CBOE Mid-Day Update 9.18.14

Volatility as an asset class

Yahoo (YHOO) is recently down 54c to $42.05 into the expected IPO of Alibaba (BABA).  September call option implied volatility is at 98, September weekly is at 77, October weekly is at 63, October is at 50,  November is at 46, January is at 37; compared to its 26-week average of 35.

CBOE & C2 plan to list Alibaba (BABA) options on Monday, September 29.

Technology based financial service company’s option implied volatility is low as shares trend higher

TD Ameritrade (AMTD) is recently up 62c to $34.48. October call option implied volatility is at 17, November and January is 18; compared to its 26-week average of 24.

E-Trade (ETFC) is recently up 64c to $24.51. October call option implied volatility is at 30, January is at 27; compared to its 26-week average of 34.

Interactive Brokers (IBKR) is recently up 57c to $26.50. October call option implied volatility is at 27, December is at 22; compared to its 26-week average of 26.

Charles Schwab (SCHW) is recently up 56c to $30.76. October call option implied volatility is at 24, December is at 23; compared to its 26-week average of 25.

CBOE VIX methodology for Market Vectors Gold Miners Fund (VXGDX) is recently down 1.5% to 27.95, compared to its 50-day moving average of 27.38 as gold trades near a 4-year low.

VIX methodology for Apple (VXAPL) is down 1.6% to 23.28, below its 50-day moving average of 26.31. cboe.com/VXAPL

Actives at CBOE:  AAPL PBR C TWTR TSLA AMZN NFLX LVS BIDU YHOO

Stocks with increasing volume @ CBOE: RAD EDMC ORLY DEO PIR UNFI INFA ETP FXP SCOK PWE VHC

CBOE DJIA BuyWrite Index (BXD) up 12c to 270.91, compared to its 50-day moving average of 268.84 cboe.com/micro/bxd/

CBOE Volatility Index (VIX) down 4.9% to 12.03. Oct 18 and 21 calls active on 203K cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) down 1.1% to 27.33.

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently down 5.1% to 11.21; compared to its 10-day moving average of 12.62. stks.co/r0CS2

CBOE DJIA Volatility Index (VXD) down 6.5% to 11.01; compared to its 10-day moving average of 12.14.

CBOE Nasdaq-100 Volatility Index (VXN) down 1.9% to 13.58; compared to its 50-day moving average of 14.09.

S&P 100 Options (OEX) recently is recently up 4.14 to 895.82 after jobless claims data.