CBOE Mid-Day Update 3.31.15

Volatility as an asset class

Charter Communications (CHTR) is recently up $13.28 to $196.67 after announcing that it will acquire Bright House Networks for $10.4B. April call option implied volatility is at 24, May is at 27, June is at 26; compared to its 26-week average of 25.

Movado Group (MOV) is recently up $3.73 to $29.36 after the fine watch reported Q4 profits significantly surpassed analysts’ consensus estimates. April call option implied volatility is at 36, May is at 30, June is at 33; compared to its 26-week average of 40.

VIX methodology for IBM (VXIBM) up 3.4% to 23.65, above its 50-day moving average of 20.66.  cboe.com/VXIBM

CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (VXTYN) up 0.69% to 5.81 cboe.com/VXTYN

CBOE Crude Oil Volatility Index (OVX) up 1.8% to 52.93 compared to its 10-day moving average of 50.99 as WTI oil trades $48.  cboe.com/OVX

CBOE Volatility Index-VIX methodology for Energy Select Sector SPDR (VXXLE) up 0.18% to 22.26 cboe.com/micro/VIXETF/VXXLE/

Active options at CBOE: AAPL TWTR TSLA GILD CELG INTC NFLX RAD FB

Options with increasing volume @ CBOE: CONN ICON ROK RMD BBG AMED DANG EDU HYH RAI

CBOE Volatility Index (VIX) up 2.5% to 14.87, high 15.02, low 14.33, April 17 and 18 calls are active on total volume of 99K cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) is recently up 40c to 25.36.

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently up 4.8% to 14.99; compared to its 50-day moving average of 14.76. stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) down 0.4% to 270 compared to its 50-day moving average of 266.58 cboe.com/micro/bxd/

CBOE Mini-SPX options (XSP) down 0.4% to 207.70 http://www.cboe.com/micro/xsp/

S&P 100 Options (OEX) recently down 0.5% to 908.54 as U.S. consumer confidence rebounded strongly in March.