CBOE Mid-Day Update 6.23.14

Volatility as an asset class

MICROS (MCRS) is recently up $2.19 to $67.96 on Oracle (ORCL) acquiring for $68 per share.  August call option implied volatility is at 10, December is at 9; compared to its 26-week average of 24.

J.C. Penney (JCP) is recently down 12c to $8.87 on closing its new $2.35B asset-based senior secured credit facility, comprised of a $1.85B revolving line of credit and a $500M term loan. July call option implied volatility is at 47, August is at 53, November is at 50; compared to its 26-week average of 64.

Microsoft (MSFT) is recently up 4c to $41.73 after announcing increased storage and lower pricing for OneDrive. June weekly call option implied volatility is at 19, July is at 15, and August is at 19; compared to 26-week average of 22.blogg

Actives at CBOE:  AAPL TSLA C TWTR FSLR FB SCTY WLT MU GILD MSFT

Stocks with increasing volume @ CBOE:  MTOR MCRS OSIS LULU

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently up 75c to 11.08; compared to its 10-day moving average of 11.06. VXST is a market-based gauge of expectations of 9-day volatility stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) down 0.1% to 267.20, compared to its 50-day moving average of 264.29 cboe.com/micro/bxd/

CBOE Volatility Index (VIX) up 4.3% to 11.32. VIX July 12, 17 and 20 calls are active on 168K contracts @ CBOE cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) up 1c to 29.57.

CBOE DJIA Volatility Index (VXD) up 5.8% to 11.23; compared to its 10-day moving average of 11.27.

CBOE Nasdaq-100 Volatility Index (VXN) up 48c to 12.75; compared to its 50-day moving average of 15.78.

S&P 100 Options (OEX) recently is recently down $1.38 to 864.90 as stocks pull back from record levels.