CBOE Mid-Day Update 2.23.15

Volatility as an asset class

Boeing (BA) is down $3.89 to $154.43 after Goldman cut its recommendation to Sell, with a $132 price target. February weekly call option implied volatility is at 23, March is at 18, April is at 17; compared to its 26-week average of 19.

Global X FTSE Greece 20 ETF (GREK) is down 30c to $13.81 after a Greek deal on bailout program. March call option implied volatility is at 77, April is at 73, June is at 64; compared to its 26-week average of 52.

National Bank of Greece (NBG) is down 3c to $1.92.  Overall option implied volatility of 122 compares to its 26-week average of 84 according to Track Data, suggesting large price movement following Greece’s provisional deal on its bailout program.

CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (VXTYN) down 0.72% to 6.93 cboe.com/VXTYN

VIX methodology for Google (VXGOG) up 5.5% to 20.10, compared to its 50-day moving average of 24, 90. cboe.com/VXGOG

VIX methodology for Amazon (VXAZN) up 1% to at 25.54, compared to its 50-day moving average of 37.01. cboe.com/VXAZN

CBOE Volatility Index-VIX methodology for Energy Select Sector SPDR (VXXLE) up 0.12% to 25.97.  cboe.com/micro/VIXETF/VXXLE/

Active options at CBOE: AAPL AMAT TSLA TWTR C GILD RIG AMZN PBR

Options with increasing volume @ CBOE: ANGI NNN FIG WBAI CSC SLXP TXRH WLK SPPI DISCA

CBOE Volatility Index (VIX) up 5.9% to 14.89, high 15.48, low 14.79, March 15 and 17 puts are active on total volume of 17K cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) is up 10c to 29.15

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently up 7.5% to 12.63; compared to its 50-day moving average of 16.89 stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) down 0.1% to 267.60 compared to its 50-day moving average of 263.18 cboe.com/micro/bxd/

S&P 100 Options (OEX) is down $1.50 to 925.12 on lingering doubts about the Greece-inspired rally on Friday and the upcoming Fed Yellen semi-annual testimony.