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Major Bullish Block Trade in Micron Technologies (MU) and Bearish Block Trade in Pepsi Co. (PEP)

Jun 19, 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
  • INTC 4,800 Jul 5th 48 – 51 call spreads trade ($.78, ref. 47.59) 
  • TXN 3,500 Jul 5th 112 – 117 call spreads trade ($1.55, ref. 110.69) 
  • MU 3,600 Jul 5th 35 – 38 call spreads trade ($.87, ref. 34.13)
Bearish
  • PEP Seller 10,000 Sep 140 calls (collects b/w, $1.47 and $1.51, ref. 133.04) 
  • CZR Seller 10,000 Jul 10 calls (collects $.46 and appears closing, ref. 9.95) 
  • INTC 8,700 Jul 50 calls trade tied to stock (appears sold to open write, $.48, ref. 47.52)

Major ETFs Block Trades From Tuesday

Bullish
  • EEM Seller 30,000 Jul 40 puts to Buy 30,000 Jul 43 calls tied to stock (paid $.13, ref. 41.91) 
  • FXI 17,039 Jul 5th 43 calls trade (appears bought to open, $.22, ref. 41.41) 
  • USO 25,000 Jun 28th 11.5 calls trade (appears bought, $.18, ref. 11.19) 
  • VIX Buyer 20,000 Jul 13 puts (paid $.125, ref. 16.30 (Jul)
Bearish
  • VNQ Buyer 40,000 Sep 86 – 81 put spreads (appears to roll up, $.55, ref. 91.51) 
  • SPY 7,500 Jun 28th 291 – 282 put spreads trade ($2.10, ref. 292.16) 
  • HYG Seller 15,000 Jun 28th 85.5 puts to Buy 25,000 Jun 28th 84 puts and Buy 10,000 Jul 12th 86 – 84.5 1x2 put spreads (appears to roll ratio put spreads out and up, ref. 86.68) 
  • VIX Seller 25,000 Jul 15 – 14 put spreads to Buy 25,000 Jul 24 calls (paid $.02, ref. 16.53 (Jul))

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 13.06 55.16% 14.27 60.32% 1.09 50.0% 39.29% 64.68%
Invesco QQQ Trust QQQ 18.1 53.97% 17.74 51.59% 0.98 37.5% 35.71% 52.38%
iShares Russell 2000 ETF IWM 16.66 54.76% 16.66 54.96% 1.00 49.21% 39.29% 46.03%
SPDR EURO STOXX 50 ETF FEZ 14.09 39.29% 13.98 15.08% 0.99 38.1% 28.17% 50.4%
iShares MSCI Emerging Markets ETF EEM 17.33 38.49% 17.75 35.12% 1.02 47.62% 79.76% 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
SPDR Gold Trust GLD 11.53 11.16 98.21% 92.86% 86.90% 93.65%
Direxion Daily 20+ Year Treasury Bull 3X Shares TMF 35.59 33.65 97.62% 96.43% 64.68% 96.43%
Teucrium Corn Fund CORN 35.28 33.55 97.22% 98.02% 77.38% 87.70%
Invesco Senior Loan ETF BKLN 17.71 18.24 95.63% 100.00% 97.62% 100.00%
VanEck Vectors Junior Gold Miners ETF GDXJ 31.63 30.61 95.24% 94.84% 78.17% 80.56%

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 17.71 18.24 95.63% 100.00% 97.62% 100.00%
Teucrium Corn Fund CORN 35.28 33.55 97.22% 98.02% 77.38% 87.70%
iShares 7-10 Year Treasury Bond ETF IEF 6.48 6.25 94.84% 98.02% 76.98% 80.16%
Direxion Daily 20+ Year Treasury Bull 3X Shares TMF 35.59 33.65 97.62% 96.43% 64.68% 96.43%
Direxion Daily Junior Gold Miners Index Bear 3X Shares JDST 91.87 90.19 94.05% 95.24% 69.84% 79.76%

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 42.23 34.38 95.24% 90.48% 92.86% 95.24%
McCormick & Company, Incorporated MKC 28.65 22.53 94.05% 82.54% 93.25% 99.60%
Mylan N.V. MYL 47.34 50.67 93.25% 94.44% 59.92% 43.65%
UDR, Inc. UDR 25.57 19.55 92.46% 80.16% 91.27% 85.32%
DISH Network Corporation DISH 55.6 53.27 92.06% 94.84% 95.63% 99.60%

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
Allergan plc AGN 31.19 34.64 83.13% 97.22% 18.65% 81.35%
Fiserv, Inc. FISV 26.16 25.05 90.08% 94.84% 40.87% 62.30%
Western Digital Corporation WDC 50.13 50.91 76.59% 94.84% 44.05% 81.35%
Lamb Weston Holdings, Inc. LW 26.46 28.32 79.76% 94.84% 43.25% 63.10%
National Oilwell Varco, Inc. NOV 39.74 40.76 83.93% 94.84% 65.08% 71.03%

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 17.37 18.35 3.97% 1.19% 49.60% 80.95%
Invesco CurrencyShares British Pound Sterling Trust FXB 6.81 7.2 5.56% 2.78% 82.94% 30.56%
iShares Preferred and Income Securities ETF PFF 4.92 7.22 5.75% 68.06% 30.56% 78.57%
VanEck Vectors J.P. Morgan EM Local Currency Bond ETF EMLC 5.87 7.37 6.35% 15.08% 28.97% 21.03%
ProShares UltraShort Euro EUO 10.19 10.96 6.94% 7.94% 41.27% 100.00%

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
VanEck Vectors Russia ETF RSX 17.37 18.35 3.97% 1.19% 49.60% 80.95%
iShares MSCI Germany ETF EWG 14.69 14.24 22.22% 1.98% 6.75% 20.63%
Invesco CurrencyShares British Pound Sterling Trust FXB 6.81 7.2 5.56% 2.78% 82.94% 30.56%
Invesco CurrencyShares Australian Dollar Trust FXA 7.68 7.68 13.89% 6.55% 98.41% 90.48%
Vanguard FTSE Europe ETF VGK 12.19 12.39 27.18% 7.54% 20.63% 32.54%

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 19.8 21.03 0.79% 1.19% 32.14% 53.57%
Nektar Therapeutics NKTR 49.97 62.45 0.79% 40.87% 17.46% 65.87%
Under Armour, Inc. UAA 32.46 42.22 1.98% 35.52% 31.75% 61.90%
News Corporation NWSA 21.49 23.22 3.57% 8.73% 20.63% 63.10%
Charter Communications, Inc. CHTR 19.29 24.1 3.57% 9.92% 65.87% 93.65%

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 19.8 21.03 0.79% 1.19% 32.14% 53.57%
Dollar General Corporation DG 17.33 19.16 4.17% 1.19% 14.68% 42.06%
Campbell Soup Company CPB 25.48 25.06 14.29% 2.78% 4.76% 26.98%
AutoZone, Inc. AZO 21.64 23.1 22.62% 4.37% 15.48% 60.32%
Celgene Corporation CELG 13.15 13.95 4.37% 5.75% 59.52% 39.29%

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

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