CBOE Mid-Day Update 3.11.15

Volatility as an asset class

Express (EXPR) is recently up 36c to $15.31 after the retailer reported better than expected Q4 results and outlook. March call option implied volatility is at 42, April is at 36, July is at 38; compared to its 26-week average of 46.

Mastercard (MA) is recently down $1.24 to $87.60 after 12.773M share Spot Secondary priced at $86.85. March call option implied volatility is at 23, April is at 21, May is at 22; compared to its 26-week average of 22.

SanDisk (SNDK) is recently up $3.10 to $83.26 after being upgraded to Conviction Buy from Buy at Goldman. March call option implied volatility is at 32, April is at 31, July is at 32; compared to its 26-week average of 31.

CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (VXTYN) down -0.69% to 5.76 cboe.com/VXTYN

CBOE Volatility Index-VIX methodology for Energy Select Sector SPDR (VXXLE) down 0.63% to 25.27.  cboe.com/micro/VIXETF/VXXLE/

Active options at CBOE: AAPL C TSLA PBR TWTR X KO NFLX INTC TEVA

Options with increasing volume @ CBOE: BKD MEIP VRA ACAD LL BK STLD RKT AMPE MGA MAN

CBOE Volatility Index (VIX) down 1% to 16.53, high 16.99, low 16.53, March 17 and 20 calls are active on total volume of 178K cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) is recently up 29c to 28.80.

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently down 3.2% to 16.19; compared to its 50-day moving average of 15.83. stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) up 0.3% to 265.72 compared to its 50-day moving average of 264.93 cboe.com/micro/bxd/

S&P 100 Options (OEX) recently up 1.74 to 901 on concerns about a coming Federal Reserve rate hike and the ever-strengthening U.S. dollar.