CBOE Mid-Day Update 3.9.15

Volatility as an asset class

General Motors (GM) is recently up 94c to $37.47 after the company settled a potential proxy battle with an investment group led by Harry Wilson by agreeing to return more cash to shareholders. March weekly call option implied volatility is at 27, March is at 26, April is at 25; compared to its 26-week average of 25.

McDonald’s (MCD) is recently up 62c to $97.76 after posting a worse than expected drop in February sales. Same-store sales decreased 1.7% worldwide, compared with a consensus forecast for a 0.3% decline. March weekly call option implied volatility is at 22, March is at 20, April is at 19, June at 18; compared to its 26-week average of 18.

BlackBerry (BBRY) is recently down 73c to $9.93 after Goldman Sachs cut its rating on the stock to Sell from Neutral, saying it believes the smartphone maker’s turnaround is entering a more challenging phase as it shifts from cutting costs to revenue growth.  March weekly call option implied volatility is at 54, March is at 50, April is at 65, May is at 54, June is at 53; compared to its 26-week average of 54.

VIX methodology for Apple (VXAPL) down 5c to 29.75 into ‘Spring Forward’ Watch event cboe.com/VXAPL

CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (VXTYN) down 53c to 5.71 cboe.com/VXTYN

CBOE Volatility Index-VIX methodology for Energy Select Sector SPDR (VXXLE) down 0.61% to 24.56.  cboe.com/micro/VIXETF/VXXLE/

Active options at CBOE: AAPL TWTR TSLA AA NFLX GILD PBR WMT

Options with increasing volume @ CBOE: YOKU AMAT CTIC RTI MAC WPX PNK ACRX WBAI GLPI URBN ERIC

CBOE Volatility Index (VIX) down 0.3% to 15.15, high 15.76, low 15.12, March 20 and 21 calls are active on total volume of 116K cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) is recently down 31c to 27.72

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently up 2.3% to 14.64; compared to its 50-day moving average of 15.63. stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) up 1.20% to 268.01 compared to its 50-day moving average of 264.94 cboe.com/micro/bxd/

S&P 100 Options (OEX) recently is up 2.82 to 914.84 after stocks sold off Friday’s on U.S. February nonfarm payrolls rise 295K and unemployment drops to 5