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.

Date Ticker Sector Last Close VolSc
5/31/2020 CROX Personal Goods $28.65 100
5/31/2020 ENPH Alternative Energy $58.19 100
5/31/2020 IFF Chemicals $133.19 100
5/31/2020 KRA Chemicals $15.25 100
5/31/2020 SHAK Travel & Leisure $55.55 100
5/31/2020 TSLA Automobiles & Parts $835.00 100
5/31/2020 BWA Automobiles & Parts $32.15 99
5/31/2020 CP Industrial Transportation $249.68 99
5/31/2020 DRIP Nonequity Investment Instruments $6.88 99
5/31/2020 SWKS Technology Hardware & Equipment $118.54 99
5/31/2020 URI Support Services $138.89 99
5/31/2020 WDC Technology Hardware & Equipment $44.37 99
5/31/2020 AEM Mining $64.00 98
5/31/2020 AYX $143.94 98
5/31/2020 BE $8.03 98
5/31/2020 BYND $128.29 98
5/31/2020 EHTH Life Insurance $130.42 98
5/31/2020 JBL Electronic & Electrical Equipment $29.92 98
5/31/2020 NG Mining $9.54 98
5/31/2020 VLO Oil & Gas Producers $66.64 98
5/31/2020 AAPL Technology Hardware & Equipment $317.94 97
5/31/2020 AUY Mining $5.39 97
5/31/2020 DVN Oil & Gas Producers $10.81 97
5/31/2020 EQT Oil & Gas Producers $13.34 97
5/31/2020 JACK Travel & Leisure $67.02 97
5/31/2020 RLGY Real Estate Investment & Services $6.06 97
5/31/2020 W Household Goods & Home Construction $171.55 97
5/31/2020 MPC Oil & Gas Producers $35.14 96
5/31/2020 PAAS Mining $29.30 96
5/31/2020 PSX Oil & Gas Producers $78.26 96
5/31/2020 PVH Personal Goods $45.47 96
5/31/2020 SCCO Industrial Metals & Mining $36.30 96
5/31/2020 SLB Oil Equipment, Services & Distribution $18.47 96
5/31/2020 WES Oil & Gas Producers $9.34 96
5/31/2020 WGO Leisure Goods $54.40 96
5/31/2020 ZG Real Estate Investment & Services $57.96 96
5/31/2020 BERY General Industrials $44.91 95
5/31/2020 BIG General Retailers $38.75 95
5/31/2020 MAC Real Estate Investment Trusts $6.81 95
5/31/2020 PVG Mining $8.73 95
5/31/2020 RGLD Mining $133.20 95
5/31/2020 SQ Software & Computer Services $81.08 95
5/31/2020 TRIP Travel & Leisure $19.28 95
5/31/2020 XEC Oil & Gas Producers $26.28 95
5/31/2020 CLVS Pharmaceuticals & Biotechnology $6.92 94
5/31/2020 HAL Oil Equipment, Services & Distribution $11.75 94
5/31/2020 HD General Retailers $248.48 94
5/31/2020 NUAN Software & Computer Services $22.88 94
5/31/2020 STT Financial Services $60.96 94
5/31/2020 THO Leisure Goods $86.20 94
5/31/2020 APA Oil & Gas Producers $10.79 93
5/31/2020 BLK Financial Services $528.64 93
5/31/2020 EMN Chemicals $68.08 93
5/31/2020 EOG Oil & Gas Producers $50.97 93
5/31/2020 MUR Oil & Gas Producers $11.95 93
5/31/2020 QQQ Nonequity Investment Instruments $233.36 93
5/31/2020 Z Real Estate Investment & Services $57.99 93
5/31/2020 ALGN Health Care Equipment & Services $245.62 92
5/31/2020 CXO Oil & Gas Producers $54.52 92
5/31/2020 DXC Software & Computer Services $14.21 92
5/31/2020 PLT Technology Hardware & Equipment $13.03 92
5/31/2020 ROKU $109.51 92
5/31/2020 SBUX Travel & Leisure $77.99 92
5/31/2020 STLD Industrial Metals & Mining $26.56 92
5/31/2020 TPC Construction & Materials $10.50 92
5/31/2020 TWOU Software & Computer Services $36.47 92
5/31/2020 VAR Health Care Equipment & Services $121.39 92
5/31/2020 ARWR Pharmaceuticals & Biotechnology $32.24 91
5/31/2020 CLB Oil Equipment, Services & Distribution $20.22 91
5/31/2020 FANG Oil & Gas Producers $42.58 91
5/31/2020 FTNT Software & Computer Services $139.20 91
5/31/2020 GIII Personal Goods $10.33 91
5/31/2020 HFC Oil & Gas Producers $31.45 91
5/31/2020 PAYC Software & Computer Services $297.23 91
5/31/2020 PBF Oil & Gas Producers $10.62 91
5/31/2020 PSTG Technology Hardware & Equipment $17.61 91
5/31/2020 RH General Retailers $216.89 91
5/31/2020 RSX Nonequity Investment Instruments $20.62 91
5/31/2020 SPGI Financial Services $325.02 91
5/31/2020 TQQQ Nonequity Investment Instruments $82.77 91
5/31/2020 CAT Industrial Engineering $120.13 90
5/31/2020 CNQ Oil & Gas Producers $18.20 90
5/31/2020 COP Oil & Gas Producers $42.18 90
5/31/2020 CRUS Technology Hardware & Equipment $72.48 90
5/31/2020 DCP Oil Equipment, Services & Distribution $11.00 90
5/31/2020 DPM Mining $11.00 90
5/31/2020 GDOT Financial Services $38.18 90
5/31/2020 GRUB General Retailers $56.74 90
5/31/2020 GT Automobiles & Parts $7.61 90
5/31/2020 KL Mining $38.38 90
5/31/2020 MTDR Oil & Gas Producers $7.84 90
5/31/2020 QRVO Technology Hardware & Equipment $104.74 90
5/31/2020 SPY Nonequity Investment Instruments $304.32 90
5/31/2020 TGT General Retailers $122.33 90
5/31/2020 TLT Nonequity Investment Instruments $163.59 90
5/31/2020 UAA Personal Goods $8.75 90
5/31/2020 AG Mining $9.96 89
5/31/2020 BK Financial Services $37.17 89
5/31/2020 BX Financial Services $56.80 89
5/31/2020 DD $50.73 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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