CBOE Mid-Day Update 5.1.15

Volatility as an asset class

FireEye (FEYE) is recently up $3.03 to $44.34 after the information security firm reported a lower than expected Q1 operating loss and provided better than expected guidance. May call option implied volatility is at 41, June is at 40; compared to its 26-week average of 59.

First Solar (FSLR) is recently down $2.59 to $57.12 after reporting weaker than expected Q1 results but provided higher than expected Q2 EPS guidance. May call option implied volatility is at 34, June is at 36, September is at 40; compared to its 26-week average of 47.

Expedia (EXPD) is recently up $7.80 to $102.39 after the online travel company reported stronger than expected Q1 results. The firm says the company’s bookings, revenue and EBITDA growth were healthy. May call option implied volatility is at 29, June and October is at 28; compared to its 26-week average of 31.

CBOE Russell 2000 Volatility Index (RVX) down 3.7% to 18.67, compared to its 50-day moving average of 16.99. www.cboe.com/RVX

CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (VXTYN) up 6.61% to 5.81 cboe.com/VXTYN

CBOE Crude Oil Volatility Index (OVX) down 0.5% to 36.07 compared to its 50-day moving average of 48.40 as WTI oil trades near $59.  cboe.com/OVX

CBOE Volatility Index-VIX methodology for Energy Select Sector SPDR (VXXLE) down 1% to 20.41 cboe.com/micro/VIXETF/VXXLE/

Active options at CBOE: AAPL TWTR FB GILD LNKD BAC TSLA BABA T AMZN

Options with increasing volume @ CBOE: GEL PWR MLM CMLS CALM MEMP TSRO ENOC KCG PPG

CBOE Volatility Index (VIX) down 7% to 13.41, day range 13.11 – 13.98 cboe.com/VIX

IPath S&P 500 VIX Short-Term Futures (VXX) is recently down 80c to 21.04.

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently down 1.82 to 13.24; compared to its 50-day moving average of 13.05 stks.co/r0CS2

CBOE Mini-SPX options (XSP) up 0.69% to 209.99 http://www.cboe.com/micro/xsp/

S&P 100 Options (OEX) recently up 5.76 to 922.06 on steady U.S. factory activity.