Blogging Options: CBOE Mid-day Update 2.11.14

Volatility as an asset class

Dean Foods (DF) is recently down $1.21 to $13.99 after the diary company reported mixed Q4 results and forecast Q1 and fiscal 2014 profit that significantly trailed expectations. March call option implied volatility is at 33, June is at 32, September is at 31; compared to its 26-week average of 32.

Groupon (GRPN) is recently down 59c to $10.59 after the daily deal Internet company disclosed that a Senior Vice President was leaving the company. March call option implied volatility is at 44, April is at 65, July is at 62, January is at 60; compared to its 26-week average of 65.

Rackspace (RAX) is recently down $6.64 to $33.74 after the hosting computing company reported Q4 revenue that surpassed analysts’ expectations and fourth quarter earnings that were in line with expectations, but announced that its CEO had decided to retire. March call option implied volatility is at 46, June and September is at 45, January is at 43; compared to its 26-week average of 58.

VIX methodology for Apple (VXAPL) is recently up 11c to 22.38, below its 50-day Moving Average of 28.18.


Options with increasing volume @ CBOE: TQNT HAS SALE BWP RLGY HGG TS CAG GMCR AIG

CBOE DJIA Volatility Index (VXD) recently down 88c to 14.16, compared to its 10-day moving average of 17.06.

CBOE DJIA BuyWrite Index (BXD) recently up 2.46 to 252.10 compared to its 50-day moving average of 252.26.

CBOE Volatility Index (VIX) recently down 89c to 14.37. VIX February 15, 17, 20, 22 calls and February 13, 14, 15 puts are active at CBOE on 625K contracts.

iPath S&P 500 VIX Short-Term Futures (VXX) recently down $1.64 to 43.89.

S&P 100 Options (OEX) recently up $6.68 to $803 on testimony from the new head of the Federal Reserve, Janet Yellen.