CBOE Mid-Day Update 9.9.14

Volatility as an asset class

Apple (AAPL) is recently up $1.22 to $99.64 into its much-anticipated product launch event. September weekly call option implied volatility is at 56, September is at 35, October is at 31, December is at 25, January is at 24; compared to its 26-week average of 25.

VIX methodology for Apple (VXAPL) is down 3.6% to 29.22, above its 10-day moving average of 28.07 into a company sponsored September 9th event. CBOE.com/VXAPL

Yahoo (YHOO) is recently down 72c to $41.08 on the second day of the Alibaba roadshow.  Yahoo September weekly call option implied volatility is at 42, September is at 54, October is at 56, November is at 46, January is at 39; compared to its 26-week average of 34.

McDonald’s (MCD) is recently down 85c to $91.64 after reporting its comparable sales were down 3.7% worldwide in August and that its China supplier issue will negatively impact its Q3 EPS by 15c-20c. September call option implied volatility is at 13, October is at 12, November and January is at 13; compared to its 26-week average of 14.

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

Stocks with increasing volume @ CBOE: LNG VNET GTAT EMC WMB UAL MU

CBOE DJIA BuyWrite Index (BXD) down 8c to 270.30, compared to its 50-day moving average of 268.52 cboe.com/micro/bxd/

CBOE Volatility Index (VIX) up 37c to 13.03. VIX September 13, 14 and 15 calls are active on 257K contracts @ CBOE cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) up 1.1% to 27.81

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently up 5% to 12.65; compared to its 10-day moving average of 10.82. stks.co/r0CS2

CBOE DJIA Volatility Index (VXD) up 3.7% to 12.33; compared to its 10-day moving average of 11.51.

CBOE Nasdaq-100 Volatility Index (VXN) up 0.9% to 13.78; compared to its 50-day moving average of 13.78.

S&P 100 Options (OEX) recently is recently down 1.84 to 885.94 into Apple will