CBOE Mid-Day Update 6.26.14

Volatility as an asset class

Alcoa (AA) is recently up 33c to $14.88 after acquiring Firth Rixson for $2.85B in cash and stock. July call option implied volatility is at 28, August is at 25, October is 26; compared to its 26-week average of 31.

General Motors (GM) is recently down 56c to $36.53 after the car manufacturer asked North American dealers to halt sales of 2013-2014 Chevrolet Cruze sedans due to airbag issues.  July call option implied volatility is at 25, August, September and December is at 22; compared to its 26-week average of 26.

Accenture (ACN) is recently down 98c to $82.16 after the consulting firm reported Q3 revenue of $7.74B, compared to consensus $7.55B. July, August and November call option implied volatility is at 14; compared to its 26-week average of 20.

Actives at CBOE:  AAPL TSLA TWTR PBR AA FB NFLX GOOG SCTY

Stocks with increasing volume @ CBOE:  APA CHS ETE HCA BCS D ETP SO

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently up 52c to 11.64; compared to its 10-day moving average of 11.26. VXST is a market-based gauge of expectations of 9-day volatility stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) down 0.2% to 266.18, compared to its 50-day moving average of 264.90 cboe.com/micro/bxd/

CBOE Volatility Index (VIX) up 32c to 11.91. VIX July 13, 15 and 24 calls are active on 130K contracts @ CBOE cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) up 57c to 29.32.

CBOE DJIA Volatility Index (VXD) up 3.9% to 11.45; compared to its 10-day moving average of 11.14.

CBOE Nasdaq-100 Volatility Index (VXN) up 32c to 12.86; compared to its 50-day moving average of 15.20.

S&P 100 Options (OEX) recently is recently down $3.82 to 862.12 after James Bullard, president of the Federal Reserve Bank of St. Louis, said interest rates may rise by March.