CBOE Mid-Day Update 5.13.15

Volatility as an asset class

Kohl’s (KSS) is recently is down $8.78 to $65.70 on weak February Same Store Sales. June call option implied volatility is at 25, July is at 24; compared to its 90-day average of 24.

Vipshop (VIPS) is recently down $1.30 to $25.73 after reports Q1 adjusted EPS 13c, consensus 10c and inline revenue of $1.39B. May weekly call option implied volatility is at 48, June is at 47, August is at 51; compared to its 90-day average of 49.

Jack in the Box (JACK) is recently down $3.90 to $87.59 on better than expected Q2 results and sees FY15 operating EPS $2.90-$3.00, compared to consensus $2.96. June call option implied volatility is at 23, September is at 27; compared to its 90-day average of 26.

CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (TYVIX) down 3% to 6.22 stks.co/h2GXo

CBOE Crude Oil Volatility Index (OVX) down 3% to 33.28 compared to its 10-day moving average of 35.44 as WTI oil trades near $60.  cboe.com/OVX

CBOE Volatility Index-VIX methodology for Energy Select Sector SPDR (VXXLE) down 2% to 19.81
cboe.com/micro/VIXETF/VXXLE/

Active options at CBOE: AAPL FB BABA FB FCX JCP MSFT MU TWTR

Options with increasing volume @ CBOE: AVP FCX UPS KSS CHK CSCO

CBOE Volatility Index (VIX) down 93c to 12.83, day range 12.79 – 13.29 cboe.com/VIX

IPath S&P 500 VIX Short-Term Futures (VXX) is recently down 35c to 20.31.

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently down 1.57 to 11.92; compared to its 10-day moving average of 13.40 stks.co/r0CS2

CBOE Mini-SPX options (XSP) up 1.80 to 2111.68 http://www.cboe.com/micro/xsp/

S&P 100 Options (OEX) recently up 8.90 to 931.19 as jobless claims fell and the dollar traded at its lowest level in four-months.