CBOE Mid-Day Update 10.28.14

Volatility as an asset class

The Medicines Company (MDCO) is recently up $2.94 to $25.13 after announcing the results of the pivotal Phase III clinical trial of the investigational hemostatic agent RAPLIXA, formerly known as Fibrocaps. November call option implied volatility is at 53, December is at 46, January is at 41; compared to its 26-week average of 45.

Cliffs Natural (CLF) is recently up $1.58 to $10.88 on Q3 results and said that it is looking for partners for phase 2 of its Bloom Lake mining project.  October weekly call option implied volatility is at 125, November is at 87, December is at 79, January is at 76; compared to its 26-week average of 50.

Corning (GLW) is recently up 55c to $19.39 on the company sees year-over-year sales, earnings growth in Q4.  November call option implied volatility is at 21, December is at 18, January is at 23; compared to its 26-week average of 24,

VIX methodology for Amazon (VXAZN) is recently down 4.6% to 27.32. cboe.com/VXAZN

Actives at CBOE:  AAPL PBR TSLA AMZN TWTR GILD MRK

Stocks with increasing volume @ CBOE:  CLF AMD MRK IDCC CMCSA NQ MDCO ALR VECO CHRW

CBOE Volatility Index (VIX) is recently down 39c to 15.65; November 23, 24 & 25 calls active on 335K cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures ETN (VXX) is recently down 99c to 31.68

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently down 22c to 15.89; compared to its 10-day moving average of 20.24. stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) is recently up 39c to 261.26 compared to its 50-day moving average of 265.73 cboe.com/micro/bxd/

S&P 100 Options (OEX) recently is recently up 4.78 to 877.02 as investors react to better than expected corporate earnings.