CBOE Mid-Day Update 8.6.14

Volatility as an asset class

Walgreen (WAG) is recently down $8.54 to $60.58 after exercises option to acquire remaining 55% of Alliance Boots and says it will not pursue inversion as part of deal. August call option implied volatility is at 28, September is at 24, October is at 25, November is at 24; compared to its 26-week average of 28.

Nu Skin (NUS) is recently down $13.95 to $43.97 after the multilevel marketer reported less than expected guidance.  August weekly call option implied volatility is at 97, August is at 65, September is at 58, December is at 50; compared to its 26-week average of 47.

AOL (AOL) is recently up $3.01 to $42.05 after reporting Q2 revenue of $606M, compared to consensus $595M. August call option implied volatility is at 43, September is at 44, October is at 55, January is at 64; compared to its 26-week average of 47.

Actives at CBOE:  AAPL TSLA C NFLX TWTR AMZN DIS FSLR

Stocks with increasing volume @ CBOE: CIE PH HLF NUS WAG ESI HIMX

CBOE DJIA BuyWrite Index (BXD) is recently up 65c to 263.45, compared to its 50-day moving average of 267.96 cboe.com/micro/bxd/

CBOE Volatility Index (VIX) down 84c to 16.03. VIX August 17 and 20 calls are active on 346K contracts @ CBOE cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) down 2.4% to 32.95.

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently down 8.1% to 15.78; compared to its 10-day moving average of 14.79. stks.co/r0CS2

CBOE DJIA Volatility Index (VXD) down 4.3% to 15.06; compared to its 10-day moving average of 13.78.

CBOE Nasdaq-100 Volatility Index (VXN) down 1.1% to 16.84; compared to its 50-day moving average of 13.67.

S&P 100 Options (OEX) recently is recently up $1.42 to 854.66 as European stock markets responded unfavorably to weaker than expected economic data in Italy and Germany, and investors keep an eye on Russia and Israel.