CBOE Mid-Day Update 1.14.15

Volatility as an asset class

JPMorgan (JPM) is down $2.54 to $56.29 after reporting Q4 EPS $1.19, consensus $1.31. January call option implied volatility is at 29, February is at 24, April is at 23, June is at 22; compared to its 26-week average of 19.

Wells Fargo (WFC) is off 79c to $51.06 after reporting in line Q4 EPS of $1.02.  January call option implied volatility is at 23, February and April is at 20; compared to its 26-week average of 18.

General Motors (GM), down 3% after giving 2015 guidance, saying it is on track to meet previously announced 2016 financial targets. January weekly call option implied volatility is at 30, February is at 29; compared to its 26-week average of 26.

CBOE Crude Oil Volatility Index (OVX) down 4.1% to $51.57, WTI trades near $45 cboe.com/OVX

CBOE Volatility Index-VIX methodology for Energy Select Sector SPDR (VXXLE) up 4.1% to 36.21. cboe.com/micro/VIXETF/VXXLE/

Active options at CBOE: AAPL TSLA C GILD AMZN TWTR BAC AA C LEN PBR TWTR X

Options with increasing volume @ CBOE: OCN AVP NBIX NPSP CONN ARNA PIR APOL GME LULU BBBY BBY

CBOE Volatility Index (VIX) up 8.2% to 22.25, high 23.07, low 21.54, Jan 21 calls & 18 puts active on total volume of 461K cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) is recently up 1.41 to 35.81.

CBOE S&P 500 Short-Term Volatility Index (VXST) is up 14.6% to 22.49; compared to its 50-day moving average of 14.68 stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) down 3.56 to 260.10 compared to its 50-day moving average of 262.45 cboe.com/micro/bxd/

S&P 100 Options (OEX) recently is down 10.04 to 883.18 on economic growth concerns after retail fell by the most in 11-months.