CBOE Mid-Day Update 9.2.14

Volatility as an asset class

Norwegian Cruise Line (NCLH) is recently up $3.88 to $37.19 after agreeing to acquire upscale peer Prestige Cruises for $3B. September call option implied volatility is at 28, October and December is at 23; compared to its 26-week average of 27.

Under Armour (UA) is recently up $2.02 to $70.39 after ESPN.com reported the athletic apparel company signed Gisele Bundchen as part of new campaign. September and October call option implied volatility is at 28, January is at 30; compared to its 26-week average of 32.

Tesla Motors (TSLA) is recently up $13.48 to $283.13 after hitting a 52-week high following Stifle’s upgrade to Buy from Hold. September weekly call option implied volatility is at 40, September is at 33, December is at 37; compared to its 26-week average of 48.

Actives at CBOE:  AAPL TSLA PBR GILD RSH BIDU DOW LVS TWTR

Stocks with increasing volume @ CBOE: HRB NVS SEE CSLT JIVE NRF CCK RBS CONN NVO

CBOE DJIA BuyWrite Index (BXD) up 8c to 270.66, compared to its 50-day moving average of 268.17 cboe.com/micro/bxd/

CBOE Volatility Index (VIX) up 50c to 12.48. VIX September 13, 14, 15 and 25 calls are active on 224K contracts @ CBOE cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) up 0.5% to 28.25

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently up 8% to 10.80; compared to its 10-day moving average of 10.44. stks.co/r0CS2

CBOE DJIA Volatility Index (VXD) up 4.2% to 11.85; compared to its 10-day moving average of 11.01.

CBOE Nasdaq-100 Volatility Index (VXN) up 3.9% to 13.20; compared to its 50-day moving average of 13.66.

S&P 100 Options (OEX) recently is recently down 2.38 to 886.70 following Markit’s final manufacturing PMI for August dipped slightly from the flash print of 58.0 to 57.9, but that was up from July’s 55.8 reading.