CBOE Mid-Day Update 3.23.15

Volatility as an asset class

Pfizer (PFE) is recently up 95c to $35.22, fresh ten year high, after a Jefferies analyst wrote that the company’s shares are poised to rise significantly over the next one to two years.  Overall option implied volatility of 16 compares to its 26-week average of 17.

NVIDIA (NVDA) is recently down 65c to $22.02 on Goldman’s downgrade to Sell with a $20 price target. The firm believes the market under-appreciates the risk of the Intel (INTC) license not being renewed and expects GPU growth to decelerate given weakness in PC fundamentals and gaming growth that will normalize at lower levels.  March weekly call option implied volatility is at 32, April is at 26, May is at 24, June is at 25; compared to its 26-week average of 28.

McDonald’s (MCD) is recently up $1.76 to $98.81 on speculation that Glenview Capital might push the company to spin real estate assets into a REIT, Bloomberg, citing an investor letter. March weekly call option implied volatility is at 18, May is at 19, June at 17; compared to its 26-week average of 18.

CBOE Crude Oil Volatility Index (OVX) is recently down 2.7% to 49.54 compared to its 50-day moving average of 49.55 as WTI oil trades near $47.  CBOE.com/OVX

CBOE Volatility Index-VIX methodology for Energy Select Sector SPDR (VXXLE) down 1.86% to 21.60 cboe.com/micro/VIXETF/VXXLE/

Active options at CBOE: AAPL TWTR TEVA TSLA AMZN RIG NFLX FB MCD

Options with increasing volume @ CBOE: HLF WUBA CBL RTRX GOL SONC SWI CP PGH FNF FTNT

CBOE Volatility Index (VIX) up 2.7% to 13.37, high 13.53, low 13.10, April 22 and 26 calls are active on total volume of 103K cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) is recently down 1% to 25.45.

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently up 10% to 11.79; compared to its 50-day moving average of 15.39. stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) up 0.2% to 272.52 compared to its 50-day moving average of 265.77 cboe.com/micro/bxd/

CBOE Mini-SPX options (XSP) up 0.2% to 211.15 http://www.cboe.com/micro/xsp/

S&P 100 Options (OEX) recently up 0.2% to 924.10 as the dollar weakens and oil rallies.