CBOE Mid-Day Update 8.27.14

Volatility as an asset class

Chico’s FAS (CHS) is recently down 57c to 15.45 after the woman’s seasonal merchandise reported a Q2 profit decline of 31% on promotions. September call option implied volatility of is at 27, October is at 26, January is at 27; compared to its 26-week average of 33.

Express (EXPR) is recently up $1.79 to $16.38 after the retailer reported Q2 earnings and guidance come in higher than analysts predicted. September call option implied volatility is at 37, October is at 35, January is at 34; compared to its 26-week average of 44.

August 27Michaels (MIK) is recently up $1.33 to $16.43 after the arts and crafts retailer reported Q2 results above analysts’ consensus estimates. September call option implied volatility is at 38, October is at 33, December is at 32; compared to its eight-week average of 33.

Actives at CBOE:  AAPL TSLA GILD C TWTR NFLX PBR BAC AMZN

Stocks with increasing volume @ CBOE: RSH WFM VALE RIO BKW ARUN SWHC INFN

CBOE DJIA BuyWrite Index (BXD) up 10c to 269.94, compared to its 50-day moving average of 268.04 cboe.com/micro/bxd/

CBOE Volatility Index (VIX) up 13c to 11.76. VIX September 15 and 17 calls are active on 124K contracts @ CBOE cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) up 0.6% to 27.80

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently down 1.4% to 10; compared to its 10-day moving average of 11.20. stks.co/r0CS2

CBOE DJIA Volatility Index (VXD) down 0.74% to 10.65; compared to its 10-day moving average of 11.19.

CBOE Nasdaq-100 Volatility Index (VXN) down 0.2% to 12.32; compared to its 50-day moving average of 13.63.

S&P 100 Options (OEX) recently is recently down 2c to 888.42 on stable international markets.