CBOE Mid-Day Update

Fairly busy, as CBOE trades ~4mm of 12mm options as of mid-day.  SPX trades 475k while VIX options slow (after yesterdays record) to 670k.  DJIA rallies but can’t penetrate 200 day moving average near 15, 470.
Volatility as an asset class

Take-Two Interactive (TTWO) is down $1.70 to $17.19 after the game company reported Q3 profit and revenue both came in above analysts’ consensus estimates, although its Q4 profit and revenue guidance was below the consensus outlook. .  February and June call option implied volatility of 39 is below its 26-week average of 43.

Dun & Bradstreet (DNB) is down $10.91 to $95.56 after the compiler and marketer of data reported earnings below expectations and unveiled new management structure.  February call option implied volatility is at 21, March is at 22, May and August is at 25; compared to its 26-week average of 26.

Microsoft (MSFT) is up $0.13 to $36.60 after promoting the head of its Cloud and Enterprise group, Satya Nadella, to take over as Chief Executive Officer for Steve Ballmer. February weekly call option implied volatility is at 29, February is at 26, March is at 24, April is at 23; compared to its 26-week average of 26.

Active @ CBOE:  AAPL C AMZN TWTR GOOG VLO FB ZNGA BAC TSLA XOM RL BA VIX

Options with increasing volume @ CBOE:  JCP YUM AIG VLO KORS LVLT COCO

CBOE DJIA Volatility Index (VXD) down 2.39 to 18.28, compared to its 10-day moving average of 16.60. cboe.com/VXD

CBOE DJIA BuyWrite Index (BXD) up 1.42 to 244.05 compared to its 50-day moving average of 252.50. cboe.com/micro/bxd/

CBOE Volatility Index (VIX) off 2.76 to 18.68. VIX February 18, 19, 20, 22, 24 calls and February 14, 15 & 16 puts are active at CBOE on 585K contracts.  cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) down 1.66 to 51.43.

S&P 100 Options (OEX) up $5.81 to $778.11 after the U.S. factory goods report beat assumptions.

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