CBOE Mid-Day Update 4.23.15

Volatility as an asset class

PepsiCo (PEP) is recently down 94c to $96.34 on solid Q1 results and sees FY15 organic revenue growth in mid-single digits. May weekly call option implied volatility is at 15, June is at 13, July is at 12; compared to its 26-week average of 18.

Caterpillar (CAT) is recently down 45c to $84.40 after raising its profit outlook for the year after reporting better than expected Q1 results. May weekly call option implied volatility is at 21, May is at 18, June is at 18, August is at 19; compared to its 26-week average of 23.

Southwest (LUV) is recent up 90c to $43.75 on Q1 earnings more than doubling on record load factors. May weekly call option implied volatility is at 28, May is at 29, June is at 28, September is at 29; compared to its 26-week average of 33.

CBOE Russell 2000 Volatility Index (RVX) down 1% to 15.86, compared to its 50-day moving average of 17.11. www.cboe.com/RVX

CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (VXTYN) down 0.19% to 5.16 cboe.com/VXTYN

CBOE Crude Oil Volatility Index (OVX) up 0.3% to 39.13 compared to its 50-day moving average of 50.54 as WTI oil trades near $58.  cboe.com/OVX

CBOE Volatility Index-VIX methodology for Energy Select Sector SPDR (VXXLE) down 1.7% to 19.33 cboe.com/micro/VIXETF/VXXLE/

Active options at CBOE: AAPL NFLX TWTR PBR TSLA TWTR AMZN AA CMCSA DOW

Options with increasing volume @ CBOE: SFUN KORS ARRS UEC ALL IDTI HZNP SKX EWT WHZ CSX BMO

CBOE Volatility Index (VIX) down 2.7% to 12.38, high 12.96, low 12.12, May 19 & 23 calls active on total volume of 170K cboe.com/VIX

IPath S&P 500 VIX Short-Term Futures (VXX) is recently down 20c to 21.09.

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently down 0.8% to 11.73; compared to its 50-day moving average of 13.04 stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) up 0.1% to 272.85 compared to its 50-day moving average of 269.30 cboe.com/micro/bxd/

CBOE Mini-SPX options (XSP) up 0.3% to 211.35 http://www.cboe.com/micro/xsp/

S&P 100 Options (OEX) recently up 2.28 to 925.10 on strong corporate results.