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Major Bullish Block Trade in iShares Silver Trust (SLV) and Bearish Block Trade in SPDR S&P 500 ETF Trust (SPY)

Jun 04, 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
  • MPC Buyer 11,600 Jan 60 – 80 call spreads tied to stock (paid $1.20 to open, ref. 46.50) 
  • FL Seller 7,500 Jun 36 puts (untied, collects $.24 to open, ref. 39.80)
Bearish
  • NIO 14,000 Jun 7th 2.5 puts trade (paid b/w $.03 and $.06 and appears to add to position, ref. 2.82) 
  • DISH 7,500 Dec 40 calls trade (appears sold to open write, collects b/w $3.50 and $3.40, ref. 36.50)

Major ETFs Block Trades From Monday

Bullish
  • SLV Buyer 33,000 Jan 15 – 17 call spreads (paid $.265, appears to roll down, ref. 13.89) 
  • XLE Buyer 5,000 Jun 28th 60 – 63 call spreads (paid .87 to open, ref. 59.33)
Bearish
  • SPY Seller 16,960 Jul 280 puts to Buy 24,407 Jul 265 puts (monetizes, rolls down/adds units, ref. 276.08) 
  • IWM 11,000 Sep 145 – 127 1x2 put spreads trade (trades $2.74, ref. 146.44)

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 17.91 88.1% 16.74 82.54% 0.93 7.54% 71.83% 80.16%
Invesco QQQ Trust QQQ 24.12 84.13% 22.17 83.73% 0.92 13.49% 67.86% 93.65%
iShares Russell 2000 ETF IWM 20.9 80.95% 19.28 78.97% 0.92 10.91% 57.14% 61.11%
SPDR EURO STOXX 50 ETF FEZ 18.86 85.91% 15.91 60.32% 0.84 4.17% 59.52% 72.22%
iShares MSCI Emerging Markets ETF EEM 19.39 66.27% 19.01 59.92% 0.98 27.78% 46.83% 93.25%

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
Direxion Daily 20+ Year Treasury Bull 3X Shares TMF 37.83 34.94 100.00% 98.81% 99.60% 99.21%
Direxion Daily 20+ Year Treasury Bear 3X Shares TMV 37.56 33.38 99.60% 96.03% 99.60% 93.65%
iPath Series B Bloomberg Coffee Subindex Total Return ETN JO 35.42 33.48 99.60% 99.21% 81.35% 99.21%
iShares 20+ Year Treasury Bond ETF TLT 12.24 11.51 99.60% 99.21% 99.60% 97.62%
Teucrium Corn Fund CORN 36.89 35.7 99.21% 100.00% 72.62% 99.21%

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 36.89 35.7 99.21% 100.00% 72.62% 99.21%
ProShares UltraShort 20+ Year Treasury TBT 24.96 23.35 98.02% 99.21% 98.41% 97.22%
iPath Series B Bloomberg Coffee Subindex Total Return ETN JO 35.42 33.48 99.60% 99.21% 81.35% 99.21%
iShares 20+ Year Treasury Bond ETF TLT 12.24 11.51 99.60% 99.21% 99.60% 97.62%
Direxion Daily 20+ Year Treasury Bull 3X Shares TMF 37.83 34.94 100.00% 98.81% 99.60% 99.21%

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
FedEx Corporation FDX 39.09 33.13 99.60% 97.22% 100.00% 98.81%
Mylan N.V. MYL 53.67 58.86 99.60% 99.60% 19.84% 60.32%
The Kroger Co. KR 44.79 36.12 99.21% 99.21% 98.02% 98.81%
The Kraft Heinz Company KHC 40.48 38.4 98.81% 99.60% 48.81% 98.81%
Walgreens Boots Alliance, Inc. WBA 33.44 29.54 97.22% 96.43% 98.81% 67.46%

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

S&P 500 Stocks with most 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 53.67 58.86 99.60% 99.60% 19.84% 60.32%
The Kraft Heinz Company KHC 40.48 38.4 98.81% 99.60% 48.81% 98.81%
QUALCOMM Incorporated QCOM 37.37 36.53 94.44% 99.21% 19.05% 11.90%
DaVita Inc. DVA 49.56 45.18 90.87% 99.21% 51.59% 60.71%
The Kroger Co. KR 44.79 36.12 99.21% 99.21% 98.02% 98.81%

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 CurrencyShares Australian Dollar Trust FXA 7.58 7.66 8.53% 3.57% 95.63% 93.65%
Invesco CurrencyShares Canadian Dollar Trust FXC 5.43 5.78 13.89% 13.89% 81.35% 96.83%
VanEck Vectors J.P. Morgan EM Local Currency Bond ETF EMLC 7.32 8.69 16.67% 25.79% 24.21% 22.62%
iShares J.P. Morgan USD Emerging Markets Bond ETF EMB 5.61 6.36 21.03% 25.40% 43.25% 73.02%
Invesco CurrencyShares Euro Trust FXE 6.2 6.29 22.02% 19.05% 97.22% 100.00%

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
Invesco CurrencyShares Australian Dollar Trust FXA 7.58 7.66 8.53% 3.57% 95.63% 93.65%
VanEck Vectors Russia ETF RSX 19.11 19.21 23.81% 9.13% 30.95% 78.57%
Invesco CurrencyShares Canadian Dollar Trust FXC 5.43 5.78 13.89% 13.89% 81.35% 96.83%
ProShares UltraShort Euro EUO 12.18 11.76 26.59% 18.65% 97.22% 100.00%
Invesco CurrencyShares Euro Trust FXE 6.2 6.29 22.02% 19.05% 97.22% 100.00%

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
Everest Re Group, Ltd. RE 15.27 16.71 0.40% 1.19% 3.57% 33.73%
Anadarko Petroleum Corporation APC 13.27 16.47 5.16% 7.14% 15.48% 7.14%
DENTSPLY SIRONA Inc. XRAY 22.83 23.9 7.94% 7.54% 98.81% 68.65%
Celgene Corporation CELG 14.38 15.97 7.94% 15.87% 61.51% 39.68%
Charter Communications, Inc. CHTR 22.36 24.78 12.70% 11.51% 60.71% 96.83%

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
Everest Re Group, Ltd. RE 15.27 16.71 0.40% 1.19% 3.57% 33.73%
Anadarko Petroleum Corporation APC 13.27 16.47 5.16% 7.14% 15.48% 7.14%
DENTSPLY SIRONA Inc. XRAY 22.83 23.9 7.94% 7.54% 98.81% 68.65%
Assurant, Inc. AIZ 22.06 21.91 19.84% 11.11% 8.73% 34.92%
Charter Communications, Inc. CHTR 22.36 24.78 12.70% 11.51% 60.71% 96.83%

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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