CBOE Mid-Day Update 3.2.15

Volatility as an asset class

Lumber Liquidators (LL) is recently down $10.57 to $41.22 after ’60 Minutes’ alleges floor may violate health and safety violations.  March put option implied volatility is at 107, April is at 89, May is at 76; compared to its 26-week average of 52.

Aruba Networks (ARUN) is recent down 36c to $24.45 after HP (HPQ) announced its acquiring the network company for $3B. March call option implied volatility is at 16, April is at 17; compared to its 26-week average of 45.
Stratasys (SYSS) is recently up $1.26 to $63.32 after the 3D company reported better than expected Q4 revenue.
March weekly call option implied volatility is at 53, April is at 39, June is at 41; compared to its 26-week average of 45.

Active calls @ CBOE; AAPL 3/6/15 127 & 130 MNTA 3/20/15 16 CELG 3/6/15 125

Active puts @ CBOE: AAPL 3/6/15 120, 125, 128 & 129 TSLA 3/6/15 200

CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (VXTYN) up 1.93% to 6.35 cboe.com/VXTYN

CBOE Volatility Index-VIX methodology for Energy Select Sector SPDR (VXXLE) up 4.12% to 24.74.
cboe.com/micro/VIXETF/VXXLE/

Active options at CBOE: AAPL TWTR TSLA C MCD NFLX PBR CELG

Options with increasing volume @ CBOE: High option volume stocks: SSYS NXPI FSL NXPI FSL SSYS BBY AMBA PANW ARUN LO NLNK ARUN SODA HLF SHLD CROX FSLR

CBOE Volatility Index (VIX) down 0.1% to 13.33, high 13.90, low 13.19, March 17 and 19 calls are active on total volume of 53K cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) is recently down 57c to 27.03

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently up 5.9% to 11.23; compared to its 50-day moving average of 15.73. stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) up 0.3% to 269.28 compared to its 50-day moving average of 264.39 cboe.com/micro/bxd/

S&P 100 Options (OEX) recently is up 3.94 to 929.34 as Asian stocks moved higher after China cut interest rates.