CBOE Mid-Day Update 1.29.14

Volatility as an asset class

Yahoo (YHOO) is recently down $3.25 to $43.20 following Alibaba’s (BABA) weak earnings report. January weekly call option implied volatility is at 59, February weekly is at 45, February is at 38, March is at 38; compared to its 26-week average of 38.

McDonald’s (MCD) is recently up $3.74 to $92.49 after announcing a CEO change. February weekly call option implied volatility is at 20, February is at 18, March is at 17, June at 16; compared to its 26-week average of 18.

Ford (F) is recently down 3c to $14.44 after posting a modest Q4 net profit and forecast much stronger results for 2015. February weekly call option implied volatility is at 29, February is at 25, March is at 24; compared to its 26-week average of 24.

VIX methodology for Google (VXGOG) down 0.5% to 28.94, above its 50-day moving average of 24.89 into Q4. cboe.com/VXGOG

VIX methodology for Amazon (VXAZN) up 0.2% to at 47.12, above its 50-day moving average of 38.02 into Q4. cboe.com/VXAZN

CBOE Volatility Index-VIX methodology for Energy Select Sector SPDR (VXXLE) up 5.5% to 33.50. cboe.com/micro/VIXETF/VXXLE/

Active options at CBOE: AAPL MCD BABA TWTR C NFLX YHOO TSLA FB

Options with increasing volume @ CBOE: IBM NFX KORS HUN DRC

CBOE Volatility Index (VIX) up 2% to 20.69, high 21.56, low 20.12, February 25 and 30 calls are active on total volume of 171K cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) is recently up 1.1% to 35.06.

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently down 1.6% to 21.44; compared to its 50-day moving average of 16.07 stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) up 58c to 260.53 compared to its 50-day moving average of 262.29 cboe.com/micro/bxd/

S&P 100 Options (OEX) recently is recently down 38c to 877.10 as U.S. jobless claims drop sharply to a 15-year low.