CBOE Mid-Day Update 10.21.14

Volatility as an asset class

Coca-Cola (KO) is recently down $2.53 to $40.76 following earnings that were in line with expectations, but guidance that disappointed. October weekly call option implied volatility is at 27, November is at 16, January is at 14; compared to its 26-week average of 17.

Harley-Davidson (HOG) is recently up $3.59 to $61.59 after the company reported better than expected Q3 earnings per share. November call option implied volatility is at 27, December is at 24, January is at 23, February is at 24; compared to its 26-week average of 22.

United Technologies (UTX) is recently up $1.72 to $103.21 after UTC Chairman and CEO Louis Chenevert said, “With double-digit earnings and 4% organic sales growth through the first three quarters, UTC remains on track to deliver on our expectations for the year. Our solid backlog and organic growth trends continue to give us confidence in our earnings per share range of $6.75 to $6.85, on sales of about $65B.” November call option implied volatility is at 18, December is at 17, January is at 16, February is at 17; compared to its 26-week average of 17.

VIX methodology for Apple (VXAPL) -20.6% to 23.56, below its 10-day moving average of 30.78. cboe.com/VXAPL

Actives at CBOE:  AAPL PBR KO C GILD DOW EBAY TWTR SHLD NFLX TSLA

Stocks with increasing volume @ CBOE: High option volume stocks: NQ JCP IP DAL CSCO CMG

CBOE Volatility Index (VIX) is recently down $2.05 to 16.52; Oct 16, 17, 18 & 20 calls active on 654K cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures ETN (VXX) is recently down 2.18 to 33.42

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently down 1.88 to 17.57; compared to its 10-day moving average of 23.24. stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) at 259.23 compared to its 50-day moving average of 266.40 cboe.com/micro/bxd/

S&P 100 Options (OEX) recently is recently up 11.60 to 859.28 as earnings season is producing better than expected earnings.