CBOE Mid-Day Update 7.15.14

Volatility as an asset class

Michael Kors (KORS) is recently down $5.02 to $80.62 after three analysts lowered their price target on the luxury retailer. August weekly calls option implied volatility is at 38, August is at 45, November is at 36, January is at 35; compared to its 26-week average of 34.

Microsoft (MSFT) is recently down 4c to $42.10 after trading at a fresh 52-week high.  July weekly call option implied volatility is at 26, August is at 19, September and October is at 17; compared to its 26-week average of 20.

Intel (INTC) July 31.5 straddle priced for 3% move into the expected release of Q2 today after the market close.

Yahoo (YHOO) July 35 straddle priced for 4.2% move into the expected release of Q2 today after the market close.

Actives at CBOE:  AAPL TSLA C FB TSLA TWTR DIS ABX AMZN NFLX FB SUNE

Stocks with increasing volume @ CBOE: APC HON GE GILD

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently down 91c to 11.52; compared to its 10-day moving average of 10.59. VXST is a market-based gauge of expectations of 9-day volatility stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) down 0.1% to 269.46, compared to its 50-day moving average of 266.55 cboe.com/micro/bxd/

CBOE Volatility Index (VIX) up 41c to 12.24. VIX July 12, 13 and 13.5 calls are active on 594K contracts @ CBOE cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) up 65c to 28.13.

CBOE DJIA Volatility Index (VXD) up 50c to 11.32; compared to its 10-day moving average of 10.82.

CBOE Nasdaq-100 Volatility Index (VXN) up 59c to 13.39; compared to its 50-day moving average of 13.94.

S&P 100 Options (OEX) recently is recently down $2.98 to 874.04 as Fed Chair Yellen concluded her testimony. She stated that equity valuations of smaller firms, as well as social media and biotech stocks “appear to be stretched.” She said that forward PE ratios in these sectors appears “high relative to historical norms.” Analysts didn’t learn anything new on the policy stance, where QE is likely to end with the October FOMC meeting and rate hikes are expected sometime after that.