CBOE Mid-Day Update 2.27.15

Volatility as an asset class

J.C. Penney is recently down 45c to $8.67 after posting a surprise Q4 loss as higher operating expenses offset higher-than-expected sales. March weekly call option implied volatility is at 48, March calls are at 42, April is at 35; compared to its 26-week average of 54.

Weight Watchers (WTW) is recently down $5.81 to $11.70 on a Q4 loss and plans to cut $100M in costs. March call option implied volatility is at 75, April is at 84, July is at 73; compared to its 26-week average of 43.

Ross Stores (ROST) is recently up $6.14 to $105.19 after reporting better than expected Q4 results and inline guidance.  March and April call option implied volatility is at 18, May is at 19; compared to its 26-week average of 23

VIX methodology for Apple (VXAPL) +1% to 28.91 into Apple (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 HPQ TWTR TSLA C BAC FB NFLX GOOG

Options with increasing volume @ CBOE: High option volume stocks: ARCP BKD MNST WTW SPLK TUBE ROST BLOX BPT MXWL

CBOE Volatility Index (VIX) down 2.5% to 13.57, high 14.17, low 13.29, March 17 and 18 calls are active on total volume of 155K cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) is recently down 43c to 27.35

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently down 1.9% to 11.16; compared to its 50-day moving average of 16. stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) up 0.01% to 268.74 compared to its 50-day moving average of 263.08 cboe.com/micro/bxd/

S&P 100 Options (OEX) recently is up 12c to 928.88 as U.S. Gross domestic product expanded at a 2.2% annual pace.