CBOE Mid-Day Update 6.4.15

Volatility as an asset class

Five Below (FEYE) is recently down after the discount retailer reported on better than expected Q1 results and raising 2015 outlook.  June call option implied volatility is at 33, July and August is at 32; compared to its 52-week range of 33 to 73.

Ciena (CIEN) is recently up 46c to $24.90 after reporting better than expected Q2 results and a 2015 outlook. June weekly call option implied volatility is at 42, June is at 30, October is at 35; compared to its 52-week range of 29 to 59.

J.M. Smucker (SJM) is recently down $3.09 to $115.10 on less than expected Q4 results and 2015 outlook.  June call option implied volatility is at 16, July is at 15 and October is at 16; compared to its 52-week range of 13 to 25.

CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (TYVIX) up 0.30% to 6.76 co/h2GXo

$TYVIX -CBOE 10-Yr U.S Treasury Note Volatility Indx +8.4% to 6.74 cboe.com/TYVIX

Active calls @ CBOE: BMY 12/18/15 70, SPY 6/5/15 212, XLU 6/19/15 44, BAC 6/5/15 17, AAPL 6/5/15 130, C
6/19/15 55 TWTR 6/5/15 37.50, MGM 6/5/15 20.50, CPE 7/17/15 10, BBRY 6/5/15 10

Active puts @ CBOE: SPY 6/5/15 211, HPQ 1/15/16 23, IWM 6/5/15 125, CHK 6/19/15 13.50

Russell 2000 Index (RUT) down $7.76 to 1,256.84 www.cboe.com/RUT

CBOE Russell 2000 Volatility Index (RVX) is recently down 2.5% to 16.22.

CBOE Russell 2000 Volatility Index (RVX) +5% to 16.99 cboe.com/RVX

iShares MSCI Emerging Markets Index (EEM) down 55c to $40.36 cboe.com/EEM

VIX methodology for iShares MSCI Emerging Markets Index Fund (VXEEM) down 5.75% to 19.69 cboe.com/micro/eem/

CBOE Crude Oil Volatility Index (OVX) up 3% to 38.45, WTI oil trades near $59.  cboe.com/OVX

CBOE Volatility Index-VIX methodology for Energy Select Sector SPDR (VXXLE) up 2.5% to 19.84
cboe.com/micro/VIXETF/VXXLE/

Active options at CBOE: Active equity options trading on open: AAPL FB CSCO TWTR VZ BAC T CHK MSFT MU C INTC
Options with increasing volume @ CBOE: LNG AVP OPK FTR EXPR

CBOE Volatility Index (VIX) up 9% to 14.94, day range 13.99 – 14.95 cboe.com/VIX

IPath S&P 500 VIX Short-Term Futures (VXX) up 39c to 19.17.

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently up 2.25 to 14.96 stks.co/r0CS2

CBOE Mini-SPX options (XSP) down 1.16 to 210.24 http://www.cboe.com/micro/xsp/

S&P 100 Options (OEX) recently down 5.93 to 924.76 on the IMF urges Fed to postpone rate liftoff to first half of 2016.