Blogging Options: CBOE Mid-day Update 1.31.14

Volatility as an asset class

MasterCard (MA) is recently down $3.66 to $76.10 after reporting Q4 EPS 57c ex-items, consensus 60c. February, March, April and July call option implied volatility of 26 is above its 26-week average of 23.

Wynn Resorts (WYNN) is recently up $11.47 to $212.20 after the global leisure; entertainment resort company reported Q4 Macau revenue up 24.6% to $1.12B. February call option implied volatility is at 29, March and June is at 28; compared to its 26-week average of 28.

Zynga (ZNGA) is recently up 57c to $4.13 after the mobile gaming company pre-announced Q4 bookings that beat estimates on a quarterly loss that was narrower than expected. Zynga also reported the acquisition of NaturalMotion for approximately $527M and announced plans to cut 15% of its current workforce. February call option implied volatility is at 53, March is at 48, June is at 52; compared to its 26-week average of 57.

VIX methodology for Amazon (VXAZN) is recently down-33% to 31.50, below 50-day moving average of 33.24‏.

VIX methodology for Google (VXGOG) is recently down 34.4% to 22.47, below 50-day moving average of 23.15.


Options with increasing volume @ CBOE:  NWL ARAY FXC DOV ITMN MA DGIT VNET PRAN CSC

CBOE DJIA Volatility Index (VXD) recently up 46c to 17.28, compared to its 10-day moving average of 15.06.

CBOE DJIA BuyWrite Index (BXD) recently down 1.52 to 248.51 compared to its 50-day moving average of 252.75.

CBOE Volatility Index (VIX) recently up 16c to 17.45. VIX February 16, 17, 20, 21 & 23 calls are active at CBOE on 890K contracts.

iPath S&P 500 VIX Short-Term Futures (VXX) recently up 2.04 to 47.71.

S&P 100 Options (OEX) recently down $3.44 to $791.76 on concerns of emerging market stress.