 call spreads (paid $1.60, appears to roll down, ref. 14.73)
  • EMR Buyer 9,600 May 68 calls (paid $.27, more than 14,000 trade total, opening, ref. 66.35)
  • SYNA 11,097 Jun 35 puts trade (appears sold to close, $2.35, ref. 33.87)
Bearish
  • GPOR Buyer 15,000 Dec 5 puts tied to stock (paid $.29, ref. 7.44)
  • BABA Seller 2,000 Jan 190 calls tied to stock (collects $15.10 ($3 million in premium), ref. 177.56)

Major ETFs Block Trades From Friday

Bullish
  • VIX Buyer 20,000 Jun 16 puts (paid $1.00, ref. 18.35 (Jun)) 
  • EFA Seller 35,000 May 10th 65 puts (collects $.37, possibly closing, ref. 64.69)
Bearish
  • HYG Buyer 61,000 Aug 85 – 82 put spreads (paid $.67, ref. 86.10) 
  • XLK Buyer 10,000 May 73.5 puts (paid $.76, ref. 74.53)

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 13.76 68.25% 13.6 61.9% 0.99 18.45% 84.13% 82.94%
Invesco QQQ Trust QQQ 17.41 59.92% 17.22 54.56% 0.99 33.33% 96.43% 99.21%
iShares Russell 2000 ETF IWM 17.35 66.87% 17.24 68.06% 0.99 36.11% 67.06% 63.49%
SPDR EURO STOXX 50 ETF FEZ 16.2 67.06% 15.79 58.73% 0.97 29.37% 84.92% 93.65%
iShares MSCI Emerging Markets ETF EEM 18.74 63.1% 17.55 36.71% 0.94 13.1% 90.87% 94.84%

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
iShares 7-10 Year Treasury Bond ETF IEF 11.58 4.83 98.41% 60.71% 98.41% 37.70%
iShares MSCI Europe Financials ETF EUFN 25.65 21.14 92.06% 86.11% 94.44% 96.43%
iPath Series B Bloomberg Coffee Subindex Total Return ETN JO 29.68 29.43 91.67% 96.03% 77.78% 90.87%
Invesco Senior Loan ETF BKLN 11.89 6.85 90.87% 60.52% 85.32% 32.94%
Xtrackers Harvest CSI 500 China A-Shares Small Cap ETF ASHS 35.89 32.96 90.08% 88.49% 29.37% 12.70%

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
iPath Series B Bloomberg Coffee Subindex Total Return ETN JO 29.68 29.43 91.67% 96.03% 77.78% 90.87%
Xtrackers Harvest CSI 500 China A-Shares Small Cap ETF ASHS 35.89 32.96 90.08% 88.49% 29.37% 12.70%
iShares 1-3 Year Treasury Bond ETF SHY 12.07 9.22 53.77% 87.90% 47.22% 75.40%
Teucrium Corn Fund CORN 23.12 23.59 89.29% 87.70% 65.87% 82.14%
Direxion Daily Junior Gold Miners Index Bull 3X Shares JNUG 86.72 85.46 84.13% 86.51% 71.43% 49.60%

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 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
Hormel Foods Corporation HRL 35.51 28 99.21% 96.83% 97.22% 99.21%
L Brands, Inc. LB 58.01 46.2 98.81% 93.65% 88.89% 96.83%
Nielsen Holdings plc NLSN 55.78 40.65 97.62% 76.79% 99.60% 54.37%
Foot Locker, Inc. FL 59.61 42.92 96.43% 77.58% 85.71% 89.29%
Ulta Beauty, Inc. ULTA 41.97 34.81 96.03% 78.17% 76.98% 94.84%

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
Mylan N.V. MYL 38.06 40.84 71.03% 97.22% 0.79% 1.19%
Hormel Foods Corporation HRL 35.51 28 99.21% 96.83% 97.22% 99.21%
Humana Inc. HUM 27.21 29.97 85.71% 95.24% 15.87% 36.51%
V.F. Corporation VFC 37.31 31.56 96.03% 94.25% 95.24% 99.21%
L Brands, Inc. LB 58.01 46.2 98.81% 93.65% 88.89% 96.83%

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
Alerian MLP ETF AMLP 15.55 16.88 1.59% 6.75% 5.16% 51.19%
SPDR Gold Trust GLD 8.34 8.65 2.38% 0.40% 92.06% 3.97%
Invesco CurrencyShares Canadian Dollar Trust FXC 5.14 5.62 2.78% 5.95% 78.57% 56.35%
ProShares UltraShort Euro EUO 9.66 10.96 3.57% 3.97% 63.49% 78.57%
Invesco CurrencyShares Euro Trust FXE 5.28 5.84 4.76% 5.16% 72.22% 80.95%

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
SPDR Gold Trust GLD 8.34 8.65 2.38% 0.40% 92.06% 3.97%
ProShares UltraShort Gold GLL 17.14 17.15 6.35% 0.79% 96.03% 1.59%
Direxion Daily 20+ Year Treasury Bull 3X Shares TMF 26.57 24.6 43.06% 1.59% 62.70% 1.19%
ProShares UltraShort Euro EUO 9.66 10.96 3.57% 3.97% 63.49% 78.57%
iShares Silver Trust SLV 14.86 14.86 11.90% 4.56% 69.05% 12.30%

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
Anadarko Petroleum Corporation APC 10.94 11.25 0.40% 0.79% 0.40% 0.79%
Red Hat, Inc. RHT 3.53 4.9 1.19% 0.40% 28.97% 65.87%
Everest Re Group, Ltd. RE 16.44 16.65 1.19% 0.40% 7.14% 39.29%
Johnson Controls International plc JCI 17.1 17.98 1.98% 1.98% 11.90% 73.81%
NiSource Inc. NI 13.49 14.63 2.78% 3.17% 32.94% 85.71%

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
Everest Re Group, Ltd. RE 16.44 16.65 1.19% 0.40% 7.14% 39.29%
Red Hat, Inc. RHT 3.53 4.9 1.19% 0.40% 28.97% 65.87%
Republic Services, Inc. RSG 13.84 11.93 42.46% 0.79% 42.06% 36.90%
Anadarko Petroleum Corporation APC 10.94 11.25 0.40% 0.79% 0.40% 0.79%
Under Armour, Inc. UAA 34.3 35.58 5.16% 1.19% 56.35% 65.08%

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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