CBOE Mid-Day Update 2.4.15

Volatility as an asset class

General Motors (GM) is recently up $1.63 to $35.55 on better than expected Q4 results and guidance. February weekly call option implied volatility is at 33, February is at 26, March is at 24, June is at 23; compared to its 26-week average of 25.

Polo Ralph (RL) is recently down $27.40 to $143.43 in the premarket on less than expected Q3 revenue of $2.03B. February call option implied volatility is at 28, March is at 24, April is at 22; compared to its 26-week average of 23.

Kohl’s (KSS) is recently up $3.60 to $66.48 after reporting Q4 SSS up 3.7% and FY15 EPS guidance of $4.20-$4.22, compared to consensus $4.06 . February call option implied volatility is at 23, March is at 25, April is at 25; compared to its 26-week average of 24.

VIX methodology for Google (VXGOG) down 1.3% to 21.48, compared to its 50-day moving average of 25. cboe.com/VXGOG

VIX methodology for Amazon (VXAZN) down 0.3% to at 29.31, compared to its 50-day moving average of 37.95. cboe.com/VXAZN

CBOE Volatility Index-VIX methodology for Energy Select Sector SPDR (VXXLE) up 1.45% to 30.08.  cboe.com/micro/VIXETF/VXXLE/

Active options at CBOE: AAPL GILD DIS TWTR KO TSLA PBR C MCP AMZN

Options with increasing volume @ CBOE: DXM DMND IACI AMRN COMM EPI DF WGO RENN CMG

CBOE Volatility Index (VIX) down 0.1% to 17.31, high 18.05, low 17.12, February 19, 24 and 25 calls are active on total volume of 235K cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) is recently down 0.5% to 33.07.

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently down 2.1% to 16.20; compared to its 50-day moving average of 16.58 stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) up 0.1% to 264.64 compared to its 50-day moving average of 262.31 cboe.com/micro/bxd/

S&P 100 Options (OEX) recently is recently down 40c to 900.50 as Treasury yields remain higher on positioning ahead of Friday’s employment report.