CBOE Mid-Day Update 4.24.15

Volatility as an asset class

Altera (ALTR) is recently down 46c to $41.63 after the semiconductor company reported Q1 results that missed expectations. May call option implied volatility is at 72, June is at 67, September is at 41; compared to its 26-week average of 28.

American Airlines (AAL) is recently up $1.55 to $53 on Q1 earnings nearly doubling. May weekly call option implied volatility is at 34, May is at 37, June is at 34, August is at 36; compared to its 26-week average of 42.

Comcast (CMCSA) is recently up 11c to $59.35 after dropping its proposed acquisition of Time Warner Cable (TWC). May weekly call option implied volatility is at 20, May is at 23, June is at 22, July is at 21; compared to its 26-week average of 22.

VIX methodology for Amazon (VXAZN) down 37% to 26.56 compared to its 50-day moving average of 31.02 cboe.com/VXAZN

VIX methodology for Google (VXGOG) down 31% to 18.74, compared to its 50-day moving average of 23.50 cboe.com/VXGOG

VIX methodology for Apple (VXAPL) up 4% 33.48 compared to its 50-day moving average of 29.54 cboe.com/VXAPL

CBOE Russell 2000 Volatility Index (RVX) down 0.3% to 15.77, compared to its 50-day moving average of 17. www.cboe.com/RVX

CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (VXTYN) down 5.86% to 4.82 cboe.com/VXTYN

CBOE Crude Oil Volatility Index (OVX) down 1.6% to 37.37 compared to its 50-day moving average of 50.06 as WTI oil trades near $58.  cboe.com/OVX

CBOE Volatility Index-VIX methodology for Energy Select Sector SPDR (VXXLE) up 3.2% to 19.71 cboe.com/micro/VIXETF/VXXLE/

Active options at CBOE: AAPL NFLX TWTR PBR TSLA AMZN MSFT PBR

Options with increasing volume @ CBOE: CLF DIS AERI UEC NUAN DSW CHU SVU PII ACTG GIMO JNPR

CBOE Volatility Index (VIX) down 1% to 12.36, high 13.02, low 12.16, May 19 & 23 calls active on total volume of 194K
cboe.com/VIX

IPath S&P 500 VIX Short-Term Futures (VXX) is recently down 23c to 20.86.

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently down 4% to 11.37; compared to its 50-day moving average of 12.99 stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) up 0.1% to 272.73 compared to its 50-day moving average of 269.43 cboe.com/micro/bxd/

CBOE Mini-SPX options (XSP) up 0.2% to 211.70 http://www.cboe.com/micro/xsp/

S&P 100 Options (OEX) recently up 3.62 to 928.18 on strong technology stocks results and outlooks.