CBOE Mid-Day Update 3.18.15

Volatility as an asset class

Herbalife (HLF) is recently up $3.90 to $38.34 after winning dismissal of class action “pyramid scheme” lawsuit. March call option implied volatility is at 106, April is at 68, May is at 70; compared to its 26-week average of 65.

General Mills (GIS) is recently down 45c to $51.60 after the food company’s Q4 earnings beat estimates. March call option implied volatility of 24, April is at 17, July is at 16; compared to its 26-week average of 18

Navistar (NAV) is recently down $1.84 to $28.70 after Morgan Stanley downgraded the commercial vehicle manufacture to Underperform from Equal Weight. March call option implied volatility is at 54, April is at 43, May is at 39; compared to its 26-week average of 40.

CBOE Interest Rate 5 Year Note (FVX) down 1.3% to 15.35 into Federal Reserve policy meeting decision

CBOE Crude Oil Volatility Index (OVX) down 4.3% to 57.27 compared to its 50-day moving average of 55.39 as oil at lowest level since March of 2009 CBOE.com/OVX

CBOE Mini-SPX options (XSP) down 0.4% to 206.70 http://www.cboe.com/micro/xsp/

CBOE Volatility Index-VIX methodology for Energy Select Sector SPDR (VXXLE) up 0.93% to 23.93 cboe.com/micro/VIXETF/VXXLE/

Active options at CBOE: AAPL PBR FB TEVA TWTR TSLA

Options with increasing volume @ CBOE: RAD CLF MGM RSPP SAP WU PBR MCP

CBOE Volatility Index (VIX) down 0.1% to 15.65, high 15.99, low 13.69, April 17, 22 and 35 calls are active on total volume of 229K cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) is recently up 0.9% to 27.54.

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently up 2.2% to 17.06; compared to its 50-day moving average of 15.81. stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) down 0.3% to 266.74 compared to its 50-day moving average of 265.20 cboe.com/micro/bxd/

S&P 100 Options (OEX) recently down 3.18 to 906.40 as oil trends lower into today’s FOMC policy decision.