CBOE Mid-Day Update 5.6.15

Volatility as an asset class

Fossil (FOSL) is recently down $8.40 to $78.10 on less than expected guidance. May call option implied volatility is at 33, June is at 23; compared to its 52-week average of 51.

Weight Watchers (WTW) is off $0.87 to $7.32 after reporting a less than expected Q1 revenue of $322.1M, compared to consensus $324.36M.  May call option implied volatility is at 107, June is at 92, July is at 81, October is at 96; compared to its 26-week average of 43.

Proshares UltraShort Barc 20 Year Treasury ETF (TBT) is recently up 1.72 to 48.55. May weekly call option implied volatility is at 49, May is at 38, June is at 33; compared to its 52-week average of 25.

CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (TYVIX) up 3.5% to $6.59 stks.co/h2GXo

CBOE Crude Oil Volatility Index (OVX) up 1.6% to 36.84 compared to its 10-day moving average of 36.72 as WTI oil trades near $61.  cboe.com/OVX

CBOE Volatility Index-VIX methodology for Energy Select Sector SPDR (VXXLE) up 1.4% to 21.47
cboe.com/micro/VIXETF/VXXLE/

Active options at CBOE: AAPL TWTR FB BAC BABA TSLA DIS VALE CHK PBR MSFT JPM

Options with increasing volume @ CBOE: WEN GEVA EXPD BKLN NDLS KRE TNET FXCM PWRD EA

CBOE Volatility Index (VIX) up 86c to 15.16, day range 13.89 – 15.66 cboe.com/VIX

IPath S&P 500 VIX Short-Term Futures (VXX) is recently up 27c to 21.73.

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently up 1.37 to 16.01; compared to its 10-day moving average of 13.01 stks.co/r0CS2

CBOE Mini-SPX options (XSP) down 79c to 208.19 http://www.cboe.com/micro/xsp/

S&P 100 Options (OEX) recently down 4.31 to 914.19.06 as treasury rates increase and prices fall.