CBOE Mid-Day Update 1.30.15

Volatility as an asset class

Biogen (BIIB) is recently up $34.93 to $388.54 on Q4 profit nearly doubling. February weekly call option implied volatility is at 37, February is at 34, March is at 32, April is at 35; compared to its 26-week average of 32.

MasterCard (MA) is recently up 54c to $81.86 on Q4 profit increasing 29%. February weekly call option implied volatility is at 35, February is at 28, March is at 25; compared to its 26-week average of 24.

Tyson (TSN) is recently down 53c to $39.68 after posting better than expected 24% increase in Q4 revenue. February call option implied volatility is at 30, March is at 29, July is at 27; compared to its 26-week average of 28.

VIX methodology for Google (VXGOG) down 28.9% to 20.43, compared to its 50-day moving average of 24.89 after release of Q4. cboe.com/VXGOG

VIX methodology for Amazon (VXAZN) -33% to at 30.49, compared to its 50-day moving average of 37.99 after release of Q4. cboe.com/VXAZN

CBOE Volatility Index-VIX methodology for Energy Select Sector SPDR (VXXLE) down 0.41% to 31.60. cboe.com/micro/VIXETF/VXXLE/

Active options at CBOE: AAPL AMZN C GOOG TWTR CVX TSLA FB

Options with increasing volume @ CBOE: LEA GDP MU RIG BABA GM CVX CAM MAN QLGC WLK SYNA HA DECK

CBOE Volatility Index (VIX) up 10.2% to 20.68, high 20.77, low 19.24, February 25 and 30 calls are active on total volume of 98K cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) is recently up 4.9% to 35.14.

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently up 13.3% to 21.27; compared to its 50-day moving average of 16.21 stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) down 1.18 to 261.05 compared to its 50-day moving average of 262.29 cboe.com/micro/bxd/

S&P 100 Options (OEX) recently is recently down 5.34 to 881.12 following U.S. GDP showing less than expected growth.