Schaeffer's Volatility Scorecard: Stock Rankings and Tool

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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