CBOE Mid-Day Update 8.13.14

Volatility as an asset class

Amazon.com (AMZN) is recently up $10.26 to $329.50 on Channel Advisor reported Amazon’s July same-store-sales came in at 40.4%, an increase compared to June’s 34.4%. Amazon has increased its year-over-year growth rate every month so far in 2014, which Channel Advisor called a “very impressive performance.”  August call option implied volatility is at 24, September is at 23, October is at 24; compared to its 26-week average of 29.

Deere (DE) is recently down 94c to $85.58 on the heavy machinery company seeing FY14 earnings to be somewhat lower than in 2013, August call option implied volatility is at 19, September and December is at 16; compare to its 26-week average of 18.

Macy’s (M) is recently down $3.38 to $56.38 after the department store operator’s Q2 sales and profits missed expectations. Macy’s also lowered its fiscal year same-store sales growth forecast to 1.5%-2% from its previous 2.5%-3% view.  August call option implied volatility is at 25, September is at 19, January is at 22; compare to its 26-week average of 24.

Actives at CBOE:  AAPL TSLA TWTR PBR AMAT NFLX AMZN

Stocks with increasing volume @ CBOE: KMI NQ CPWR SEAS KATE

CBOE DJIA BuyWrite Index (BXD) is recently up 1.56 to 266.79, compared to its 50-day moving average of 267.77 cboe.com/micro/bxd/

CBOE Volatility Index (VIX) is recently down 92c to 13.21. VIX August 14, 15, 16, 17 and 23 calls are active on 375K contracts @ CBOE cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) down 1.39 to 30.27.

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently down 11.5% to 12.82; compared to its 10-day moving average of 16.12. stks.co/r0CS2

CBOE DJIA Volatility Index (VXD) down 8% to 12.43; compared to its 10-day moving average of 14.73.

CBOE Nasdaq-100 Volatility Index (VXN) down 5.6% to 14.28; compared to its 50-day moving average of 13.85.

S&P 100 Options (OEX) recently is recently up $5.24 to 864.50  despite disappointing U.S. retail sales and weaker than expected data