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Major Bullish Block Trade in iShares MSCI Mexico ETF (EWW) and Bearish Block Trade in Invesco DB US Dollar Index Bullish Fund (UUP)

Jun 24, 2019

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

Major Stock Block Trades From Friday

Bullish
  • BP 6,000 Jul 44 calls trade (appears bought to open, $.31, ref. 42.58) 
  • OPK Buyer 3,500 Sep 2 calls (paid $.40, ref. 2.02)
Bearish
  • KNX 7,500 Jul 30 puts trade tied to stock ($.70, ref. 32.25) 
  • PCG Buyer 15,000 Jul 21 puts (paid $1.625 to open, ref. 23.60)

Major ETFs Block Trades From Friday

Bullish
  • XSP 24,406 Jul 12th 300 calls trade vs. 48,812 Jul 12th 305 calls (appears to open 1x2, $.58, ref. 295.12) 
  • EWW 10,000 Sep 44 puts trade tied to stock (appears sold to open, $1.53, ref. 44.34) 
Bearish
  • UUP Buyer 180,000 Jun – Jul 26 put spreads (paid $.16 to roll bearish dollar play out, ref. 26.05) 
  • LQD Buyer 10,000 Dec 118 puts (paid $.53, ref. 123.64)

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 12.97 54.17% 13.92 55.56% 1.07 42.66% 44.84% 55.16%
Invesco QQQ Trust QQQ 16.84 46.03% 16.85 40.28% 1.00 47.02% 36.11% 43.25%
iShares Russell 2000 ETF IWM 16.22 52.18% 16.28 53.57% 1.00 49.4% 61.51% 42.86%
SPDR EURO STOXX 50 ETF FEZ 12.93 19.84% 13.46 6.75% 1.04 58.33% 3.97% 24.21%
iShares MSCI Emerging Markets ETF EEM 15.76 19.05% 16.87 17.86% 1.07 75.2% 78.97% 61.9%

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 15.3 13.87 100.00% 99.60% 91.67% 99.21%
ProShares UltraShort Gold GLL 28.61 26.79 98.81% 99.60% 73.02% 96.03%
Teucrium Corn Fund CORN 35.93 33.3 97.62% 95.24% 70.63% 81.75%
VanEck Vectors Junior Gold Miners ETF GDXJ 32.28 32.49 96.03% 97.62% 59.13% 77.78%
Invesco Senior Loan ETF BKLN 17.76 18.5 95.63% 99.60% 97.62% 99.60%

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 17.76 18.5 95.63% 99.60% 97.62% 99.60%
ProShares UltraShort Gold GLL 28.61 26.79 98.81% 99.60% 73.02% 96.03%
SPDR Gold Trust GLD 15.3 13.87 100.00% 99.60% 91.67% 99.21%
Direxion Daily Junior Gold Miners Index Bear 3X Shares JDST 94 96.81 95.24% 98.81% 50.00% 79.76%
Direxion Daily Junior Gold Miners Index Bull 3X Shares JNUG 99.39 97.54 94.84% 98.41% 61.11% 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
Alexion Pharmaceuticals, Inc. ALXN 55.92 46.73 99.60% 97.62% 93.25% 91.67%
J.B. Hunt Transport Services, Inc. JBHT 34.44 29.79 92.86% 86.51% 83.33% 54.76%
Morgan Stanley DWDP 35.7 32.56 91.67% 92.46% 66.27% 13.49%
Schlumberger Limited SLB 35.75 31.95 90.08% 81.15% 34.13% 38.89%
Duke Realty Corporation DRE 29.02 17.8 89.68% 70.24% 94.44% 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 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
Lamb Weston Holdings, Inc. LW 24.41 28.81 56.75% 98.02% 25.40% 58.33%
Alexion Pharmaceuticals, Inc. ALXN 55.92 46.73 99.60% 97.62% 93.25% 91.67%
DISH Network Corporation DISH 53.65 56.49 88.89% 97.22% 99.21% 99.60%
Allergan plc AGN 30.01 33.25 73.02% 95.24% 3.57% 53.57%
Altria Group, Inc. MO 23.78 27.92 62.30% 94.44% 25.00% 73.41%

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
Alerian MLP ETF AMLP 14.1 16.68 0.40% 8.33% 78.97% 61.11%
iShares MSCI United Kingdom ETF EWU 10.6 13.15 2.78% 25.40% 0.40% 19.84%
VanEck Vectors Russia ETF RSX 16.97 18.24 2.98% 1.98% 42.86% 76.59%
iShares Edge MSCI USA Momentum Factor ETF MTUM 9.93 11.41 3.97% 3.37% 13.10% 51.19%
Direxion Daily MSCI Brazil Bull 3X Shares BRZU 82.39 81.26 4.76% 0.40% 77.78% 59.52%

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 82.39 81.26 4.76% 0.40% 77.78% 59.52%
Vanguard FTSE Emerging Markets ETF VWO 15.71 14.5 23.81% 1.19% 80.16% 18.65%
iShares MSCI Brazil ETF EWZ 28.61 29.07 7.54% 1.19% 75.40% 63.89%
Invesco CurrencyShares British Pound Sterling Trust FXB 6.78 6.95 6.35% 1.59% 39.29% 18.65%
VanEck Vectors Russia ETF RSX 16.97 18.24 2.98% 1.98% 42.86% 76.59%

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
Dollar General Corporation DG 16.66 18.98 0.40% 1.19% 13.49% 38.49%
Nektar Therapeutics NKTR 42.26 60.9 0.40% 32.54% 8.33% 62.30%
Assurant, Inc. AIZ 19.36 21.59 1.19% 11.90% 53.97% 57.94%
Discovery, Inc. DISCA 29.08 30.55 1.19% 2.38% 26.19% 4.37%
Under Armour, Inc. UAA 31.69 41.75 1.19% 33.73% 32.94% 53.57%

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
Campbell Soup Company CPB 22.42 24.3 1.39% 0.40% 1.59% 15.08%
Dollar General Corporation DG 16.66 18.98 0.40% 1.19% 13.49% 38.49%
Red Hat, Inc. RHT 7.64 4.47 34.13% 1.59% 67.06% 57.54%
Discovery, Inc. DISCA 29.08 30.55 1.19% 2.38% 26.19% 4.37%
AbbVie Inc. ABBV 22.25 22.33 21.03% 3.57% 71.03% 88.10%

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

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