CBOE Mid-Day Update 7.16.14

Volatility as an asset class

Bank of America (BAC) is recently down 31c to $15.50 Bank after reporting Q2 EPS ex-items 41c, consensus 29c and offered $13B to settle investigation into its mortgage practices. August call option implied volatility of 20, September and October is at 19; compared to its 26-week average of 24.

Charles Schwab (SCHW) is recently down 29c to $27.14 on Q2 profit increasing 27%. August call option implied volatility is at 27, September and December is at 25; compared to its 26-week average of 26.

Time Warner (TWX) is recently up $11.12 to $82.14 after rejecting an $80B offer from 21st Century Fox, (FOXA). August call option implied volatility is at 28, October is at 24, January is at 21; compared to its 26-week average of 22.

Actives at CBOE:  AAPL TSLA C HPQ BAC TWTR AMZN INTC PBR MSFT

Stocks with increasing volume @ CBOE:  TWX FOXA HCA MIC

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently down 84c to 10.24; compared to its 10-day
moving average of 10.57. VXST is a market-based gauge of expectations of 9-day volatility stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) up 0.2% to 270.25, compared to its 50-day moving average of 266.70 cboe.com/micro/bxd/

CBOE Volatility Index (VIX) down 64c to 11.32. VIX July 11, 13, 15, 16 and 20 calls are active on 533K contracts @ CBOE cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) down 55c to 27.40.

CBOE DJIA Volatility Index (VXD) down 63c to 10.53; compared to its 10-day moving average of 10.81.

CBOE Nasdaq-100 Volatility Index (VXN) down 95c to 13.38; compared to its 50-day moving average of 13.87.

S&P 100 Options (OEX) recently is recently up $4.26 to 880.02 on solid earnings reports from a few corporate bellwethers as well as some completed acquisition deals and the rejected Time Warner deal. The market began to lose some steam during the second hour of trading as Fed Chairwoman Yellen began her second day of testimony in Washington on the economy.