Blogging Options: CBOE Mid-day Update 2.24.14

Volatility as an asset class

Dillard’s (DDS) is recently down $5.40 to $83.93 after the fashion apparel, cosmetics and home furnishing retailer reported a Q4 profit significantly below expectations. March call option implied volatility is at 28, April is at 27, May is at 32; compared to its 26-week average of 29.

Humana (HUM) is recently up $9.46 to $112.20 on fears over Medicare cuts decrease. February weekly call option implied volatility is at 37, March is at 30, April and May is at 27; compared to its 26-week average of 28.

Palo Alto (PANW) is recently up $3.91 to $77.53 on the data security firm seeing opportunity for product growth rates at Q2 rate or better. March call option implied volatility is at 63, June is at 45; compared to its 26-week average of 47.

Active @ CBOE:  AAPL TWTR TSLA NFLX FB BAC VZ

Options with increasing volume @ CBOE: HD NOV EPI ALNY NYCB AKRX KMR TQNT THC RPTP RKUS IDRA

CBOE DJIA Volatility Index (VXD) down 59c to 13.61, compared to its 10-day moving average of 14.07. cboe.com/VXD

CBOE DJIA BuyWrite Index (BXD) at 256.92, compared to its 50-day moving average of 252.98. cboe.com/micro/bxd/

CBOE Volatility Index (VIX) recently down 66c to 14.02. VIX March 15, 17, 20 and 27 calls are active at CBOE on 236K contracts.  cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) recently down 77c to 42.24.

S&P 100 Options (OEX) recently up $8.58 to $815.88 as the Chicago Fed national activity index was -0.39, versus expectations for a reading of -0.20.