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Major Bullish Block Trades in Tesla (TSLA) and Xilinx (XLNX)

May 21, 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
  • XLNX 10,000 Jun 90 puts trade (appears sold to open, collects $1.32, ref. 101.13) 
  • TSLA 5,000 Jun 220 calls trade (appears bought, $6.90, more than 12,000 trade on the day, ref. 204.45)
Bearish
  • PCG Buyer 50,000 Jun 18 calls to Sell 70,000 Jan 22.5 calls (appears closing on both legs to monetize, ref. 17.43) 
  • AFL Seller 18,500 Aug 55 calls to Buy 18,500 Aug 45 puts (collects $.15, ref. 52.31)

Major ETFs Block Trades From Monday

Bullish
  • EMB 10,000 Jul 107 puts trade (appears sold to open, $.56, ref. 109.16)  
  • SPY 5,000 Sep 300 – 315 1x2 call spreads trade tied to stock (paid $1.79, ref. 285.10)
Bearish
  • HYG Seller 30,000 Jun 82 puts to Buy 15,000 Sep 83 – 79 put spreads (appears to roll up and out into spread, ref. 85.89)  
  • KWEB Seller 3,700 Jun 45 – 42 put spreads to Buy 3,700 Jun 41 – 38 put spreads (China Internet ETF, monetizes, rolls down to maintain bearish exposure, ref. 41.83)

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 14.39 71.03% 14.55 68.45% 1.01 22.42% 43.25% 73.81%
Invesco QQQ Trust QQQ 20.48 72.22% 19.45 70.24% 0.95 20.04% 59.52% 92.06%
iShares Russell 2000 ETF IWM 18.56 70.24% 18.13 71.83% 0.98 33.13% 34.92% 57.94%
SPDR EURO STOXX 50 ETF FEZ 17.85 80.16% 15.75 57.14% 0.88 7.14% 70.24% 78.57%
iShares MSCI Emerging Markets ETF EEM 19.14 64.29% 18.78 55.16% 0.98 26.98% 59.13% 89.68%

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 30.92 27.41 100.00% 100.00% 82.14% 95.24%
iShares MSCI Europe Financials ETF EUFN 26.16 22.23 92.46% 91.67% 92.06% 97.62%
ProShares VIX Short-Term Futures ETF VIXY 83.31 71 89.29% 39.68% 5.95% 29.76%
VanEck Vectors Semiconductor ETF SMH 31.16 28.07 89.29% 84.92% 55.95% 74.60%
iShares Trust - iShares PHLX Semiconductor ETF SOXX 31.27 28.63 87.30% 88.29% 51.19% 66.27%

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 30.92 27.41 100.00% 100.00% 82.14% 95.24%
Xtrackers Harvest CSI 500 China A-Shares Small Cap ETF ASHS 31.41 35.73 66.67% 93.65% 6.35% 26.19%
iShares MSCI Europe Financials ETF EUFN 26.16 22.23 92.46% 91.67% 92.06% 97.62%
iShares 7-10 Year Treasury Bond ETF IEF 4.91 5.3 75.20% 89.48% 55.16% 56.75%
iShares PHLX Semiconductor ETF SOXX 31.27 28.63 87.30% 88.29% 51.19% 66.27%

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
Keysight Technologies, Inc. KEYS 40.73 35.51 99.21% 99.21% 30.56% 74.60%
The Gap, Inc. GPS 50.45 41.68 96.43% 90.08% 86.11% 43.25%
HP Inc. HPQ 38.16 29.32 96.03% 86.11% 84.13% 20.24%
Medtronic plc MDT 26.85 22.03 96.03% 91.27% 97.22% 97.22%
L Brands, Inc. LB 56.2 46.61 96.03% 93.65% 83.33% 91.27%

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
Keysight Technologies, Inc. KEYS 40.73 35.51 99.21% 99.21% 30.56% 74.60%
Mylan N.V. MYL 42.35 45.15 81.75% 98.81% 3.97% 6.35%
The Kroger Co. KR 35.96 34.43 73.41% 96.83% 82.94% 74.21%
Centene Corporation CNC 42.43 39.77 94.05% 94.05% 47.62% 46.83%
Duke Realty Corporation DRE 18.17 23.2 53.37% 94.05% 44.84% 100.00%

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 Senior Loan ETF BKLN 3.4 5.77 2.18% 41.47% 5.16% 30.95%
iShares 20+ Year Treasury Bond ETF TLT 8.18 8.77 3.57% 13.10% 63.89% 19.84%
Direxion Daily 20+ Year Treasury Bear 3X Shares TMV 23.91 26.68 4.17% 15.87% 53.57% 19.84%
iShares Silver Trust SLV 14.43 15.02 5.95% 9.52% 38.89% 36.90%
ProShares UltraShort 20+ Year Treasury TBT 15.95 17.31 6.35% 9.72% 55.95% 9.52%

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 9.06 8.53 24.80% 0.40% 76.59% 15.48%
ProShares UltraShort Euro EUO 10.37 10.82 6.35% 3.57% 97.62% 76.59%
Alerian MLP ETF AMLP 16.14 16.36 9.13% 4.76% 7.14% 48.02%
Invesco CurrencyShares Euro Trust FXE 5.6 5.73 9.13% 5.56% 99.60% 77.38%
Invesco CurrencyShares Canadian Dollar Trust FXC 5.37 5.59 9.52% 5.75% 81.75% 75.79%

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
The Hershey Company HSY 14.15 18.35 1.19% 20.83% 11.51% 89.68%
Anadarko Petroleum Corporation APC 11.4 11.1 1.59% 1.19% 7.54% 1.19%
Cboe Global Markets, Inc. CBOE 18.86 19.98 1.98% 2.78% 55.95% 75.40%
Celgene Corporation CELG 13.73 13.94 2.38% 4.76% 63.89% 14.29%
NiSource Inc. NI 13.41 14.51 2.58% 3.17% 38.10% 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 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
Extra Space Storage Inc. EXR 17.03 17.12 9.13% 0.79% 27.78% 49.60%
Anadarko Petroleum Corporation APC 11.4 11.1 1.59% 1.19% 7.54% 1.19%
Everest Re Group, Ltd. RE 16.73 17.11 3.17% 2.38% 11.11% 48.41%
Cboe Global Markets, Inc. CBOE 18.86 19.98 1.98% 2.78% 55.95% 75.40%
AbbVie Inc. ABBV 20.6 22.34 8.33% 3.17% 87.70% 95.63%

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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