CBOE Mid-Day Update 4.28.15

Volatility as an asset class

Merck (MRK) is recently up $2.90 to $60 on better than expected Q1 results and outlook. May call option implied volatility is at 18, June, July and October is at 17; compared to its 26-week average of 19.

Bristol-Myers (BMY) is recently down to $64.35 on better than expected Q1 results and outlook. May call option implied volatility is at 23, June is 23, September is at 21; compared to its 26-week average of 22.

UPS (UPS) is recently up $3.44 to $100.86 on better than expected Q1 results and outlook. May and June call option implied volatility is at 13, July is at 12; compare to its 26-week average of 16.

VIX methodology for Apple (VXAPL) down 19.7% to 27.56 compared to its 50-day moving average of 29.75. cboe.com/VXAPL

CBOE Russell 2000 Volatility Index (RVX) down 0.2% to 17.27, compared to its 50-day moving average of 16.94. www.cboe.com/RVX

CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (VXTYN) up 2.6% to 5.16 cboe.com/VXTYN

CBOE Crude Oil Volatility Index (OVX) up 0.6% to 37.70 compared to its 50-day moving average of 49.26 as WTI oil trades near $57.  cboe.com/OVX

CBOE Volatility Index-VIX methodology for Energy Select Sector SPDR (VXXLE) up 0.7% to 20.19 cboe.com/micro/VIXETF/VXXLE/

Active options at CBOE: AAPL TWTR YPF TSLA PBR AMZN CLF X MRK DIS

Options with increasing volume @ CBOE: EOX IGTE TRP TCS YANG WHZ KOS HMC AXL CUDA

CBOE Volatility Index (VIX) down 1.3% to 12.95, high 14.23, low 12.85, May 15 & 20 calls active on total volume of 138K cboe.com/VIX

IPath S&P 500 VIX Short-Term Futures (VXX) is recently down 24c to 21.22.

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently down 2% to 12.46; compared to its 50-day moving average of 13 stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) up 0.2% to 273.25 compared to its 50-day moving average of 269.70 cboe.com/micro/bxd/

CBOE Mini-SPX options (XSP) up 0.2% to 211.35 http://www.cboe.com/micro/xsp/

S&P 100 Options (OEX) recently up 2.66 to 928.20 on optimism for corporate results and outlooks.