CBOE Mid-Day Update 1.2.15

Volatility as an asset class

S&P 500 Top Best Performers of 2014 have mixed option implied volatility

Mallinckrodt (MNK) overall option implied volatility of 38 compares to its 26-week average of 35.

Delta Air Lines (DAL) overall option implied volatility of 37 compares to its 26-week average of 36.

Keurig Green Mountain (GMCR) overall option implied volatility of 32 compares to its 26-week average of 33.

Royal Caribbean (RCL) overall option implied volatility of 32 compares to its 26-week average of 33.

Kroger (KR) overall option implied volatility of 20 compares to its 26-week average of 21.

CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) up 5.98% to 5.67; 52-week low 1.69, high 14.58 www.cboe.com/vxtyn

CBOE Volatility Index-VIX methodology for Energy Select Sector SPDR (VXXLE) up 3.2% to 30.10, WTI trades near $54 cboe.com/micro/VIXETF/VXXLE/

CBOE Interest Rate 5-year T Note (FVX) down 2.9% to $16.04 as bonds trend to record highs.

CBOE Crude Oil Volatility Index (OVX) up 0.5% to $50.51 cboe.com/OVX

Active options at CBOE: AAPL TSLA TWTR GILD AMZN TWTR NFLX BAC TWTR

Options with increasing volume @ CBOE: MNKD PWRD MCHP AVP WTW LOCK

CBOE Volatility Index (VIX) is recently up 9c to 19.29; January 18, 23 and 24 calls are active on total volume of 184K cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) is recently up 1.04 to 32.54.

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently up 6c to 19.01; compared to its 10-day moving average of 13.90 stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) down 6c to 264.31 compared to its 50-day moving average of 262.14 cboe.com/micro/bxd/

S&P 100 Options (OEX) recently is recently down