CBOE Mid-Day Update 6.8.15

Volatility as an asset class

The shares of companies that own casinos in Macau are falling this morning. Research firm Sterne Agee wrote that revenue from the region’s table games appears to have fallen sharply in the first week of June. Macau reported last week that its gross gaming revenue fell 37% year-over-year in May.

Las Vegas Sands (LVS) recently down 4% to $52.82. June call option implied volatility is at 28, July is at 30; compared to its 52-week range of 18 to 41.

MGM Resorts (MGM) is recently down 5% to $19.25. June call option implied volatility is at 34, July is at 35; compared to its 52-week range of 21 to 52.

Melco Crown (MPEL) is recently down 4% to $20. June call option implied volatility is at 40, July is at 42; compared to its 52-week range of 29 to 56.

Wynn Resorts (WYNN) is recently down 5% to $103.27. June call option implied volatility is at 35, July is at 36; compared to its 52-week range of 21 to 41.

VIX methodology for Apple (VXAPL) up 4.2% to $23.12 into WWDC15 Tim Cook keynote address cboe.com/VXAPL

Active calls @ CBOE: BAC 6/12/15 17.50 AAPL 6/12/15 JD 6/19/15 36.50 MU 6/19/15 27.50 UAL 9/18/15 52.50

Active calls @ CBOE: SPY 7/17/15 190 T 6/19/15 34 COST 7/10/15 QQQ 6/12/15 106.50

CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (TYVIX) up 1% to 6.35 co/h2GXo

Russell 2000 Index (RUT) down 4.27 to 1,256.77 www.cboe.com/RUT

CBOE Russell 2000 Volatility Index (RVX) up 4.6% to 17.27 compared to its 50-day moving average of 16.79 cboe.com/RVX

VIX methodology for iShares MSCI Emerging Markets Index Fund (VXEEM) down 1.5% to 19.90 cboe.com/micro/eem/

CBOE Crude Oil Volatility Index (OVX) down11% to 34.23, WTI oil trades near $58.  cboe.com/OVX

CBOE Volatility Index-VIX methodology for Energy Select Sector SPDR (VXXLE) up 4% to 18.59
cboe.com/micro/VIXETF/VXXLE/

Active options at CBOE: AAPL BAC JPM AAL FB MU TSLA BABA INTC MNKD VALE VZ TWTR

Options with increasing volume @ CBOE: HUM OPK EBAY DAL F CBRL EJ TUR CBRL RDWR GFI CCL ADXS RTRX IGT DEO PIR

CBOE Volatility Index (VIX) up 7% to 15.20, day range 14.67 – 15.24 cboe.com/VIX

IPath S&P 500 VIX Short-Term Futures (VXX) up 32c to 19.41.

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently up 2.11 to 15.81 stks.co/r0CS2

CBOE Mini-SPX options (XSP) down 65c to 208.63 http://www.cboe.com/micro/xsp/

S&P 100 Options (OEX) recently down 2.46 to 917.43 as global bond rates trend higher.