CBOE Mid-Day Update 11.5.14

Volatility as an asset class

Nu Skin Enterprises (NUS) is recently down $7.03 to $42.53 after the nutrition company announced a less than expected Q4 outlook. November weekly call option implied volatility is at 100, November is at 55, December is at 63, January is at 50, March is at 54; compared to its 26-week average of 35.

Time Warner (TWX) is recently up $2.15 to $77.12 after reporting Q3 revenue $6.24B, compared to consensus $6.16B and reported Turner and Home Box Office both grew subscription revenues 10%. November weekly call option implied volatility is at 38, November is at 24, December is at 22, January is at 23; compared to its 26-week average of 24.

Mondelez (MDLZ) is recently $2.10 to $37.13 on seeing FY14 adjusted operating income growth of approximately 10% and FY14 adjusted operating income margin of approximately 13%.  November call option implied volatility is at 23, December is at 19, January is at 18; compared to its 26-week average of 20.

Options with increasing volume at CBOE: JNS INFN SAFM THC GREK AVG OAS PBPB BRKR RCAP ZAGG BSFT

CBOE Volatility Index-VIX methodology for Energy Select Sector SPDR (VXXLE) down 3.7% to 26.72, WTI below $77 www.cboe.com/micro/VIXETF/VXXLE/

VIX methodology for iShares Silver Trust (VXSLV) +9% to $39.56; SLV -3.1%

CBOE Volatility Index (VIX) is recently down 2.1% to 14.58; November 23 calls and November 14 puts active on 80K cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures ETN (VXX) is recently down 21c to 30.40.

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently down 77c to 14.04; compared to its 10-day moving average of 14.76 stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) is recently up 1c to 262.62 compared to its 50-day moving average of 264.90 cboe.com/micro/bxd/

S&P 100 Options (OEX) recently is recently up 3.72 to 897.40 as Republicans have taken control of the U.S. Senate, extended their majority in the House and captured key gubernatorial seats