CBOE Mid-Day Update 8.21.14

Volatility as an asset class

Bank of America (BAC) is recently up 39c to $15.91 on paying a $16.65B settlement with DOJ. August 8/27/14 call option implied volatility of 21, September is at 16, October is at 15; compared to its 26-week average of 23.

Auxilium (AUXL) is recently up 63c to $18.40 after announces positive data from Phase 2a study of CCH with cellulite. September call option implied volatility is at 31, December 36; compared to its 26-week average of 44.

Dollar Tree (DLTR) is recently down 79c to $54.27 on lowering FY14 EPS guidance. September call option implied volatility is at 21, January is at 20; compared to its 26-week average of 20.

Active calls at CBOE; AAPL 8/22/14 100 & 100, C Jan 55, HPQ 8/29/14 36

Active puts at CBOE; AAPL 8/22/14 100, RIG Jan 30 & 35, HTZ Jan 27, ABX Sep 18

Actives at CBOE:  AAPL HPQ HTZ TSLA BAC NFLX RIG C

Stocks with increasing volume @ CBOE: RIG CRM MRVL

CBOE DJIA BuyWrite Index (BXD) up 23c to 269.38, compared to its 50-day moving average of 267.88 cboe.com/micro/bxd/

CBOE Volatility Index (VIX) up 6c to 11.84. VIX August 14 and 15 calls are active on 39K contracts @ CBOE cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) up 1.1% to 28.01

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently up 3.1% to 11.17; compared to its 10-day moving average of 12.90. stks.co/r0CS2

CBOE DJIA Volatility Index (VXD) down 1.3% to 10.84; compared to its 10-day moving average of 12.34.

CBOE Nasdaq-100 Volatility Index (VXN) up 1.3% to 12.82; compared to its 50-day moving average of 13.75.

S&P 100 Options (OEX) recently is recently up $1.34 to 882.76 following solid corporate results and economic data.