CBOE Mid-Day Update 8.22.14

Volatility as an asset class

Green Mountain Coffee (GMCR) is recently up $16.58 to 134.34 on a Kraft Foods (KRFT) licensing agreement.  September call option implied volatility is at 32, December is at 35; compared to its 26-week average of 48.

Foot Locker (FL) is recently up $1.58 to $54.15 on Q2 profit increasing 39%.  September call option implied volatility is at 16, October is at 18 and January is at 19; compared to its 26-week average of 26.

Ross Stores (ROST) is recently up $4.93 to $74.18 after the off price retailer announced better than expected results and outlook. September call option implied volatility is at 20, November 18, January is at 16; compared to its 26-week average of 21.

Actives at CBOE:  AAPL GILD CRM  ABC TSLA TWTR NFLX PBR AMZN

Stocks with increasing volume @ CBOE: TIF ANF

CBOE DJIA BuyWrite Index (BXD) up 3c to 269.44, compared to its 50-day moving average of 267.92 cboe.com/micro/bxd/

CBOE Volatility Index (VIX) up 30c to 12.06. VIX September 17 and 29 calls are active on 126K contracts @ CBOE cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) up 0.5% to 27.94

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently up 48c to 11.42; compared to its 10-day moving average of 14. stks.co/r0CS2

CBOE DJIA Volatility Index (VXD) up 2.6% to 11.01; compared to its 10-day moving average of 11.01.

S&P 100 Options (OEX) recently is recently down $1.22 to 883.52 Fed Chair Yellen’s speech was fairly neutral and very “two-handed”.