CBOE Mid-Day Update 2.20.15

Volatility as an asset class

John Deere (DE) is recently down 26c to $91.42 after farm, construction and forestry equipment maker cut its fiscal 2015 income forecast earlier in conjunction with its Q1 report. February weekly call option implied volatility is at 21, March is at 18, June is at 17; compared to its 26-week average of 20.

Noodles & Company is recently down after saying 2015 earnings growth will be at the low end of range. March call option implied volatility is at 55, May is at 54, August is at 51; compared to its 26-week average of 45.

Nordstrom (JWN) is recently up $3.10 to $80.21 on increased Q4 sales and solid sales outlook. March call option implied volatility is at 20, April is at 19; compared to its 26-week average of 24.

Active calls @ CBOE; AAPL 2/20/15 128 & 129, AMAT 3/20/15 26 & 4/17/15 27, GDP 6/19/15 4.5

Active puts @ CBOE: C 2/27/15 45, 50.5 & 3/20/15 45, AAPL 2/20/15 128, FE 2/20/15 37

Active options at CBOE: AAPL TWTR TSLA C WMT AMAT FB CELG AMZN

Options with increasing volume @ CBOE: CS NDLS FRGI FE INTU AMRN BRKR CNX HZNP

February weekly options expected to be active next week @ CBOE: DE SPWR JCP HD WDAY MNST

CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (VXTYN) up 1.27% to 7.19 cboe.com/VXTYN

VIX methodology for Google (VXGOG) up 1.93% to 19.16, compared to its 50-day moving average of 25.05. cboe.com/VXGOG

CBOE S&P 500 PutWrite Index (PUT) up 5c to 1455.95, 50-day MA 1443.48 CBOE.com/PUT

CBOE Volatility Index-VIX methodology for Energy Select Sector SPDR (VXXLE) up 2% to 26.90.  cboe.com/micro/VIXETF/VXXLE/

CBOE Volatility Index (VIX) up 3.3% to 15.80, high 16.29, low 15.66, March 20 and 23 calls are active on total volume of 157K cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) is recently up 28c to 30.40

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently up 5.4% to 12.98; compared to its 50-day moving average of 16.95 stks.co/r0CS2

S&P 100 Options (OEX) recently is recently down 1.70 to 919.68 on the U.S. manufacturing sector expanded in February at its fastest rate since November, after notching its lowest reading in a year in the prior month.