CBOE Mid-Day Update 5.20.15

Volatility as an asset class

Southwest (LUV) is recently down $3.12 to $37.78 on concerns of worsening competitive backdrop and lean competitors vowing to compete aggressively. May weekly call option implied volatility is at 48, June is at 34, July is at 33 compared to its 90-day average of 33.

Delta (DAL) is recently down $2.35 to $43.84. May weekly call option implied volatility is at 43, June is at 34, July is at 33 compared to its 90-day average of 34.

American Airlines (AAL) is recently down $3.38 to $44.46. May weekly call option implied volatility is at 55, June is at 43, July is at 42 compared to its 90-day average of 40.

Active calls @ CBOE: ACHN 1/15/16 15, VXX 6/19/15 21, EWZ 6/19/15 40, UAL 6/19/15 65, SPY 6/5/15 220, WFC 6/19/15 55, AAPL 5/22/15 130, BAC 5/29/15 17, FB 7/17/15 85

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

CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (TYVIX) down 1.2% to 6.28 into minutes from the Fed’s last meeting stks.co/h2GXo

CBOE Emerging Mkt ETF Volatility Index (VXEEM) down 0.23% to 17.48 cboe.com/VXEEM

CBOE Crude Oil Volatility Index (OVX) down 2% to 34.03, WTI oil trades near $58.  cboe.com/OVX

CBOE Volatility Index-VIX methodology for Energy Select Sector SPDR (VXXLE) down -0.5% to 19.95 cboe.com/micro/VIXETF/VXXLE/

Active options at CBOE: AAPL FB YHOO FB TWTR BAC TSLA BABA

Options with increasing volume @ CBOE: AAL DAL UAL LUV ACHN

CBOE Volatility Index (VIX) up 7c to 12.92, day range 12.81 – 13.27 cboe.com/VIX

IPath S&P 500 VIX Short-Term Futures (VXX) is recently up 8c to 19.22.

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently down 9c to 11.06; compared to its 10-day moving average of 13.26 stks.co/r0CS2

CBOE Mini-SPX options (XSP) down 12c to 212.67 http://www.cboe.com/micro/xsp/

S&P 100 Options (OEX) recently down 73c to 934.67 into the release if minutes from the Fed’s last meeting.