CBOE Mid-Day Update 8.20.14

Volatility as an asset class

International Rectifier (IRF) is recently up $12.60 to $39.15 on Infineon Technologies (IFNNY) acquiring for $40 per share in an all-cash transaction valued at approximately $3B. September and October option implied volatility of 17 is below its 26-week average of 34.

Staples (SPLS) is recently down 34c to $11.28 after the office product retailer reported Q2 profit and sales decreased and plans to close underperforming stores. September call option implied volatility is at 23, December is at 26.

Apple (AAPL) is recently up 26c to $100.78. August weekly 100 and 101 calls are active on total volume of 599K contracts at the CBOE. AAPL 8/27/14 call option implied volatility is at cboe18, September and October is at 23; compared to its 26-week average of 25.

VIX methodology for Apple (VXAPL) up 0.6% to 25.26; compared to its 50-day moving average of 25.03.

Actives at CBOE:  AAPL HTZ PBR GILD TSLA TWTR NFLX AMZN

Stocks with increasing volume @ CBOE: IFNNY IRF FL SHLD GPS CRM INTU

CBOE DJIA BuyWrite Index (BXD) up 12c to 268.95, compared to its 50-day moving average of 267.84 cboe.com/micro/bxd/

CBOE Volatility Index (VIX) down 16c to 12.05. VIX August 14, 15, 17, 20, 22 and 30 calls are active on 444K contracts @ CBOE cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) up 2% to 28.04

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently down 0.3% to 10.97; compared to its 10-day moving average of 13.47. stks.co/r0CS2

CBOE DJIA Volatility Index (VXD) up 0.7% to 11.28; compared to its 10-day moving average of 12.85.

CBOE Nasdaq-100 Volatility Index (VXN) up 0.7% to 12.75; compared to its 50-day moving average of 13.76.

S&P 100 Options (OEX) recently is recently up 58c to 880.28 in the release of FOMC minutes.