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Major Bullish Block Trades in T-Mobile (TMUS) and Dropbox (DBX)

May 16, 2019

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

Major Stock Block Trades From Wednesday

Bullish
  • DBX 19,000 Jun 23 calls trade (paid b/w $.80 and $1.17, opening, ref. 23.08) 
  • TMUS Buyer 9,900 Aug 82.5 calls (paid $1.20, ref. 73.78)
Bearish
  • BGS Buyer 8,700 May 22.5 – Aug 20 put spreads trade ($.65, ref. 22.15) 
  • AKS Buyer 20,000 May – Jun 14th 2.5 put spreads (paid $.09, appears  to monetize/roll out, ref. 2.27)

Major ETFs Block Trades From Wednesday

Bullish
  • KSA Buyer 10,000 Jun 33 calls (Saudi Arabia ETF, paid $1.20, ref. 32.39) 
  • XLF Seller 55,000 Jun 24 – 22 – 20 put flies (collects $.06, ref. 26.76)
Bearish
  • OIH Seller 10,000 May 24th 14.5 puts to Buy 10,000 Jun 7th 15 – 14 put spreads (paid $.18, ref. 15.39) 
  • XLB 12,000 May 53.5 puts trade vs. 9,000 May 24th 53.5 – 52.5 put spreads (appears to roll out into a spreads, ref. 54.36)

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 14.1 68.65% 14.41 67.86% 1.02 25.4% 46.03% 75.79%
Invesco QQQ Trust QQQ 18.2 62.9% 17.82 60.32% 0.98 31.55% 54.76% 88.1%
iShares Russell 2000 ETF IWM 17.67 67.46% 17.46 69.05% 0.99 37.1% 30.16% 53.57%
SPDR EURO STOXX 50 ETF FEZ 15.39 58.73% 15.82 58.33% 1.03 53.57% 48.02% 87.7%
iShares MSCI Emerging Markets ETF EEM 18.5 59.52% 18.05 44.44% 0.98 25.99% 55.16% 82.54%

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
Teucrium Corn Fund CORN 27.35 26.13 99.21% 100.00% 73.02% 93.65%
Vanguard FTSE Emerging Markets ETF VWO 35.75 17.9 99.21% 57.94% 98.81% 86.51%
Invesco Senior Loan ETF BKLN 13.88 9.46 94.05% 89.48% 86.11% 46.03%
iShares MSCI Europe Financials ETF EUFN 24.56 21.07 87.70% 84.52% 88.10% 94.05%
iPath Series B Bloomberg Coffee Subindex Total Return ETN JO 28.68 29.08 84.92% 91.67% 70.63% 86.90%

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
Teucrium Corn Fund CORN 27.35 26.13 99.21% 100.00% 73.02% 93.65%
iPath Series B Bloomberg Coffee Subindex Total Return ETN JO 28.68 29.08 84.92% 91.67% 70.63% 86.90%
Direxion Daily Junior Gold Miners Index Bear 3X Shares JDST 82.23 86.45 69.44% 89.68% 59.92% 68.65%
Invesco Senior Loan ETF BKLN 13.88 9.46 94.05% 89.48% 86.11% 46.03%
Direxion Daily Junior Gold Miners Index Bull 3X Shares JNUG 82.31 86.74 68.25% 88.49% 53.57% 64.29%

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
Hormel Foods Corporation HRL 32.64 26.17 98.02% 91.87% 94.84% 96.43%
The Gap, Inc. GPS 51.71 42.88 97.62% 95.83% 85.71% 45.63%
L Brands, Inc. LB 56.53 45.72 97.22% 91.67% 82.54% 88.89%
V.F. Corporation VFC 36.92 31.75 93.65% 94.44% 92.46% 94.44%
Centene Corporation CNC 42.04 38.91 93.25% 93.85% 26.98% 42.46%

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 41.52 45.77 79.76% 99.60% 1.59% 9.52%
The Gap, Inc. GPS 51.71 42.88 97.62% 95.83% 85.71% 45.63%
V.F. Corporation VFC 36.92 31.75 93.65% 94.44% 92.46% 94.44%
Centene Corporation CNC 42.04 38.91 93.25% 93.85% 26.98% 42.46%
Anthem, Inc. ANTM 26.07 27.75 78.57% 92.86% 44.05% 28.97%

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

ETFs with 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
iShares Silver Trust SLV 13.31 14.71 0.40% 1.59% 42.46% 23.41%
Alerian MLP ETF AMLP 15.15 16.2 0.79% 3.17% 4.37% 41.67%
Invesco CurrencyShares Euro Trust FXE 5.02 5.85 3.57% 5.95% 68.65% 87.70%
ProShares UltraShort Gold GLL 16.93 17.92 3.97% 5.95% 86.51% 26.98%
SPDR Gold Trust GLD 8.52 8.95 4.17% 4.96% 92.86% 32.14%

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

ETFs with 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
iShares Silver Trust SLV 13.31 14.71 0.40% 1.59% 42.46% 23.41%
Alerian MLP ETF AMLP 15.15 16.2 0.79% 3.17% 4.37% 41.67%
SPDR Gold Trust GLD 8.52 8.95 4.17% 4.96% 92.86% 32.14%
Invesco CurrencyShares Euro Trust FXE 5.02 5.85 3.57% 5.95% 68.65% 87.70%
ProShares UltraShort Gold GLL 16.93 17.92 3.97% 5.95% 86.51% 26.98%

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

S&P 500 Stocks with 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
Chipotle Mexican Grill, Inc. CMG 21.39 25.67 0.40% 3.57% 24.21% 95.24%
The Hershey Company HSY 14.56 17.18 0.40% 7.14% 12.70% 76.19%
Anadarko Petroleum Corporation APC 11.28 11.01 0.79% 0.79% 7.14% 0.79%
Evergy, Inc. EVRG 12.1 14.75 1.07% 5.35% 17.65% 2.67%
Cboe Global Markets, Inc. CBOE 18.88 19.9 1.19% 1.59% 59.92% 72.62%

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

S&P 500 Stocks with 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
Linde plc LIN 18.13 18.04 1.98% 0.40% 13.89% 22.22%
Church & Dwight Co., Inc. CHD 17.24 15.6 8.93% 0.40% 45.63% 76.19%
DISH Network Corporation DISH 33.84 35.9 11.31% 0.40% 42.06% 42.46%
Anadarko Petroleum Corporation APC 11.28 11.01 0.79% 0.79% 7.14% 0.79%
Everest Re Group, Ltd. RE 16.68 16.86 1.59% 0.79% 9.52% 42.86%

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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