CBOE Mid-Day Update 4.21.15

Volatility as an asset class

Teva (TEVA) is recently up $1.23 to $64.52 after proposing to acquire all of the outstanding shares of Mylan (MYL) in a transaction valued at $82.00 per Mylan share, with the consideration to be comprised of approximately 50% cash and 50% stock. April weekly call option implied volatility is at 49, May is at 39, June is at 29; compares to its 26-week average of 25.

Mylan (MYL) is recently up $6.40 to $74.43.  April weekly all option implied volatility of 47, May is at 43, June is at 39; compared to its 26-week average of 31.

Verizon (VZ) is recently down 25c to $49.13 on inline Q1 results. April weekly call option implied volatility is at 16, May is at 15, June is at 14, July and October is at 13; compared to 26-week average of 15.

Harley-Davidson (HOG) is recently down after cutting its motorcycle -shipment outlook for the year. May call option implied volatility is at 22, June is at 19, August is at 22; compared to its 26-week average of 26.

CBOE Russell 2000 Volatility Index (RVX) up 0.6% to 15.92, compared to its 50-day moving average of 17.42. www.cboe.com/RVX

CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (VXTYN) down 2.31% to 5.07 cboe.com/VXTYN

CBOE Crude Oil Volatility Index (OVX) down 5% to 39.96 compared to its 10-day moving average of 51.26 as WTI oil trades near $56.  cboe.com/OVX

CBOE Volatility Index-VIX methodology for Energy Select Sector SPDR (VXXLE) up 2.6% to 19.96 cboe.com/micro/VIXETF/VXXLE/

Active options at CBOE: AAPL NFLX C TWTR BIDU KMI UA KO FB TSLA

Options with increasing volume @ CBOE: CVE AXTA JMBA HOG PRGO CJES FTNT FTI UA NRG

CBOE Volatility Index (VIX) down 0.2% to 13.27, high 13.36, low 12.66, May 17 & 18 calls active on total volume of 173K cboe.com/VIX

IPath S&P 500 VIX Short-Term Futures (VXX) is recently up 13c to 21.67.

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently up 0.3% to 12.67; compared to its 50-day moving average of 13.22 stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) down 0.2% to 271.85 compared to its 50-day moving average of 269.01 cboe.com/micro/bxd/

CBOE Mini-SPX options (XSP) down 0.1% to 209.90 http://www.cboe.com/micro/xsp/

S&P 100 Options (OEX) recently down 19c to 918.18 on mixed corporate results.