CBOE Mid-Day Update 6.27.14

Volatility as an asset class

Manitowoc (MTW) is recently up $2.57 to $32.27 after Relational Investors took an 8.52% stake in the company and urged for a spin-off of its food business. July call option implied volatility of 26, August is at 34, September is at 33; compared to its 26-week average of 34.

Caesars Entertainment Corporation (CZR) is recently up 2c to $17.74 after announcing it will close Showboat Atlantic City effective August 31.  July call option implied volatility is at 45, August is at 48, September is at 45; compared to its 26-week average of 47. Bloggg

Dollar General (DG) is recently down $4.24 to $57.44 after the discount retailer announced its CEO plans to retire.  July call option implied volatility is at 24, August is at 26, November is at 27; compared to its 26-week average of 28.

Actives at CBOE:  AAPL TSLA TWTR NFLZ AMZN PBR

Stocks with increasing volume @ CBOE:  Z VHC DG GLD MGM MPEL BDSI KING NKE CCK OKS

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently down 4c to 11.22; compared to its 10-day
moving average of 11.20. VXST is a market-based gauge of expectations of 9-day volatility stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) down 0.1% to 266.60, compared to its 50-day moving average of 265.03 cboe.com/micro/bxd/

CBOE Volatility Index (VIX) down 7c to 11.55. VIX July 13 and August 17 calls are active on 86K contracts @ CBOE cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) down 3c to 29.07.

CBOE DJIA Volatility Index (VXD) up 0.1% to 11.16; compared to its 10-day moving average of 11.05.

CBOE Nasdaq-100 Volatility Index (VXN) up 6c to 12.26; compared to its 50-day moving average of 15.03.

S&P 100 Options (OEX) recently is recently down 40c to 864.50 as economic data indicated a mixed picture of growth.