CBOE Mid-Day Update 9.10.14

Volatility as an asset class

Bank of America (BAC) is recently up 8c to $16.22 on seeing reducing branches to 5,000 by end of year. September and October call option implied volatility is at 19, December is at 20; compared to its 26-week average of 23.

eBay (EBAY) is recently down $1.62 to $51.11 in the premarket after being downgraded to Neutral from Overweight at Piper Jaffray on  Apple’s (AAPL) new payment system is likely to disrupt the mobile payments market.  September and October call option implied volatility is at 25, November is at 23, January is at 22; compared to its 26-week average of 26.

Twitter (TWTR) is recently up $1.79 to $52.40 on UBS upgrade to Buy from Neutral after its advertising channel checks indicated the company is seeing positive momentum with objective-based campaigns. September weekly call option implied volatility is at 47, September is at 39, October is at 40, November is at 50; compared to its 26-week average of 53.

VIX methodology for Apple (VXAPL) down 6.3% 25.53, below its 10-day moving average of 27.97. CBOE.com/VXAPL

VIX methodology for iShares MSCI Brazil Index Fund (VXEWZ) up 0.6% to 32.38, 50-day moving average of 26.12.

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

Stocks with increasing volume @ CBOE: HTZ MTG GTAT AU PANW VNET GPOT MOBL POT

CBOE DJIA BuyWrite Index (BXD) up 14c to 270.24, compared to its 50-day moving average of 268.58 cboe.com/micro/bxd/

CBOE Volatility Index (VIX) down 1c to 13.49. VIX September 14, 15 and 18 calls are active on 387K contracts @ CBOE cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) up 0.1% to 28.25

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently up 1.4% to 13.52; compared to its 10-day moving average of 11.23. stks.co/r0CS2

CBOE DJIA Volatility Index (VXD) up 0.5% to 12.67; compared to its 10-day moving average of 11.73.

CBOE Nasdaq-100 Volatility Index (VXN) down 1.1% to 14.73; compared to its 50-day moving average of 13.84.

S&P 100 Options (OEX) recently is recently up 2.83 to 884.70 as bond rates trend higher.