CBOE Mid-Day Update 2.24.15

Volatility as an asset class

Macy’s (M) is recently down $2.34 to $61.93 after inline Q4 results and giving a cautious 2015 outlook. March call option implied volatility is at 21, April is at 20, May is at 21, August is at 20; compared to its 26-week average of 25.

SunPower (SPWR) is recently up $4.78 to $32.58, and First Solar (FSLR) is up $6.89 to $56.50, after companies announced that they are in advanced talks to form a joint YieldCo vehicle. SPWR March and April call option implied volatility is at 44; compared to its 26-week average of 46.
First Solar (FSLR) February weekly call option implied volatility is at 101, March is at 63, April is at 56, and June is at 48; compared to its 26-week average of 45.

Proshares UltraShort Barc 20 Year Treasury ETF (TBT) is recently down 79c to $43.47 on Federal Reserve Chair Janet Yellen’s remains “patient” comments. February weekly call option implied volatility is at 37, March weekly is at 36, March is at 33, April is at 30; compared to its 26-week average of 24.

CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (VXTYN) down 5.39% to 6.49 after Janet Yellen’s testimony cboe.com/VXTYN

CBOE Volatility Index-VIX methodology for Energy Select Sector SPDR (VXXLE) down 2.54% to 24.92.  cboe.com/micro/VIXETF/VXXLE/

Active options at CBOE: AAPL KO TSLA C HPQ HD TWTR FSLR RIG AXP

Options with increasing volume @ CBOE: CHGG LBTYK SMH RCAP NGLS OTEX TERP CNC ALKS AMT

CBOE Volatility Index (VIX) down 3% to 14.13, high 14.63, low 13.87, March 15, 16 and 17 puts are active on total volume of 137K cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) is recently down 79c to 28.36

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently down 4.9% to 11.56; compared to its 50-day moving average of 16.60 stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) up 0.1% to 268.25 compared to its 50-day moving average of 263.37 cboe.com/micro/bxd/

S&P 100 Options (OEX) recently is up $1.74 to 928.40 on the Fed remains “patient” is the main takeaway from Yellen’s Monetary Policy Report.