CBOE Mid-Day Update 2.25.15

Volatility as an asset class

Target (TGT) is recently up 25c to $77.21 after posting better than expected adjusted earnings per share and reported comparable sales increased 3.8% in its Q4. March call option implied volatility is at 24, April is at 17, July is at 19; compared to its 26-week average of 20.

TJX (TJX) is recently is recently up $2.51 to $69.65 after reaffirming 10%-13% long-term annual EPS growth model. March, April and July call option implied volatility of 17 compares to its 26-week average of 22.

Lumber Liquidators (LL) is recently down $11.86 to $56.92 after reporting Q4 earnings per share and revenue that missed consensus expectations, warning on associated call that an upcoming “60 Minutes” piece may cast the company in an unfavorable light, and disclosing in its annual report this morning that the Department of Justice indicated in recent communications that it is contemplating seeking criminal charges under the Lacey Act. March call option implied volatility is at 77, March is at 57, May is at 66; compared to its 26-week average of 52.

Active options at CBOE: AAPL HPQ PBR TSLA AMZN TWTR FSLR CBI NFLX

Options with increasing volume @ CBOE: WBAI HDS ICON NWBO RGR GFI RKT TJX RSG

CBOE Volatility Index (VIX) down 2.8% to 13.31, high 13.71, low 12.86, March 23 calls and 16 puts are active on total volume of 192K cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) is recently down 75c to 27.22

S&P 100 Options (OEX) recently is up 14c to 939.36 on U.S., new home sales slipped 0.2% to a 481K annual pace in January, which was better than the expected 2.3% decline to