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Major Bullish Block Trade in Activision Blizzard (ATVI) and Bearish Block Trade in Tesla Inc. (TSLA)

Jun 18, 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
  • ATVI 13,821 Jul 40 puts trade (appears sold, b/w $.26 and $.24, opening, ref. 45.72) 
  • ERF 20,000 Jan 7 puts trade (appears sold to open, $.90, ref. 6.84) 
  • CNQ 13,000 Jun 28 calls trade (appears bought b/w $.10 and $.15, ref. 26.79)
Bearish
  • FCX Buyer 10,000 Jul 5th 10.5 puts tied to stock (paid $.28 to open, ref. 10.79) 
  • TSLA Buyer 17,500 Jun 28th 210 – 190 put spreads (paid b/w $2.87 and $3.20, ref. 225.34) 
  • CNX Seller 25,000 Jan 7 puts to Buy 44,000 Jan 5 puts tied to stock (appears to monetize and roll down, ref. 7.21)

Major ETFs Block Trades From Tuesday

Bullish
  • KRE Buyer 10,000 Jul 5th 54 calls (paid $.37 to open, ref. 52.36) 
  • SPY 13,225 Jul 300 calls trade tied to stock (appears bought, $.63, ref. 289.76) 
  • IWM Buyer 10,000 Jun 152.5 calls tied to stock (paid $1.20 to open, ref. 152.19)
Bearish
  • XLP 8,000 Jun 28th 58 puts trade (appears bought to open, $.36, ref. 58.89) 
  • XBI 4,000 Jul 82 puts trade (appears bought to open, $1.75, ref. 84.60) 
  • VIX Buyer 10,000 Jun 20 – 28 call spreads (paid $.03, ref. 15.75 (Jun))

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 13.19 56.35% 14.6 65.87% 1.11 57.74% 44.05% 59.92%
Invesco QQQ Trust QQQ 18.58 58.33% 18 55.16% 0.97 32.54% 36.51% 50.4%
iShares Russell 2000 ETF IWM 17.55 60.71% 16.99 57.14% 0.97 32.34% 51.98% 31.35%
SPDR EURO STOXX 50 ETF FEZ 15.74 59.52% 14.27 25.79% 0.91 11.31% 59.13% 36.51%
iShares MSCI Emerging Markets ETF EEM 17.32 38.49% 17.49 29.76% 1.01 41.47% 96.83% 75.4%

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 36.28 36 98.41% 100.00% 85.32% 96.03%
Direxion Daily 20+ Year Treasury Bull 3X Shares TMF 34.89 33.04 94.84% 95.24% 59.52% 80.16%
iShares 7-10 Year Treasury Bond ETF IEF 6.39 6.16 94.44% 97.42% 70.63% 70.24%
Direxion Daily 20+ Year Treasury Bear 3X Shares TMV 35.09 32.72 94.44% 92.46% 59.92% 73.41%
SPDR Gold Trust GLD 11.21 11.17 94.25% 93.25% 82.54% 94.44%

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
Invesco Senior Loan ETF BKLN 13.67 16.42 93.65% 100.00% 88.10% 94.05%
Teucrium Corn Fund CORN 36.28 36 98.41% 100.00% 85.32% 96.03%
iShares 7-10 Year Treasury Bond ETF IEF 6.39 6.16 94.44% 97.42% 70.63% 70.24%
Direxion Daily 20+ Year Treasury Bull 3X Shares TMF 34.89 33.04 94.84% 95.24% 59.52% 80.16%
Direxion Daily Junior Gold Miners Index Bull 3X Shares JNUG 90.96 91.6 88.89% 93.25% 66.67% 77.38%

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
Textron Inc. TXT 39.3 28.71 97.22% 83.13% 62.30% 47.22%
The Kroger Co. KR 42.83 34.93 96.03% 93.65% 94.05% 97.22%
J.B. Hunt Transport Services, Inc. JBHT 34.45 29.89 93.25% 87.30% 69.84% 54.37%
Morgan Stanley DWDP 35.7 32.56 91.67% 92.46% 66.27% 13.49%
McCormick & Company, Incorporated MKC 26.41 21.74 90.48% 72.62% 89.29% 97.62%

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
National Oilwell Varco, Inc. NOV 40.51 41.12 88.10% 95.63% 71.83% 69.84%
Western Digital Corporation WDC 48.79 50.84 69.84% 94.84% 40.08% 79.76%
Allergan plc AGN 31.72 32.22 86.11% 94.84% 34.52% 74.60%
Xilinx, Inc. XLNX 35.82 38.7 61.11% 94.44% 46.43% 54.76%
Mylan N.V. MYL 45.77 49.14 87.70% 93.65% 62.30% 39.29%

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 21.9 28.31 3.57% 36.11% 13.10% 89.29%
Invesco CurrencyShares British Pound Sterling Trust FXB 6.68 7.94 4.76% 13.89% 82.54% 50.79%
VanEck Vectors Russia ETF RSX 17.81 18.99 8.53% 9.52% 70.63% 76.98%
iShares J.P. Morgan USD Emerging Markets Bond ETF EMB 5.01 5.69 11.11% 12.30% 51.98% 45.63%
Invesco CurrencyShares Australian Dollar Trust FXA 7.63 7.55 13.10% 3.57% 93.25% 88.49%

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 7.63 7.55 13.10% 3.57% 93.25% 88.49%
Invesco CurrencyShares Euro Trust FXE 5.74 5.39 15.28% 4.37% 59.92% 88.10%
Invesco CurrencyShares Canadian Dollar Trust FXC 5.72 5.55 22.62% 6.35% 43.65% 90.08%
ProShares UltraShort Euro EUO 10.85 10.99 14.68% 8.73% 59.92% 99.60%
VanEck Vectors Russia ETF RSX 17.81 18.99 8.53% 9.52% 70.63% 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)

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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
Huntington Ingalls Industries, Inc. HII 17.53 24.03 0.79% 26.39% 19.44% 44.05%
Nektar Therapeutics NKTR 51.16 62.46 1.19% 40.87% 23.02% 66.27%
Extra Space Storage Inc. EXR 15.94 18.34 2.78% 23.21% 38.10% 57.54%
Celgene Corporation CELG 13.16 14.35 4.37% 10.32% 55.56% 39.29%
Assurant, Inc. AIZ 20.48 21.45 4.76% 6.94% 34.13% 53.97%

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
WellCare Health Plans, Inc. WCG 23.09 20.79 18.45% 0.40% 72.22% 3.57%
Dollar General Corporation DG 18 19.46 9.13% 1.59% 17.46% 45.63%
Campbell Soup Company CPB 24.88 25.01 11.11% 2.38% 3.17% 27.38%
Everest Re Group, Ltd. RE 17.36 17.44 11.11% 6.75% 54.37% 53.57%
Assurant, Inc. AIZ 20.48 21.45 4.76% 6.94% 34.13% 53.97%

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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