CBOE Mid-Day Update 5.4.15

Volatility as an asset class

Cablevision (CVC) is recently up 5c to $20.33 after reporting Q1 EPS 20c, compared to consensus 17c.  May call option implied volatility is at 40, June is at 29, September is at 32; compared to its 26-week average of 27.

MGM Resorts (MGM) is recently down 40c to $21 after reporting better than expected Q1 EPS 33c, compared to consensus 14c. May call option implied volatility is at 39, June is at 36, September is at 34; compared to its 26-week average of 36.

CBOE Russell 2000 Volatility Index (RVX) down 2.8% to 17.88, compared to its 50-day moving average of 16.97. www.cboe.com/RVX

CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (TYVIX) up 15.23 to $6.29 www.cboe.com/TYVIX

CBOE Crude Oil Volatility Index (OVX) up 3.5% to 36.81 compared to its 50-day moving average of 48.30 as WTI oil trades near $59.  cboe.com/OVX

CBOE Volatility Index-VIX methodology for Energy Select Sector SPDR (VXXLE) up 3.77% to 20.64 cboe.com/micro/VIXETF/VXXLE/

Active options at CBOE: AAPL TWTR FB EMC BABA FCX

Options with increasing volume @ CBOE: PXD WLL EOG CLR SFUN

CBOE Volatility Index (VIX) down 6c to 12.97, day range 13.11 – 13.98 cboe.com/VIX

IPath S&P 500 VIX Short-Term Futures (VXX) is recently up 4c to 20.85.

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently up 1.82 to 12.27; compared to its 10-day moving average of 12.41 stks.co/r0CS2

CBOE Mini-SPX options (XSP) up 0.79% to 211.62 http://www.cboe.com/micro/xsp/

S&P 100 Options (OEX) recently up 3.69 to 929.80 on steady U.S. factory activity.