CBOE Mid-Day Volatility 9.23.14

Volatility as an asset class

Carmax (KMX) is recently down $4.97 to $47.84 after posting sluggish Q2 used unit sales in comparable stores. October call option implied volatility is at 24, January is at 23, April is at 24; compared to its 26-week average of 27.

Salix (SLXP) is recently up $8.62 to $168.45 after The Wall Street Journal reported that Allergan _MG_0821(AGN) is in advanced talks on a deal to buy the company. October call option implied volatility is at 61, November is at 51, January is at 42; compared to its 26-week average of 45.

Actives at CBOE:  AAPL YHOO TSLA TWTR PBR NFLX BAC AMZN

Stocks with increasing volume @ CBOE: HIL GFI NYCB KMX PSDV SLXP DSX CBL URA

CBOE Volatility Index (VIX) up 2.8% to 14.07. Oct 19 and 20 calls active on 161K cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) up 2.1% to 28.76.

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently up 4.4% to 14.04; compared to its 10-day moving average of 12.73. stks.co/r0CS2

CBOE DJIA Volatility Index (VXD) up 4.1% to 12.57; compared to its 10-day moving average of 12.12.

CBOE Nasdaq-100 Volatility Index (VXN) up 1.7% to 15.78; compared to its 50-day moving average of 14.16.

CBOE DJIA BuyWrite Index (BXD) down 49c to 268.90 compared to its 50-day moving average of 268.82
cboe.com/micro/bxd/

S&P 100 Options (OEX) recently is recently down 1.12 to 889.94 on Euro zone growth slowing.