Blogging Options: CBOE Mid-day Update 2.10.14

Volatility as an asset class

Apple (AAPL) is recently up $10.14 to $529.84 after activist investor Carl Icahn announced in a letter published on his “Shareholders Square Table” website that he was dropping his proposal that would have asked Apple (AAPL) to buy back $50B of stock this year. Ichan cited Apple recently being more aggressive in repurchasing shares, as well as advisory firm ISS recommending against his proposal, as reasons to give up on the pursuit. February call option implied volatility is at 22, March is at 23, July is at 27; compared to its 26-week average of 28.

VIX methodology for Apple (VXAPL) is recently up 14c to 22.78, compared to its 50-day MA is 28.19.   www.cboe.com/VXAPL

McDonalds (MCD) is recently down 81c to $95.08 after saying its global same-store sales improved 1.2% in January, with strong performances in China and Europe. March call option implied volatility is at 13, June is at 12; compared to its 26-week average of 15.

Dicks Sporting (DKS) is recently up $1.35 to $52.45 after the sporting goods retailer reported Q4 sales exceeded expectations. March call option implied volatility is at 32, June is at 27; compared to its 26-week average of 27.

Active options  @ CBOE: AAPL TSLA TWTR C ZNGA ITMN AMZN NFLX GOOG SLW

CBOE DJIA Volatility Index (VXD) recently up 32c to 15.23, compared to its 10-day moving average of 17.20. cboe.com/VXD

CBOE DJIA BuyWrite Index (BXD) recently down 30c to 249.19 compared to its 50-day moving average of 252.23. cboe.com/micro/bxd/

CBOE Volatility Index (VIX) recently up 6c to 15.35. VIX February 16, 17 calls and February 14, 15 16 puts are active at CBOE on 467K contracts.  cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) recently up 17c to 45.68.

S&P 100 Options (OEX) recently down 46c to $794.84 into testimony due tomorrow from the new head of the Federal Reserve, Janet Yellen.