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Major Bullish Block Trade in S&P 500 ETF Trust (SPY) and Bearish Block Trade in iShares Russell 2000 ETF (IWM)

Jun 12, 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
  • PSTG Seller 10,000 Jul 15 puts (collects $.50 to open, ref. 15.66) 
  • GE 15,000 Aug 12 calls trade ($.125, opening, ref. 10.10)
Bearish
  • CLDR Buyer 37,000 Jan21 7.5 puts to Sell 84,000 Jun21 5 puts (collects $105,000 and appears to add to existing position, ref. ref. 5.06) 
  • SWN Seller 54,711 Jun 3.5 puts to Buy 113,000 Sep 3 puts and Sell 100,000 Sep 2.5 puts tied to stock (rolls out and down into a spread, ref. 3.23)

Major ETFs Block Trades From Tuesday

Bullish
  • SPY 10,000 Jun 14th 291 – Jul 5th 294 call spreads trade (appears to roll out and up, $.69, ref. 290.23) 
  • VXX Seller 19,000 Jul 35 calls (collects $.70, ref. 27.49)
Bearish
  • HYG Buyer 20,500 Jul 5th 85.5 – 83.5 put spreads (paid $.325 to open, ref. 86.30) 
  • IWM 12,600 Jun 28th 150 – 142 put spreads trade vs, 12,600 Jul 5th 149 – 141 put spreads (appears to roll out and down, ref. 151.20)

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 13.69 61.9% 14.44 63.69% 1.05 37.3% 40.48% 53.57%
Invesco QQQ Trust QQQ 18.88 59.92% 18.05 57.14% 0.96 26.39% 28.97% 49.21%
iShares Russell 2000 ETF IWM 17.98 64.68% 17.54 64.48% 0.98 36.9% 46.43% 35.32%
SPDR EURO STOXX 50 ETF FEZ 14.98 51.59% 13.82 12.1% 0.92 13.1% 46.03% 34.13%
iShares MSCI Emerging Markets ETF EEM 17.09 36.31% 17.19 27.38% 1.01 40.48% 88.89% 72.22%

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
iShares MSCI United Kingdom ETF EWU 32.16 13.95 99.21% 37.70% 98.81% 53.97%
Teucrium Corn Fund CORN 34.68 33.13 97.22% 97.62% 71.43% 91.27%
iPath Series B Bloomberg Coffee Subindex Total Return ETN JO 32.54 30.87 95.24% 95.24% 8.33% 41.67%
iShares MSCI Australia ETF EWA 23.96 17.07 94.05% 59.33% 94.44% 86.51%
iShares Edge MSCI Min Vol EAFE ETF EFAV 16.75 9.4 92.46% 15.87% 95.24% 31.35%

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 34.68 33.13 97.22% 97.62% 71.43% 91.27%
iPath Series B Bloomberg Coffee Subindex Total Return ETN JO 32.54 30.87 95.24% 95.24% 8.33% 41.67%
Direxion Daily Junior Gold Miners Index Bull 3X Shares JNUG 89.09 90.99 86.51% 92.86% 58.33% 75.79%
Direxion Daily Junior Gold Miners Index Bear 3X Shares JDST 88.41 88.2 88.49% 91.67% 58.73% 73.81%
VanEck Vectors Junior Gold Miners ETF GDXJ 29.14 29.88 84.52% 91.67% 57.14% 72.22%

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 43.54 35.36 97.62% 95.63% 91.27% 97.62%
Xcel Energy Inc. XEL 22.34 14.85 96.03% 34.13% 91.67% 65.87%
Darden Restaurants, Inc. DRI 35.61 27.22 95.24% 78.97% 80.16% 71.83%
Mylan N.V. MYL 47.64 54.72 94.05% 97.62% 64.68% 52.78%
Broadcom Inc. AVGO 39.66 35.64 93.65% 89.29% 48.41% 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 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 47.64 54.72 94.05% 97.62% 64.68% 52.78%
The Kroger Co. KR 43.54 35.36 97.62% 95.63% 91.27% 97.62%
Allergan plc AGN 29.05 32 63.89% 95.24% 25.00% 78.17%
Fiserv, Inc. FISV 24.99 24.99 84.72% 94.64% 30.56% 56.35%
The Kraft Heinz Company KHC 28.52 32.54 61.90% 94.44% 24.60% 91.67%

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
VanEck Vectors Russia ETF RSX 16.91 18.96 1.19% 7.74% 46.03% 76.19%
iShares J.P. Morgan USD Emerging Markets Bond ETF EMB 4.71 5.35 5.16% 5.56% 32.94% 16.67%
Invesco CurrencyShares British Pound Sterling Trust FXB 7.02 7.85 5.95% 9.52% 85.71% 40.48%
Invesco CurrencyShares Australian Dollar Trust FXA 7.37 7.62 6.35% 3.57% 94.44% 91.27%
ProShares UltraShort Euro EUO 10.19 11.09 6.75% 10.12% 65.87% 97.22%

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 7.37 7.62 6.35% 3.57% 94.44% 91.27%
iShares J.P. Morgan USD Emerging Markets Bond ETF EMB 4.71 5.35 5.16% 5.56% 32.94% 16.67%
Invesco CurrencyShares Euro Trust FXE 5.94 5.56 18.06% 6.55% 84.52% 87.70%
VanEck Vectors Russia ETF RSX 16.91 18.96 1.19% 7.74% 46.03% 76.19%
Invesco DB US Dollar Index Bullish Fund UUP 5.94 6.04 13.10% 9.13% 66.67% 87.70%

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 20.25 21.15 2.38% 1.19% 25.00% 35.71%
DENTSPLY SIRONA Inc. XRAY 20.89 22.92 2.78% 6.15% 61.11% 59.52%
Charter Communications, Inc. CHTR 19.61 23.72 3.97% 7.54% 45.24% 88.49%
Celgene Corporation CELG 13.34 15.22 3.97% 15.08% 57.94% 40.87%
Under Armour, Inc. UAA 33.65 38 3.97% 16.27% 16.27% 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 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 20.25 21.15 2.38% 1.19% 25.00% 35.71%
Campbell Soup Company CPB 26.51 25.2 18.65% 1.98% 9.92% 17.46%
The J. M. Smucker Company SJM 20.66 21.13 9.52% 3.97% 40.48% 90.48%
Dollar General Corporation DG 17.61 19.84 5.95% 3.97% 15.48% 43.25%
Macy's, Inc. M 33.31 37.83 19.84% 5.16% 32.54% 80.56%

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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