CBOE Mid-Day Update 1.12.15

Volatility as an asset class

Auto manufacturer’s option implied volatility is mixed as the North American International Auto Show begins in Detroit.

General Motors Co. (GM) over all option implied volatility of 27 compares to its 26-week average of 26.

Toyota Motor Corp. (TM) over all option implied volatility of 20 compares to its 26-week average of 19.

Tesla (TSLA) over all option implied volatility of 43 compares to its 26-week average of 46.

Ford (F) over all option implied volatility of 27 compares to its 26-week average of 25.

Honda Motor Co (HMC) over all option implied volatility of 25 compares to its 26-week average of 21.

Fiat Chrysler Automobiles NV (FCAU) over all option implied volatility of 46 compares to its 6-week average of 44.

CBOE Crude Oil Volatility Index (OVX) up 6.6% to $53.36, WTI trades near $48 cboe.com/OVX

CBOE Volatility Index-VIX methodology for Energy Select Sector SPDR (VXXLE) up 6.7% to 32.01.
cboe.com/micro/VIXETF/VXXLE/

Active options at CBOE: AAPL TSLA NQ C GILD AMZN TWTR BAC

Options with increasing volume @ CBOE: SIRI FRO VLO JOE NLS SNSS NPSP MWV FMI TKMR

CBOE Volatility Index (VIX) up 11.4% to 19.55, high 20.44, low 18.02, Jan 19 calls & 18 puts active on total volume of 121K cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) is recently up 1.59 to 33.51.

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently up 24% to 18.81; compared to its 10-day moving average of 14.41 stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) down 96c to 263.95 compared to its 50-day moving average of 262.48 cboe.com/micro/bxd/

S&P 100 Options (OEX) recently is recently down 5.78 to 896.34 as oil prices pullback 4%.