CBOE Mid-Day Update 5.28.15

Volatility as an asset class

Popeyes (PLKI) is recently down 56c to $57.48 after reporting better than expected Q1 EPS on less than expected revenue. June call option implied volatility is at 29, July is at 28, August is at 30; compared to its 52-week range of 23-47.

Abercrombie & Fitch (ANF) is recently up to $2.25 to $21.90 after reporting less than expected Q1 revenue and outlook and says SSS trend has continued to improve in May. June call option implied volatility is at 38, July is at 34, August is at 39; compared to its 52-week range of 28 to 68.

Express (EXPR) up 81c to $17.42 after the specialty apparel retailer sees FY15 adjusted EPS $1.11-$1.22, consensus $1.06. June and July call option implied volatility is at 31, October is at 36; compared to its 52-week range of 28 to 75.

Active calls @ CBOE: ASHR 7/17/15 65 FXI 7/17/15 54 AAPL 5/29/15 132 C 6/19/15 55 M 6/19/15 70

Active puts @ CBOE: SPY 6/5/15 210.50 IWM 6/30/15 120 UNP 5/29/15 FXI 7/17/15 47

CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (TYVIX) up 2% to 6.01 co/h2GXo

CBOE Emerging Mkt ETF Volatility Index (VXEEM) up 5.1% to 19.42 cboe.com/VXEEM  .com/OVX

CBOE Volatility Index-VIX methodology for Energy Select Sector SPDR (VXXLE) up 1% to 20.41 cboe.com/micro/VIXETF/VXXLE/


Options with increasing volume @ CBOE: MDLZ A SKX RS ALXN AVGO BRCM TFM PLKI JNPR VGK GDOT

CBOE Volatility Index (VIX) down 75c to 13.31, day range 13.16 – 14.41 cboe.com/VIX

IPath S&P 500 VIX Short-Term Futures (VXX) up 30c to 18.97.

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently up 1.41 to 13.34 stks.co/r0CS2

CBOE Mini-SPX options (XSP) down 77c to 211.58 http://www.cboe.com/micro/xsp/

S&P 100 Options (OEX) recently down 2.89 to 930.50 as Yen at trades at an eight-year low.