Blogging Options: CBOE Mid-day Update

Volatility as an asset class

New Oriental Education (EDU) is recently up 82c to $17.94 after the SEC did not objecting to the company’s consolidation of its variable interest entity. November option implied volatility is at 78, January is at 63; above its 26-week average of 56.

Proshares Ultra Short 20 Year Treasury ETF (TBT) is recently up 44c to $62.56 as U.S. Treasury’s trade near record highs. Overall option implied volatility of 30 is near its 26-week average.
 
CBOE S&P 500 2% OTM BuyWrite Index (BXY) is recently up +0.6 to 1202.85, above its 50-day moving average of 1199.33. BXY uses the same methodology as the widely accepted CBOE S&P 500 BuyWrite Index (BXM) but the BXY is calculated using out-of-the-money S&P 500 Index (SPX) call options, rather than at-the-money SPX call options. www.cboe.com/BXY
 
CBOE Volatility Index (VIX) is recently down 75c to 15.39. VIX October 17 and November 22 calls are active on total option volume of 313K contacts at the CBOE. S&P 100 Options (OEX) is recently up 4.22 to $661.12 at midday following a better than expected retail sales figures.

S&P 100 Options (OEX) is recently up 4.22 to $661.12 at midday following a better than expected retail sales figures.

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