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Major Bullish Block Trade in Micron Technologies (MU) and Bearish Block Trade in iShares 20+ Year Treasury Bond ETF (TLT)

Jun 03, 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
  • MU Buyer 47,000 Jun 35 – 37 call spreads (untied, paid $.41 to open, ref. 32.98) 
  • WPX Buyer 10,000 Aug 12 – 14 1x2 call spreads (paid $.19, ref. 10.94) 
Bearish
  • MT Buyer 23,600 Jun 14 – 13 put spreads (paid $.23 to open, ref. 14.73) 
  • PBR Seller 22,500 Jul 15 calls to Buy 22,500 Jul 14 puts tied to stock (collects $.06, ref. 14.53)

Major ETFs Block Trades From Friday

Bullish
  • HYG Buyer 153,000 Jun 28th 86.5 calls (paid $.10 to open, ref. 85.13) 
  • FXI Buyer 40,000 Jul 42 – 44 call spreads (untied, paid $.33, ref. 40.15) 
  • VIX Seller 11,000 Jul 3rd 25 calls (collects $.65, ref. 17.75 (Jul 3rd))
Bearish
  • EWW Buyer 16,445 Jun 7th 41.5 puts (Mexico ETF, paid $.32 to open, ref. 42.66) 
  • TLT Buyer 35,000 Jun 129 – 126.5 put spreads (paid $.45 to open, ref. 131.41) 
  • EWZ Buyer 100,000 Jun 39.5 – 37 put spreads (paid $.44, ref. 41.70)

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 FEZ 17.42 85.71% 16.61 81.75% 0.95 9.72% 63.89% 79.37%
Invesco QQQ Trust QQQ 22.34 76.98% 21.13 78.57% 0.95 21.03% 63.89% 93.25%
iShares Russell 2000 ETF IWM 20.95 82.14% 19.71 82.14% 0.94 19.84% 46.83% 63.1%
SPDR EURO STOXX 50 ETF FEZ 19.74 89.29% 16.29 67.66% 0.83 3.17% 73.02% 71.03%
iShares MSCI Emerging Markets ETF EEM 19.27 65.08% 18.76 54.76% 0.97 22.82% 39.29% 88.89%

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 37.89 35.52 99.60% 100.00% 76.19% 99.21%
iPath Series B Bloomberg Coffee Subindex Total Return ETN JO 34.93 34.2 99.60% 100.00% 84.13% 99.60%
iShares 20+ Year Treasury Bond ETF TLT 11.85 11.16 98.02% 96.03% 98.81% 94.84%
Direxion Daily 20+ Year Treasury Bull 3X Shares TMF 35.42 32.43 98.02% 94.05% 98.41% 85.32%
iShares 7-10 Year Treasury Bond ETF IEF 6.81 5.98 97.62% 96.43% 86.51% 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 37.89 35.52 99.60% 100.00% 76.19% 99.21%
iPath Series B Bloomberg Coffee Subindex Total Return ETN JO 34.93 34.2 99.60% 100.00% 84.13% 99.60%
iShares 7-10 Year Treasury Bond ETF IEF 6.81 5.98 97.62% 96.43% 86.51% 66.27%
iShares 20+ Year Treasury Bond ETF TLT 11.85 11.16 98.02% 96.03% 98.81% 94.84%
Direxion Daily 20+ Year Treasury Bear 3X Shares TMV 35.52 33.05 96.03% 94.84% 99.60% 90.08%

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 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 45.99 36.42 100.00% 100.00% 99.21% 89.29%
Mylan N.V. MYL 54.82 60.69 100.00% 100.00% 21.03% 64.29%
The Kraft Heinz Company KHC 43.29 38.77 99.60% 100.00% 60.71% 99.60%
Centene Corporation CNC 48.99 41.25 98.02% 96.43% 74.21% 49.21%
QUALCOMM Incorporated QCOM 37.98 36.43 96.83% 99.21% 17.06% 11.51%

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 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 Kraft Heinz Company KHC 43.29 38.77 99.60% 100.00% 60.71% 99.60%
The Kroger Co. KR 45.99 36.42 100.00% 100.00% 99.21% 89.29%
Mylan N.V. MYL 54.82 60.69 100.00% 100.00% 21.03% 64.29%
QUALCOMM Incorporated QCOM 37.98 36.43 96.83% 99.21% 17.06% 11.51%
Occidental Petroleum Corporation OXY 33.37 33.4 90.28% 97.62% 48.02% 94.05%

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
FedEx Corporation FXA 7.44 8.12 5.95% 17.26% 97.22% 100.00%
ProShares UltraShort Euro EUO 10.21 11.08 6.75% 9.52% 98.02% 83.73%
Invesco CurrencyShares Euro Trust FXE 5.25 5.52 7.94% 5.56% 98.02% 62.70%
Invesco DB US Dollar Index Bullish Fund UUP 5.79 6.79 8.33% 33.33% 94.44% 96.83%
Invesco CurrencyShares British Pound Sterling Trust FXB 7.35 8.13 8.93% 17.86% 45.24% 17.86%

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 Canadian Dollar Trust FXC 5.34 5.56 11.31% 5.56% 90.48% 96.03%
Invesco CurrencyShares Euro Trust FXE 5.25 5.52 7.94% 5.56% 98.02% 62.70%
ProShares UltraShort Euro EUO 10.21 11.08 6.75% 9.52% 98.02% 83.73%
Invesco CurrencyShares Swiss Franc Trust FXF 5.35 5.44 16.87% 12.10% 24.21% 32.94%
iShares Silver Trust SLV 14.61 15.15 12.10% 13.29% 66.27% 69.05%

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
Public Storage PSA 13.3 17.07 0.79% 23.21% 27.78% 81.75%
Evergy, Inc. EVRG 13.51 15.73 6.06% 18.18% 35.86% 62.12%
Anadarko Petroleum Corporation APC 15.18 17.37 6.35% 7.54% 23.81% 8.33%
DENTSPLY SIRONA Inc. XRAY 23.1 24.04 8.73% 8.33% 25.00% 69.05%
Celgene Corporation CELG 14.73 15.18 8.73% 12.70% 47.22% 38.10%

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
Dollar Tree, Inc. DLTR 22.69 21.36 23.41% 0.79% 24.60% 55.16%
Dollar General Corporation DG 19.8 20.03 20.24% 4.37% 16.27% 8.73%
Everest Re Group, Ltd. RE 17.65 17.76 10.71% 5.56% 15.87% 48.02%
Anadarko Petroleum Corporation APC 15.18 17.37 6.35% 7.54% 23.81% 8.33%
Extra Space Storage Inc. EXR 17.34 17.7 14.29% 7.94% 44.05% 60.71%

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

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