CBOE Mid-Day Update 4.29.15

Volatility as an asset class

MasterCard (MA) is recently up 62c to $90.86 on better than expected Q2 profit but warns of currency headwinds.  May weekly call option implied volatility is at 29, May is at 22, June is at 19, October is at 20; compared to its 26-week average of 23.

Starwood (HOT) is recently up $6.15 to $86.99 after announcing its exploring strategic and financial alternatives. May call option implied volatility is at 27, June is at 24, August is at 25; compared to its 26-week average of 27.

Lumber Liquidators (LL) is recently down $6.32 to $27.07 after reporting quarterly results, departure of CFO, and that the Department of Justice is seeking criminal charges under Lacey Act.com.  May weekly option implied volatility is at 91, May is at 63, June is at 68; compared to its 26-week average of 64.

CBOE Russell 2000 Volatility Index (RVX) up 5.2% to 17.93, compared to its 50-day moving average of 16.92. www.cboe.com/RVX

CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (VXTYN) up 7.2% to 5.52 cboe.com/VXTYN

CBOE Crude Oil Volatility Index (OVX) up 1.3% to 37.78 compared to its 50-day moving average of 48.88 as WTI oil trades near $58.  cboe.com/OVX

CBOE Volatility Index-VIX methodology for Energy Select Sector SPDR (VXXLE) down 0.7% to 19.67 cboe.com/micro/VIXETF/VXXLE/

Active options at CBOE: AAPL TWTR C KMI BAC X WYNN TSLA LVS AMZN

Options with increasing volume @ CBOE: IG R CLNE BWLD XPO RCII MDRX EXP OTEX BRFS

CBOE Volatility Index (VIX) up 9.7% to 13.61, high 13.80, low 12.88 on total volume of 173K cboe.com/VIX

IPath S&P 500 VIX Short-Term Futures (VXX) is recently up 54c to 21.30.

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently up 17.6% to 13.97; compared to its 50-day moving average of 13 stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) up 0.2% to 272.85 compared to its 50-day moving average of 269.83 cboe.com/micro/bxd/

CBOE Mini-SPX options (XSP) down 0.4% to 210.60 http://www.cboe.com/micro/xsp/

S&P 100 Options (OEX) recently down 2.78 to 926.06 following the release of GDP rising just 0.2% versus expectations of an increase of 1%.