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Major Bearish Block Trades in iShares MSCI Mexico ETF (EWW) and Consumer Staples Select Sector SPDR Fund (XLP)

Jun 07, 2019

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Major Stock Block Trades From Thursday

Bullish
  • HOME Buyer 6,500 Sep 15 calls (paid b/w $.44 and $.50, ref. 9.76) 
  • SE Buyer 5,200 Jul 30 calls (paid b/w $1.50 and $1.70 to open, ref. 29.45)
Bearish
  • RH Buyer 3,700 Jun 14th 88 – 80 – 72 put flies (paid $1.65, Earnings 6/12, ref. 87.54) 
  • LOW Seller 11,400 Oct 105 calls (collects $2.68, ref. 95.90)

Major ETFs Block Trades From Thursday

Bullish
  • EMB 5,000 Jul 110 – Aug 111 call spreads trade (appears to monetize, roll out and up, $1.70, ref. 110.77) 
  • EWC 10,000 Jul 27 puts trade tied to stock (Canada ETF$.28, appears sold to open, ref. 27.94)
Bearish
  • EWW Seller 20,000 Jun 7th 41.5 puts to Buy 10,000 Jun 14th 41.5 puts (paid $.20 on the package and appears to roll down, ref. 42.90) 
  • XLP Buyer 15,000 Jun 14th 58 puts trade (appears bought, $.36, makes 25,000 on the day, ref. 58.11) 
  • JNK Buyer 25,000 Sep 100 – 95 1x2 put spreads (paid $.08, appears to add to position opened yest., ref. 106.90)

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 14.28 66.27% 14.51 64.29% 1.02 28.57% 23.02% 54.37%
Invesco QQQ Trust QQQ 19.34 63.49% 18.82 64.68% 0.97 31.75% 21.43% 63.1%
iShares Russell 2000 ETF IWM 18.07 65.08% 17.62 65.08% 0.98 36.51% 19.05% 37.7%
SPDR EURO STOXX 50 ETF FEZ 15.92 61.11% 14.17 24.6% 0.89 8.53% 42.46% 39.68%
iShares MSCI Emerging Markets ETF EEM 18.14 51.19% 18.2 43.45% 1.00 36.31% 58.73% 92.46%

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 34.8 32.9 98.41% 98.41% 15.87% 62.30%
Teucrium Corn Fund CORN 35.11 33.45 97.62% 98.41% 59.92% 93.65%
iShares 7-10 Year Treasury Bond ETF IEF 6.83 6.13 96.43% 97.22% 85.71% 67.86%
iShares 20+ Year Treasury Bond ETF TLT 11.66 10.95 95.63% 94.05% 75.40% 77.38%
Direxion Daily 20+ Year Treasury Bull 3X Shares TMF 34.35 32.57 94.05% 93.25% 65.48% 71.43%

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 35.11 33.45 97.62% 98.41% 59.92% 93.65%
iPath Series B Bloomberg Coffee Subindex Total Return ETN JO 34.8 32.9 98.41% 98.41% 15.87% 62.30%
iShares 7-10 Year Treasury Bond ETF IEF 6.83 6.13 96.43% 97.22% 85.71% 67.86%
Direxion Daily Junior Gold Miners Index Bear 3X Shares JDST 90.88 89.88 92.86% 95.24% 64.68% 75.79%
VanEck Vectors Junior Gold Miners ETF GDXJ 30.47 30.51 92.06% 94.05% 66.67% 75.79%

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 41.72 34.11 96.03% 91.27% 89.68% 96.83%
Walgreens Boots Alliance, Inc. WBA 32.58 28.35 95.63% 92.86% 88.89% 57.54%
The Kraft Heinz Company KHC 36.55 34.26 95.24% 97.22% 40.48% 96.03%
Darden Restaurants, Inc. DRI 34.7 26.44 94.84% 69.64% 77.38% 61.90%
Constellation Brands, Inc. STZ 35.47 28.94 93.25% 91.67% 52.38% 56.75%

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 46.62 54.9 92.06% 98.41% 38.49% 51.19%
The Kraft Heinz Company KHC 36.55 34.26 95.24% 97.22% 40.48% 96.03%
Occidental Petroleum Corporation OXY 31.89 33.56 83.93% 97.22% 30.16% 88.89%
QUALCOMM Incorporated QCOM 34.35 35.5 73.02% 96.83% 10.71% 10.71%
Hasbro, Inc. HAS 26.1 35.25 53.57% 95.63% 19.84% 41.67%

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
Shares 1-3 Year Treasury Bond ETF SHY 2.37 7.73 2.78% 81.75% 0.79% 68.65%
Invesco CurrencyShares British Pound Sterling Trust FXB 7.19 7.79 7.94% 8.33% 94.44% 22.22%
Invesco CurrencyShares Australian Dollar Trust FXA 7.53 7.93 8.13% 11.11% 90.87% 97.62%
iShares J.P. Morgan USD Emerging Markets Bond ETF EMB 5.17 5.54 12.70% 7.94% 17.06% 24.21%
Invesco CurrencyShares Canadian Dollar Trust FXC 5.48 5.74 17.46% 14.09% 70.63% 94.84%

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 DB US Dollar Index Bullish Fund UUP 6.07 5.9 17.46% 7.54% 78.57% 76.59%
iShares J.P. Morgan USD Emerging Markets Bond ETF EMB 5.17 5.54 12.70% 7.94% 17.06% 24.21%
Invesco CurrencyShares British Pound Sterling Trust FXB 7.19 7.79 7.94% 8.33% 94.44% 22.22%
VanEck Vectors Russia ETF RSX 18.78 19.16 19.05% 8.93% 34.13% 80.56%
iShares Edge MSCI USA Momentum Factor ETF MTUM 12.95 12.2 38.89% 9.52% 31.35% 65.87%

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
Assurant, Inc. AIZ 20.11 21.24 1.19% 1.59% 5.16% 21.83%
Celgene Corporation CELG 12.41 14.24 1.19% 9.13% 36.11% 36.51%
Everest Re Group, Ltd. RE 15.79 16.83 1.19% 2.38% 33.33% 28.17%
DENTSPLY SIRONA Inc. XRAY 20.84 22.91 1.98% 5.16% 72.62% 61.51%
Loews Corporation L 13.97 15.93 2.78% 19.84% 15.08% 59.52%

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
Campbell Soup Company CPB 26.26 25.1 15.87% 0.79% 10.32% 21.83%
Assurant, Inc. AIZ 20.11 21.24 1.19% 1.59% 5.16% 21.83%
Everest Re Group, Ltd. RE 15.79 16.83 1.19% 2.38% 33.33% 28.17%
Cboe Global Markets, Inc. CBOE 19.37 19.76 5.95% 2.78% 56.75% 96.83%
The J. M. Smucker Company SJM 20.85 21.29 9.52% 3.97% 50.40% 92.46%

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

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