CBOE Mid-Day Update 2.11.15

Markets lower on Oil retreat and uncertainty in Europe.  Small business optimism droped 2.5% in January, but is still at a high level.  Option volume slightly below average at noon CT, ~8.2 mm contracts trade.  SPX with 388K, AAPL trades roughly 1 million option contracts.  GS loses $2 points, NKE off $1.50. on the NASDAQ BIDU off $4, AAPL adds $2.

AOL (AOL) is down $4.83 to $40 after reporting less than expected Q4 results and the digital content portal sees 1H15 revenue impacted by realignment. February weekly call option implied volatility is at 62, February is at 42, March is at 53, April is at 61, July is at 67; compared to its 26-week average of 56.

Rite Aid (RAD) is up $0.72 to $8.30 after agreeing to buy EnvisionRx from TPG for $2B and re-enter the pharmacy benefit management space it had previously exited. February, March and April call option implied volatility of 40 compares to its 26-week average of 48.

Proshares UltraShort Barc 20 Year Treasury ETF (TBT) is down 17c to $43.02 with the current 10-year yield briefly topping 2.02% compared to Asian lows of 1.97%. February weekly call option implied volatility is at 35, February is at 31, March is at 30; compared to its 26-week average of 24.

Apple (AAPL) February 122, 123, 124, 125 & 126 calls active on 1.1M contracts as shares @ 52-week high @ CBOE

CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (VXTYN) down 3% to 6.78 cboe.com/VXTYN

VIX methodology for Google (VXGOG) up 4% to 20.38, compared to its 50-day moving average of 25.13. cboe.com/VXGOG

VIX methodology for Amazon (VXAZN) up 1% to at 28.12, compared to its 50-day moving average of 37.90. cboe.com/VXAZN

CBOE S&P 500 PutWrite Index (PUT) up 30c to 1453.70, 50-day moving average is 1442.75 CBOE.com/PUT

CBOE Volatility Index-VIX methodology for Energy Select Sector SPDR (VXXLE) up 1.75% to 30.19.  cboe.com/micro/VIXETF/VXXLE/

Active options at CBOE: AAPL TWTR TSLA GILD NFLX BIDU RAD FB GNW PBR

Options with increasing volume @ CBOE: UNIS NAV BLDP WBAI NCR WHX MWW CHS GNRC BGC

CBOE Volatility Index (VIX) down 1% to 17.09, high 17.71, low 17.09, February 16 and 17 puts are active on total volume of 133K cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) is up 25c to 33.38.

CBOE S&P 500 Short-Term Volatility Index (VXST) is down 2% to 14.88; compared to its 50-day moving average of 17.02 stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) up 0.1% to 265.81 compared to its 50-day moving average of 262.64. cboe.com/micro/bxd/

S&P 100 Options (OEX) down 2.56 to 907.18 on concerns for Greek debt negotiations.