CBOE Mid-Day Update 3.3.15

Volatility as an asset class

Ford (F) is recently down 47c to $16.10 after the automakers reported February sales fell about 2% last month compared to the prior year. March call option implied volatility is at 18, April is at 19, May and September is at 20; compared to its 26-week average of 23.

General Motors (GM)  is recently down 13c to $37.47 after reporting February U.S. sales rose a bit over 4%, but that was below the nearly 6% increase that had been forecast by analysts. March call option implied volatility is at 20, April is at 22, June is at 23, September is at 22; compared to its 26-week average of 24.

Fiat Chrysler (FCAU) is recently down 59c to $15.23 after reporting a 6% increase in U.S. sales. March, April and June call option implied volatility of 34 compares to its 16-week average of 38.

CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (VXTYN) down 2.18% to 6.28 cboe.com/VXTYN

CBOE Volatility Index-VIX methodology for Energy Select Sector SPDR (VXXLE) down 1.08% to 23.88.  cboe.com/micro/VIXETF/VXXLE/

Active options at CBOE: AAPL TWTR TSLA C MNKD PPL GILD

Options with increasing volume @ CBOE: CELG OREX IMMR PPL SO OREX MW ATI MDR GAME MEMP AKRX

CBOE Volatility Index (VIX) up 10.1% to 14.36, high 14.55, low 13.35, March 20 and 23 calls are active on total volume of 257K cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) is recently up 1.04 to 27.73

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently up 17% to 12.68; compared to its 50-day moving average of 15.62. stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) down 0.3% to 268.78 compared to its 50-day moving average of 264.63 cboe.com/micro/bxd/

S&P 100 Options (OEX) recently is down 6.96 to 924.80 as picked up downside momentum during Benjamin Netanyahu’s speech in front of Congress.