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Major Bullish Block Trade in Qualcomm (QCOM) and Bearish Block Trade in Walmart (WMT)

May 22, 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
  • QCOM Buyer 13,811 Jul 90 calls (untied, paid $.50, ref. 77.91) 
  • ORCL Seller 5,000 Aug 50 puts (collects $.94, opens write, ref. 54.15)
Bearish
  • CC 5,000 Oct 20 – 16 put spreads trade ($.925, ref. 24.03) 
  • WMT 7,538 Jul 105 calls trade (appears sold to open write, $.95, ref. 100.61)

Major ETFs Block Trades From Tuesday

Bullish
  • JNK 5,000 Sep 108 puts trade (appears sold, $2.60, ref. 107.62)
Bearish
  • XLV Buyer 5,700 Sep 80 puts (untied, paid $.96, ref. 89.16)

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 12.97 62.3% 13.98 63.49% 1.08 40.48% 31.75% 70.63%
Invesco QQQ Trust QQQ 18.69 63.89% 18.45 64.68% 0.99 35.32% 48.41% 84.52%
iShares Russell 2000 ETF IWM 17.05 63.89% 17.68 69.44% 1.04 63.49% 20.63% 49.21%
SPDR EURO STOXX 50 ETF FEZ 17.59 78.57% 14.91 41.67% 0.85 4.17% 61.11% 65.87%
iShares MSCI Emerging Markets ETF EEM 17.23 42.06% 17.18 30.36% 1.00 33.93% 14.68% 55.95%

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 31.9 30.53 100.00% 100.00% 84.92% 100.00%
iPath Series B Bloomberg Coffee Subindex Total Return ETN JO 30.56 30.47 96.03% 99.21% 87.30% 78.97%
iShares Preferred and Income Securities ETF PFF 12.51 5.98 91.67% 40.08% 82.14% 58.33%
iShares MSCI Europe Financials ETF EUFN 25.3 20.69 89.29% 80.16% 87.70% 86.90%
iShares Edge MSCI Min Vol EAFE ETF EFAV 14.84 10.4 86.51% 34.92% 83.73% 70.24%

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 31.9 30.53 100.00% 100.00% 84.92% 100.00%
iPath Series B Bloomberg Coffee Subindex Total Return ETN JO 30.56 30.47 96.03% 99.21% 87.30% 78.97%
iShares MSCI Europe Financials ETF EUFN 25.3 20.69 89.29% 80.16% 87.70% 86.90%
VanEck Vectors Semiconductor ETF SMH 28 26.65 75.00% 76.19% 39.29% 59.13%
Direxion Daily Semiconductor Bull 3X Shares SOXL 80.51 75.39 73.02% 75.00% 36.51% 56.75%

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

S&P 500 Stocks with most 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
Medtronic plc MDT 27.42 24.58 96.83% 98.02% 99.21% 100.00%
Keysight Technologies, Inc. KEYS 38.73 33.7 96.83% 94.84% 29.76% 62.30%
Hormel Foods Corporation HRL 31.23 25.6 96.43% 90.48% 99.21% 98.41%
Synopsys, Inc. SNPS 34.26 27.04 92.06% 64.48% 52.78% 69.44%
HP Inc. HPQ 35.87 28.92 91.27% 83.33% 74.60% 19.44%

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
The Kroger Co. KR 38.11 35.06 87.30% 98.41% 86.90% 80.16%
Mylan N.V. MYL 39.79 44.58 75.79% 98.02% 1.19% 3.57%
Medtronic plc MDT 27.42 24.58 96.83% 98.02% 99.21% 100.00%
Keysight Technologies, Inc. KEYS 38.73 33.7 96.83% 94.84% 29.76% 62.30%
Fluor Corporation FLR 40.35 39.27 79.37% 93.85% 9.92% 29.37%

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
Alerian MLP ETF AMLP 14.77 15.47 1.19% 1.59% 4.76% 36.90%
Invesco CurrencyShares Canadian Dollar Trust FXC 5.04 5.6 1.98% 6.55% 86.51% 79.76%
Galilee Energy Limited GLL 16.71 17.45 3.17% 1.98% 55.56% 17.46%
ProShares UltraShort Euro EUO 9.49 10.35 3.17% 2.98% 95.24% 58.33%
Invesco Senior Loan ETF BKLN 3.54 7.45 3.57% 64.68% 6.75% 34.52%

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)

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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 5.11 5.18 4.37% 0.40% 94.84% 49.60%
iShares Silver Trust SLV 14.41 14.44 5.95% 0.40% 46.83% 20.63%
The Utilities Select Sector SPDR Fund XLU 12 12.2 16.67% 0.60% 34.92% 84.52%
Alerian MLP ETF AMLP 14.77 15.47 1.19% 1.59% 4.76% 36.90%
ProShares UltraShort Gold GLL 16.71 17.45 3.17% 1.98% 55.56% 17.46%

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

S&P 500 Stocks with most 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 10.91 10.99 0.40% 0.79% 6.35% 1.19%
The Hershey Company HSY 13.57 18.24 0.40% 19.05% 9.92% 90.08%
General Mills, Inc. GIS 16.46 19.27 0.40% 4.96% 81.75% 96.03%
Cabot Oil & Gas Corporation COG 24.56 26.47 0.40% 0.40% 27.38% 67.06%
Celgene Corporation CELG 12.17 12.99 0.60% 1.19% 31.15% 5.95%

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
AutoZone, Inc. AZO 21.16 20.88 19.44% 0.40% 25.79% 19.05%
Cabot Oil & Gas Corporation COG 24.56 26.47 0.40% 0.40% 27.38% 67.06%
Anadarko Petroleum Corporation APC 10.91 10.99 0.40% 0.79% 6.35% 1.19%
Welltower Inc. WELL 15.31 16.19 2.98% 0.79% 35.71% 56.35%
Extra Space Storage Inc. EXR 17.2 16.9 11.11% 0.79% 28.97% 50.00%

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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