CBOE Mid-Day Update 7.29.14

Volatility as an asset class

Merck (MRK) is recently up $1.19 to $59.15 on Q2 sales and profits that beat expectations.  August call option implied volatility is at 15, September is at 14, January is at 15; compared to its 26-week average of 18.

Pfizer (PFE) is recently down 10c to $30 after backing its fiscal year adjusted EPS view but lowered its adjusted revenue view for the year. August call option implied volatility is at 17, September is at 16, October and December is at 15; compared to its 26-week average of 18.

Men’s Wearhouse (MW) is recently down $3.09 to $54.25 after the company gave long-term guidance during its analyst day meeting. August call option implied volatility of 29, September is at 33, November is at 28; compared to its 26-week average of 37.

Actives at CBOE:  AAPL TWTR AMZN NFLX FB GILD VZ C

Stocks with increasing volume @ CBOE:  WYNN RPRX EWH CVC EXAS TQNT VMC TEF OTEX FTR GALT

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently down 3c to 11.99; compared to its 10-day moving average of 12.05. VXST is a market-based gauge of expectations of 9-day volatility stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) up 36c to 271.05, compared to its 50-day moving average of 260 cboe.com/micro/bxd/

CBOE Volatility Index (VIX) down 10c to 12.46. VIX August 16 and 21 calls are active on 81K contracts @ CBOE cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) down 31c to 28.33.

CBOE DJIA Volatility Index (VXD) down 8c to 11.93; compared to its 10-day moving average of 11.73.

CBOE Nasdaq-100 Volatility Index (VXN) up 4c to 14.14; compared to its 50-day moving average of 13.43.

S&P 100 Options (OEX) recently is recently up 84c to $881.06 following a much better than expected consumer confidence reading and better than expected earnings from two pharmaceutical giants.