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Major Bullish Block Trade in Lyft (LYFT) and Bearish Block Trade in General Electric (GE)

May 15, 2019

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

Major Stock Block Trades From Tuesday

Bullish
  • RF Seller 10,000 Jun 14 puts to Buy 5,000 Jun 15 calls (trades $.59, ref. 14.38) 
  • LYFT Seller 1,500 Oct 50 puts to Buy 1,500 Oct 57.5 calls tied to stock (collects $5.45, ref. 50.80)
Bearish
  • GE Buyer 24,000 May 24th 10 puts (untied, paid $.15, ref. 10.28) 
  • VALE 9,850 May 12 – May 24th 11.5 put spreads trade (collects $.05 to roll out and down/maintain bearish exposure, ref. 11.92)

Major ETFs Block Trades From Tuesday

Bullish
  • ASHR Seller 7,500 Oct 25 puts tied to stock (China ETF, opening, collects $1.28, ref. 26.44) 
  • XOP Seller 60,000 May 31 calls to Buy 7,500 Jun 31 calls (appears to roll calls out and reduces size, ref. 29.41) 
Bearish
  • SPY Buyer 27,500 Jun 3rd 275 - 270 - 265 put flies (paid $.26, ref. 284.67) 
  • EWH Buyer 5,000 Sep 23 puts (Hong Kong ETF, paid $.45, ref. 25.30)

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 15.86 76.98% 15.39 72.22% 0.97 13.89% 66.27% 81.35%
Invesco QQQ Trust QQQ 20.27 71.43% 18.79 68.65% 0.93 16.67% 72.62% 95.24%
iShares Russell 2000 ETF IWM 19.28 74.21% 18.21 73.02% 0.94 18.65% 42.86% 59.92%
SPDR EURO STOXX 50 ETF FEZ 16.69 70.83% 16.32 68.25% 0.98 33.93% 67.86% 92.86%
iShares MSCI Emerging Markets ETF EEM 20.82 74.4% 18.98 59.92% 0.91 7.74% 76.59% 91.27%

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
Invesco Senior Loan ETF BKLN 18.25 13 96.43% 98.41% 96.43% 71.83%
Teucrium Corn Fund CORN 25.55 25.37 95.24% 96.63% 57.54% 84.52%
iShares MSCI Europe Financials ETF EUFN 25.86 21.8 91.67% 89.29% 90.48% 97.62%
Xtrackers Harvest CSI 300 China A-Shares ETF ASHR 31.45 29.72 89.68% 92.86% 36.90% 29.76%
iShares MSCI Australia ETF EWA 21.21 16.96 84.13% 60.32% 96.03% 97.22%

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
Invesco Senior Loan ETF BKLN 18.25 13 96.43% 98.41% 96.43% 71.83%
Teucrium Corn Fund CORN 25.55 25.37 95.24% 96.63% 57.54% 84.52%
Direxion Daily Junior Gold Miners Index Bear 3X Shares JDST 85.21 88.4 81.75% 94.44% 60.32% 62.30%
Xtrackers Harvest CSI 300 China A-Shares ETF ASHR 31.45 29.72 89.68% 92.86% 36.90% 29.76%
Direxion Daily Junior Gold Miners Index Bull 3X Shares JNUG 85.33 87.81 80.95% 90.87% 53.97% 56.35%

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
HP Inc. HPQ 38.88 29.59 98.41% 87.70% 82.54% 19.84%
Hormel Foods Corporation HRL 34.77 27.64 98.41% 96.03% 96.43% 98.41%
V.F. Corporation VFC 38.63 32.06 98.02% 95.63% 86.90% 96.03%
The Gap, Inc. GPS 51.58 42.86 97.62% 95.44% 86.11% 46.83%
L Brands, Inc. LB 56.83 46.05 97.62% 92.46% 80.95% 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 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
Dominion Energy, Inc. D 17.14 94.02 57.54% 100.00% 16.27% 100.00%
Cigna Corporation CI 32 95.49 87.70% 100.00% 3.97% 100.00%
KLA-Tencor Corporation KLAC 28.33 87.94 41.67% 100.00% 37.30% 100.00%
Diamondback Energy, Inc. FANG 32.93 53.07 28.57% 99.60% 15.87% 99.60%
Mylan N.V. MYL 43.58 44.93 86.90% 99.60% 2.78% 5.16%

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 5.16 5.84 3.57% 5.36% 73.81% 80.95%
iShares Silver Trust SLV 14.24 14.87 3.77% 5.56% 56.35% 18.65%
Invesco CurrencyShares British Pound Sterling Trust FXB 7.24 7.83 7.94% 8.33% 30.56% 8.33%
ProShares UltraShort Euro EUO 10.79 11.06 8.33% 5.56% 84.13% 84.13%
Invesco DB US Dollar Index Bullish Fund UUP 5.95 6.25 10.71% 11.90% 85.32% 90.48%

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
Invesco CurrencyShares Euro Trust FXE 5.16 5.84 3.57% 5.36% 73.81% 80.95%
iShares Silver Trust SLV 14.24 14.87 3.77% 5.56% 56.35% 18.65%
ProShares UltraShort Euro EUO 10.79 11.06 8.33% 5.56% 84.13% 84.13%
ProShares UltraShort Gold GLL 17.56 18.19 11.11% 6.75% 74.21% 9.92%
Direxion Daily 20+ Year Treasury Bear 3X Shares TMV 25.89 26.14 23.81% 7.94% 54.37% 6.75%

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

S&P 500 Stocks with most 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
Anadarko Petroleum Corporation APC 11.31 11.86 0.79% 1.19% 6.75% 1.19%
Red Hat, Inc. RHT 3.56 4.29 1.98% 0.40% 25.40% 51.59%
Chipotle Mexican Grill, Inc. CMG 23.22 26.47 2.18% 5.75% 27.38% 96.03%
Everest Re Group, Ltd. RE 16.9 16.98 2.38% 0.79% 9.52% 43.25%
Assurant, Inc. AIZ 20.52 20.97 2.38% 0.40% 17.86% 33.73%

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
Assurant, Inc. AIZ 20.52 20.97 2.38% 0.40% 17.86% 33.73%
Red Hat, Inc. RHT 3.56 4.29 1.98% 0.40% 25.40% 51.59%
Everest Re Group, Ltd. RE 16.9 16.98 2.38% 0.79% 9.52% 43.25%
Anadarko Petroleum Corporation APC 11.31 11.86 0.79% 1.19% 6.75% 1.19%
Cboe Global Markets, Inc. CBOE 19.48 19.73 4.96% 1.19% 70.63% 74.60%

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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