CBOE Mid-Day Update 6.11.15

Volatility as an asset class

Citrix (CTXS) is recently up $3.86 to $68.94 on Elliott Associates reports 7.1% stake, saying shares worth $90-$100 with changes. June call option implied volatility is at 34, July is at 28, September is at 29; compared to its 52-week range of 17-37.

Lululemon (LULU) is recently down $1.50 to $65.23 on company founder Dennis “Chip” Wilson has filed to sell his family’s entire 20.1M share stake in the company.  June weekly call option implied volatility is at 38, June is at 30, September is at 34; compared to its 52-week range of 27 to 62.

Men’s Wearhouse (MW) is recently up $5.56 to 61.79 after reporting Q1 adjusted EPS 54c, compared to consensus 52c. Q1 revenue was $885M, compared consensus $857M. June call option implied volatility is at 25, July is at 27, August is at 22; compared to its 52-week range of 24 to 51.

Active calls @ CBOE: Active calls @ CBOE; SPY 8/21/15 220, GLD 9/18/15 140, AAPL 6/12/15 129, BAC 7/10/15

17.50, PGR 11/20/15 27 10K, C 7/24/15 60 8K, MNKD 11/20/15 4.50 8K

Active puts @ CBOE; Active puts @ CBOE: SPY 7/17/2015 210 42K, IWM 6/30/15 123 11K

CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (TYVIX) down 5% to 6.40 co/h2GXo

Russell 2000 Index (RUT) up 0.24% to 1,270.07 www.cboe.com/RUT

CBOE Russell 2000 Volatility Index (RVX) down 2% to 15.79 compared to its 50-day moving average of 16.71 cboe.com/RVX

VIX methodology for iShares MSCI Emerging Markets Index Fund (VXEEM) down 0.66% to 18.20 cboe.com/micro/eem/

CBOE Crude Oil Volatility Index (OVX) up 0.47% to 31.94, WTI oil trades near $61.  cboe.com/OVX

CBOE Volatility Index-VIX methodology for Energy Select Sector SPDR (VXXLE) down 0.5% to 16.92 cboe.com/micro/VIXETF/VXXLE/

Active options at CBOE: AAPL AMZN FB TLSA TASR NFLX GILD CTXS MA

Options with increasing volume @ CBOE: CTXS GM CHK GNW RBS AAL HES LULU CY ISSI NKE KKD GREK NBG HOG CL BOX MA

CBOE Volatility Index (VIX) down 3% to 12.74, day range 12.71 – 13.09 cboe.com/VIX

IPath S&P 500 VIX Short-Term Futures (VXX) down 38c to 18.07.

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently down 1.11 to 12.21 stks.co/r0CS2

CBOE Mini-SPX options (XSP) up 86c to 211.37 http://www.cboe.com/micro/xsp/

S&P 100 Options (OEX) recently up 3.60 to 930.50 following the release of several economic data points. Initial jobless claims came in at 279,000, versus expectations for 275,000, while continuing claims were 2.26M, versus expectations for 2.19M. Retail sales in May were up 1.2% overall, in-line with expectations.