CBOE Mid-Day Update 3.10.15

Volatility as an asset class

Barnes & Noble (BKS) is recently down $2.09 to $22.77 on the bookseller sees FY15 retail SSS declining in low-single digits.  March call option implied volatility is at 39, April is at 38, July is at 37; compared to its 26-week average of 42.

EMC (EMC) is recently down 60c to $27.26 on the information storage company sees EPS growth accelerating to double digits in 2018. March weekly call option implied volatility is at 30, March is at 24, April is at 23, July is at 21; compared to its 26-week average of 23.

Euro Currency Trust (FXE) is recently down $1.39 to $105.39 volatility elevated as the euro trends to end of historic range. Overall option implied volatility of 11 compares to its 26-week average of 10.

VIX methodology for Apple (VXAPL) up 5% to 28.38 a day after ‘Spring Forward’ Watch event. cboe.com/VXAPL
CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (VXTYN) up 9c to 5.74 cboe.com/VXTYN

CBOE Volatility Index-VIX methodology for Energy Select Sector SPDR (VXXLE) up 3.03% to 25.19.  cboe.com/micro/VIXETF/VXXLE/

Active options at CBOE: AAPL TWTR TSLA AA NFLX GILD C RIG AMZN CMCS

Options with increasing volume @ CBOE: NKE MGM VSI GNC PEP GDP ZION APD VNET CJES ACM URBN GAME LL

CBOE Volatility Index (VIX) up 11.4% to 16.82, high 16.91, low 16.03, March 18, 19 and 20 calls are active on total volume of 261K cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) is recently up $1.11 to 28.78.

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently up 17.7% to 16.72; compared to its 50-day moving average of 15.75. stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) down 0.9% to 265.77 compared to its 50-day moving average of 264.95 cboe.com/micro/bxd/

S&P 100 Options (OEX) recently down 13.70 to 902.20 as U.S. dollar traded at multi-year highs against the euro and yen.