CBOE Mid-Day Update 5.26.15

Volatility as an asset class

Time Warner Cable (TWC) and Charter (CHTR) volatility decreases on Charter purchasing Time Warner Cable for $55B

Time Warner Cable (TWC) is recently up $7.78 to $178.96 on Charter (CHTR) agreeing to purchase for $195.71 a share, with $100 in cash and the remainder in its own stock. June volatility is at 17, compared to level of 30 from last week and its 52-week range of 12–44.

Charter (CHTR) is recently down 30c to $175.04. June volatility is at 23, compared to a level of 32 from last week and to its 52-week range of 18–47.

First Solar (FSLR) is recently down $4.04 to $50.99 after RBC Capital downgraded the shares to Underperform and sharply cut its price target to $34. May weekly call option implied volatility 42, June is at 35, September is at 40; compared to its 26-week average of 46.

Active calls @ CBOE: MRK 1/20/17 60 AAPL 5/29/15 133 PSX 1/15/16 82.50 IWM 5/29/15 126 APC 8/21/15 85

Active puts @ CBOE: XLF 6/19/15 24.50 EEM 5/29/15 42.50 SPY 5/29/15 210 IWM 5/29/15 119 QQQ 5/29/15 110

CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (TYVIX) up 5.78% to 6.35 co/h2GXo

CBOE Emerging Mkt ETF Volatility Index (VXEEM) up 14.8% to 18.23 cboe.com/VXEEM

CBOE Crude Oil Volatility Index (OVX) up 11% to 34.77, WTI oil trades near $59.  cboe.com/OVX

CBOE Volatility Index-VIX methodology for Energy Select Sector SPDR (VXXLE) up 6% to 19.80  cboe.com/micro/VIXETF/VXXLE/

Active options at CBOE: AAPL BABA AMZN FB TWC BAC TWTR TSLA AMZN

Options with increasing volume @ CBOE: GFI EAT DSKY CHTR BID ADTN BLMN EXPR YCS NUVA

CBOE Volatility Index (VIX) up 2.08 to 14.21, day range 13.34 – 14.52 cboe.com/VIX

IPath S&P 500 VIX Short-Term Futures (VXX) up 62c to 19.30.

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently up 4.25 to 13.86 stks.co/r0CS2

CBOE Mini-SPX options (XSP) down 2.05 to 210.58 http://www.cboe.com/micro/xsp/

S&P 100 Options (OEX) recently down 8.96 to 925.12 as the U.S. dollar rallied to a one-month high.