Blogging Options: CBOE Mid-day Update 4.16.14

Volatility as an asset class

Yelp (YELP) is recently up $2.02 to $65.08 after the company that connects people with local businesses was upgraded by Citigroup to Buy from Hold. April weekly call option implied volatility is at 70, May is at 79, August is at 69; compared to its 26-week average of 63.

U.S. Bancorp (USB) is recently down 52c to $40.49 after reporting Q1 results that matched expectations. May, June and September call option implied volatility is at 15; compared to its 26-week average of 17.

VIX methodology for Google (VXGOG) -6.8% to 33.05 into Q1 cboe.com/VXGOG

VIX methodology for IBM (VXIBM) @ 0.5% to 26.38 into Q1 cboe.com/VXIBM

VIX methodology for Goldman Sachs (VXGS) -3.6% to 24.97 into Q1 cboe.com/VXGS

Actives at CBOE: AAPL C TSLA VLO YHOO AMZN FB BAC TWTR GILD

Stocks with increasing volume: MGM HST VLO LNG DNR INFY FSL END NOW LLTC GEVA IBKR

CBOE S&P 500 Short-Term Volatility Index (VXST) down 5.6% to 14.20, compared to its 10-day moving average of 14.83. VXST is a market-based gauge of expectations of 9-day volatility stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) up 0.8% to 259.95, compared to its 50-day moving average of 256.41. cboe.com/micro/bxd/

CBOE Volatility Index (VIX) down 6.8% to 14.55. VIX May 15, 18 and 20 calls are active at CBOE on 319K contracts cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) down 78c to 43.15
CBOE DJIA Volatility Index (VXD) down 6.1% to 13.27; compared to its 50-day moving average of 14.13.

CBOE Nasdaq-100 Volatility Index (VXN) down 5.8% to 20.64; compared to its 50-day moving average of 17.19

S&P 100 Options (OEX) recently up $5.44 to $822.30 on Fed Chair Yellen reiterated the guidance change wasn’t a policy change in her speech on Monetary Policy and the Economic Recovery, adding the Fed is committed to accommodation.

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