US stocks holding on to fractional gains on light Easter week trading. With 90-minutes left in the trading day, Options had only traded ~10 million contracts. SPX showed 540 K and RUT with 52 K contracts changing hands. Not much going on, traders watching Oil and also to see if DJ Transports hold key levels. Volatility as an asset class:
Constellation Brands (STZ) is recently up 23c to $119.36 after the alcoholic-beverage maker sees FY16 comparable EPS $4.70-$4.90, consensus $4.85. April call option implied volatility is at 22, May is at 19, July is at 20; compared to its 26-week average of 23.
Bed Bath & Beyond (BBBY) is down $4.54 to $73.14 after the housewares retailer projected less than expected earnings. April call option implied volatility is at 26, May is at 22, August is at 21; compared to its 26-week average of 26.
Pier 1 Imports (PIR) is up $1.87 to $14.53 on better than expected guidance. April call option implied volatility is at 36, May is at 31, June is at 32; compared to its 26-week average of 42.
CBOE Russell 2000 Volatility Index (RVX) up 3.9% to 16.85, compared to its 50-day moving average of 18.36. www.cboe.com/RVX
CBOE Emerging Markets ETF Volatility Index (VXEEM) up 3.5% to 20.64; compared to its 50-day MA 19.69 cboe.com/VXEEM
CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (VXTYN) -0.5% to 5.06 cboe.com/VXTYN
CBOE Crude Oil Volatility Index (OVX) down 6% to 45.23 compared to its 10-day moving average of 49.67 as WTI oil trades near $51. cboe.com/OVX
CBOE Volatility Index-VIX methodology for Energy Select Sector SPDR (VXXLE) down 2.8% to 20.77 cboe.com/micro/VIXETF/VXXLE/
Active options at CBOE: AAPL TSLA TWTR PBR AMZN AA BIDU
Options with increasing volume @ CBOE: ALTR AVP ZNGA
CBOE Volatility Index (VIX) up 0.2% to 14.01, high 14.59, low 13.62, April 14, 14.5 puts and 16 calls are active on total volume of 162K cboe.com/VIX
iPath S&P 500 VIX Short-Term Futures (VXX) is recently down 17c to 23.81.
CBOE S&P 500 Short-Term Volatility Index (VXST) is recently up 1.4% to 12.98; compared to its 50-day moving average of 14.28. stks.co/r0CS2
CBOE DJIA BuyWrite Index (BXD) up 0.1% to 270.85 compared to its 50-day moving average of 267.41 cboe.com/micro/bxd/
CBOE Mini-SPX options (XSP) down 0.1% to 208.05 http://www.cboe.com/micro/xsp/
S&P 100 Options (OEX) recently down 0.01% to 907.46 into next week’s earning report.