CBOE Mid-Day Update 5.8.15

Volatility as an asset class

Monster Beverage (MNST) is recently down $12.23 to $131.20 on less than expected Q1 results and guidance. May call option implied volatility is at 29, June is at 31, September is at 32; compared to its 52-week average of 39.

CBS (CBS) is recently down $1.31 to $59.91 after reporting Q1 EPS 78c, consensus 75c.  May call option implied volatility is at 24, June is at 27, September is at 26; compared to its 26-week average of 28.

IShares Barclay 20+ YR Treasury ETF (TLT) is recently up $1.05 to $123.23 on U.S. April nonfarm payrolls rise 223,000, Unemployment rate dropping to 5.4%. May and June call option implied volatility is at 15, July is at 14; compared to its 90-day average of 16.

CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (TYVIX) down 9.58% to 5.57 stks.co/h2GXo

CBOE Crude Oil Volatility Index (OVX) down 3.9% to 36.63 compared to its 10-day moving average of 36.75 as WTI oil trades near $59.  cboe.com/OVX

CBOE Volatility Index-VIX methodology for Energy Select Sector SPDR (VXXLE) down 7% to 20.97 cboe.com/micro/VIXETF/VXXLE/

Active options at CBOE: AAPL BABA FB BAC MCD TWTR MU TSLA RIG MSFT

Options with increasing volume @ CBOE: YELP RIG VALE CHK COP XOM GEVO EWU AIRM IMPV LYG O DATA MCRL MNST EAT

CBOE Volatility Index (VIX) down 2.19 to 12.94, day range 12.84 – 13.42 cboe.com/VIX

IPath S&P 500 VIX Short-Term Futures (VXX) is recently down $1 to 20.69.

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently down 3.89 to 11.70; compared to its 10-day moving average of 13.47 stks.co/r0CS2

CBOE Mini-SPX options (XSP) up 2.73 to 211.53 http://www.cboe.com/micro/xsp/

S&P 100 Options (OEX) recently up 12.71 to 929.87 as bond rally as April growth rebounds.