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Major Bullish Block Trade in Vale SA (VALE) and Bearish Block Trade in Square Inc. (SQ)

May 28, 2019

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

Major Stock Block Trades From Friday

Bullish
  • ALLY Buyer 20,000 Jan 35 calls (paid $.65, ref. 29.35) 
  • VALE Buyer 8,000 May 31st 12 calls (paid $.40, ref. 12.06)
Bearish
  • FOXA Seller 20,625 Jul 41 – Oct 42 call spreads trade (collects $.45, rolls write out and up, ref. 36.92) 
  • SQ 6,000 Jun 14th 67.5 – Jun 28th 64 call spreads trade (appears to roll write out and down, ref. 64.19)

Major ETFs Block Trades From Friday

Bullish
  • EEM Buyer 50,000 Jul 41 calls tied to stock (paid $.65 to open, ref. 39.96) 
  • SMH 3,000 Jul 5th 101 calls trade (appears bought, $3.85, ref. 100.65)
Bearish
  • KRE Seller 21,500 Jun 54 – 48 put spreads to Buy 23,200 Jul 50 – 44 put spreads (rolls out and down, ref. 52.32) 
  • XRT Seller 5,800 Jun 44 – 40 put spreads to Buy 15,700 Jul 41 – 38 put spreads (monetizes, rolls out and down/adds units, ref. 41.47)

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 15.09 73.02% 14.69 69.44% 0.97 14.29% 50.4% 69.44%
Invesco QQQ Trust QQQ 19.89 69.84% 19.64 71.03% 0.99 36.31% 53.17% 89.68%
iShares Russell 2000 ETF IWM 18.23 68.65% 17.66 68.65% 0.97 30.16% 22.62% 42.86%
SPDR EURO STOXX 50 ETF FEZ 18.67 84.52% 15.29 47.42% 0.82 2.18% 60.32% 64.68%
iShares MSCI Emerging Markets ETF EEM 18.19 55.16% 18.28 46.63% 1.00 34.52% 31.35% 84.13%

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
ProShares UltraPro Short QQQ SQQQ 186.8 328.41 100.00% 100.00% 100.00% 100.00%
Teucrium Corn Fund CORN 33.77 32.48 100.00% 100.00% 89.29% 100.00%
iPath Series B Bloomberg Coffee Subindex Total Return ETN JO 31.24 30.13 97.22% 98.02% 90.48% 90.08%
iShares 7-10 Year Treasury Bond ETF IEF 5.66 5.2 93.65% 84.13% 66.67% 52.78%
iShares MSCI Europe Financials ETF EUFN 26.63 19.95 92.86% 70.44% 87.70% 73.02%

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
ProShares UltraPro Short QQQ SQQQ 186.8 328.41 100.00% 100.00% 100.00% 100.00%
Teucrium Corn Fund CORN 33.77 32.48 100.00% 100.00% 89.29% 100.00%
iPath Series B Bloomberg Coffee Subindex Total Return ETN JO 31.24 30.13 97.22% 98.02% 90.48% 90.08%
VanEck Vectors Oil Services ETF OIH 34.7 34.05 79.56% 85.71% 34.52% 54.76%
iShares PHLX Semiconductor ETF SOXX 29.3 28.3 78.17% 85.71% 43.65% 59.13%

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
The Kroger Co. KR 41.73 34.21 99.21% 94.84% 92.06% 77.38%
The Gap, Inc. GPS 52.23 42.89 98.41% 95.83% 90.87% 46.83%
Ulta Beauty, Inc. ULTA 42.76 35.85 97.22% 88.10% 71.43% 71.03%
Centene Corporation CNC 44.89 40.6 96.03% 96.03% 58.73% 47.22%
Keysight Technologies, Inc. KEYS 37.7 34.79 94.44% 97.22% 31.75% 65.08%

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 45.31 51.59 90.87% 100.00% 7.94% 44.44%
QUALCOMM Incorporated QCOM 36.14 36.23 88.10% 99.60% 13.89% 10.32%
The Kraft Heinz Company KHC 30.01 32.85 75.79% 98.81% 77.38% 100.00%
Keysight Technologies, Inc. KEYS 37.7 34.79 94.44% 97.22% 31.75% 65.08%
Centene Corporation CNC 44.89 40.6 96.03% 96.03% 58.73% 47.22%

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
SPDR Gold Trust GLD 8.25 8.64 1.59% 0.79% 54.76% 24.21%
VanEck Vectors Russia ETF RSX 17.45 18.87 3.57% 6.35% 34.52% 84.92%
ProShares UltraShort Gold GLL 16.77 17.68 4.37% 5.16% 55.95% 23.41%
iShares Silver Trust SLV 14.29 14.8 5.16% 4.56% 44.84% 33.33%
Invesco DB Agriculture Fund DBA 12.06 13.2 5.36% 7.14% 4.37% 34.13%

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
ProShares UltraPro Short Dow30 SDOW 35.72 28.97 31.35% 0.40% 9.92% 27.38%
The Utilities Select Sector SPDR Fund XLU 12.12 11.94 20.24% 0.60% 36.11% 79.76%
SPDR Gold Trust GLD 8.25 8.64 1.59% 0.79% 54.76% 24.21%
Direxion Daily 20+ Year Treasury Bull 3X Shares TMF 26.8 24.56 46.83% 1.59% 61.90% 1.98%
ProShares UltraShort Euro EUO 10.27 10.66 6.94% 3.97% 99.60% 70.24%

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
Public Storage PSA 12.51 15.84 0.40% 1.98% 20.24% 83.33%
Eversource Energy ES 11.65 12.75 0.79% 1.59% 9.52% 70.63%
Atmos Energy Corporation ATO 11.59 13.32 0.79% 4.96% 15.08% 80.95%
Vornado Realty Trust VNO 14.19 15.28 1.59% 5.95% 48.02% 58.73%
D.R. Horton, Inc. DHI 23.78 28.86 1.59% 21.43% 72.62% 91.67%

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 19.69 20.87 3.97% 0.79% 17.86% 56.75%
Macy's, Inc. M 33.55 37.22 25.00% 1.59% 87.70% 92.86%
Assurant, Inc. AIZ 20.81 21.28 7.94% 1.59% 5.95% 22.62%
Eversource Energy ES 11.65 12.75 0.79% 1.59% 9.52% 70.63%
Public Storage PSA 12.51 15.84 0.40% 1.98% 20.24% 83.33%

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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