CBOE Mid-Day Update 7.10.14

Volatility as an asset class

Costco (COST) is recently up 33c to $118.26 after reporting June SSS roses 6%. July call option implied volatility is at 12, July is at 11, October is at 13; compared to its 26-week average of 17.

TRW Automotive (TRW) is recently halted up $6.32 to $97.72 for pending news after reports the auto parts company was approached about buyout by ZF Friedrichshafen. July call option implied volatility is at 41, August is ta 31, October is at 25; compared to its 26-week average of 24.

Cray (CRAY) is recently up $4.15 to $31.37 on being awarded a $174M deal to provide the National Nuclear Security Administration, or NNSA, with a next generation Cray XC supercomputer and a Cray Sonexion storage system.  July call option implied volatility is at 60, August is at 69, October is at 56; compared to its 26-week average of 58.

Actives at CBOE:  AAPL NFLX AA LNG MCP BAC CBS TSLA TWTR AMZN FB

Stocks with increasing volume @ CBOE:  TRW X ABX DDD CBS DAL LNG CBS  KGC

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently up 1.39 to 11.87; compared to its 10-day moving average of 10.55. VXST is a market-based gauge of expectations of 9-day volatility stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) down 0.3% to 268.17, compared to its 50-day moving average of 266.15 cboe.com/micro/bxd/

CBOE Volatility Index (VIX) up 5% to 12.23. VIX July 13, 14 & 16 calls are active on 376K contracts @ CBOE cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) up 2.6% to 28.36.

CBOE DJIA Volatility Index (VXD) up 6.5% to 11.49; compared to its 10-day moving average of 10.78.

CBOE Nasdaq-100 Volatility Index (VXN) up 4.7% to 13.86; compared to its 50-day moving average of 14.14.

S&P 100 Options (OEX) recently is down $3.20 to 870.44 on fears about the health of one of Portugal’s largest banks, coupled with weak economic data out of Italy,