CBOE Mid-Day Update 5.5.15

Volatility as an asset class

Disney (DIS) is recently up $1.16 to $112.19 after reporting better than expected Q2 adjusted EPS $1.23, compared to consensus $1.11. May call option implied volatility is at 19, June is at 18, January is at 20; compared to its 52-week average of 23.

Estee Lauder (EL) is recently up $4.95 to $88.30 on Q3 adjusted EPS 72c, compared to consensus 51c. May call option implied volatility is at 19, June 18, July is at 19; compared to its 26-week average of 21.

Proshares UltraShort Barc 20 Year Treasury ETF (TBT) is recently up 50c to 47.24. May weekly call option implied volatility is at 44, May is at 33, June is at 32; compared to its 52-week average of 25.

CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (TYVIX) up 2.8% to $6.45 www.cboe.com/TYVIX

CBOE Crude Oil Volatility Index (OVX) down 0.5% to 36.02 compared to its 10-day moving average of 36.92 as WTI oil trades near $60.  cboe.com/OVX

CBOE Volatility Index-VIX methodology for Energy Select Sector SPDR (VXXLE) down 1% to 20.56 cboe.com/micro/VIXETF/VXXLE/

Active options at CBOE: AAPL TWTR FB BAC BABA TSLA DIS VALE NFLX

Options with increasing volume @ CBOE: NUVA AAP HRTX QLYS PBI ABMD AMCN DDS IMPV JMBA

CBOE Volatility Index (VIX) up 88c to 13.73, day range 12.97 – 14.37 cboe.com/VIX

IPath S&P 500 VIX Short-Term Futures (VXX) is recently up 29c to 21.11.

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently up 1.56 to 13.57; compared to its 10-day moving average of 12.48 stks.co/r0CS2

CBOE Mini-SPX options (XSP) down 1.29 to 210.16 http://www.cboe.com/micro/xsp/

S&P 100 Options (OEX) recently down 4.91 to 922.98 on weak trade data as oil trends higher.