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Major Bullish Block Trades in TJX Companies (TJX) and Canada Goose (GOOS)

May 30, 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
  • GOOS Seller 8,000 Jun 30 puts (collects $.225 to open write, more than 13,000 trade total, ref. 35.64) 
  • TJX Buyer 6,700 Jun 50 calls trade (paid $.50, more than 11,000 trade total, ref. 49.15)
Bearish
  • DVA 10,212 Jun 42.5 puts trade (appears bought to open, $.96, ref. 44.83) 
  • YPF Seller 30,000 Jan 18 – 23 call spreads tied to stock (appears closing on both legs, collects $.81, ref. 14.93)

Major ETFs Block Trades From Wednesday

Bullish
  • VIXW Seller 16,000 Jun 26th 24 calls (collects $.65, ref. 17.96 (Jun 26th)) 
  • TLT 15,048 May 31st 130 calls trade ($.40, appears sold to close, ref. 129.68)
Bearish
  • XLF Seller 88,478 Jun 27 – 24 put spreads to Buy 167,970 Jul 26 – 23 put spreads (rolls out and down, ref. 26.41) 
  • HYG Buyer 100,000 Jun 83.5 - 82.5 put spreads (paid $.14, ref. 85.42)

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 16.49 78.57% 15.88 75.79% 0.96 11.9% 61.51% 78.17%
Invesco QQQ Trust QQQ 21.81 75.4% 20.54 75.0% 0.94 18.65% 66.27% 92.86%
iShares Russell 2000 ETF IWM 20.22 78.57% 18.77 76.19% 0.93 14.29% 41.27% 54.37%
SPDR EURO STOXX 50 ETF FEZ 19.46 88.1% 16.13 64.09% 0.83 3.57% 74.21% 72.22%
iShares MSCI Emerging Markets ETF EEM 18.81 61.51% 18.09 42.66% 0.96 19.64% 35.32% 75.4%

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 36.77 34.81 100.00% 100.00% 87.30% 100.00%
iPath Series B Bloomberg Coffee Subindex Total Return ETN JO 34.35 33.03 100.00% 100.00% 82.54% 99.60%
iShares 7-10 Year Treasury Bond ETF IEF 6.06 5.47 96.43% 92.06% 74.60% 61.90%
iShares MSCI Europe Financials ETF EUFN 26.73 21.34 92.46% 86.51% 90.08% 88.10%
iShares MSCI Germany ETF EWG 20.49 17.96 88.49% 71.03% 70.24% 92.46%

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 JO 34.35 33.03 100.00% 100.00% 82.54% 99.60%
iPath Series B Bloomberg Coffee Subindex Total Return ETN CORN 36.77 34.81 100.00% 100.00% 87.30% 100.00%
iShares 7-10 Year Treasury Bond ETF IEF 6.06 5.47 96.43% 92.06% 74.60% 61.90%
VanEck Vectors Semiconductor ETF SMH 30.6 28.77 85.71% 88.10% 53.17% 72.22%
VanEck Vectors Oil Services ETF OIH 37.8 35.04 85.71% 87.70% 66.67% 65.48%

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 Gap, Inc. GPS 59.76 47.05 100.00% 100.00% 94.05% 100.00%
Ulta Beauty, Inc. ULTA 47.2 38.98 100.00% 98.41% 74.60% 92.86%
The Kroger Co. KR 44.9 35.83 100.00% 100.00% 99.21% 87.70%
Keysight Technologies, Inc. KEYS 40.14 34.72 98.81% 96.83% 36.51% 63.49%
Mylan N.V. MYL 49.23 51.51 98.81% 99.21% 14.29% 44.84%

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

S&P 500 Stocks with most 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 Gap, Inc. GPS 59.76 47.05 100.00% 100.00% 94.05% 100.00%
The Kroger Co. KR 44.9 35.83 100.00% 100.00% 99.21% 87.70%
The Kraft Heinz Company KHC 38.85 34.93 98.81% 99.60% 55.16% 99.21%
QUALCOMM Incorporated QCOM 36 36.7 85.71% 99.60% 13.89% 11.11%
Mylan N.V. MYL 49.23 51.51 98.81% 99.21% 14.29% 44.84%

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 17.08 2.18% 0.79% 52.38% 37.30%
iShares Silver Trust SLV 14.13 15.15 3.77% 13.10% 32.54% 70.63%
Invesco CurrencyShares Euro Trust FXE 5.23 5.32 6.94% 2.38% 98.81% 53.57%
Invesco CurrencyShares British Pound Sterling Trust FXB 7.38 8.21 8.73% 23.61% 56.75% 19.84%
SPDR Gold Trust GLD 8.6 8.72 9.13% 1.98% 66.27% 54.37%

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
ProShares UltraShort Gold GLL 16.39 17.08 2.18% 0.79% 52.38% 37.30%
SPDR Gold Trust GLD 8.6 8.72 9.13% 1.98% 66.27% 54.37%
Invesco CurrencyShares Euro Trust FXE 5.23 5.32 6.94% 2.38% 98.81% 53.57%
Invesco CurrencyShares Canadian Dollar Trust FXC 5.36 5.58 11.11% 5.95% 82.14% 92.86%
Invesco CurrencyShares Australian Dollar Trust FXA 7.76 7.79 12.30% 6.35% 98.41% 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 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 14.37 16.77 5.56% 6.75% 16.27% 6.75%
Evergy, Inc. EVRG 14.15 15.55 9.69% 16.33% 40.31% 59.18%
Celgene Corporation CELG 15.41 17.01 10.32% 16.27% 62.30% 40.08%
Charter Communications, Inc. CHTR 21.99 23.79 10.32% 7.54% 55.16% 94.44%
Cboe Global Markets, Inc. CBOE 19.8 20.04 10.91% 4.76% 34.52% 77.78%

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 23.47 22.9 38.89% 2.98% 29.76% 76.19%
Cboe Global Markets, Inc. CBOE 19.8 20.04 10.91% 4.76% 34.52% 77.78%
Capri Holdings Limited CPRI 38.86 43.28 33.33% 5.56% 2.78% 58.33%
Anadarko Petroleum Corporation APC 14.37 16.77 5.56% 6.75% 16.27% 6.75%
Charter Communications, Inc. CHTR 21.99 23.79 10.32% 7.54% 55.16% 94.44%

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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