CBOE Mid-Day Update 9.5.14

Volatility as an asset class

TASER (TASR) is recently up 62c to $18.17 after New York City Police Department Commissioner William Bratton yesterday announced that the department would begin testing two types of body cameras that will allow police officers to record audio and video during their interactions with the public. The two devices that will be used during the pilot program are the Axon Flex, made by TASER (TASR) and the LE3 made by Vievu, the department stated. September call option implied volatility is at 49, October is at 50, December is at 49; compared its 26-week average of 50.

Avago (AVGO) is recently up $1.32 to $87.41 after Citigroup wrote that the dollar value of the company’s content in each iPhone is likely to double in the upcoming version of the device, compared with the current version. Overall option implied volatility of 27 is below its 26-week average of 31.

Gilead Sciences (GILD) is recently down $3.90 to $103 following reports about the company nearing a deal to offer its Sovaldi hepatitis C drug at a lower cost in poorer countries. September call option implied volatility is at 41, October and November is at 40; compared to its 26-week average of 33.


Stocks with increasing volume @ CBOE: VALE MCP KORS WAG GM PCLN

CBOE DJIA BuyWrite Index (BXD) up 15c to 270.21, compared to its 50-day moving average of 268.37 cboe.com/micro/bxd/

CBOE Volatility Index (VIX) down 18c to 12.46. VIX September 15 and 17 calls are active on 202K contracts @ CBOE cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) down 1.1% to 27.68

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently down 6.7% to 11.01; compared to its 10-day moving average of 10.48. stks.co/r0CS2

CBOE DJIA Volatility Index (VXD) up 1.2% to 11.90; compared to its 10-day moving average of 11.28.

CBOE Nasdaq-100 Volatility Index (VXN) down 0.1% to 13.77; compared to its 50-day moving average of 13.73.

S&P 100 Options (OEX) recently is recently up 98c to 887.14 as Ukrainian peace talks began as fighting continues.