CBOE Mid-Day Update 2.5.15

Volatility as an asset class

Green Mountain Coffee (GMCR) is recently down $5.30 to $115.90 after reporting a Q1 EPS beat but a sales miss and reduced FY15 sales guidance mostly due to currency drag. February call option implied volatility is at 40, March and April is at 34; compared to its 26-week average of 42.

Sprint (S) is recently up 30c to $4.87 after reporting Q3 platform net additions of 967K. February call option implied volatility is at 58, March is at 54, April is at 51, June is at 50; compared to its 26-week average of 55.

Estee Lauder (EL) is recently up $5.68 to $78.22 on new product offerings and sales growth helped drive better than expected Q2 results. February call option implied volatility is at 18, March is at 17, April and July is at 16; compared to its 26-week average of 20.

VIX methodology for Google (VXGOG) down 2.9% to 21.07, compared to its 50-day moving average of 25.04. cboe.com/VXGOG

VIX methodology for Amazon (VXAZN) up 2.3% to at 29.50, compared to its 50-day moving average of 37.94. cboe.com/VXAZN

CBOE Volatility Index-VIX methodology for Energy Select Sector SPDR (VXXLE) down 1.30% to 29.53.  cboe.com/micro/VIXETF/VXXLE/

Active options at CBOE: AAPL GILD TWTR ANZN TCK TSLA MNKD AMAT DIS NFLX

Options with increasing volume @ CBOE: ATML QUIK FTR ARMH CCK EXP ALL DATA GLUU BRCD

CBOE Volatility Index (VIX) down 1.46% to 17.87, high 17.43, low 17.67, February 25 and 30 calls are active on total volume of 135K cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) is recently down 3% to 33.16.

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently down 8.2% to 16.05; compared to its 50-day moving average of 16.72 stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) up 0.2% to 264.97 compared to its 50-day moving average of 262.37 cboe.com/micro/bxd/

S&P 100 Options (OEX) recently is recently up 5.92 to 903.04 on Pfizer (PFE) purchasing Hospira for about $15B as Treasury yields remain higher on positioning ahead of Friday’s employment report.