CBOE Mid-Day Update 7.25.14

Volatility as an asset class

Baidu (BIDU) is recently up $18.26 to $222.46 after reporting better than expected Q2 results and mobile revenue reached 30% of overall revenue. August and September call option implied volatility is at 28, December is at 31; compared to its 26-week average of 42.

Xerox (XRX) is recently up 35c to $13.19 on adjusted Q3 EPS of 27c. August call option implied volatility is at 21, September is at 20, January is at 22; compared to its 26-week average of 27.

Pandora (P) is recently down $3.89 to $24.83 after the internet radio provider reported a wider than expected loss and less than expected guidance. August weekly call option implied volatility is at 58, August is at 53, September is at 50, January is at 51; compared to its 26-week average of 55.

VIX methodology for Amazon (VXAZN) down 23% to 28.58, below 50-day MA 31.22 into the release of Q2.

Actives at CBOE:  AAPL FB GILD MMM BIDU TSLA NFLX TWTR GILD AMZN BIDU P TSLA MNKD FB NFLX TWTR GILD

Stocks with increasing volume @ CBOE:  LSCC NU DEO MXIM SWFT INFA CERN VRS ABC

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently up 73c to 11.64; compared to its 10-day moving average of 11.80. VXST is a market-based gauge of expectations of 9-day volatility stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) down $1.21 270.18, compared to its 50-day moving average of 267.72 cboe.com/micro/bxd/

CBOE Volatility Index (VIX) up 42c to 12.26. VIX August 15 and 16 calls are active on 175K contracts @ CBOE cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) up 79c to 28.78.

CBOE DJIA Volatility Index (VXD) up 44c to 11.83; compared to its 10-day moving average of 11.51.

CBOE Nasdaq-100 Volatility Index (VXN) up 32c to 13.40; compared to its 50-day moving average of 13.50.

S&P 100 Options (OEX) recently is recently down $4.84 to $879.58 as U.S. stocks tracked Europe where equities traded lower.