CBOE Mid-Day Update 7.11.14

Volatility as an asset class

Fastenal (FAST) is recently down $2.29 to $45.85 after the retailer of fasteners and construction supplies reported less than expected Q2 revenue. August call option implied volatility is at 20, November is at 21, February is at 22; compared to its 26-week average of 26.

Gap (GPS) is recently down 65c to $40.32 after reporting its June same-store sales fell 2%. August call option implied volatility is at 22, November is at 21; compared to its 26-week average of 26.

Qualcomm (QCOM) is recently down 80c to $79.64 after being downgraded to Buy from Conviction Buy at Goldman Sachs due to weaker handset demand but maintains its Buy rating and $95 price target based on relative valuation and growth profile. July call option implied volatility is at 13, August is at 20, October is at 19; compared to its 26-week average of 19.

Actives at CBOE:  AAPL NFLX WLT SUNE MD BAC CBS TSLA TWTR AMZN FB _DSC0068

Stocks with increasing volume @ CBOE:  MD BBBY AOL ADTN BBG ZLTQ CCE LO UUP BC GSAT GLUU

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently down 1.8% to 11.86; compared to its 10-day moving average of 10.63. VXST is a market-based gauge of expectations of 9-day volatility stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) down 13c to 268, compared to its 50-day moving average of 266.26 cboe.com/micro/bxd/

CBOE Volatility Index (VIX) down 1% to 12.47. VIX July 13, 14 & 16 calls are active on 208K contracts @ CBOE cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) down 0.7% to 28.37.

CBOE DJIA Volatility Index (VXD) down 1.3% to 11.60; compared to its 10-day moving average of 10.85.

CBOE Nasdaq-100 Volatility Index (VXN) down 1.3% to 13.95; compared to its 50-day moving average of 14.07.

S&P 100 Options (OEX) recently is down $1.10 to 869.20 following yesterday’s moderate sell-off prompted by credit fears emanating from Europe’s periphery.