CBOE Mid-Day Update 4.1.15

Volatility as an asset class

Deutsche Bank downgraded shares of American Airlines (AAL), Delta Air Lines (DAL) and United Continental (UAL) to Hold from Buy. It cut its price target for American to $58 from $78, for Delta to $50 from $60 and for United to $70 from $85 on concerns international sales will disappoint over the next few quarters. Analysts at Deutsche expect the combination of a strong U.S. dollar, capacity increases by non-US airlines and decelerating global GDP growth to pressure the foreign sales in 2015.

American Airlines (AAL) April call option implied volatility is at 38, May is at 41, August is 39; compared to its 26-week average of 35.

Delta Air Lines (DAL) April call option implied volatility is at 44, May is at 38, August is 37; compared to its 26-week average of 36.

United Continental (UAL) April call option implied volatility is at 40, May is at 44, June is 40; compared to its 26-week average of 42.

CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (VXTYN) down 0.52% to 5.75 cboe.com/VXTYN

CBOE Crude Oil Volatility Index (OVX) down 5.3% to 50.89 compared to its 10-day moving average of 50.80 as WTI oil trades near $49.  cboe.com/OVX

CBOE Volatility Index-VIX methodology for Energy Select Sector SPDR (VXXLE) down 0.04% to 22.42 cboe.com/micro/VIXETF/VXXLE/

Active options at CBOE: AAPL PBR AMAT TWTR GILD TSLA CELG TSLA NFLX C

Options with increasing volume @ CBOE: BBRY LOCK DYAX SRPT ICON AAP SINA PPC LL

CBOE Volatility Index (VIX) up 5.4% to 16.11, high 16.66, low 15.22, April 17 and 20 calls are active on total volume of 112K cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) is recently up 36c to 25.99.

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently up 0.5% to 15.59; compared to its 50-day moving average of 14.64. stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) down 0.6% to 267.25 compared to its 50-day moving average of 266.57 cboe.com/micro/bxd/

CBOE Mini-SPX options (XSP) down 0.6% to 205.50 http://www.cboe.com/micro/xsp/

S&P 100 Options (OEX) recently down 0.7% to 896.18 on a weak U.S. private March payrolls factory data.