CBOE Mid-Day Update 5.21.15

Volatility as an asset class

Best Buy (BBY) is recently up $1.78 to $35.46 after reporting Q1 adjusted EPS 37c, compared to consensus 29c. May weekly call option implied volatility is at 42, June is at 28, September is at 31; compared to its 90-day average of 32.

NetApp (NTAP) is recently down $4.19 to $31.45 after reporting less than expected Q4 report. May volatility elevated into Q4 and outlook. May weekly call option implied volatility is at 34, June is at 23, July is at 21; compared to its 90-day average of 28.

Lumber Liquidators (LL) is recently down $3.76 to $21.51 after announcing the resignation of CEO Robert Lynch. May weekly option implied volatility is at 105, June is at 73; compared to its 26-week average of 63.

Active calls @ CBOE: SPY 7/17/15 221, USO 8/21/15 22, GSK 8/21/15 50, TRQ 1/15/16 5, BABA 5/22/15 95, AAPL 5/22/15 130, HALO 6/19/15 19 $DAL 5/22/15 45

Active puts: NTAP 5/29/15 30.50, LQD 9/18/15 110, JBLU 7/17/15 21, TRQ 1/15/2016, YOKU 6/19/15 21, SPY 5/22/15 212.50, LULU 6/19/15 52.50

CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (TYVIX) down 1.6% to 6.12 co/h2GXo

CBOE Emerging Mkt ETF Volatility Index (VXEEM) up 1.2% to 17 cboe.com/VXEEM

CBOE Crude Oil Volatility Index (OVX) down 4% to 32.41, WTI oil trades near $60.  cboe.com/OVX

CBOE Volatility Index-VIX methodology for Energy Select Sector SPDR (VXXLE) down 3% to 18.89 cboe.com/micro/VIXETF/VXXLE/

Active options at CBOE: AAPL BABA FB JPM YHOO AMZN AAL DAL BAC HPQ TWTR RAD QCOM

Options with increasing volume @ CBOE: MTZ LQD LBTYA AGEN OCR CVC NTAP BBY BRKR VOC

CBOE Volatility Index (VIX) down 48c to 12.40, day range 12.40 – 13.09 cboe.com/VIX

IPath S&P 500 VIX Short-Term Futures (VXX) is recently down 19c to 18.99.

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently down 22c to 10.24 stks.co/r0CS2

CBOE Mini-SPX options (XSP) up 62c to 213.20 http://www.cboe.com/micro/xsp/

S&P 100 Options (OEX) recently up 2.99 to 937.40 on the number of Americans filing new claims for unemployment benefits rose slightly more than expected last week.