CBOE Mid-Day Update 2.6.15

Volatility as an asset class

Pandora (P) is recently down $3.29 to $15.12 on a Q4 revenue miss on weakness in several ad verticals and weaker than expected listener hours. February call option implied volatility is at 56, March is at 54, June is at 53; compared to its 26-week average of 62.

Expedia (EXPE) is recently down $9.85 to $78.15 on the Q4 miss driven by FX headwinds, rate pressure, and increasing losses in China. February call option implied volatility is at 35, March is at 31, April is at 26, July is at 29; compared to its 26-week average of 33.

Buffalo Wild Wings (BWLD) is recently up $13.71 to $194 on better than expected Q4 results and says year-to-date SSS up 11.9% at company-owned stores. February call option implied volatility is at 28, March is at 27, June is at 28; compared to its 26-week average of 33.

The Chicago Board Options Exchange (CBOE) announced today that it will expand trading hours
for both CBOE Volatility Index (VIX Index) options and S&P 500 Index (SPX) options, adding more than six hours of additional trading five days a week. The extended hours for VIX options are set to begin Monday, March 2, while the extended hours for SPX options are expected to start on Monday, March 9.

The expanded trading hours for VIX and SPX options at CBOE will run Monday through Friday, beginning each day at 2:00 a.m. CT and ending at 8:15 a.m. CT. The 2:00 a.m. CT start in Chicago syncs with the 8:00 a.m. open of trading in London.

For additional information regarding VIX and SPX options extended trading hours, refer to www.cboe.com/ETH.

VIX methodology for Google (VXGOG) down 3.3% to 19.64, compared to its 50-day moving average of 25.04. cboe.com/VXGOG

VIX methodology for Amazon (VXAZN) down 2.1% to at 28, compared to its 50-day moving average of 37.91. cboe.com/VXAZN

CBOE Volatility Index-VIX methodology for Energy Select Sector SPDR (VXXLE) down 3.16% to 28.78.  cboe.com/micro/VIXETF/VXXLE/

Active options at CBOE: AAPL TWTR LNKD BAC MCD MMM PBR C

Options with increasing volume @ CBOE: P VZ AAN MXWL CTRL MMM GRA YGE P SNP FTR

CBOE Volatility Index (VIX) down 2% to 16.51, high 16.78, low 16.06, February 22 and 25 calls are active on total volume of 151K cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) is recently down 11c to 32.80.

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently down 9.5% to 13.85; compared to its 50-day moving average of 16.75 stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) up 0.1% to 265.56 compared to its 50-day moving average of 262.45 cboe.com/micro/bxd/

S&P 100 Options (OEX) recently is recently up 4.62 to 910.66 as Treasury yields rally on a 257k U.S. January payroll rise, after annual revisions that lifted the December level by 245k.