SVS

 

Using our robust historical database, we conduct extensive research on each underlying equity and determined which of those underlying equities’ options have historically had underpriced or overpriced options. 

Schaeffer's Volatility Scorecard (SVS) is a lagging indicator that measures a stock's realized volatility against the volatility expectations priced into that stock's options over the past year. The goal is to find which stocks have been the best -- and worst -- for premium buyers. The SVS is a very useful tool for premium sellers too, as “the worst” for a premium buyer can be construed as “the best” for a premium seller. Using our robust historical database, we conduct extensive research on each underlying equity and determined which of those underlying equities’ options have historically had underpriced or overpriced options. We rank each equity’s options relative to the others in our universe, with scores ranging from zero to 100. For more information on how to use these scores, please review instructions following the scorecard.

Date Ticker Sector Last Close VolSc
6/28/2020 ENPH Alternative Energy $45.30 100
6/28/2020 RH General Retailers $254.24 100
6/28/2020 THO Leisure Goods $106.40 100
6/28/2020 TSLA Automobiles & Parts $959.74 100
6/28/2020 URI Support Services $140.40 100
6/28/2020 AUY Mining $5.20 99
6/28/2020 BWA Automobiles & Parts $33.23 99
6/28/2020 CP Industrial Transportation $247.70 99
6/28/2020 DRIP Nonequity Investment Instruments $5.99 99
6/28/2020 EMN Chemicals $67.28 99
6/28/2020 OLLI General Retailers $98.48 99
6/28/2020 WGO Leisure Goods $65.35 99
6/28/2020 AYX $162.42 98
6/28/2020 BIG General Retailers $43.04 98
6/28/2020 CNQ Oil & Gas Producers $17.05 98
6/28/2020 CROX Personal Goods $32.89 98
6/28/2020 JBL Electronic & Electrical Equipment $30.58 98
6/28/2020 NG Mining $8.57 98
6/28/2020 NUAN Software & Computer Services $25.39 98
6/28/2020 PAAS Mining $28.53 98
6/28/2020 SHAK Travel & Leisure $49.62 98
6/28/2020 SWKS Technology Hardware & Equipment $125.85 98
6/28/2020 MPC Oil & Gas Producers $35.37 97
6/28/2020 MUR Oil & Gas Producers $12.24 97
6/28/2020 PLT Technology Hardware & Equipment $13.59 97
6/28/2020 PSX Oil & Gas Producers $68.07 97
6/28/2020 PVH Personal Goods $44.66 97
6/28/2020 AEM Mining $61.51 96
6/28/2020 AG Mining $9.36 96
6/28/2020 BYND $141.68 96
6/28/2020 LEN Household Goods & Home Construction $59.00 96
6/28/2020 RSX Nonequity Investment Instruments $21.17 96
6/28/2020 SCCO Industrial Metals & Mining $37.72 96
6/28/2020 SLB Oil Equipment, Services & Distribution $17.44 96
6/28/2020 SQ Software & Computer Services $104.30 96
6/28/2020 CWH $25.35 95
6/28/2020 DXC Software & Computer Services $15.48 95
6/28/2020 KRA Chemicals $16.11 95
6/28/2020 QQQ Nonequity Investment Instruments $240.22 95
6/28/2020 SRPT Pharmaceuticals & Biotechnology $162.63 95
6/28/2020 VLO Oil & Gas Producers $56.32 95
6/28/2020 W Household Goods & Home Construction $201.94 95
6/28/2020 AAPL Technology Hardware & Equipment $353.63 94
6/28/2020 EHTH Life Insurance $91.28 94
6/28/2020 JEF Food Producers $14.47 94
6/28/2020 KMX General Retailers $86.58 94
6/28/2020 PAGS $34.27 94
6/28/2020 PVG Mining $8.09 94
6/28/2020 SPLK Software & Computer Services $196.80 94
6/28/2020 TQQQ Nonequity Investment Instruments $89.48 94
6/28/2020 WES Oil & Gas Producers $10.07 94
6/28/2020 XEC Oil & Gas Producers $25.96 94
6/28/2020 ABB Industrial Engineering $21.71 93
6/28/2020 BLK Financial Services $534.85 93
6/28/2020 CONN General Retailers $10.25 93
6/28/2020 ERI Travel & Leisure $36.15 93
6/28/2020 HAL Oil Equipment, Services & Distribution $11.93 93
6/28/2020 OVV Oil & Gas Producers $8.85 93
6/28/2020 PAYC Software & Computer Services $306.37 93
6/28/2020 TECL Nonequity Investment Instruments $214.38 93
6/28/2020 WDC Technology Hardware & Equipment $40.87 93
6/28/2020 ALGN Health Care Equipment & Services $263.14 92
6/28/2020 APA Oil & Gas Producers $13.25 92
6/28/2020 DKS General Retailers $39.71 92
6/28/2020 GS Financial Services $189.19 92
6/28/2020 SAND Mining $9.32 92
6/28/2020 TOT Oil & Gas Producers $38.75 92
6/28/2020 VAR Health Care Equipment & Services $116.72 92
6/28/2020 BE $7.78 91
6/28/2020 BHP Mining $48.54 91
6/28/2020 BX Financial Services $54.35 91
6/28/2020 EWT Nonequity Investment Instruments $39.92 91
6/28/2020 GRUB General Retailers $69.05 91
6/28/2020 MAC Real Estate Investment Trusts $8.05 91
6/28/2020 STT Financial Services $60.53 91
6/28/2020 TWLO $221.15 91
6/28/2020 VIAC Media $22.32 91
6/28/2020 ZG Real Estate Investment & Services $55.43 91
6/28/2020 CCL Travel & Leisure $15.78 90
6/28/2020 COP Oil & Gas Producers $40.35 90
6/28/2020 DAN Automobiles & Parts $10.98 90
6/28/2020 DCP Oil Equipment, Services & Distribution $11.35 90
6/28/2020 DPM Mining $11.35 90
6/28/2020 DVN Oil & Gas Producers $10.94 90
6/28/2020 IFF Chemicals $119.05 90
6/28/2020 MS Financial Services $47.05 90
6/28/2020 MWD $47.05 90
6/28/2020 QLD Nonequity Investment Instruments $139.33 90
6/28/2020 RUN Electricity $18.58 90
6/28/2020 SE $105.20 90
6/28/2020 APO Financial Services $46.24 89
6/28/2020 DD $51.42 89
6/28/2020 JACK Travel & Leisure $69.84 89
6/28/2020 KBH Household Goods & Home Construction $28.58 89
6/28/2020 MEOH Chemicals $18.03 89
6/28/2020 MR Oil & Gas Producers $3.53 89
6/28/2020 NSP Support Services $60.58 89
6/28/2020 PAGP Oil Equipment, Services & Distribution $8.34 89
6/28/2020 ADBE Software & Computer Services $426.92 88
6/28/2020 DOCU $177.58 88

High SVS readings (up to 100) indicate that a stock has consistently delivered bigger returns than its options implied volatility (IV) levels have predicted, meaning it may be a strong candidate for premium-buying strategies going forward.

Low SVS readings (all the way down to zero) point to stocks that have consistently realized lower volatility than their options have priced in -- pointing to possible premium-selling candidates. The ranking system is updated weekly to reflect the newest information.

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