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Major Bullish Block Trade in Coca-Cola (KO) and Bearish Block Trade in Proctor & Gamble (PG)

Jun 13, 2019

Actionable and Transparent Quantitative ResearchActionable and Transparent Quantitative Research
Actionable and Transparent Quantitative ResearchActionable and Transparent Quantitative Research

Major Stock Block Trades From Wednesday

Bullish
  • KO 29,906 Aug – Jan 48 call spreads trade (appears to roll calls out, $.80, ref. 51.84)  
  • NIO 59,900 Jul 2 puts trade (appears sold to  open, $.11, ref. 2.51)
Bearish
  • SE Seller 6,400 Jun 32 calls (collects $.375 to open, more than 13,000 trade total, ref. 30.73) 
  • PG 8,100 Jun 110 – Aug 115 call spreads trade (appears to roll write out and up, ref. 110.33)

Major ETFs Block Trades From Wednesday

Bullish
  • KSA 9,900 Jun 33 calls trade vs. 14,850 Sep 36 calls (Saudi Arabia ETF, appears to monetize and roll calls out/up, ref 34.46) 
  • VIX Buyer 30,000 Jun 15 puts (paid $.20, ref. 16.35 (Jun))
Bearish
  • LQD 10,000 Jul 121 puts trade (appears bought top open, $.65, ref. 121.34) 
  • OIH Seller 7,500 Jun 28th 14 puts to Buy 7,500 Jun 28th 13.5 puts (monetizes, rolls down, ref. 13.13)

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 13.77 62.7% 14.56 65.48% 1.06 39.88% 43.65% 55.16%
Invesco QQQ Trust QQQ 18.89 60.12% 18.65 63.1% 0.99 40.87% 30.56% 54.37%
iShares Russell 2000 ETF IWM 17.99 64.68% 17.59 64.68% 0.98 37.1% 54.37% 36.9%
SPDR EURO STOXX 50 ETF FEZ 14.96 51.19% 14.29 26.19% 0.96 25.99% 45.24% 39.29%
iShares MSCI Emerging Markets ETF EEM 17.86 48.41% 17.84 36.71% 1.00 36.51% 94.05% 86.11%

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 34.31 33.05 96.83% 97.02% 75.40% 90.87%
iPath Series B Bloomberg Coffee Subindex Total Return ETN JO 31.44 31.41 92.86% 95.83% 8.33% 45.24%
iShares 7-10 Year Treasury Bond ETF IEF 5.94 5.48 92.66% 88.69% 54.76% 48.81%
Direxion Daily Junior Gold Miners Index Bear 3X Shares JDST 89.2 89.48 90.08% 94.44% 58.33% 75.00%
Direxion Daily Junior Gold Miners Index Bull 3X Shares JNUG 91 87.98 90.08% 88.49% 58.73% 67.86%

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 34.31 33.05 96.83% 97.02% 75.40% 90.87%
iPath Series B Bloomberg Coffee Subindex Total Return ETN JO 31.44 31.41 92.86% 95.83% 8.33% 45.24%
Direxion Daily Junior Gold Miners Index Bear 3X Shares JDST 89.2 89.48 90.08% 94.44% 58.33% 75.00%
VanEck Vectors Junior Gold Miners ETF GDXJ 29.7 30.17 89.68% 92.06% 59.52% 72.62%
iShares 7-10 Year Treasury Bond ETF IEF 5.94 5.48 92.66% 88.69% 54.76% 48.81%

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 43.18 34.9 96.83% 94.05% 91.27% 96.83%
Walgreens Boots Alliance, Inc. WBA 32.41 28.29 94.84% 92.46% 85.71% 56.35%
Broadcom Inc. AVGO 40.85 35.88 94.44% 89.68% 56.35% 100.00%
Mylan N.V. MYL 47.26 52.88 93.25% 96.43% 64.68% 46.43%
Dominion Energy, Inc. D 20.73 19.74 92.86% 92.86% 53.17% 84.13%

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
Western Digital Corporation WDC 49.54 51.57 73.81% 96.43% 49.21% 72.62%
Mylan N.V. MYL 47.26 52.88 93.25% 96.43% 64.68% 46.43%
Halliburton Company HAL 39.83 40.31 90.08% 95.24% 48.41% 87.70%
Occidental Petroleum Corporation OXY 30.11 33.14 78.17% 94.84% 43.65% 87.70%
MSCI Inc. MSCI 27.3 29.07 68.65% 94.44% 34.13% 70.24%

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 British Pound Sterling Trust FXB 6.82 7.73 4.37% 7.74% 83.73% 33.33%
Invesco DB US Dollar Index Bullish Fund UUP 5.78 6.59 8.33% 28.17% 60.71% 98.41%
iShares J.P. Morgan USD Emerging Markets Bond ETF EMB 5.16 5.56 13.69% 9.13% 47.62% 23.02%
VanEck Vectors Russia ETF RSX 18.45 19.62 14.29% 19.25% 79.37% 91.27%
Invesco CurrencyShares Euro Trust FXE 5.79 5.82 15.87% 10.71% 76.98% 96.43%

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 British Pound Sterling Trust FXB 6.82 7.73 4.37% 7.74% 83.73% 33.33%
ProShares UltraShort Euro EUO 11.72 11.06 24.21% 8.73% 80.95% 96.43%
iShares J.P. Morgan USD Emerging Markets Bond ETF EMB 5.16 5.56 13.69% 9.13% 47.62% 23.02%
Invesco CurrencyShares Euro Trust FXE 5.79 5.82 15.87% 10.71% 76.98% 96.43%
Invesco CurrencyShares Australian Dollar Trust FXA 7.83 7.9 17.46% 12.30% 96.43% 95.63%

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
Assurant, Inc. AIZ 20.42 21.4 2.98% 4.56% 26.19% 40.48%
Loews Corporation L 13.93 16.52 3.17% 30.56% 36.90% 62.30%
Celgene Corporation CELG 13.09 14.37 3.57% 10.52% 52.38% 38.49%
Discovery, Inc. DISCA 30.34 31.31 5.16% 6.35% 46.03% 16.67%
Under Armour, Inc. UAA 34.05 38.01 5.56% 16.67% 17.86% 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
The J. M. Smucker Company SJM 20.39 20.76 9.13% 1.98% 36.90% 89.68%
Campbell Soup Company CPB 27.24 25.34 25.00% 2.38% 11.11% 21.03%
Dollar General Corporation DG 17.69 19.76 7.54% 3.57% 17.46% 46.03%
Assurant, Inc. AIZ 20.42 21.4 2.98% 4.56% 26.19% 40.48%
Discovery, Inc. DISCA 30.34 31.31 5.16% 6.35% 46.03% 16.67%

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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