CBOE Mid-Day Update 2.26.15

Volatility as an asset class

Kohl’s (KSS) is recently up $1 to $71.90 on a better than expected Holiday Q4 quarter. March call option implied volatility is at 22, April is at 21, July is at 20; compared to its 26-week average of 22.

Sears Holdings (SHLD) is recently down $2.78 to $35.12 after announcing progress towards forming a real-estate investment trust and a Q4 loss. March call option implied volatility is at 71, April is at 58, June is at 61; compared to its 26-week average of 60.

Transocean (RIG) is recently up 11c to $16.15 after reporting a $922M Q4 charge to correct the value of its drilling business. March call option implied volatility is at 55, March is at 55, May is at 61; compared to its 26-week average of 39.

VIX methodology for Apple (VXAPL) +5% to 29.48 into $AAPL special event on March 9th.  cboe.com/VXAPL

CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (VXTYN) down 0.94% to 6.35 cboe.com/VXTYN

CBOE Volatility Index-VIX methodology for Energy Select Sector SPDR (VXXLE) up 2.88% to 23.90.  cboe.com/micro/VIXETF/VXXLE/

Active options at CBOE: AAPL TWTR ZNGA TSLA CRM RIG MCD FB AMAT HPQ

Options with increasing volume @ CBOE: ELX LTM AVGO EXH LYV NOW RF CRM ICON BNFT

CBOE Volatility Index (VIX) down 0.4% to 13.78, high 14.27, low 13.55, March 14 and 16 puts are active on total volume of 155K cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) is recently down 44c to 27.66

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently down 1.5% to 11.47; compared to its 50-day moving average of 16.21 stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) up 0.01% to 268.83 compared to its 50-day moving average of 263.80 cboe.com/micro/bxd/

S&P 100 Options (OEX) recently is down 76c to 928.66 on the U.S., the Consumer Price Index fell 0.7% in January, with the core rate rising 0.2%, versus expectations for the headline CPI to be down 0.6% and the core rate to rise 0.1%.