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Major Bullish Block Trades in Tesla (TSLA) and JD.com (JD)

Jun 05, 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
  • JD Buyer 44,824 Jun 26 – Sep 27 calls spreads tied to stock (paid $1.00 and $1.03 in two blocks to roll out and up, ref. 26.79) 
  • TSLA Buyer 9,999 Aug 250 calls (paid b/w $2.47 and $2.75 to open, ref. 180.08)
Bearish
  • AU Seller 13,000 Jul 15 calls (untied, collects $.50 to open, ref. 14.10) 
  • NXPI 14,500 Jun 14th 90 puts trade (paid b/w $1.41 and $1.68 to open, ref. 93.33)

Major ETFs Block Trades From Tuesday

Bullish
  • VIX Buyer 16,000 Jun 16 – 15 – 14 put flies (paid $.16, ref. (17.77 (Jun)) 
  • GDX Seller 6,000 Jun 22 calls to Buy 7,500 Jun 22.5 calls (collects $.59 to monetize and roll up, ref. 22.54)
Bearish
  • SMH 8,473 Jul 5th 95 – 85 put spreads trade ($1.17, ref. 101.54) 
  • QQQ Seller 25,200 Aug 175 calls to Buy 25,200 Aug 160 puts tied to stock (collects $2.38, ref. 172.00)

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 16.04 74.6% 15.6 71.83% 0.97 16.07% 37.7% 63.49%
Invesco QQQ Trust QQQ 21.12 71.43% 20.18 71.03% 0.96 26.19% 32.14% 69.44%
iShares Russell 2000 ETF IWM 18.45 67.46% 18.03 68.65% 0.98 36.11% 17.46% 38.49%
SPDR EURO STOXX 50 ETF FEZ 17.41 74.21% 15.41 49.01% 0.89 8.73% 38.49% 58.73%
iShares MSCI Emerging Markets ETF EEM 18.51 56.35% 18.38 47.22% 0.99 31.94% 48.02% 90.48%

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
iPath Series B Bloomberg Coffee Subindex Total Return ETN JO 35.26 32.5 99.21% 98.41% 79.76% 95.24%
Teucrium Corn Fund CORN 35.55 34.62 98.02% 98.81% 75.00% 98.02%
iShares 7-10 Year Treasury Bond ETF IEF 7.79 5.95 98.02% 95.63% 91.67% 63.49%
Direxion Daily 20+ Year Treasury Bull 3X Shares TMF 35.32 32.64 96.43% 94.44% 69.84% 73.41%
iShares 20+ Year Treasury Bond ETF TLT 11.43 10.79 94.44% 92.46% 69.44% 71.03%

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 35.55 34.62 98.02% 98.81% 75.00% 98.02%
iPath Series B Bloomberg Coffee Subindex Total Return ETN JO 35.26 32.5 99.21% 98.41% 79.76% 95.24%
ProShares UltraShort 20+ Year Treasury TBT 22.86 22.61 94.05% 97.02% 73.02% 86.11%
iShares 7-10 Year Treasury Bond ETF IEF 7.79 5.95 98.02% 95.63% 91.67% 63.49%
Direxion Daily 20+ Year Treasury Bear 3X Shares TMV 32.9 33.1 89.29% 95.24% 55.56% 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 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 43.78 35.23 98.41% 96.43% 90.48% 99.60%
The Kraft Heinz Company KHC 39.57 36.52 98.41% 98.41% 47.22% 97.62%
Mylan N.V. MYL 48.6 58.01 96.83% 99.21% 11.90% 55.95%
Walgreens Boots Alliance, Inc. WBA 32.66 28.87 96.43% 94.84% 86.11% 63.10%
FedEx Corporation FDX 34.98 30.77 94.44% 93.25% 69.44% 78.17%

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 48.6 58.01 96.83% 99.21% 11.90% 55.95%
The Kraft Heinz Company KHC 39.57 36.52 98.41% 98.41% 47.22% 97.62%
QUALCOMM Incorporated QCOM 35.58 36.23 81.35% 97.82% 13.10% 11.11%
DaVita Inc. DVA 48.22 43.71 89.29% 97.22% 39.29% 55.16%
The Kroger Co. KR 43.78 35.23 98.41% 96.43% 90.48% 99.60%

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
iShares 1-3 Year Treasury Bond ETF SHY 2.34 2.01 2.38% 7.54% 0.40% 3.17%
Invesco CurrencyShares Australian Dollar Trust FXA 7.47 7.96 6.75% 12.30% 91.27% 98.02%
Invesco CurrencyShares British Pound Sterling Trust FXB 7.65 7.94 12.50% 10.91% 95.24% 16.67%
Invesco CurrencyShares Canadian Dollar Trust FXC 5.38 5.55 12.70% 5.36% 73.41% 92.46%
Invesco CurrencyShares Euro Trust FXE 5.85 5.75 16.67% 9.13% 96.43% 98.41%

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
FAX Capital Corp. FXC 5.38 5.55 12.70% 5.36% 73.41% 92.46%
iShares 1-3 Year Treasury Bond ETF SHY 2.34 2.01 2.38% 7.54% 0.40% 3.17%
Invesco CurrencyShares Euro Trust FXE 5.85 5.75 16.67% 9.13% 96.43% 98.41%
iShares J.P. Morgan USD Emerging Markets Bond ETF EMB 5.47 5.71 18.25% 10.32% 23.81% 32.94%
Invesco CurrencyShares British Pound Sterling Trust FXB 7.65 7.94 12.50% 10.91% 95.24% 16.67%

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 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
Cboe Global Markets, Inc. CBOE 18.55 20.74 2.38% 10.71% 35.71% 98.81%
Celgene Corporation CELG 13.42 15.76 2.78% 15.08% 42.06% 39.68%
DENTSPLY SIRONA Inc. XRAY 21.42 23.31 3.17% 5.95% 92.86% 63.89%
Evergy, Inc. EVRG 13.06 15.41 3.50% 11.50% 17.50% 52.00%
Anadarko Petroleum Corporation APC 11.5 14.35 3.57% 6.35% 50.79% 6.35%

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
Assurant, Inc. AIZ 21.12 21.4 9.92% 3.57% 5.16% 22.62%
Everest Re Group, Ltd. RE 17.29 17.14 7.94% 4.76% 6.75% 36.51%
DENTSPLY SIRONA Inc. XRAY 21.42 23.31 3.17% 5.95% 92.86% 63.89%
Anadarko Petroleum Corporation APC 11.5 14.35 3.57% 6.35% 50.79% 6.35%
Capri Holdings Limited CPRI 35.58 43.49 20.00% 7.50% 2.50% 40.00%

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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