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Major Bullish Block Trade in Snap (SNAP) and Bearish Block Trade in S&P 500 ETF Trust (SPY)

Jun 11, 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
  • CZR Seller 38,000 Jan21 10 calls to Buy 38,000 Sep 9 calls (collects $.115 on the package, appears to roll closer and down, ref. 9.68) 
  • SNAP 4,000 Jul 26th 14 calls trade (appears bought, $1.12, ref. 13.96)
Bearish
  • BA 5,005 Jun 362.5 puts trade (appears bought to open, $9.30,  ref. 356.51) 
  • S Seller 20,000 Jul 8 calls to Buy 20,000 Jul 6 puts (paid $.18 on the risky, ref. 7.14)

Major ETFs Block Trades From Monday

Bullish
  • GDX Seller 20,000 Jun 23.5 calls and 5,000 Jun 28th 21.5 puts to Buy 7,500 Jun 22.5 calls (rolls long calls down and sells put to finance it, ref. 22.40) 
  • FXI Buyer 25,000 Jul 43 calls (paid $.25, ref. 40.94)
Bearish
  • EEM Buyer 59,936 Aug 40 – 38.5 puts spreads (paid $.34 to open, ref. 41.53) 
  • SPY 20,000 Jun 275-265 put spreads trade vs. 20,000 Jul 280 - 268 put spreads (appears to roll out and up, paid $1.26, ref. 290.43)

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 13.52 60.52% 13.99 59.13% 1.03 31.55% 13.49% 46.83%
Invesco QQQ Trust QQQ 18.49 58.73% 17.86 55.16% 0.97 31.94% 12.3% 48.02%
iShares Russell 2000 ETF IWM 17.54 61.9% 17.2 60.12% 0.98 36.71% 15.08% 33.33%
SPDR EURO STOXX 50 ETF FEZ 15.76 59.72% 14.36 29.76% 0.91 11.51% 33.33% 39.68%
iShares MSCI Emerging Markets ETF EEM 17.24 38.89% 17.33 29.17% 1.01 40.28% 44.05% 73.02%

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 33.72 32.38 96.23% 96.43% 66.67% 90.08%
iPath Series B Bloomberg Coffee Subindex Total Return ETN JO 33.22 32.45 96.03% 97.62% 9.13% 51.59%
Direxion Daily Junior Gold Miners Index Bear 3X Shares JDST 90.39 89.43 92.46% 94.44% 50.40% 75.40%
Direxion Daily Junior Gold Miners Index Bull 3X Shares JNUG 91.97 90.54 92.06% 92.06% 53.17% 75.00%
VanEck Vectors Junior Gold Miners ETF GDXJ 30.32 30.4 91.27% 93.25% 53.17% 75.79%

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 33.22 32.45 96.03% 97.62% 9.13% 51.59%
Teucrium Corn Fund CORN 33.72 32.38 96.23% 96.43% 66.67% 90.08%
Direxion Daily Junior Gold Miners Index Bear 3X Shares JDST 90.39 89.43 92.46% 94.44% 50.40% 75.40%
VanEck Vectors Junior Gold Miners ETF GDXJ 30.32 30.4 91.27% 93.25% 53.17% 75.79%
Direxion Daily Junior Gold Miners Index Bull 3X Shares JNUG 91.97 90.54 92.06% 92.06% 53.17% 75.00%

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

S&P 500 Stocks with most 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 45.37 36.17 99.60% 99.40% 92.06% 99.21%
Dominion Energy, Inc. D 21.24 19.15 94.44% 91.67% 54.37% 83.73%
Broadcom Inc. AVGO 40.83 35.22 94.44% 88.49% 47.62% 87.70%
H&R Block, Inc. HRB 45.39 34.15 94.05% 89.68% 91.67% 100.00%
Walgreens Boots Alliance, Inc. WBA 31.81 28.05 93.65% 91.27% 76.19% 55.16%

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 Kroger Co. KR 45.37 36.17 99.60% 99.40% 92.06% 99.21%
Mylan N.V. MYL 46.62 53.45 91.47% 97.62% 40.48% 47.62%
Xilinx, Inc. XLNX 35.16 39.14 57.14% 95.83% 32.14% 55.95%
Nielsen Holdings plc NLSN 52.03 46.28 89.68% 94.44% 93.65% 78.17%
National Oilwell Varco, Inc. NOV 39.95 40.26 85.52% 94.44% 61.11% 64.29%

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
KraneShares CSI China Internet ETF KWEB 20.75 28.04 3.17% 34.92% 0.40% 84.92%
Invesco CurrencyShares Australian Dollar Trust FXA 7.46 7.5 7.34% 2.78% 84.92% 90.08%
iShares J.P. Morgan USD Emerging Markets Bond ETF EMB 4.85 5.21 7.54% 3.97% 9.52% 9.92%
Invesco CurrencyShares British Pound Sterling Trust FXB 7.18 7.97 8.33% 14.68% 89.29% 41.27%
iShares Preferred and Income Securities ETF PFF 5.49 6.9 12.30% 62.50% 21.83% 72.62%

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 7.46 7.5 7.34% 2.78% 84.92% 90.08%
iShares J.P. Morgan USD Emerging Markets Bond ETF EMB 4.85 5.21 7.54% 3.97% 9.52% 9.92%
Invesco CurrencyShares Euro Trust FXE 6.15 5.63 21.83% 7.94% 88.49% 92.06%
iShares Edge MSCI USA Momentum Factor ETF MTUM 11.05 12.07 13.69% 8.73% 13.10% 60.71%
Direxion Daily FTSE China Bull 3X Shares YINN 57.17 55.51 17.26% 11.71% 59.13% 76.98%

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 21.03 23.06 3.17% 7.14% 61.11% 59.92%
Gartner, Inc. IT 18.48 20.69 3.97% 12.30% 18.25% 42.46%
Charter Communications, Inc. CHTR 19.84 23.78 4.37% 7.54% 35.32% 89.68%
Everest Re Group, Ltd. RE 16.65 17.51 5.16% 6.94% 48.81% 36.90%
Dollar General Corporation DG 17.57 20.01 5.16% 4.76% 9.52% 41.67%

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 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 26.49 24.99 17.86% 1.19% 10.32% 14.68%
Cboe Global Markets, Inc. CBOE 20.09 19.3 18.06% 1.19% 65.08% 94.84%
Arconic Inc. ARNC 28.36 26.19 19.05% 4.37% 52.38% 79.76%
Dollar General Corporation DG 17.57 20.01 5.16% 4.76% 9.52% 41.67%
Assurant, Inc. AIZ 20.75 21.44 6.75% 4.76% 9.13% 38.89%

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

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