CBOE Mid-Day Update 6.17.14

Volatility as an asset class

MICROS (MCRS) is recently up $10.34 to $68.06 on Oracle (ORCL) is near a deal to acquire for over $5B, Bloomberg says. July call option implied volatility is at 50; compared to its 26-week average of 23.

Rooftop solar companies stocks are up after Goldman Sachs said in a research note that SolarCity (SCTY) is best positioned to take advantage of the trend. SunPower Corporation (SPWR) also has leverage. SunEdison (SUNE) will benefit as well, but First Solar (FSLR) is most out of position.

SolarCity overall option implied volatility of 56 is below its 26-week average of 64.

SunPower Corporation overall option implied volatility of 46 is below its 26-week average of 57.

SunEdison overall option implied volatility of 56 is below its 26-week average of 63.

First Solar overall option implied volatility of 43 is below its 26-week average of 53.

VIX methodology for Amazon (VXAZN) +1.2% to 29.39, below 50-day MA 33.85 into launch event on June 18th

CBOE Interest Rate 5 Year Note (FVX) is recently up 43c to 17.43 into the start of the Federal Reserve monetary policy meeting.

Actives at CBOE:  AAPL TSLA TWTR AMZN FB BAC CBS

Stocks with increasing volume @ CBOE: MCRS ORCL KO NQ SCTY NEPT ACI

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently 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) down 1.1% to 12.40. VIX June 13, 14 and 15 calls are active on 248K contracts @ CBOE cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) down 67c to 31.10.

CBOE DJIA Volatility Index (VXD) down 1.5% to 12.08; compared to its 50-day moving average of 12.16.

CBOE Nasdaq-100 Volatility Index (VXN) up 1c to 13.70; compared to its 50-day moving average of 16.33

S&P 100 Options (OEX) up $0.41 to $857.55 into Wednesday’s FOMC policy meeting results.