CBOE Mid-Day Update 5.6.14

Volatility as an asset class

Twitter (TWTR) is down $4.86 to $33.89 as the IPO lock-up (mentioned in this morning’s blog) expired today and over 450M shares can be sold for the first time. May weekly call option implied volatility is at 89, May is at 71, June is at 56, July is at 52, September is at 56; compared to its 26-week average of 60.

Hillshire Brands (HSH) is up $1.59 to $36.88 on protein producer still sees 2014 adjusted EPS at high end of guidance May call option implied volatility is at 18, June is at 16, July is at 18, October is at 16; compared to its 26-week average of 23.

Anadarko Petroleum (APC) is up $3.00 to $102.49 after reporting Q1 adjusted profit that beat expectations. May call option implied volatility is at 33, June is at 23, August is at 22; compared to its 26-week average of 28.

Actives at CBOE:  AAPL TWTR BP TSLA C BAC SPX VIX

Stocks with increasing volume: AVGO HOLD AMKR APA ADT NOV CRM

CBOE S&P 500 Short-Term Volatility Index (VXST) up 0.1.1% to 12.35; compared to its 10-day moving average of 12.86. VXST is a market-based gauge of expectations of 9-day volatility stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) down 0.3% to 262.18, compared to its 50-day moving average of 258.89. cboe.com/micro/bxd/

CBOE Volatility Index (VIX) up 0.4% to 13.36. VIX May 16 and 18 calls are active at CBOE on 134K contracts cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) down 23c to 39.98

CBOE DJIA Volatility Index (VXD) higher by 0.20 to 12.75; compared to its 50-day moving average of 13.55.

CBOE Nasdaq-100 Volatility Index (VXN) down 0.1% to 16.77; compared to its 50-day moving average of 17.51

S&P 100 Options (OEX) recently down $4.78 to $830.38 as U.S. equities were pulled lower again as European shares settled lower with the Euro Stoxx 50 off 0.7%, German DAX off 0.7% and French CAC 0.8% lower.