blog

Latest from the Quantamize Blog

Major Bullish Block Trade in Twitter (TWTR) and Bearish Block Trade in Micron Technologies (MU)

Jun 21, 2019

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

Major Stock Block Trades From Thursday

Bullish
  • PSTG 9,600 Jul 17.5 calls trade (paid b/w $.35 and $.50, ref. 16.39) 
  • TWTR 5,000 Aug 2nd 37 calls trade tied to stock (appears bought to open, $2.06, Earnings 7/26  ref. 35.38) 
Bearish
  • FCX 8,500 Sep 9 puts trade (opening, $.17, ref. 11.44)  
  • MU 10,000 Jul 33 – 25 put spreads trade tied to stock ($1.40, ref. 34.04)

Major ETFs Block Trades From Thursday

Bullish
  • IWM Buyer 20,000 Jul 162 – 166 call spreads (paid $.43, 75,000 trade total, ref. 155.75 
  • EWJ 27,250 Jul 5th 56 calls trade (Japan ETF, appears bought to open, $.14, ref. 54.84)  
  • GDX Buyer 20,000 Dec 30 calls (paid $.52 to open, ref. 24.69) 
Bearish
  • EFA Seller 15,000 Jul 67 calls to Buy 15,000 Jul 62 puts tied to stock (collects $.12, appears opening, ref. 65.60) 
  • SPY 25,000 Jul 26th 265 - 250 - 235 put flies trade (opening, $.18, ref. 295.41) 
  • HYG Buyer 25,000 Aug 86 puts (paid $.56 to open, ref. 87.65)

Implied Volatility Data For Liquid Macro Index ETFs

On Mobile/Tablet scroll to the right.

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 13.12 55.56% 13.29 49.21% 1.01 25.99% 39.29% 44.05%
Invesco QQQ Trust QQQ 16.86 46.43% 16.62 38.49% 0.99 42.26% 26.59% 42.46%
iShares Russell 2000 ETF IWM 15.66 48.81% 16 50.4% 1.02 62.1% 38.49% 39.68%
SPDR EURO STOXX 50 ETF FEZ 13.28 28.77% 13.37 5.16% 1.01 47.42% 17.06% 33.73%
iShares MSCI Emerging Markets ETF EEM 16.43 26.39% 17.09 22.62% 1.04 58.53% 75.4% 63.89%

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)

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
SPDR Gold Trust GLD 15.13 14.18 100.00% 100.00% 90.08% 99.60%
ProShares UltraShort Gold GLL 29.4 27.92 99.60% 100.00% 78.57% 99.21%
iShares Silver Trust SLV 20.39 18.65 99.21% 79.37% 91.67% 99.21%
VanEck Vectors Junior Gold Miners ETF GDXJ 33.4 32.35 97.22% 97.22% 64.29% 74.60%
Direxion Daily Junior Gold Miners Index Bear 3X Shares JDST 98.32 95.2 96.83% 97.62% 60.32% 73.81%

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)

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
SPDR Gold Trust GLD 15.13 14.18 100.00% 100.00% 90.08% 99.60%
ProShares UltraShort Gold GLL 29.4 27.92 99.60% 100.00% 78.57% 99.21%
Invesco Senior Loan ETF BKLN 15.27 16.43 94.44% 99.21% 94.44% 99.21%
Direxion Daily Junior Gold Miners Index Bull 3X Shares JNUG 99.81 97.13 95.24% 98.41% 61.90% 74.21%
Teucrium Corn Fund CORN 35.21 33.85 96.43% 97.62% 66.67% 83.73%

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)

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
Kimco Realty Corporation KIM 30.72 22.97 92.86% 36.11% 87.30% 61.11%
J.B. Hunt Transport Services, Inc. JBHT 34.01 29.36 91.67% 85.32% 82.54% 53.97%
Morgan Stanley DWDP 35.7 32.56 91.67% 92.46% 66.27% 13.49%
DISH Network Corporation DISH 54.84 52.4 90.48% 92.46% 99.21% 99.21%
Conagra Brands, Inc. CAG 35.81 29.37 90.08% 71.63% 75.79% 97.22%

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 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
Allergan plc AGN 29.8 33.12 70.04% 94.84% 2.78% 51.19%
Macerich Company MAC 28.39 31.28 66.27% 93.65% 22.22% 47.62%
Ecolab Inc. ECL 19.99 20.96 81.94% 93.65% 18.25% 77.38%
Fluor Corporation FLR 39.04 39.94 74.60% 93.25% 56.75% 24.21%
Lamb Weston Holdings, Inc. LW 24.73 28.06 60.32% 92.86% 26.98% 53.17%

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)

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 6.01 7.61 0.79% 7.54% 13.49% 32.94%
VanEck Vectors Russia ETF RSX 16.32 17.98 0.79% 0.99% 21.43% 70.63%
WisdomTree Japan Hedged Equity Fund DXJ 11.47 15.27 0.79% 35.71% 4.76% 36.11%
iShares Preferred and Income Securities ETF PFF 4.68 5 4.37% 14.68% 30.56% 35.32%
iShares Edge MSCI Min Vol EAFE ETF EFAV 7.37 8.08 4.37% 0.79% 0.40% 1.19%

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
Direxion Daily MSCI Brazil Bull 3X Shares BRZU 84.57 81.73 9.13% 0.40% 79.37% 32.14%
iShares MSCI Brazil ETF EWZ 28.98 29.02 13.69% 0.40% 73.02% 34.13%
iShares Edge MSCI Min Vol EAFE ETF EFAV 7.37 8.08 4.37% 0.79% 0.40% 1.19%
VanEck Vectors Russia ETF RSX 16.32 17.98 0.79% 0.99% 21.43% 70.63%
iShares MSCI Germany ETF EWG 12.86 14.3 4.96% 1.98% 0.40% 19.44%

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 19.16 20.96 0.40% 1.19% 57.54% 53.97%
Nektar Therapeutics NKTR 48.51 61.41 0.79% 35.91% 16.67% 63.89%
Charter Communications, Inc. CHTR 18.53 24.25 0.79% 10.32% 62.70% 95.63%
Discovery, Inc. DISCA 28.44 30.87 0.79% 2.78% 21.83% 5.95%
Everest Re Group, Ltd. RE 15.58 16.94 0.99% 4.37% 38.49% 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 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
Red Hat, Inc. RHT 6.78 3.95 21.43% 0.79% 61.51% 49.60%
Assurant, Inc. AIZ 19.16 20.96 0.40% 1.19% 57.54% 53.97%
The Travelers Companies, Inc. TRV 13.68 14.26 3.17% 1.59% 62.70% 63.10%
Campbell Soup Company CPB 23.79 24.67 6.75% 1.79% 2.78% 19.84%
Dollar General Corporation DG 17.07 19.3 3.17% 2.38% 13.49% 43.25%

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

Global Stock Indice Price Returns

 

 

Stock Model PortfoliosMulti-factor quantitatively optimized portfolios risk-adjusted to provide investors an ATTRACTIVERISK/RETURN TRADE-OFF
Stock Model PortfoliosMulti-factor quantitatively optimized portfolios risk-adjusted to provide investors an ATTRACTIVERISK/RETURN TRADE-OFF