CBOE Mid-Date 9.24.14

Volatility as an asset class

Accenture (ACN) is recently down 66c to $78.93 on Q4 profit rising 4.5%. September weekly call option implied volatility is at 22, October weekly is at 16, November is at 13, January is at 15; compared to its 26-week average of 20.

KB Homes (KBH) is recently down $1.10 to $15.87 after Q3 results missed expectations. October call option implied volatility is at 31, November is at 29, January is at 29, April is at 28; compared to its 26-week average of 33.

Royal Bank of Scotland (RBS) is recently up 13c to $11.82 after its subsidiary Citizens Financial (CFG) priced 140M shares at $21.50. CFG is recently trading at $22.55.  RBS overall option implied volatility of 30 is at its 26-week average.

Actives at CBOE:  AAPL SUNE TWTR YHOO TSLA WLT C NFLX CVX

Stocks with increasing volume @ CBOE: IPXL AMLP MVIS AL NBIX VNQ NTKR TER WPZ EV

CBOE Volatility Index (VIX) down 6.4% to 13.97. Oct 15, 17 and 21 calls active on 325K cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures (VXX) down 1.7% to 28.73.

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently down 11.6% to 13.79; compared to its 10-day moving average of 12.99. stks.co/r0CS2

CBOE DJIA Volatility Index (VXD) down 7.1% to 12.44; compared to its 10-day moving average of 12.21.

CBOE Nasdaq-100 Volatility Index (VXN) down 5.3% to 15.59; compared to its 50-day moving average of 14.20.

CBOE DJIA BuyWrite Index (BXD) up 1.20 to 268.08 compared to its 50-day moving average of 268.77 cboe.com/micro/bxd/

S&P 100 Options (OEX) recently is recently up 3.32 to 889.64 as new-home sales rose to a six-year high.