CBOE Mid-Day Update 11.3.14

Volatility as an asset class

American Realty Capital Properties (ARCP) is recently down 58c to $8.28 after RCS Capital (RCAP) terminated its agreement to acquire Cole Capital Partners and Cole Capital Advisors from the company. November call option implied volatility is at 79, December is at 76, January is at 72; compared to its 26-week average of 24.

Hilton (HLT) is recently up 1c to $25.25 after commencing 90M share offering for Blackstone (BX). November call option implied volatility is at 31, December is at 30, January is at 29; compared to its 26-week average of 25.

Geron (GERN) is recently up 68c to $2.91 after announcing removal of full clinical hold on Imetelstat IND. November call option implied volatility is at 105, December is at 113, January is a 106; compared to its 26-week average of 93.

Alibaba (BABA) November weekly 102 straddle priced for 7% move into Q3

Actives at CBOE:  AAPL C PBR TSLA AMZN GILD NFLX FB TWTR

Stocks with increasing volume @ CBOE:  ARCP KORS PCLN GERN SAPE DOV LH ARCP NOR GGB GRA TPH NBS BABA

CBOE Volatility Index (VIX) is recently up 4.8% to 14.70; November 17 and 20 calls active on 149K cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures ETN (VXX) is recently up 13c to 30.44.

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently up 87c to 14.67; compared to its 10-day moving average of 15.34 stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) is recently down 19c to 262.49 compared to its 50-day moving average of 265.19 cboe.com/micro/bxd/

S&P 100 Options (OEX) recently is recently up 16c to 895.92 following last week’s sharp rally.