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
8/9/2020 BE $12.54 100
8/9/2020 ENPH Alternative Energy $72.84 100
8/9/2020 THO Leisure Goods $110.02 100
8/9/2020 TSLA Automobiles & Parts $1452.71 100
8/9/2020 TUP Household Goods & Home Construction $14.98 100
8/9/2020 ABB Industrial Engineering $25.99 99
8/9/2020 CCL Travel & Leisure $14.22 99
8/9/2020 CLGX Support Services $67.99 99
8/9/2020 CP Industrial Transportation $282.00 99
8/9/2020 CROX Personal Goods $38.59 99
8/9/2020 URI Support Services $173.59 99
8/9/2020 AAPL Technology Hardware & Equipment $444.45 98
8/9/2020 ALGN Health Care Equipment & Services $305.81 98
8/9/2020 CWH $32.37 98
8/9/2020 STT Financial Services $69.57 98
8/9/2020 W Household Goods & Home Construction $309.68 98
8/9/2020 WGO Leisure Goods $56.54 98
8/9/2020 BWA Automobiles & Parts $38.91 97
8/9/2020 DRIP Nonequity Investment Instruments $4.72 97
8/9/2020 HAL Oil Equipment, Services & Distribution $14.89 97
8/9/2020 JBL Electronic & Electrical Equipment $35.07 97
8/9/2020 MS Financial Services $50.35 97
8/9/2020 RUN Electricity $46.00 97
8/9/2020 SLB Oil Equipment, Services & Distribution $19.63 97
8/9/2020 GRUB General Retailers $75.01 96
8/9/2020 OVV Oil & Gas Producers $11.45 96
8/9/2020 QQQ Nonequity Investment Instruments $271.47 96
8/9/2020 SHAK Travel & Leisure $51.07 96
8/9/2020 TWLO $249.00 96
8/9/2020 WES Oil & Gas Producers $9.89 96
8/9/2020 CNQ Oil & Gas Producers $19.97 95
8/9/2020 CXO Oil & Gas Producers $51.27 95
8/9/2020 DOCU $204.76 95
8/9/2020 KRA Chemicals $15.05 95
8/9/2020 SCCO Industrial Metals & Mining $45.06 95
8/9/2020 SPOT $252.12 95
8/9/2020 SQ Software & Computer Services $147.22 95
8/9/2020 VLO Oil & Gas Producers $52.66 95
8/9/2020 CHKAQ Oil & Gas Producers $6.57 94
8/9/2020 CRWD $101.75 94
8/9/2020 DAN Automobiles & Parts $12.77 94
8/9/2020 EMN Chemicals $73.06 94
8/9/2020 FCX Industrial Metals & Mining $13.96 94
8/9/2020 GDOT Financial Services $52.72 94
8/9/2020 PINS $34.98 94
8/9/2020 TQQQ Nonequity Investment Instruments $126.99 94
8/9/2020 ZS $125.85 94
8/9/2020 AA $14.67 93
8/9/2020 BIG General Retailers $45.45 93
8/9/2020 COP Oil & Gas Producers $38.30 93
8/9/2020 ETSY General Retailers $135.06 93
8/9/2020 EWT Nonequity Investment Instruments $45.23 93
8/9/2020 JEF Food Producers $16.85 93
8/9/2020 MPC Oil & Gas Producers $36.67 93
8/9/2020 MUR Oil & Gas Producers $14.48 93
8/9/2020 SNAP $21.58 93
8/9/2020 SWKS Technology Hardware & Equipment $144.37 93
8/9/2020 WIX Software & Computer Services $291.60 93
8/9/2020 AUY Mining $6.49 92
8/9/2020 AYX $121.38 92
8/9/2020 BK Financial Services $37.75 92
8/9/2020 GDI Pharmaceuticals & Biotechnology $33.90 92
8/9/2020 IR $33.90 92
8/9/2020 PDD $88.20 92
8/9/2020 PLT Technology Hardware & Equipment $18.83 92
8/9/2020 TOT Oil & Gas Producers $38.94 92
8/9/2020 VAR Health Care Equipment & Services $173.82 92
8/9/2020 VWO Nonequity Investment Instruments $43.44 92
8/9/2020 ARKK Nonequity Investment Instruments $82.49 91
8/9/2020 BERY General Industrials $53.77 91
8/9/2020 BLK Financial Services $588.19 91
8/9/2020 CAT Industrial Engineering $134.92 91
8/9/2020 DCP Oil Equipment, Services & Distribution $13.96 91
8/9/2020 DPM Mining $13.96 91
8/9/2020 PAGP Oil Equipment, Services & Distribution $8.46 91
8/9/2020 SAND Mining $9.27 91
8/9/2020 TWOU Software & Computer Services $41.49 91
8/9/2020 APA Oil & Gas Producers $15.54 90
8/9/2020 CLB Oil Equipment, Services & Distribution $23.51 90
8/9/2020 EHTH Life Insurance $79.46 90
8/9/2020 KBH Household Goods & Home Construction $34.77 90
8/9/2020 MEOH Chemicals $19.54 90
8/9/2020 PSX Oil & Gas Producers $62.87 90
8/9/2020 RDFN $43.69 90
8/9/2020 SPY Nonequity Investment Instruments $334.57 90
8/9/2020 TRIP Travel & Leisure $21.06 90
8/9/2020 AG Mining $12.99 89
8/9/2020 AMGN Pharmaceuticals & Biotechnology $240.69 89
8/9/2020 AMP Financial Services $159.84 89
8/9/2020 BBBY General Retailers $12.11 89
8/9/2020 CMI Industrial Engineering $199.27 89
8/9/2020 LEN Household Goods & Home Construction $73.24 89
8/9/2020 MR Oil & Gas Producers $5.30 89
8/9/2020 NSP Support Services $69.81 89
8/9/2020 PNC Banks $109.70 89
8/9/2020 QLD Nonequity Investment Instruments $176.86 89
8/9/2020 RH General Retailers $311.33 89
8/9/2020 SCHW Financial Services $34.04 89
8/9/2020 TECL Nonequity Investment Instruments $294.78 89
8/9/2020 FANG Oil & Gas Producers $42.01 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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