CBOE Mid-Day Update 11.13.14

Volatility as an asset class

Kohl’s (KSS) is recently down $2.11 to $55.80 after reporting less than expected Q3 results and issued a less than expected Q4 outlook. November call option implied volatility is at 25, December is at 21, January is at 20; compared to its 26-week average of 25.

Tyco (TYC) is recently down $1.41 to $41.95 after reporting less than expected Q4 revenue. November and December call option implied volatility is at 19, January is at 18 compared to its 26-week average of 19.

Hasbro (HAS) is recently down $2.77 to $54.70 on reports of interest in acquiring DreamWorks Animation (DWA). November call option implied volatility is at 21, December is at 20, January is at 18; compared to its 26-week average of 18 according.

DreamWorks Animation is recently up $3.53 to $25.91. November call option implied volatility is at 59, December is at 57, March is at 44; compared to its 26-week average of 39.

VIX methodology for Google (VXGOG) up 3.6% to 19.89, compared to its 50-day moving average of 25.12. cboe.com/VXGOG

Active options at CBOE: AAPL BABA AMZN WMT PBR TSLA TWTR NFLX BAC AA PEP

Options with increasing volume @ CBOE:  AME STAR BYD CYBR TTWO RCAP FUEL HAS RGLS CBG

CBOE/CBOT 10-year U.S. Treasury Note Volatility (VXTYN) @ 5.33; 52-week low 1.69, high 14.58 www.cboe.com/vxtyn

CBOE Volatility Index (VIX) is recently up 4.4% to 13.59; November 13 and 14 puts active on 189K cboe.com/VIX

iPath S&P 500 VIX Short-Term Futures ETN (VXX) is recently up 26c to 28.53.

CBOE S&P 500 Short-Term Volatility Index (VXST) is recently up 5.3% to 11.98; compared to its 10-day moving average of 12.67 stks.co/r0CS2

CBOE DJIA BuyWrite Index (BXD) is recently up 1c to 262.78 compared to its 50-day moving average of 264.03 cboe.com/micro/bxd/

S&P 100 Options (OEX) recently is recently up 1.66 to 906.38 as Walmart and corporate deals have helped the market trade higher.