CBOE Mid-Day Update 9.19.14

Volatility as an asset class

Yahoo (YHOO) is recently down 95c to $41.18 on Alibaba (BABA) going public in a 320.1M share IPO priced at $68.  BABA is recently trading at $92.64.  September weekly call option implied volatility is at 60, October weekly is at 53, October is at 46,  November is at 40, January is at 34; compared to its 26-week average of 35.

Online Commerce Company’s option implied volatility is mixed to low on the Alibaba IPO.

Facebook (FB) October call option implied volatility is at 26; compared to its 26-week average of 38.

Baidu (BIDU) October call option implied volatility is at 35; compared to its 26-week average of 36.

Google (GOOG) October call option implied volatility is at 22; compared to its 26-week average of 22.

Amazon.com (AMZN) October call option implied volatility is at 25; compared to its 26-week average of 29.

eBay (EBAY) October call option implied volatility is at 30; compared to its 26-week average of 27.

Actives at CBOE: AAPL KO C TWTR TSLA AMZN BIDU YHOO

Stocks with increasing volume @ CBOE: SDRL CNQR PDLI BUD NI BDX NWSA VMC PFE ESI

CBOE DJIA BuyWrite Index (BXD) at 270.88, compared to its 50-day moving average of 268.84 cboe.com/micro/bxd/

CBOE Volatility Index (VIX) up 2.5% to 12.23. Oct 16. 18 and November 20 calls active on 588K cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) up 0.2% to 27.24.

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently down 0.8% to 10.98; compared to its 10-day moving average of 12.57. stks.co/r0CS2

CBOE DJIA Volatility Index (VXD) up 2% to 11.21; compared to its 10-day moving average of 12.11.

CBOE Nasdaq-100 Volatility Index (VXN) up 2.4% to 13.82; compared to its 50-day moving average of 14.08.

S&P 100 Options (OEX) recently is recently up 1.20 to 898.68 as Alibaba rally’s  on record breaking $21.8B IPO.