CBOE Mid-Day Update 2.3.15

Volatility as an asset class

Global X FTSE Greece 20 ETF (GREK) is recently up $1.72 to $13.45 after Greece’s new government proposed ending the confrontation with its creditors. February call option implied volatility is at 63, March is at 59, April is at 56; compared to its 26-week average of 47.

Cliffs Natural (CLF) is recently down after reporting Q4 results.  February weekly call option implied volatility is at 135, February is at 105, March is at 104, June is at 102; compared to its 26-week average of 81.

SPDR S&P Oil and Gas Exploration and Production ETF (XOP) is recently up $1.01 to $49.88 after oil rose a total of more than 11% during the previous two trading sessions. Overall option implied volatility of 46 compares to its 26-week average of 35.

VIX methodology for Google (VXGOG) up 1.6% to 22.73, compared to its 50-day moving average of 24.99. cboe.com/VXGOG

VIX methodology for Amazon (VXAZN) down 3.4% to at 30.45, compared to its 50-day moving average of 38.02. cboe.com/VXAZN

CBOE Volatility Index-VIX methodology for Energy Select Sector SPDR (VXXLE) down 4.9% to 29.43.  cboe.com/micro/VIXETF/VXXLE/
Active options at CBOE: AAPL AMZN C TWTR TSLA FB CLF GILD NFLX RIG VZ

Options with increasing volume @ CBOE: SPLS JCP NLY S BYD WMB

CBOE Volatility Index (VIX) down 3.8% to 18.69, high 18.89, low 17.96, February 20 and 25 calls are active on total volume of 184K cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) is recently down 1.9% to 34.22.

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently down 5.6% to 18.26; compared to its 50-day moving average of 16.51 stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) up 0.5% to 263.37 compared to its 50-day moving average of 262.26 cboe.com/micro/bxd/

S&P 100 Options (OEX) recently is recently up 4.80 to 893.06 following U.S., personal income rose 0.3% in December, which was a bit more than the 0.2% expected.