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Major Bullish Block Trade in Snap (SNAP) and Bearish Block Trade in Uber (UBER)

May 17, 2019

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

Major Stock Block Trades From Thursday

Bullish
  • SNAP 10,000 May 31st 11 calls (appears bought, $.59, ref. 11.27)  

  • ALLY 20,000 Jan 35 calls trade (appears bought to add to existing position, $.75, ref. 29.65) 

Bearish
  • UBER Buyer 7,500 Jan21 25 puts tied to stock (paid $2.85, ref. 42.15)  

  • BCRX Seller Jun 14 calls to Buy 6,000 Jun 7 – 4 put spreads (paid $.60 on the package, ref. 7.60) 

Major ETFs Block Trades From Thursday

Bullish
  • BKLN Seller 40,000 Oct 22 puts (untied, collects $.22, appears to add to existing write, ref. 22.91)

  • IEF Seller 40,000 Jun 106 puts tied to 1.48M shares (collects $.40, appears to add to write, ref. 106.64) 

Bearish
  • HYG Buyer 40,000 Dec 81 puts tied to 1.24M shares (paid $1.26, ref. 86.07) 

  • SPY 15,000 May 31st 285 – 275 put spreads trade ($1.39, ref. 288.64)

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 12.93 63.1% 13.62 60.71% 1.05 32.94% 30.16% 70.24%
Invesco QQQ Trust QQQ 17.27 58.13% 17.4 56.15% 1.01 40.28% 47.22% 84.92%
iShares Russell 2000 ETF IWM 16.81 64.68% 16.98 65.08% 1.01 48.21% 23.41% 48.02%
SPDR EURO STOXX 50 ETF FEZ 14.32 44.44% 14.48 34.92% 1.01 46.83% 37.7% 68.25%
iShares MSCI Emerging Markets ETF EEM 18.55 59.92% 17.7 38.29% 0.95 16.67% 58.33% 76.19%

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 27.73 26.92 100.00% 100.00% 62.30% 93.25%
Invesco Senior Loan ETF BKLN 12.71 7.58 90.87% 67.46% 80.56% 35.71%
iShares MSCI Europe Financials ETF EUFN 24.21 20.17 86.90% 74.01% 86.90% 79.37%
iShares U.S. Medical Devices ETF IHI 20.2 16.49 78.77% 60.71% 93.25% 47.22%
iShares MSCI Australia ETF EWA 19.07 17.07 76.39% 61.90% 86.51% 96.43%

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 27.73 26.92 100.00% 100.00% 62.30% 93.25%
VanEck Vectors Junior Gold Miners ETF GDXJ 27.18 29.01 63.69% 89.29% 51.59% 67.06%
iShares 1-3 Year Treasury Bond ETF SHY 5.96 8.52 27.78% 84.92% 18.25% 73.02%
Direxion Daily Junior Gold Miners Index Bear 3X Shares JDST 79.52 84.73 53.97% 84.33% 54.76% 65.87%
Direxion Daily Junior Gold Miners Index Bull 3X Shares JNUG 81.56 85.17 63.49% 83.73% 48.02% 61.51%

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 31 25.69 96.43% 90.87% 93.65% 93.65%
The Gap, Inc. GPS 49.55 41.81 94.84% 91.67% 83.33% 43.25%
L Brands, Inc. LB 54.57 44.92 94.05% 88.49% 78.57% 86.90%
HP Inc. HPQ 35.97 29.87 92.46% 88.89% 72.22% 20.24%
V.F. Corporation VFC 35.07 30.37 90.08% 88.49% 96.43% 90.87%

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 38.34 45.46 71.23% 99.21% 0.40% 7.14%
The Gap, Inc. GPS 49.55 41.81 94.84% 91.67% 83.33% 43.25%
Hormel Foods Corporation HRL 31 25.69 96.43% 90.87% 93.65% 93.65%
Humana Inc. HUM 25.99 28.77 79.37% 90.87% 32.14% 25.40%
Anthem, Inc. ANTM 25.15 26.92 75.79% 89.68% 51.59% 19.84%

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
ProShares UltraShort Gold GLL 16.39 17.83 1.19% 5.16% 64.68% 17.86%
Alerian MLP ETF AMLP 15.35 15.95 1.98% 1.98% 5.16% 40.87%
Invesco CurrencyShares Euro Trust FXE 5.05 5.54 3.97% 3.57% 69.84% 66.67%
iShares Preferred and Income Securities ETF PFF 4.44 6.44 4.76% 52.18% 13.49% 73.41%
iShares 20+ Year Treasury Bond ETF TLT 8.36 8.64 5.75% 7.94% 58.73% 7.14%

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 8.86 8.81 17.06% 1.19% 86.51% 21.83%
Alerian MLP ETF AMLP 15.35 15.95 1.98% 1.98% 5.16% 40.87%
Invesco CurrencyShares Canadian Dollar Trust FXC 5.26 5.54 6.94% 3.37% 76.98% 53.97%
Invesco CurrencyShares Euro Trust FXE 5.05 5.54 3.97% 3.57% 69.84% 66.67%
ProShares UltraShort Euro EUO 10.64 10.96 7.14% 4.56% 81.35% 83.73%

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 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
DISH Network Corporation DISH 31.38 35.78 0.40% 0.40% 35.32% 42.86%
Chipotle Mexican Grill, Inc. CMG 20.8 25.13 0.40% 1.59% 24.60% 92.46%
The Hershey Company HSY 14.13 17.61 0.40% 8.33% 10.71% 80.16%
Welltower Inc. WELL 13.48 14.89 0.40% 0.40% 14.68% 35.71%
Celgene Corporation CELG 13.04 13.86 0.79% 3.97% 58.33% 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 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
DISH Network Corporation DISH 31.38 35.78 0.40% 0.40% 35.32% 42.86%
Everest Re Group, Ltd. RE 16.55 16.63 1.59% 0.40% 9.92% 39.29%
Assurant, Inc. AIZ 20.07 20.89 0.79% 0.40% 19.05% 32.94%
Welltower Inc. WELL 13.48 14.89 0.40% 0.40% 14.68% 35.71%
Cboe Global Markets, Inc. CBOE 17.99 19.4 0.79% 0.79% 59.52% 64.68%

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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