CBOE Mid-Day Update 7.31.14

Volatility as an asset class

Yum! Brands (YUM) is recently down $4.05 to $68.95 after the company disclosed a “significant negative impact to same store sales” in China due to the latest China food supplier issue. August call option implied volatility is at 22, September and January is at 19; compared to its 26-week average of 21.

L-3 Communications (LLL) is recently down $18.35 to $101.17 following the announcement of the Aerospace segment internal accounting review and the $84M pre-tax charge. August call option implied volatility is at 33, October and January is at 23; compared to its 26-week average of 19.

T-Mobile (TMUS) is recently up $2.08 to $33.05 after France’s Iliad (ILIAF) confirmed interest in T-Mobile. August call option implied volatility is at 29, September is at 33, November is at 27; compared to its 26-week average of 35.

Actives at CBOE:  AAPL TSLA GILD C WFM NFLX RFMD TWTR AMZN

Stocks with increasing volume @ CBOE:  TMUS S TSLA MU GPRO EXPE HIMX

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently up $4.46 to 17.75; compared to its 10-day moving average of 12.66. VXST is a market-based gauge of expectations of 9-day volatility stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) down 2.96 to 266.51, compared to its 50-day moving average of 268.13 cboe.com/micro/bxd/

CBOE Volatility Index (VIX) up 2.70 to 16.03. VIX August 13, 16, 17, 18 and 20 calls are active on 721K contracts @ CBOE cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) up 6.6% to 31.

CBOE DJIA Volatility Index (VXD) up 2.33 to 15.03; compared to its 10-day moving average of 12.20.

CBOE Nasdaq-100 Volatility Index (VXN) up 2.54 to 16.47; compared to its 50-day moving average of 13.43.

S&P 100 Options (OEX) recently is recently down $12.42 to 864.50 following the lead of international markets that were also lower overnight after Argentina defaulted on its debt.