CBOE Mid-Day Update 5.7.15

Volatility as an asset class

Alibaba (BABA) is recently up $5.57 to $85.59 after reporting quarterly results and new CEO.  May call option implied volatility is at 31, June is at 27, July is at 26; compared to its 26-week average of 34.

Priceline.com (PCLN) is recently down $42.15 to $1,222.07 on below consensus Q2 outlook on currency and growth conservatism. May call option implied volatility is at 24, June is at 23, July is at 22; compared to its 26-week average of 32.

TripAdvisor (TRIP) is recently up $1.63 to $78.443 after reiterating guidance and after a earnings miss. May call option implied volatility is at 34, June is at 32, September is at 35; compared to its 26-week average of 42.

CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (TYVIX) down 4.1% to 6.26 stks.co/h2GXo

CBOE Crude Oil Volatility Index (OVX) up 1.1% to 37.30 compared to its 10-day moving average of 36.66 as WTI oil trades near $61.  cboe.com/OVX

CBOE Volatility Index-VIX methodology for Energy Select Sector SPDR (VXXLE) up 3.77% to 22.56 cboe.com/micro/VIXETF/VXXLE/

Active options at CBOE: AAPL TWTR FB BABA TSLA YHOO MU CHK WFM PCLN GMCR MSFT

Options with increasing volume @ CBOE: PHH BEL ALL BDBD KEYW TC CSOD SFM RNF ANN

CBOE Volatility Index (VIX) down 22c to 14.93, day range 14.93 – 15.97 cboe.com/VIX

IPath S&P 500 VIX Short-Term Futures (VXX) is recently down 25c to 21.61.

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently down 62c to 15.43; compared to its 10-day moving average of 13.37 stks.co/r0CS2

CBOE Mini-SPX options (XSP) up 1.18 to 209.20 http://www.cboe.com/micro/xsp/

S&P 100 Options (OEX) recently up 5.45 to 919.09 as bond prices rebound into Friday’s April jobs report.