CBOE Mid-Day Update 11.6.14

Volatility as an asset class

Whole Foods (WFM) is recently up $4.25 to $44.21 after the super market chain’s Q4 profit surpassed analysts’ consensus estimates and it raised its quarterly dividend. November call option implied volatility is at 24, December is at 23, January is at 21; compared to its 26-week average of 33.

Zillow (Z) is recently down $2.49 to $101.28 after the real-estate portal reported Q3 adjusted EPS 15c, compared to consensus 8c. The company reached 86M average monthly unique users during Q3. November call option implied volatility is at 45, December is at 44, January is at 44; compared to its 26-week average of 55.

SolarCity (SCTY) is recently down $2.57 to $51.87 after the solar panel company reported solid Q3 results and guidance. November call option implied volatility is at 58, December is at 62, January is at 51; compared to its 26-week average of 63.

Active options at CBOE: PBR AAPL TSLA AMZN TWTR AMZN

Options with increasing volume @ CBOE: ANN GERN ARCP MCP ACI GNW WFM

VIX methodology for iShares Silver Trust (VXSLV) down 4.2% to $39.29; SLV up 1%

CBOE Volatility Index (VIX) is recently up 1.6% to 14.40; November 17 and 25 calls active on 185K cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures ETN (VXX) is recently down 25c to 29.99.

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently down 11c to 13.24; compared to its 10-day moving average of 14.41 stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) is recently up 2c to 262.69 compared to its 50-day moving average of 264.75 cboe.com/micro/bxd/

S&P 100 Options (OEX) recently is recently up 14c to 898.20 on mixed international markets.