CBOE Mid-Day Update 1.15.15

Volatility as an asset class

Citi (C) is recently down $1.24 to $47.83 on the money center sees FY15 revenue growth for Citicorp in low to mid-single digit percentage.  January weekly call option implied volatility is at 31, February is at 27, March is at 26; compared to its 26-week average of 22.

Lennar (LEN) is recently down $3.40 to $42.37 on the home builder says it’s still in early stages of ‘protracted, slow growth’ housing recovery. February call option implied volatility is at 39, May is at 33; compared to its 26-week average of 30.

CurrencyShares Swiss Franc Trust (FXF) is recently up $12.85 to $108.60 January calla option implied volatility is at 47, February is at 29, March is at 20; compared to its 26-week average of 9 according to Track Data, suggesting large price movement after the Swiss Central bank unexpectedly ends its minimum exchange rate versus the shared currency.

CBOE Crude Oil Volatility Index (OVX) up 3.8% to $55.19, WTI trades near $48 cboe.com/OVX

CBOE Volatility Index-VIX methodology for Energy Select Sector SPDR (VXXLE) up 0.3% to 35.41.
cboe.com/micro/VIXETF/VXXLE/

Active options at CBOE: AAPL TSLA C GILD AMZN TWTR BAC CLF ABX X FB

Options with increasing volume @ CBOE: OSUR HAS PX GFI DLTR GDOT EGO ERY GWW

CBOE Volatility Index (VIX) up 4.3% to 22.40, high 23.012, low 20.86, Jan 22 calls & 18 puts active on total volume of 212K cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) is recently down 1c to 35.13.

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently up 12.6% to 23.91; compared to its 50-day moving average of 14.84 stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) down 73c to 260.26 compared to its 50-day moving average of 262.43 cboe.com/micro/bxd/

S&P 100 Options (OEX) recently is recently down 5.62 to 881.74 as Treasury yields trend lower on weak economic data.