CBOE Mid-Day Update 5.29.15

Volatility as an asset class

Altera (ALTR) is recently up $2.18 to $49.15 after The New York Post, CNBC’s David Faber and the FT indicated the chip making giant Intel (INTC) has resumed talks about potentially acquiring the company. June weekly call option implied volatility is at 77, June is at 57, September is at 34; compared to 52-week range of 18 to 89.

Splunk (SPLK) is recently down $4.69 to $66.36 on week Q1 earnings and outlook. June weekly call option implied volatility is at 35, June and August is at 36; compared to a level of 48 from a month ago.

Ulta Salon (ULTA) is recently down $1.23 to $155.03 after reporting Q1 EPS $1.04, compared to consensus 93c. June call option implied volatility is at 24, July is at 22, September is at 30; compared to its 52-week range of 21-53.

Active calls @ CBOE: DAL 9/18/15 47 AAPL 5/29/15 131 AAL 1/15/16 55 EBAY 5/29/15 61.50 UAL 7/17/15 55

Active puts @ CBOE: SPY 6/30/15 211 35K AAPL 5/29/15 131 7K IWM 6/19/15 120 5K

CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (TYVIX) down 2% to 5.86 co/h2GXo

CBOE Crude Oil Volatility Index (OVX) down 4% to 32.83, WTI oil trades near $58.  cboe.com/OVX

CBOE Volatility Index-VIX methodology for Energy Select Sector SPDR (VXXLE) down 3% to 19.20
cboe.com/micro/VIXETF/VXXLE/

Active options at CBOE: AAPL INTC SUNE FB NFLX BABA BAC TWTR MSFT ALTR AAL EBAY ABX TSLA

Options with increasing volume @ CBOE: LLY BRCM ESI DECK URI SUNE GME HRTX S

CBOE Volatility Index (VIX) up 55c to 13.85, day range 13.57 – 14.43 cboe.com/VIX

IPath S&P 500 VIX Short-Term Futures (VXX) up 4c to 18.92.

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently up 1.11 to 13.34 stks.co/r0CS2

CBOE Mini-SPX options (XSP) down 75c to 211.32 http://www.cboe.com/micro/xsp/

S&P 100 Options (OEX) recently down 3.56 to 928.38 as bond yields decrease on U.S. economic data and Greece uncertainty.