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Major Bullish Block Trades in SPY and FXI Following Yesterday's Selloff

May 14, 2019

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

Major Stock Block Trades From Monday

Bullish
  • LVS Buyer 6,500 Jan 62.5 – 70 call spreads (rolls down, paid $3.02, ref. 62.41) 
  • RF 9,500 Jun 15 calls trade (paid b/w $.31 and $.33, opening, ref. 14.44) 
  • MYL Buyer 5,000 Oct 20 calls (paid $2.85, more than 10,000 trade total, ref. 20.56)
Bearish
  • FCX 15,000 Jun 10 puts trade (appears bought to open, $.38, more than 25,000 trade total, ref. 10.56)  
  • CNX 15,000 Jan 7 puts trade tied to stock (appears bought to open, $.48, ref. 8.91) 
  • MAR Buyer 5,000 Jul 130 – Oct 120 put spreads (paid $.1.05, rolls out and down, ref. 126.70)

Major ETFs Block Trades From Monday

Bullish
  • XOP Buyer 20,000 Jun 31 calls (untied, paid $.67, ref. 29.39) 
  • IEF Seller 60,000 Jun 106 puts tied to stock (7 – 10 Treasury Yr. ETF, collects $.40, 106.67) 
  • FXI Seller 20,000 Jul 38 puts to Buy 20,000 Jul 43 calls tied to stock (collects $.32, ref. 40.48) 
  • SPY 13,511 May 290.5 calls trade (appears bought to open, $.15, ref. 280.67)
Bearish
  • VIX 97,000 May – Jun 25 – 27 call spreads trade (trades even, rolls out, ref. 18.85 (May) and 18.30 (Jun)) 
  • XLB 7,000 May 55 puts trade vs. 12,000 May 53.5 puts (appears to roll down, ref. 53.74) 
  • XME 10,000 May 27.5 puts trade vs. 20,000 May 26.5 puts (appears to roll down and add units, ref. 26.83) 
  • EEM Seller 30,000 Sep 40 – 35 put spreads to Buy 30,000 Jun 38 – 33 put spreads (appears to roll closer and down, collects $.75, ref. 40.58)

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 17.73 87.3% 16.26 80.16% 0.92 5.95% 81.35% 84.13%
Invesco QQQ Trust QQQ 22.89 78.97% 20.36 73.81% 0.89 7.34% 89.29% 97.22%
iShares Russell 2000 ETF IWM 21.86 87.3% 19.93 85.71% 0.91 8.13% 64.68% 68.65%
SPDR EURO STOXX 50 ETF FEZ 18.43 83.33% 17.48 84.33% 0.95 22.82% 84.52% 95.63%
iShares MSCI Emerging Markets ETF EEM 22.91 81.35% 19.87 69.44% 0.87 2.38% 91.67% 96.43%

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
Xtrackers Harvest CSI 300 China A-Shares ETF ASHR 34.85 33.14 98.81% 99.60% 65.87% 78.57%
Teucrium Corn Fund CORN 26.36 24.83 98.02% 93.65% 76.59% 89.29%
iShares MSCI Europe Financials ETF EUFN 28.79 23.08 97.22% 96.03% 96.83% 98.41%
Invesco Senior Loan ETF BKLN 14.29 7.14 95.04% 61.90% 88.89% 33.33%
Xtrackers Harvest CSI 500 China A-Shares Small Cap ETF ASHS 40.52 34.3 94.84% 92.06% 53.57% 15.48%

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
Xtrackers Harvest CSI 300 China A-Shares ETF ASHR 34.85 33.14 98.81% 99.60% 65.87% 78.57%
iShares MSCI Europe Financials ETF EUFN 28.79 23.08 97.22% 96.03% 96.83% 98.41%
Direxion Daily Junior Gold Miners Index Bear 3X Shares JDST 89.07 88.57 92.06% 94.84% 66.67% 60.71%
Direxion Daily Junior Gold Miners Index Bull 3X Shares JNUG 90.07 91.65 91.27% 94.44% 62.30% 62.70%
Teucrium Corn Fund CORN 26.36 24.83 98.02% 93.65% 76.59% 89.29%

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
L Brands, Inc. LB 60.48 48.06 100.00% 97.22% 83.73% 94.05%
Ulta Beauty, Inc. ULTA 44.66 37.21 99.60% 94.84% 74.21% 98.41%
V.F. Corporation VFC 39.9 33.35 99.60% 97.22% 89.68% 98.41%
Agilent Technologies, Inc. A 38.11 27.86 99.60% 90.48% 80.16% 83.33%
Hormel Foods Corporation HRL 35.83 28.15 99.21% 97.22% 97.62% 99.21%

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 48.23 47 98.41% 100.00% 9.13% 13.49%
Humana Inc. HUM 31.52 31.12 94.84% 98.02% 25.00% 42.86%
Cigna Corporation CI 34.54 33.19 94.05% 97.22% 9.52% 35.32%
V.F. Corporation VFC 39.9 33.35 99.60% 97.22% 89.68% 98.41%
Anthem, Inc. ANTM 30.15 29.64 94.05% 97.22% 30.16% 47.62%

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
Invesco CurrencyShares Euro Trust FXE 5.56 5.95 6.75% 6.75% 87.70% 89.68%
ProShares UltraShort Euro EUO 10.63 10.84 6.75% 3.57% 82.54% 73.81%
Invesco CurrencyShares British Pound Sterling Trust FXB 7.54 7.9 10.71% 8.93% 45.63% 7.94%
Invesco DB US Dollar Index Bullish Fund UUP 6.11 6.37 14.88% 14.29% 92.06% 92.46%
Invesco CurrencyShares Canadian Dollar Trust FXC 5.88 5.88 17.26% 10.91% 90.08% 73.41%

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 Euro EUO 10.63 10.84 6.75% 3.57% 82.54% 73.81%
Invesco CurrencyShares Euro Trust FXE 5.56 5.95 6.75% 6.75% 87.70% 89.68%
Invesco DB Agriculture Fund DBA 14.3 13.22 54.76% 7.14% 96.83% 57.14%
Alerian MLP ETF AMLP 16.9 16.99 18.06% 7.94% 6.75% 50.40%
Invesco CurrencyShares British Pound Sterling Trust FXB 7.54 7.9 10.71% 8.93% 45.63% 7.94%

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 13.96 12.29 1.19% 1.19% 8.33% 1.19%
Red Hat, Inc. RHT 4.81 5.86 3.57% 1.98% 48.41% 82.14%
Celgene Corporation CELG 15.68 15.55 7.14% 9.92% 77.38% 24.60%
Johnson Controls International plc JCI 19.25 20.13 7.94% 12.70% 17.06% 88.10%
Linde plc LIN 20.77 19.82 9.52% 12.10% 25.00% 24.60%

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

S&P 500 Stocks with most 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
Anadarko Petroleum Corporation APC 13.96 12.29 1.19% 1.19% 8.33% 1.19%
Everest Re Group, Ltd. RE 18.35 17.51 16.07% 1.19% 17.46% 49.21%
Red Hat, Inc. RHT 4.81 5.86 3.57% 1.98% 48.41% 82.14%
DENTSPLY SIRONA Inc. XRAY 24.5 22.56 14.29% 2.38% 25.00% 2.38%
Under Armour, Inc. UAA 36.88 37.3 23.41% 5.95% 56.35% 68.25%

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

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