CBOE Mid-Day Update 8.4.14

Volatility as an asset class

Amgen (AMGN) is recently up $1.41 to $126.95 after the company reported its Phase 3 clinical trial ASPIRE met its primary endpoint of progression-free survival. August weekly call option implied volatility is at 22, September is at 23, October is at 21; compared to its 26-week average of 23.

Michael Kors (KORS) is recently down $6.03 to $75.79 after reporting a Q1 profit and sales increase, however forecast slowing sales and weaker margins.  August call option implied volatility is at 35, September is at 31, November is at 32, January is at 29; compared to its 26-week average of 34.

Disney (DIS) is recently up $1.46 to $86.83 on “Guardians of the Galaxy” from Disney’s Marvel Studios topped weekend movies with ticket sales of $94M, beating forecasts of $72M to $75M.  August weekly call option implied volatility is at 24, September is at 18, January is at 19; compared to its 26-week average of 22.

Actives at CBOE:  AAPL TSLA C NFLX TWTR AMZN LNKD FB YHOO

Stocks with increasing volume @ CBOE:  ESI OCN RIG AIG MTW ABC

CBOE DJIA BuyWrite Index (BXD) down 15c to 263.63, compared to its 50-day moving average of 268.84 cboe.com/micro/bxd/

CBOE Volatility Index (VIX) down 73c to 16.29. VIX August 16, 17 and 20 calls are active on 140K contracts @ CBOE cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) down 1.1% to 32.70.

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently down 11% to 16.92; compared to its 10-day moving average of 13.93. stks.co/r0CS2

CBOE DJIA Volatility Index (VXD) down 3.5% to 15.55; compared to its 10-day moving average of 13.08.

CBOE Nasdaq-100 Volatility Index (VXN) down 2% to 16.92; compared to its 50-day moving average of 13.55.

S&P 100 Options (OEX) recently is recently up $1.30 to 856.72 as investors took advantage of last week’s sell-off.

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