CBOE Mid-Day Update 1.21.15

Volatility as an asset class

UnitedHealth (UNH) is recently up $2.55 to $108.19 as Q4 results top expectations on revenue growth.  January weekly call option implied volatility is at 29, February is at 20, June is at 20; compared to its 26-week average of 22.

Apple (AAPL) is recently up $1.86 to $110.58 into its expected release Q1 results next week. January weekly call option implied volatility is at 35, February is at 34, March is at 31; compared to its 26-week average of 26.

Amazon.com January weekly 300 and 305 calls are active on total volume of 101K contracts at the CBOE. January weekly call option implied volatility is at 45, February is at 47, March is at 35; compared to its 26-week average of 34.

CBOE Crude Oil Volatility Index (OVX) down 5.2% to $54.99, WTI trades near $46.39 cboe.com/OVX

CBOE Volatility Index-VIX methodology for Energy Select Sector SPDR (VXXLE) down 6.9% to 30.72. cboe.com/micro/VIXETF/VXXLE/

Active options at CBOE: AAPL C TSLA MGM ABX TWTR GILD NFLX AMZN SIRI

Options with increasing volume @ CBOE: MW ABX CVX MGM AMD EBAY HUN YHOO FXCM EWI ADXS NVS AXLL NTRS EGO DBC ARLP

CBOE Volatility Index (VIX) down 4.8% to 18.93, high 21.28, low 18.64, February 20, 24, 25 and 30 calls active on total volume of 351K cboe.com/VIX

The final VIX index settlement level on expiration Wednesdays is disseminated under the symbol VRO. VRO closed at 20.95.

iPath S&P 500 VIX Short-Term Futures (VXX) is recently down 1.15 to 33.97.

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently down 5.2% to 20.80; compared to its 50-day moving average of 15.31 stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) up 60c to 262.24 compared to its 50-day moving average of 262.35 cboe.com/micro/bxd/

S&P 100 Options (OEX) recently is recently up 4.80 to 896.44 into expected European Central Bank economic stimulus announcement.