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
9/27/2020 BIG General Retailers $46.53 100
9/27/2020 CWH $28.22 100
9/27/2020 ENPH Alternative Energy $73.62 100
9/27/2020 HOME $14.14 100
9/27/2020 RH General Retailers $354.59 100
9/27/2020 CCL Travel & Leisure $15.07 99
9/27/2020 CNQ Oil & Gas Producers $16.13 99
9/27/2020 CP Industrial Transportation $300.14 99
9/27/2020 FANG Oil & Gas Producers $29.90 99
9/27/2020 NIO $18.32 99
9/27/2020 OSTK General Retailers $72.87 99
9/27/2020 VIAC Media $29.53 99
9/27/2020 ABB Industrial Engineering $25.09 98
9/27/2020 AYX $111.90 98
9/27/2020 NUAN Software & Computer Services $33.14 98
9/27/2020 PVH Personal Goods $61.50 98
9/27/2020 SIX Travel & Leisure $20.97 98
9/27/2020 TAN Nonequity Investment Instruments $57.64 98
9/27/2020 TUP Household Goods & Home Construction $22.65 98
9/27/2020 DKS General Retailers $55.89 97
9/27/2020 JBL Electronic & Electrical Equipment $33.44 97
9/27/2020 MS Financial Services $47.04 97
9/27/2020 MWD $47.04 97
9/27/2020 RUN Electricity $66.46 97
9/27/2020 SE $155.29 97
9/27/2020 STOR Real Estate Investment Trusts $26.82 97
9/27/2020 THO Leisure Goods $93.21 97
9/27/2020 VAR Health Care Equipment & Services $171.99 97
9/27/2020 YNDX Software & Computer Services $63.33 97
9/27/2020 AAPL Technology Hardware & Equipment $112.28 96
9/27/2020 CPRT General Retailers $104.26 96
9/27/2020 CRWD $136.39 96
9/27/2020 KMX General Retailers $94.03 96
9/27/2020 LEN Household Goods & Home Construction $76.70 96
9/27/2020 LVGO $140.27 96
9/27/2020 TSLA Automobiles & Parts $407.34 96
9/27/2020 W Household Goods & Home Construction $293.74 96
9/27/2020 ZG Real Estate Investment & Services $101.20 96
9/27/2020 BWA Automobiles & Parts $36.81 95
9/27/2020 KRA Chemicals $16.06 95
9/27/2020 PENN Travel & Leisure $69.85 95
9/27/2020 PSX Oil & Gas Producers $52.88 95
9/27/2020 SPWR Alternative Energy $10.66 95
9/27/2020 TWLO $245.02 95
9/27/2020 URI Support Services $168.14 95
9/27/2020 VLO Oil & Gas Producers $43.92 95
9/27/2020 ZM $496.50 95
9/27/2020 APA Oil & Gas Producers $9.85 94
9/27/2020 DOMO $37.57 94
9/27/2020 GPRE Alternative Energy $14.19 94
9/27/2020 HAL Oil Equipment, Services & Distribution $12.37 94
9/27/2020 ITB Nonequity Investment Instruments $54.19 94
9/27/2020 LULU Personal Goods $315.35 94
9/27/2020 MIK General Retailers $9.42 94
9/27/2020 MPLX Oil Equipment, Services & Distribution $16.08 94
9/27/2020 NCLH Travel & Leisure $16.63 94
9/27/2020 O Real Estate Investment Trusts $59.93 94
9/27/2020 QQQ Nonequity Investment Instruments $271.56 94
9/27/2020 SQ Software & Computer Services $157.72 94
9/27/2020 WGO Leisure Goods $50.02 94
9/27/2020 ZS $138.27 94
9/27/2020 CHKAQ Oil & Gas Producers $4.30 93
9/27/2020 CLGX Support Services $67.04 93
9/27/2020 DOCU $212.36 93
9/27/2020 ENB Oil Equipment, Services & Distribution $29.98 93
9/27/2020 KBH Household Goods & Home Construction $36.40 93
9/27/2020 PINS $39.90 93
9/27/2020 PLT Technology Hardware & Equipment $11.55 93
9/27/2020 WES Oil & Gas Producers $7.37 93
9/27/2020 DCP Oil Equipment, Services & Distribution $10.40 92
9/27/2020 DPM Mining $10.40 92
9/27/2020 EWT Nonequity Investment Instruments $43.32 92
9/27/2020 MDC Household Goods & Home Construction $44.57 92
9/27/2020 MPC Oil & Gas Producers $28.63 92
9/27/2020 PNC Banks $104.90 92
9/27/2020 SAND Mining $8.31 92
9/27/2020 TECL Nonequity Investment Instruments $285.35 92
9/27/2020 TQQQ Nonequity Investment Instruments $122.46 92
9/27/2020 CROX Personal Goods $42.62 91
9/27/2020 GLPI Real Estate Investment Trusts $37.88 91
9/27/2020 GRUB General Retailers $71.94 91
9/27/2020 KL Mining $48.48 91
9/27/2020 MUR Oil & Gas Producers $8.73 91
9/27/2020 WH $49.28 91
9/27/2020 WIX Software & Computer Services $248.25 91
9/27/2020 ABR Real Estate Investment Trusts $11.62 90
9/27/2020 CLB Oil Equipment, Services & Distribution $15.54 90
9/27/2020 ETSY General Retailers $118.28 90
9/27/2020 IIVI Electronic & Electrical Equipment $40.05 90
9/27/2020 MEOH Chemicals $22.24 90
9/27/2020 PAAS Mining $31.24 90
9/27/2020 RCL Travel & Leisure $64.59 90
9/27/2020 RSX Nonequity Investment Instruments $20.86 90
9/27/2020 SBSW $10.42 90
9/27/2020 TPC Construction & Materials $11.30 90
9/27/2020 TSM Technology Hardware & Equipment $78.88 90
9/27/2020 BLDR Construction & Materials $30.59 89
9/27/2020 BLMN Travel & Leisure $15.26 89
9/27/2020 CDE Mining $7.17 89
9/27/2020 CYBR Software & Computer Services $99.39 89

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.

Partnercenter