CBOE Mid-Day Update 6.24.14

Volatility as an asset class

Homebuilder’s July option implied volatility is low following strong May new home sales rose 18.6% to 504K annual rate, the highest since May 2008.

SPDR Homebuilder (XHB) August option implied volatility of 17 is below its 26-week average of 22.
Toll Brothers (TOL) August option implied volatility of 23 is below its 26-week average of 30.
Lennar (LEN) August option implied volatility of 28 is below its 26-week average of 31.
D.R. Horton (DHI) August option implied volatility of 33 is near its 26-week average of 32.
Pulte Group (PHM) August option implied volatility of 28 is below its 26-week average of 32.
KB Home (KBH) August option implied volatility of 31 is below its 26-week average of 35.
Ryland Group (RYL) August option implied volatility of 31 is below its 26-week average 34.
Beazer Homes (BZH) August option implied volatility of 43 is near its 26-week average of 42.
M.D.C. Holdings (MDC) August option implied volatility of 22 is below its 26-week average of 32.
Hovnanian (HOV) August option implied volatility of 42 is below its 26-week average of 46.
Standard Pacific (SPF) August option implied volatility of 27 is below its 26-week average of 36.
Meritage Homes (MTH) August option implied volatility of 30 is below its 26-week average of 36.

Actives at CBOE:  AAPL TSLA C TWTR MU BIDU MU NFLX F AMAT DDD PCLN

Stocks with increasing volume @ CBOE: TV ENR BVN VRTX MEOH OHRP WAG ASHR CVC CP

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently up 1c to 10.27; 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 267.69, compared to its 50-day moving average of 264.57 cboe.com/micro/bxd/

CBOE Volatility Index (VIX) down 0.8% to 10.90. VIX July 17 and 20 calls are active on 205K contracts @ CBOE cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) up 6c to 28.89.

CBOE DJIA Volatility Index (VXD) up 5.9% to 10.79; compared to its 10-day moving average of 11.18.

CBOE Nasdaq-100 Volatility Index (VXN) down 28c to 12.02; compared to its 50-day moving average of 15.56.

S&P 100 Options (OEX) recently is recently up $1.04 to 867.86 on housing and confidence data.