CBOE Mid-Day Update 6.16.14

Volatility as an asset class

DreamWorks Animation (DWA) is down $3.17 to $24.18 after its latest film, “How to Train Your Dragon 2,” didn’t do as well as analysts had expected in its box-office debut. June call option implied volatility is at 54, July is at 38, September is at 37; compared to its 26-week average of 39.

DISH Network (DISH) is up 39c to $59.35 after the satellite broadcaster was upgraded by JPMorgan, saying that the company has many potential catalysts and it’s the shares have an attractive risk/reward ratio. June call option implied volatility is at 49, July is at 45, and September is at 39; compared to its 26-week average of 37.

Fusion-io (FIO) is up $2.13 to $11.40 after the flash-based PCIe hardware and software solution maker was purchased by SanDisk Corporation (SNDK) for $1.1B, $11.25 per share in cash. July call option implied volatility is at 14, September is at 15; below its 26-week average of 58.

Nuance (NUAN) June 18 calls active at CBOE as shares rally 6.6% to $18.23 into a trading halt.

CBOE Interest Rate 5 Year Note (FVX) is recently up 4c to 17 into a Federal Reserve monetary policy meeting.

Actives at CBOE:  AAPL TSLA TWTR NFLX

Stocks with increasing volume @ CBOE: NUAN AKAM FIO YHOO MOS SD ABX JCP IGT BBRY

CBOE S&P 500 Short-Term Volatility Index (VXST) is up 95c to 12.41; compared to its 10-day moving average of 10.83. VXST is a market-based gauge of expectations of 9-day volatility stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) up 0.1% to 267.71, compared to its 50-day moving average of 263.32 cboe.com/micro/bxd/

CBOE Volatility Index (VIX) up 2.5% to 12.49. VIX June 13, 15 and 17 calls are active on 434K contracts @ CBOE cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) up 10c to 31.96.

CBOE DJIA Volatility Index (VXD) up 3.1% to 12.16; compared to its 50-day moving average of 12.18.

CBOE Nasdaq-100 Volatility Index (VXN) up 2.2% to 13.91; compared to its 50-day moving average of 16.43.

S&P 100 Options (OEX) down 0.32 to $856.98 as traders adjust positions on Iraq uncertainty and merger deals into FOMC policy meeting on Tuesday and Wednesday.