CBOE Mid-Day Update 10.8.14

Volatility as an asset class

Sears Holdings (SHLD) is recently down $4.40 to $25.90 after Bloomberg says vendor to halt shipments. October weekly call option implied volatility is at 170, October is at 107, November is at 94,  December is at 84, March is at 76; compared to its 26-week average of 54.

J.C. Penney (JCP) is recently down 95c to $8.28 on the retailer revising Q3 sales guidance to reflect softer selling than expected during the month of September due to lower levels of clearance compared to last year and the continued difficult retail environment. October weekly call option implied volatility is at 105, October is at 74, November is at 65, January is at 57, February is at 54; compared to its 26-week average of 54.

Chimerix (CMRX) is recently down $2.92 to $30.41 after the Texas Health Presbyterian Hospital Dallas announced that Thomas Eric Duncan succumbed to Ebola. Duncan was being treated with Chimerix’s experimental drug Brincidofovir. October call option implied volatility is at 137, November is at 109, February is at 83; compared to its 3-week average of 78.

CBOE Crude Volatility Index (OVX) is recently up 5.7% to 26.53; WTI Crude future oil down 1.90% to $87.16.

Actives at CBOE:  AAPL TWTR TSLA NFLX PBR AMZN CLF AA BAC

Stocks with increasing volume @ CBOE: TKMR AMD MCP DOW SHLD JCP TSLA CNX CY FRAN CLNY

CBOE Volatility Index (VIX) is recently down 23c to 16.97. Oct 15, 16, 17, 18, 20 and 22 calls active on 355K cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures ETN (VXX) is recently down 88c to 31.40.

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently down 12c to 16.78; compared to its 10-day moving average of 15.93. stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) up 78c to 262.98 compared to its 50-day moving average of 267.60 cboe.com/micro/bxd/

S&P 100 Options (OEX) recently is recently up $1.36 to 866.04 as energy prices decline.