高波动股票
(Bloomberg) --Options appear expensive on companies including Biogen and Expedia, while contracts on NextEra Energy screen cheap. Below are the S&P 500 stocks with the largest premiums and discounts in one-month, at-the-money implied volatility vs realized relative to the benchmark index.
• Biggest IV-RV spread premiums:
◦ Biogen (YTD move: -5.3%, RSI: 53) IV 79.0 vs RV 27.2 with vol dispersion 44.3; IV is in the 100th percentile over the past year
◦ American Air (YTD move: -56%, RSI: 48) IV 95.7 vs RV 54.3 with vol dispersion 34.1; IV is in the 59th percentile over the past year
◦ MGM Resorts (YTD move: -37%, RSI: 44) IV 71.5 vs RV 38.1 with vol dispersion 26.1; IV is in the 59th percentile over the past year
◦ Wynn Resorts (YTD move: -46%, RSI: 44) IV 72.0 vs RV 40.2 with vol dispersion 24.4; IV is in the 64th percentile over the past year
◦ Expedia (YTD move: -15%, RSI: 46) IV 61.2 vs RV 29.6 with vol dispersion 24.2; IV is in the 61st percentile over the past year
• Biggest IV-RV spread discounts:
◦ Albemarle (YTD move: 28%, RSI: 54) IV 51.8 vs RV 76.7 with vol dispersion -32.3; IV is in the 79th percentile over the past year
◦ CarMax (YTD move: 6.3%, RSI: 39) IV 40.7 vs RV 54.9 with vol dispersion -21.6; IV is in the 54th percentile over the past year
◦ Illumina (YTD move: -4.4%, RSI: 49) IV 52.2 vs RV 63.4 with vol dispersion -18.6; IV is in the 91st percentile over the past year
◦ NextEra Energy (YTD move: 20%, RSI: 59) IV 28.0 vs RV 34.1 with vol dispersion -13.5; IV is in the 59th percentile over the past year
◦ Regency Centers (YTD move: -37%, RSI: 52) IV 40.0 vs RV 45.5 with vol dispersion -12.8; IV is in the 55th percentile over the past year
• S&P 500 Index (YTD move: 4%, RSI: 51) IV 27.4 vs RV 20.0; IV is in the 76th percentile over the past year
◦ SPDR S&P 500 ETF Trust (YTD move: 4.1%, RSI: 50) IV 27.3 vs RV 20.4; IV is in the 78th percentile over the past year
NOTE: The screen includes S&P 500 members that had an average of at least 500 options trading daily in the past 20 days. It’s based on the spread between their one-month, at-the-money implied and 20-day realized volatility as of the last close.
#stocktalk
(Bloomberg) --Options appear expensive on companies including Biogen and Expedia, while contracts on NextEra Energy screen cheap. Below are the S&P 500 stocks with the largest premiums and discounts in one-month, at-the-money implied volatility vs realized relative to the benchmark index.
• Biggest IV-RV spread premiums:
◦ Biogen (YTD move: -5.3%, RSI: 53) IV 79.0 vs RV 27.2 with vol dispersion 44.3; IV is in the 100th percentile over the past year
◦ American Air (YTD move: -56%, RSI: 48) IV 95.7 vs RV 54.3 with vol dispersion 34.1; IV is in the 59th percentile over the past year
◦ MGM Resorts (YTD move: -37%, RSI: 44) IV 71.5 vs RV 38.1 with vol dispersion 26.1; IV is in the 59th percentile over the past year
◦ Wynn Resorts (YTD move: -46%, RSI: 44) IV 72.0 vs RV 40.2 with vol dispersion 24.4; IV is in the 64th percentile over the past year
◦ Expedia (YTD move: -15%, RSI: 46) IV 61.2 vs RV 29.6 with vol dispersion 24.2; IV is in the 61st percentile over the past year
• Biggest IV-RV spread discounts:
◦ Albemarle (YTD move: 28%, RSI: 54) IV 51.8 vs RV 76.7 with vol dispersion -32.3; IV is in the 79th percentile over the past year
◦ CarMax (YTD move: 6.3%, RSI: 39) IV 40.7 vs RV 54.9 with vol dispersion -21.6; IV is in the 54th percentile over the past year
◦ Illumina (YTD move: -4.4%, RSI: 49) IV 52.2 vs RV 63.4 with vol dispersion -18.6; IV is in the 91st percentile over the past year
◦ NextEra Energy (YTD move: 20%, RSI: 59) IV 28.0 vs RV 34.1 with vol dispersion -13.5; IV is in the 59th percentile over the past year
◦ Regency Centers (YTD move: -37%, RSI: 52) IV 40.0 vs RV 45.5 with vol dispersion -12.8; IV is in the 55th percentile over the past year
• S&P 500 Index (YTD move: 4%, RSI: 51) IV 27.4 vs RV 20.0; IV is in the 76th percentile over the past year
◦ SPDR S&P 500 ETF Trust (YTD move: 4.1%, RSI: 50) IV 27.3 vs RV 20.4; IV is in the 78th percentile over the past year
NOTE: The screen includes S&P 500 members that had an average of at least 500 options trading daily in the past 20 days. It’s based on the spread between their one-month, at-the-money implied and 20-day realized volatility as of the last close.
#stocktalk