CBOE Mid-Day Update 5.19.15

Volatility as an asset class

Dick’s Sporting (DKS) is recently down $2.24 to $54.06 on inline Q1 results and strong Q2 guidance. June call option implied volatility is at 23, September is at 24; compared to its 90-day average of 26.

TJX (TJX) is recently up $2.65 to $69.91 after the retailer reported inline into Q1 results and strong Q2 guidance. June call option implied volatility is at 18, July and October is at 17; compared to its 90-day average of 20.

Take-Two (TTWO) is recently up $3.73 to $27.93 on better than expected Q4 results and conservative 2016
guidance.  June call option implied volatility is at 32, September is at 31, December is at 32; compared to its 90-average of 39.

Active calls @ CBOE: QQQ 7/17/15 114, AAPL 5/22/15 130, EEM 7/17/15 44, MNKD 1/20/17 7, BAC 6/19/15 16.50, CHK 5/22/15 15.50, UAL 6/19/15 72.50, SPY 5/22/15 213.50

Active puts @ CBOE: QQQ 7/17/15 106, VIPS 11/20/15 23, IWM 6/19/15 120, SPY 5/22/15 213

Active calls @ CBOE: GLD 6/19/15 125. PBR 6/19/15 11. ACHN 9/18/15 15. EEM 6/19/15 44.50, AAPL 5/22/15 130, TWTR 1/15/16 55. DISH 6/19/15 70, BG 6/19/15 92.50

Active puts @ CBOE: RIG 6/19/15 14, SPY 5/29/15 204, IWM 7/17/15 112

CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (TYVIX) up 3% to 6.34 stks.co/h2GXo

CBOE Emerging Mkt ETF Volatility Index (VXEEM) down 1% to 17.31 cboe.com/VXEEM

CBOE Crude Oil Volatility Index (OVX) up 9% to 33.51, WTI oil trades near $58.  cboe.com/OVX

CBOE Volatility Index-VIX methodology for Energy Select Sector SPDR (VXXLE) up 5% to 19.81 cboe.com/micro/VIXETF/VXXLE/

Active options at CBOE: AAPL FB WMT MSFT BAC T NFLX HD

Options with increasing volume @ CBOE: RRGB OSUR ELNK EOX MBI ENDP URBN JO TTWO MMM

CBOE Volatility Index (VIX) down 8c to 12.65, day range 12.55 – 13.13 cboe.com/VIX

IPath S&P 500 VIX Short-Term Futures (VXX) is recently down 35c to 19.06.

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently down 11c to 10.92; compared to its 10-day moving average of 13.19 stks.co/r0CS2

CBOE Mini-SPX options (XSP) up 2c to 212.95 http://www.cboe.com/micro/xsp/

S&P 100 Options (OEX) recently up 70c to 935.97 as oil pulls back on strong U.S. housing starts.