CBOE Mid-Day Update 1.23.15

Volatility as an asset class

Honeywell (HON) is recently up $3.58 to $102.96 on the diversified company sees short cycle improvement and long cycle momentum. February call option implied volatility is at 16, March is at 14, June is at 15; compared to its 26-week average of 19.

General Electric (GE) is recently up 47c to $24.74 on backing FY15 EPS $1.70-$1.80, consensus $1.76. January weekly call option implied volatility is at 16, February and March is at 12; compared to its 26-week average of 17.

McDonald’s (MCD) is recently down $1.09 to $89.76 after reporting Q4 EPS $1.13, compared to consensus $1.22. January weekly call option implied volatility is at 18, February is at 17, March and June at 15; compared to its 26-week average of 18.

UPS (UPS) is recently down $10.49 to $103.81 after warning on FY14, FY15 earnings.  January weekly call option implied volatility is at 22, February is at 20, April is at 17; compared to its 26-week average of 15.

CBOE Crude Oil Volatility Index (OVX) down 0.9% to $55.86, WTI trades near $46.20 cboe.com/OVX

CBOE Volatility Index-VIX methodology for Energy Select Sector SPDR (VXXLE) down 1.5% to 27.60. cboe.com/micro/VIXETF/VXXLE/

Active options at CBOE: AAPL TSLA C AA MCD TWTR NFLX AMZN

Options with increasing volume @ CBOE: FXCM GDP UPS FDX HIG DWA CE TSM RYAM NOC SNE TKMR LF STT

CBOE Volatility Index (VIX) down 1.5% to 16.16, high 17.09, low 15.98, February 14, 15, 16 and 17 puts are active on total volume of 554K cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) is recently down 1c to 31.29.

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently down 4.6% to 14.87; compared to its 50-day moving average of 15.46 stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) up 2c to 263.96 compared to its 50-day moving average of 262.39 cboe.com/micro/bxd/

S&P 100 Options (OEX) recently is recently down 1.66 to 907.22 on earnings reports as European markets trade higher.