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Major Bullish Block Trade in Kraft Heinz (KHC) and Bearish Block Trade in Micron Technology (MU)

Jun 10, 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
  • KHC Buyer 11,000 Jul 32.5 call (paid $.22 to open, ref. 28.72) 
  • BILI Seller 10,000 Jan21 5 puts (collects $.48 to open, ref. 14.54)
Bearish
  • MU Buyer 34,000 Jan 35 puts trade (appears bought to close write, paid VWAP of $5.24, ref. 33.97) 
  • CLDR Buyer 20,000 Jan 7.5 puts to Sell 40,400 Jun21 5 puts (trades even, ref. 5.12)

Major ETFs Block Trades From Friday

Bullish
  • SPY Seller 31,200 Jun 10th 285 calls to Buy 46,800 Jun 14th 291 calls (rolls out and up, ref. 288.20) 
  • XHB 8,000 Jul 41 calls trade vs. 12,000 Jul 42 calls (appears to monetize and roll up/add units, ref. 40.65) 
  • GDX Seller 12,250 Jun 22.5 calls to Buy 24,500 Jun 23.5 calls (collects $.18 to monetize and roll up, ref. 23.06)
Bearish
  • XLU 7,000 Jul 58 – 55 put spreads trade ($.40, ref. 60.16) 
  • HYG 15,000 Jul 84 – 83 put spreads trade ($.09, ref. 86.14)

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 13.73 62.3% 14.41 63.29% 1.05 36.71% 15.08% 53.57%
Invesco QQQ Trust QQQ 18.51 59.13% 18.2 58.73% 0.98 36.11% 13.89% 51.98%
iShares Russell 2000 ETF IWM 17.43 61.11% 17.2 60.32% 0.99 41.67% 14.68% 34.13%
SPDR EURO STOXX 50 ETF FEZ 16.04 61.51% 14.34 29.17% 0.89 8.33% 35.71% 38.89%
iShares MSCI Emerging Markets ETF EEM 17.5 43.25% 17.91 37.7% 1.02 45.63% 55.56% 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
iPath Series B Bloomberg Coffee Subindex Total Return ETN JO 33.53 32.14 97.22% 97.62% 10.71% 53.17%
Teucrium Corn Fund CORN 33.18 32.23 96.03% 96.43% 60.71% 89.68%
iShares 7-10 Year Treasury Bond ETF IEF 6.13 5.78 94.44% 92.86% 70.24% 59.13%
iShares 20+ Year Treasury Bond ETF TLT 11.36 10.45 93.65% 84.33% 61.51% 52.38%
VanEck Vectors Junior Gold Miners ETF GDXJ 30.74 30.49 93.25% 93.65% 67.86% 76.19%

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
iPath Series B Bloomberg Coffee Subindex Total Return ETN JO 33.53 32.14 97.22% 97.62% 10.71% 53.17%
Teucrium Corn Fund CORN 33.18 32.23 96.03% 96.43% 60.71% 89.68%
Direxion Daily Junior Gold Miners Index Bear 3X Shares JDST 89.57 89.65 91.27% 94.84% 61.11% 76.19%
Direxion Daily Junior Gold Miners Index Bull 3X Shares JNUG 91.61 92.25 91.67% 94.44% 65.48% 76.59%
SPDR Gold Trust GLD 10.53 11.25 82.74% 93.85% 56.75% 93.25%

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 Kraft Heinz Company KHC 38.67 32.1 96.83% 94.05% 46.43% 94.84%
Mylan N.V. MYL 48.7 53.02 96.43% 97.62% 45.24% 46.03%
Broadcom Inc. AVGO 39.33 35.08 93.25% 88.49% 46.83% 88.10%
The Kroger Co. KR 40.32 33.59 93.25% 88.29% 87.30% 95.24%
FedEx Corporation FDX 34.73 30.58 92.86% 90.87% 71.43% 81.75%

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 48.7 53.02 96.43% 97.62% 45.24% 46.03%
Arconic Inc. ARNC 24.01 48.75 1.59% 97.22% 38.49% 100.00%
Occidental Petroleum Corporation OXY 31.42 33.39 82.54% 96.03% 53.97% 88.89%
The Kraft Heinz Company KHC 38.67 32.1 96.83% 94.05% 46.43% 94.84%
QUALCOMM Incorporated QCOM 33.45 34.64 63.49% 93.65% 9.13% 9.52%

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 7.16 7.86 3.17% 10.12% 86.51% 96.43%
Invesco CurrencyShares British Pound Sterling Trust FXB 6.94 7.86 4.76% 9.52% 85.71% 36.90%
VanEck Vectors Russia ETF RSX 17.83 18.81 7.54% 5.56% 46.43% 76.59%
iShares J.P. Morgan USD Emerging Markets Bond ETF EMB 5.12 5.74 11.90% 11.51% 13.89% 26.59%
KraneShares Trust - KraneShares CSI China Internet ETF KWEB 24.75 28.17 17.46% 35.71% 7.94% 90.87%

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 Canadian Dollar Trust FXC 5.61 5.42 19.05% 2.18% 48.81% 78.57%
iShares Edge MSCI Min Vol EAFE ETF EFAV 10.6 8.42 50.40% 2.98% 14.68% 8.33%
iShares Edge MSCI USA Momentum Factor ETF MTUM 12.48 11.59 32.94% 3.97% 23.81% 52.78%
VanEck Vectors Russia ETF RSX 17.83 18.81 7.54% 5.56% 46.43% 76.59%
Invesco CurrencyShares British Pound Sterling Trust FXB 6.94 7.86 4.76% 9.52% 85.71% 36.90%

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
DENTSPLY SIRONA Inc. XRAY 20.4 22.83 0.79% 4.76% 69.05% 60.32%
Celgene Corporation CELG 12.2 15.54 1.19% 15.08% 29.76% 41.27%
Everest Re Group, Ltd. RE 15.74 16.91 1.19% 3.97% 37.30% 28.97%
Arconic Inc. ARNC 24.01 48.75 1.59% 97.22% 38.49% 100.00%
Charter Communications, Inc. CHTR 18.96 24.08 1.98% 8.73% 34.52% 90.48%

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

S&P 500 Stocks with most 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 25.62 24.52 13.89% 0.40% 9.92% 14.68%
The J. M. Smucker Company SJM 18.86 20.82 3.57% 1.98% 32.94% 90.87%
Dollar General Corporation DG 18.49 19.54 10.71% 2.38% 12.30% 3.57%
IDEXX Laboratories, Inc. IDXX 22.28 23.24 10.71% 3.97% 23.41% 53.97%
Everest Re Group, Ltd. RE 15.74 16.91 1.19% 3.97% 37.30% 28.97%

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

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