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
10/18/2020 OVV Oil & Gas Producers $9.32 100
10/18/2020 PENN Travel & Leisure $70.91 100
10/18/2020 TSLA Automobiles & Parts $439.67 100
10/18/2020 TUP Household Goods & Home Construction $22.12 100
10/18/2020 W Household Goods & Home Construction $297.08 100
10/18/2020 WES Oil & Gas Producers $8.47 100
10/18/2020 AAN General Retailers $59.23 99
10/18/2020 CP Industrial Transportation $324.85 99
10/18/2020 CWH $31.89 99
10/18/2020 EAT Travel & Leisure $47.13 99
10/18/2020 KMX General Retailers $93.74 99
10/18/2020 NG Mining $11.01 99
10/18/2020 SNAP $27.83 99
10/18/2020 THO Leisure Goods $95.23 99
10/18/2020 ENPH Alternative Energy $110.84 98
10/18/2020 NUAN Software & Computer Services $34.94 98
10/18/2020 OSTK General Retailers $77.01 98
10/18/2020 RCL Travel & Leisure $58.83 98
10/18/2020 ZG Real Estate Investment & Services $97.87 98
10/18/2020 CCL Travel & Leisure $14.08 97
10/18/2020 CNQ Oil & Gas Producers $17.60 97
10/18/2020 DAR Food Producers $44.43 97
10/18/2020 FDX Industrial Transportation $283.87 97
10/18/2020 PSX Oil & Gas Producers $50.58 97
10/18/2020 RUN Electricity $62.39 97
10/18/2020 SQ Software & Computer Services $186.35 97
10/18/2020 AAPL Technology Hardware & Equipment $119.02 96
10/18/2020 ETSY General Retailers $147.59 96
10/18/2020 MUR Oil & Gas Producers $8.55 96
10/18/2020 NIO $28.48 96
10/18/2020 SE $165.20 96
10/18/2020 TRUP General Retailers $92.48 96
10/18/2020 VIAC Media $27.94 96
10/18/2020 AES Electricity $19.90 95
10/18/2020 AUY Mining $5.94 95
10/18/2020 BYND $183.58 95
10/18/2020 HOME $21.77 95
10/18/2020 KRA Chemicals $29.50 95
10/18/2020 LEG Household Goods & Home Construction $45.50 95
10/18/2020 TOL Household Goods & Home Construction $48.43 95
10/18/2020 HAL Oil Equipment, Services & Distribution $12.25 94
10/18/2020 PVG Mining $12.94 94
10/18/2020 STT Financial Services $66.58 94
10/18/2020 TWLO $326.47 94
10/18/2020 Z Real Estate Investment & Services $97.11 94
10/18/2020 ADT $7.94 93
10/18/2020 AG Mining $10.50 93
10/18/2020 AYX $140.14 93
10/18/2020 BBBY General Retailers $24.84 93
10/18/2020 BIG General Retailers $53.65 93
10/18/2020 CHKAQ Oil & Gas Producers $5.01 93
10/18/2020 EPR Real Estate Investment Trusts $21.55 93
10/18/2020 GRUB General Retailers $84.34 93
10/18/2020 MAC Real Estate Investment Trusts $7.27 93
10/18/2020 MELI General Retailers $1271.38 93
10/18/2020 SAND Mining $8.41 93
10/18/2020 SPWR Alternative Energy $16.97 93
10/18/2020 TAN Nonequity Investment Instruments $73.51 93
10/18/2020 ABB Industrial Engineering $26.74 92
10/18/2020 APA Oil & Gas Producers $9.37 92
10/18/2020 CLGX Support Services $68.49 92
10/18/2020 COP Oil & Gas Producers $33.77 92
10/18/2020 MTDR Oil & Gas Producers $8.59 92
10/18/2020 PHM Household Goods & Home Construction $47.75 92
10/18/2020 PLT Technology Hardware & Equipment $16.95 92
10/18/2020 QQQ Nonequity Investment Instruments $288.51 92
10/18/2020 RDFN $48.40 92
10/18/2020 SSL Chemicals $6.25 92
10/18/2020 TQQQ Nonequity Investment Instruments $145.10 92
10/18/2020 VAR Health Care Equipment & Services $171.96 92
10/18/2020 YNDX Software & Computer Services $57.99 92
10/18/2020 CPRT General Retailers $117.18 91
10/18/2020 CROX Personal Goods $51.08 91
10/18/2020 CRWD $145.34 91
10/18/2020 EXPE Travel & Leisure $90.71 91
10/18/2020 FANG Oil & Gas Producers $29.29 91
10/18/2020 GDI Pharmaceuticals & Biotechnology $37.22 91
10/18/2020 IR $37.22 91
10/18/2020 MMP Oil Equipment, Services & Distribution $36.72 91
10/18/2020 NKE Personal Goods $128.00 91
10/18/2020 RLGY Real Estate Investment & Services $10.73 91
10/18/2020 SRG Real Estate Investment Trusts $13.47 91
10/18/2020 CLB Oil Equipment, Services & Distribution $14.85 90
10/18/2020 EGO Mining $13.53 90
10/18/2020 IIVI Electronic & Electrical Equipment $45.99 90
10/18/2020 MDC Household Goods & Home Construction $50.90 90
10/18/2020 MEOH Chemicals $28.22 90
10/18/2020 PAGP Oil Equipment, Services & Distribution $6.84 90
10/18/2020 TECL Nonequity Investment Instruments $338.84 90
10/18/2020 TPC Construction & Materials $12.93 90
10/18/2020 VLO Oil & Gas Producers $40.22 90
10/18/2020 ZM $559.00 90
10/18/2020 CYBR Software & Computer Services $113.01 89
10/18/2020 DFS Financial Services $65.48 89
10/18/2020 DHI Household Goods & Home Construction $77.09 89
10/18/2020 DIN Travel & Leisure $58.14 89
10/18/2020 EPD Oil Equipment, Services & Distribution $17.21 89
10/18/2020 ITB Nonequity Investment Instruments $59.35 89
10/18/2020 LVGO $141.92 89
10/18/2020 MAXR Support Services $29.35 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.

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