CBOE Mid-Day Update 11.7.14

Volatility as an asset class

Sears (SHLD) is recently up $9.29 to $41.94 after saying company is actively exploring a REIT transaction involving 200-300 owned properties through a rights offering. November call option implied volatility is at 82, December is at 74; compared to its 26-week average of 56.

Gap (GPS) is recently up $1.19 to $39.04 after reporting October same-store sales fell 3%, giving Q3 EPS guidance that beat estimates. November call option implied volatility is at 33, December is at 30, January is at 27; compared to its 26-week average of 28.

Zynga (ZNGA) is recently up 11c to $2.47 on an upgrade at Needham following the company’s Q3 earnings report. November call option implied volatility is at 65, December is at 66, January is at 60; compared to its 26-week average of 69.

Active options at CBOE: AAPL TWTR TSLA WLT RIG

Options with increasing volume @ CBOE: TWC WMT WLT CTIC CSCO RIG FLSR BABA WFM

VIX methodology for iShares Silver Trust (VXSLV) down 6.7% to $36.61; SLV is up 1.6% to $15.05.

CBOE Volatility Index (VIX) is recently down 1.2% to 13.52; November 20 calls and November 14 puts active on 182K cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures ETN (VXX) is recently down 36c to 29.09.

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently down 67c to 11.98; compared to its 10-day moving average of 14.07 stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) is recently down 1c to 262.76 compared to its 50-day moving average of 264.61 cboe.com/micro/bxd/

S&P 100 Options (OEX) recently is recently up 70c to 901.60 on the highly anticipated nonfarm payrolls report showed fewer than expected jobs were added last month, but the figures from the prior two months were also upwardly revised.