CBOE Mid-Day Update 4.16.15

Volatility as an asset class

Philip Morris (PM)) is recently up $5.91 to $84.05 on better than expected Q1 results and outlook. April call option implied volatility is at 23, May is at 84, June is at 13, September is at 14; compared to its 26-week average of 17.

Blackstone (BX) is recently up 81c to $41.84 on the asset manager reporting Q1 profit more than doubling. May and June call option implied volatility is at 18; compared to its 26-week average of 24.

BlackRock (BLK) is recently down $6.95 to $369.82 on Q1 earnings increasing 9%. May call option implied volatility is at 18, July is at 19, October is at 18; compared to its 26-week average of 23.

CBOE Russell 2000 Volatility Index (RVX) up 0.7% to 15.64, compared to its 50-day moving average of 17.65. www.cboe.com/RVX

CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (VXTYN) up 2.4% to 4.94 cboe.com/VXTYN

CBOE Crude Oil Volatility Index (OVX) down 4% to 44.32 compared to its 10-day moving average of 46.14 as WTI oil trades near $56.  cboe.com/OVX

CBOE Volatility Index-VIX methodology for Energy Select Sector SPDR (VXXLE) up 0.5% to 19.78 cboe.com/micro/VIXETF/VXXLE/

Active options at CBOE: INTC NFLX AAPL WMT BIDU TWTR AMZN PFE S FB C

Options with increasing volume @ CBOE: MCP ON OCN EPI NEE PNRA THOR AMT MCK PM EWH YINN

CBOE Volatility Index (VIX) up 0.1% to 12.05, high 13.35, low 12.85, May 19, 20 & 23 calls active on total volume of 155K cboe.com/VIX

IPath S&P 500 VIX Short-Term Futures (VXX) is recently down 35c to 21.63.

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently up 2.7% to 10.88; compared to its 50-day moving average of 13.41 stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) up 12c to 274.43 compared to its 50-day moving average of 268.61 cboe.com/micro/bxd/

CBOE Mini-SPX options (XSP) down 10c to 210.55 http://www.cboe.com/micro/xsp/

S&P 100 Options (OEX) recently down 20c to 921.16 as oil trends up to $56 on less than expected U.S. housing starts data.