CBOE Mid-Day Update 3.25.15

Volatility as an asset class
Kraft (KRFT) is recently up $23.66 to $84.97 on privately held H.J. Heinz Company announcing the purchase of Kraft. Heinz shareholders will own a 51% stake in a combined company, while Kraft shareholders will hold a 49% stake and receive a special cash dividend of $16.50 per share. April option implied volatility is at 29, May is at 25; compared to its 52-week average of 16.

Peer April option implied volatility on Heinz merger agreement

Campbell Soup (CPB) is recently down 2c to $45.37. April call option implied volatility is at 15, May and August is at 16; compared to its 26-week average of 18.

Kellogg (K) is recently up 88c to $63.83. April call option implied volatility is at 17, May is at 16, July is at 16; compared to its 26-week average of 19.

General Mills (GIS) is recently up 81c to $54.01. April call option implied volatility is at 17, May and July is at 16; compared to its 26-week average of 16.

CBOE Crude Oil Volatility Index (OVX) is recently down 1.9% to 47.04 compared to its 10-day moving average of 52.35 as WTI oil trades near $47.  CBOE.com/OVX

CBOE Volatility Index-VIX methodology for Energy Select Sector SPDR (VXXLE) down 0.9% to 21.41 cboe.com/micro/VIXETF/VXXLE/

Active options at CBOE: AAPL TWTR KRFT PBR TSLA GILD NFLX C AMZN

Options with increasing volume @ CBOE: KRFT RIG PBR LL NVO SXC SONC LXK APO

CBOE Volatility Index (VIX) up 7.7% to 14.67, high 14.75, low 13.20, April 22 and 24 calls are active on total volume of 130K cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) is recently up 48c to 24.58.

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently up 13.7% to 13.92; compared to its 50-day moving average of 15.25. stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) down 0.6% to 269.48 compared to its 50-day moving average of 265.99 cboe.com/micro/bxd/

CBOE Mini-SPX options (XSP) down 0.7% to 207.70 http://www.cboe.com/micro/xsp/

S&P 100 Options (OEX) recently down 0.8% to 908.40 on industrial orders that unexpectedly