CBOE Mid-Day Update 10.7.14

Volatility as an asset class

General Motors (GM) is recently down $1.59 to $32.16 after recalling 46,873 vehicles from 2008-2013. October weekly call option implied volatility is at 22, October is at 26, November is at 26, December is at 25; compared to its 26-week average of 27.

Amazon.com (AMZN) is recently $1.59 to $320.61 as The European Commission has opened an in-depth investigation to examine whether the decision by Luxembourg’s tax authorities with regard to the corporate income tax to be paid by Amazon in Luxembourg comply with the EU rules on state aid.  October weekly call option implied volatility is at 31, October is at 25, November is at 36, December is at 30, January is at 28; compared to its 26-week average of 27.

VIX methodology for Amazon (VXAZN) up 2.7% to at 35.16, above its 50-day moving average of 27.79. cboe.com/VXAZN

CalAmp (CAMP) is recently up $3.84 to $20.36 after the developer and marketer of wireless technology solutions that deliver data indicates revenue and earnings growth declines have bottomed. October call option implied volatility is at 52, November is at 49, December is at 50; compared to its 26-week average of 54.

Actives at CBOE:  AAPL TWTR TSLA NFLX PBR BAC HTZ AA KO MT AMZN

Stocks with increasing volume @ CBOE: IDTI SDT CAKE AGCO SQNM TCS AWI XPO CAMP AVP

CBOE Volatility Index (VIX) is recently up 62c to 16.08. Oct 16, 17, 20 and 25 calls active on 341K cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures ETN (VXX) is recently up 90c to 30.98.

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently up 77c to 16.08; compared to its 10-day moving average of 15.46. stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) down 1.68 to 264.84 compared to its 50-day moving average of 267.88 cboe.com/micro/bxd/

S&P 100 Options (OEX) recently is recently down $4.84 to 873.26 on slower European economic growth forecasts.