CBOE Mid-Day Update 9.11.14

Volatility as an asset class

Restoration Hardware (RH) is recently down $3.67 to $78.42 after the high end home retailer reported less than expected Q2 revenue. September call option implied volatility is at 39, October is at 34, November is at 35; compared to its 26-week average of 48.

_DSC0115Five Below (FIVE) is recently down 22c to $42.13 after the discount retailer reported Q2 profit more than doubled. September call option implied volatility is at 39, October is at 35, November is at 34, February is at 35; compared to its 26-week average of 44.

Teucrium Corn Fund (CORN) is recently down 48c to $24 as corn trades at four-year low after the USDA raises U.S. corn yield forecast to record. Overall option implied volatility of 27 is near its 26-week average of 26.

VIX methodology for Apple (VXAPL) up 2.5% 25.77, below its 10-day moving average of 27.95. CBOE.com/VXAPL

VIX methodology for iShares MSCI Brazil Index Fund (VXEWZ) up 0.8% to 32.74, 50-day moving average of 26.29.

Actives at CBOE:  AAPL TWTR TSLA OREX BAC AMZN RSH NFLX C FB

Stocks with increasing volume @ CBOE: FEYE GPRO ADSK ORCL S JCP BBRY

CBOE DJIA BuyWrite Index (BXD) up 1c to 270.43, compared to its 50-day moving average of 268.63 cboe.com/micro/bxd/

CBOE Volatility Index (VIX) up 15c to 13.03. VIX September 13, 16 and October 18, 20, 25 calls are active on 218K contracts @ CBOE cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) up 0.9% to 28.31

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently up 1.6% to 12.92; compared to its 10-day moving average of 11.46. stks.co/r0CS2

CBOE DJIA Volatility Index (VXD) up 1.7% to 12.53; compared to its 10-day moving average of 11.88.

CBOE Nasdaq-100 Volatility Index (VXN) up 2.5% to 14.48; compared to its 50-day moving average of 13.88.

S&P 100 Options (OEX) recently is recently up 1.60 to 885.12 on a mixed Initial jobless claims report.