CBOE Mid-Day Update 3.4.15

Volatility as an asset class

McDonald’s (MCD) is recently up 7c to $99.81 after McDonald’s USA announced new menu sourcing initiatives including only sourcing chicken raised without antibiotics that are important to human medicine. In addition, McDonald’s U.S. restaurants will also offer customers milk jugs of low-fat white milk and fat-free chocolate milk from cows that are not treated with rbST, an artificial growth hormone.  March weekly call option implied volatility is at 34, March is at 22, April is at 21, June at 19; compared to its 26-week average of 18.

Abercrombie & Fitch (ANF) is recently down $2.97 to $21.03 on weak Q4 sales and not providing EPS, SSS guidance. March weekly call option implied volatility is at 77, March is at 43, April is at 39; compared to its 26-week average of 44.

American Eagle (AEO) is recently up $1.41 to $16.23 on inline Q4 results and an upbeat outlook.  March weekly call option implied volatility is at 56, March is at 32, April is at 31, August is at 32; compared to its 26-week average of 41.

CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (VXTYN) down 2.86% to 6.11 cboe.com/VXTYN

CBOE Volatility Index-VIX methodology for Energy Select Sector SPDR (VXXLE) up 0.60% to 23.64.  cboe.com/micro/VIXETF/VXXLE/

Active options at CBOE: AAPL TWTR TSLA C PBR AA CRM AMAT TSLA PEP FB

Options with increasing volume @ CBOE: ATHM VEEV CAG ALU BOBE CMCM CRTO VSLR MEOH LL

CBOE Volatility Index (VIX) up 3% to 14.28, high 15.33, low 14.21, March 22 calls & 16 puts are active on total volume of 148K cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) is recently up 27c to 27.55

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently up 2.9% to 12.15; compared to its 50-day moving average of 15.55. stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) down 0.1% to 268.70 compared to its 50-day moving average of 264.75 cboe.com/micro/bxd/

S&P 100 Options (OEX) recently is down 2.42 to 925.26 on private payrolls growth that was a bit lower than expected and a crude oil inventory build-up that was much greater than expected.